2017 and 2018 Adjustments

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

The report is divided into multiple sections,
where cash flows are reported by each material
entity listed above, including the consolidated
entity and parent company. Furthermore, there
is a “contingency/pricing” section that is only
completed for the consolidated entity.

GENERAL INSTRUCTIONS
Purpose
The FR 2052a report collects data elements that
will enable the Federal Reserve to assess the
ability of firms to meet their liquidity needs
under stressed market conditions.

For Foreign Firms
FBOs should report for their consolidated U.S.
operations, as well as for material entities
managed within the U.S. Institutions should
consult with the onsite supervisory teams to
determine which material legal entities should
be reported.

Who Must Report
Large financial institutions with material
operations within the U.S. should submit this
report on an ongoing basis as part of the
supervisory monitoring process. U.S. bank
holding companies (BHCs) designated by the
Financial Stability Board as Global
Systematically Important Banks (G-SIBs) and
foreign banking organizations (FBOs) with
U.S. broker-dealer assets greater than $100
billion would report on the FR 2052a daily and
on occasion, respectively. Once an FBO reaches
or exceeds the threshold and begins filing the
FR 2052a, it should continue to file the FR
2052a. If an FBO ’s U.S. broker-dealer assets
should subsequently fall to less than the
threshold for four consecutive quarters, then the
FBO may not be required to file the FR 2052a.
Calculations for determining an instituion’s
asset size will be same as utilized in the Form
Y9-C.

Scope of the Consolidated Entity
For purposes of reporting the consolidated
entity, the firm should consolidate its
subsidiaries on the same basis as it does for its
annual reports to the SEC or, for those firms that
do not file reports with the SEC, on the same
basis as described in U.S. Generally Accepted
Accounting Principles (GAAP). Generally,
under the rules for consolidation established by
the SEC and by GAAP, firms should
consolidate any company in which it owns more
than 50 percent of the outstanding voting stock.
For purposes of reporting a Consolidated FBO
should report the FBO U.S. Branch and Agency
network along with other material non-bank
FBO entities within the U.S. as one entity. In
general, non-U.S. entities are not required to
report on FR 2052, however, affiliated Cayman
and Nassau should report as stand-alone entities
given the role they play in funding transactions
for U.S. operations. Do not include activity of
the Cayman and Nassau Branches of FBOs in
the consolidated U.S. entity

For Domestic Firms
A report must be submitted for the consolidated
entity, the parent company only, and for all
banks, broker dealers and U.S. and non-U.S.
non-bank entities that are material contributors
to the firm’s funding and liquidity operations.
Institutions should consult with the onsite
supervisory teams to determine which material
legal entities should be reported.
1 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

counterparties refer to all offices that are within
the scope of the consolidated reporting entity as
defined above.

Institutions should consult with the on-site
supervisory team about legal entity reporting for
a conduit or Special Purpose Vehicle (SPV). It
should be noted that consolidation may not
follow GAAP reporting.

For FBOs, external counterparties are 3rd
parties that do not have any relationship to the
firm. For FBOs, internal counterparties should
capture transactions between the U.S. entities
and all affiliates globally.

Rules of Consolidation
For purposes of this report, the consolidated
entity will report all offices (i.e., branches,
subsidiaries, affiliates, Variable Interest Entities
(VIEs), and International Banking Facilities
(IBFs) that are within the scope of the
consolidated firm as defined above, on a
consolidated basis. Unless the instructions
specifically state otherwise, this consolidation
shall be on a line-by-line basis. As part of the
consolidation process, the results of all
transactions and all intercompany balances
between offices, subsidiaries, and other entities
included in the scope of the consolidated firm
are to be eliminated in the consolidation and
must be excluded from the consolidated report.

Where to Submit Reports
Reports should be submitted electronically to
the Federal Reserve Bank of New York at
nybsg.liquidity_data@ny.frb.org. Institutions
should consult with the on-site supervisory
teams for submission instructions to OCC and
FDIC.
Frequency of Reporting
Domestic Firms:
All reporting institutions should report positions
as of close of business each day (as-of date=T).
A file should be submitted for every day the
Fedwire®1 is open. For data reported by
entities in international locations, if there is a
local bank holiday (and Fedwire is open),
submit data for those entities using the data
from the previous business day. Cayman and
Nassau entities should follow the US domestic
reporting schedule.

For purposes of this report, each material legal
entity required to report will report on a
consolidated basis. Intercompany transactions
between offices of the legal entity should be
eliminated in consolidation.
Any reference throughout these instructions to
“affiliates”, “subsidiaries”, and “legal entities”
apply to all offices included under the
consolidated entity, as described above.

For U.S. holidays and weekends (i.e., when the
Fedwire® is closed), no positions should be
reported.

Counterparties

Foreign Firms:

For purposes of this report, for U.S. domestic
firms external counterparties are defined as 3rd
party entities that do not have any relation to the
firm, i.e., they are not offices that fall within the
scope of the consolidated entity Internal

FBOs that have U.S. broker dealer subsidiaries
with aggregate assets of more than $100 billion
report all items of the FR 2052a on occasion at

1

http://www.frbservices.org/holidayschedules/index.html

2 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

the request of supervisors. In addition, these
FBOs also report a subset of the items on the FR
2052a twice a month (as of the 15th and end of
the month). If the 15th falls on a weekend or
holiday, report as of the next business day, on a
T+2 basis. If the end of the month falls on a
weekend or holiday, report as of the last
business day of the month, on a T+2 basis.2
These items are listed in Appendix C.

Non-numeric entries (such as dollar signs,
commas, or decimals) should not be reported,
except when providing the ticker symbol or
providing information in the Comments Section.

When to Submit Reports
The report should be submitted by 10am (ET)
two business days after the as-of date (T+2).
How to Prepare Reports
The file should be submitted using the file
format described in Appendix A. If the reporting
entity operates in a particular business (e.g.,
Prime Brokerage) or product (e.g., ABCP) but
has no balance to report on the reporting date or
no amount maturing in a given maturity column
enter 0 (zero). If a line is not applicable based
on your firm’s business activities do not input
any values into the cells in that line.
Data provided should reflect reasonable
accuracy and will be subject to periodic review
by the supervisory teams.
Currency of Reporting
Enter all values in millions of United States
Dollars (USD). Convert all non-U.S. dollar
denominated amounts into USD equivalents
using the closing exchange rate as of the
reporting date as reported by any 3rd party rate
provider that the firm uses for its risk reporting.
Negative and Non-numeric Entries
Negative numbers should not be reported in any
section, except for the pricing section.

2

Two business days after the as-of date (T+2)

3 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017



Double Counting
For each legal entity report submission, assets
and liabilities should only be reported in one
line of the report unless otherwise noted.
Certain transactions are reported in two lines on
the report. For example, unsecured financing
with put options are reported in both Section 8
(Unsecured Financing) and Section 15
(Contingency Funding Items, Line 15.23 or
15.24, Securities with Put options).

Comments Column
The comments column should be used to
provide details on material/important
transactions occurring or balance changes
relative to that line item. For example:
 If the frequency of the data reporting is
expected to be daily on individual lines,
note any deviations (e.g., weekly,
monthly) in this column.
 For significant material day-to-day
variances, include a brief summary in
the Comments column and notify the onsite supervisory teams.
 When revised templates are submitted to
account for data discrepancies after
initial submissions, include the reason
for resubmission in the applicable line
item in this column.

Maturity Schedule
The maturity schedule (cell E3forward to cell
X3 on the template tab) is used to report the date
in which inflows and outflows are expected to
occur. Report the appropriate maturity time
bucket for each data element on a best efforts
basis using contractual flows. Do not report
transactions based on behavioral or projected
assumptions.
 Business days follow the Fedwire
calendar
 Business Day 1 represents balances on T+1
(maturing the next business day from T, the
as-of date).
 Maturity Bucket columns Day 1 through
Day 6 are on a business day basis. All
other maturity buckets are on a calendar
day basis.
 Report maturing overnight transactions
in the Business Day 1 maturity column.
 Liabilities with embedded optionality
should be reported at the earliest date the
funds can be withdrawn by the
counterparty (internal and/or external).
 Report executed transactions only (i.e.,
transactions that have traded but have
not necessarily settled).
 For some line items, all but the Open
maturity column is grayed out. For
those lines, report balances in the Open
column.

If a transaction/activity is not covered in the
current set of data elements and has a material
liquidity impact for the firm, report balances in
the Other line (e.g., Line 8.90) in the relevant
section, and include a note in the comment
column. These transactions should be discussed
with the onsite supervisory team.

Asset Category Table
The Asset Category Table (Appendix B) is used
to identify the asset class used as collateral in
secured borrowing and lending transactions and
to report information on the inventory of
unencumbered assets. The table is used to
complete section 3 (Repurchase & Securities
Lending Transactions), section 4
(Unencumbered assets), section 7 (Reverse
Repurchase & Securities Borrowing
4 

Report transactions and balances with no
maturity (e.g., retail demand deposits) in
the Open column.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

Transactions), section 9 (Central Bank, FHLB
Sources, and Nostro Balances), and section 14
(Secured Internal Cash Flows).
 For securities that have multiple ratings,
report the transaction or asset based on
the lowest rating.
 Work with your onsite supervisory
teams to discuss questions on how to
categorize a specific asset.



Line Item Instructions
1.00 Secured Financing
Report outstanding secured funding liabilities of
the firm received via conduits (e.g. SPV)
including ABCP and ABS in the appropriate
line item and maturity column. (See Glossary
for definitions of transactions reported in this
section.) Report outstanding secured funding
liabilities of the firm received via conduits (e.g.
special purpose vehicles SPV) including Asset
Backed Commercial Paper (ABCP) and Asset
Backed Securities (ABS) in the appropriate line
item and maturity column. (See Glossary for
definitions of transactions reported in this
section.) For products that typically make use
of conduits or special purpose vehicles (SPVs)
to finance assets for which the firm retains the
beneficial interest, report the contractual
liabilities of the conduits based on the remaining
maturity of the issuance. Do not record the
book or fair value of the assets in the conduit.

1.10 ABCP Single-Seller
Report the outstanding ABCP (Asset Backed
Commercial Paper) issued from single seller
programs sponsored by the reporting firm based
on remaining contractual maturity in the
appropriate maturity columns.
1.20 ABCP Multi-Seller
Report the outstanding ABCP issued from
multi-seller ABCP conduits sponsored by the
reporting firm based on remaining contractual
maturity in the appropriate maturity columns.
1.30 Term ABS
Report the outstanding term (original maturity
greater than or equal to one year) asset backed
securitization issued/sponsored by the reporting
firm based on the remaining contractual
maturity in the appropriate maturity columns.

If the reporting firm issues a new product that
makes use of a conduit which is not defined
below, report in Line 1.50 (Other Secured
Financing), report the details in the comment
column, and notify your on-site supervisory
team.

1.40 Collateralized CP
Report the outstanding amount of collateralized
commercial paper issued by the reporting firm
based on remaining contractual maturity in the
appropriate maturity columns.
1.50 Other Secured Financing
Report the outstanding amount of other forms of
secured financing issued by the reporting firm,
based on remaining contractual maturity in the
appropriate maturity columns.
 Report covered bonds in this line.

Exclude from this section:


Repurchase agreements/reverse
repurchase agreements and securities
lending/borrowing. These transactions
5 

are reported in Section 3, Repurchase &
Securities Lending Transactions, and
Section 7, Reverse Repurchase &
Securities Borrowing Transactions,
depending on type of transaction.
Backstop facilities (e.g. Letter of Credit)
provided to conduits. These facilities
are reported in Line 15.15, Undrawn
Commitments & Explicit Funding
Guarantees to Sponsored & 3rd party
structured vehicles, such as Conduit,
SPVs & Structured Investment Vehicles
(SIVs).

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017



2.00

For amounts reported, report the type of
the transaction in the Comments column.
Provide supporting details in the notes
column of the template and contact your
supervisory team to inform them of the
inclusion. Usage of other categories is
typically for new products or for
products that do not have pre-defined
line items in place already.

2.10 Federal Reserve Borrowing
Report all outstanding borrowings from the
Federal Reserve System. Include balances in
the respective maturity columns based on
remaining contractual maturity.
2.20 FHLB Borrowing
Report outstanding advances sourced from the
FHLB in the respective maturity columns based
on remaining contractual maturity.
 An advance containing an option that
grants the FHLB the right to cancel the
advance at some specified future date,
should be reported based on the first call
date, and noted in the Comments
column.

Official Government Sources Drawn

Report outstanding borrowings from FHLBs
and central banks by geographic region in the
appropriate line item and maturity column.
Include:
 Borrowing from central banks such as
from the Discount Window or other
central bank sources
 Sources from programs and/or facilities
administered by central banks, and
FHLBs, including both secured as well
as unsecured amounts. List program
name, collateral type, and amount of
each program utilized in the Comments
column.

2.30 Bank of England Borrowing
Report outstanding borrowings from the Bank
of England in the respective maturity columns
based on remaining contractual maturity.
2.40

Report outstanding borrowings from the
European Central Bank in the respective
maturity columns based on remaining
contractual maturity.

Exclude:
 Open market operations conducted with
central banks. Report these transactions
in the Repurchase Agreement Section
(Section 3) or Reverse Repurchase
Agreement Section (Section 7).
 Derivative transactions with sovereigns.
Report in the derivatives payable or
derivatives receivable lines in Section 5
(Expected Cash Inflows) and Section 11
(Expected Cash Outflows.
 Borrowing capacities net of advances
with governments and central banks.
Report these in Section 9 (Central Bank,
FHLB Sources, and Nostro Balances).
The advances are reported in this
section.

2.50

Asia Pacific Central Bank Borrowing

Report outstanding borrowings from central
banks within the Asia Pacific geographical
region in the respective maturity columns based
on remaining contractual maturity.
 Include borrowing activity from the
following central banks:
o Bank of Japan
o Hong Kong Monetary Authority
o Monetary Authority of Singapore
o Reserve Bank of Australia
 Report the details of borrowing in the
Comments column.
6 

European Central Bank Borrowing

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017



o Provide the name of each central
bank and amount of each
borrowing.
Report the details to the onsite
supervisory teams.



2.60 Other Central Bank Borrowing
Report outstanding borrowings from any central
bank not reported in Lines 2.10, 2.30, 2.40, or
2.50 in the respective maturity columns based
on remaining contractual maturity.
 Report the details of borrowing in the
Comments column.
o Provide the name of each central
bank and amount of each
borrowing.
 Report the details to the onsite
supervisory teams.



3.10 Repo Conducted with NonRehypothecated Collateral

3.00 Repurchase & Securities Lending
Transactions
Report all repurchase, securities lending, and
dollar roll sell transactions executed with
external counterparties on a gross contractual
maturity basis. (See Glossary for definitions of
transactions reported in this section.) Report the
contractual cash payment to be paid, including
principal and interest. Do not report the fair
market value of the pledged securities, unless
otherwise noted. Report on a gross basis. ASC
210-20-45 (formerly FIN 41) netting does not
apply for this report.

Report all repurchase agreements where the firm
provides non-rehypothecated collateral, i.e.,
collateral that the firm owns, according to asset
category table.
3.11 Category A-I
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the A-I group as
listed in the asset category table, except
transactions collateralized by securities that, if
not otherwise pledged, would qualify for
reporting as unencumbered assets in section 4.
These transactions should be excluded from this
line and be reported in Line 3.12 below.

Report transactions in the appropriate line based
on the Asset Category Table (Appendix B).
Dollar roll financing transactions are included
with repurchase agreements. For transactions
that allow for collateral agreement amendments,
report the transaction based on the collateral
utilized as of the reporting date.

3.12 Category A-I Unencumbered
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using
collateral that originated from the firm’s
inventory of unencumbered assets (as defined in
the glossary) using the asset categories that

Include:



Both bi-lateral and tri-party transactions
Transactions with embedded optionality
or structured features should be reported
7 

based on the earliest exercisable
maturity.
Evergreen or extendible repos in the
appropriate maturity column based on
the remaining contractual maturity:
o Do not make assumptions about
future extensions.
Collateral swap transactions, including
non-cash transactions, with external
counterparties should be reported as two
distinct transactions in the appropriate
asset categorization class:
o Include the repurchase side of the
transaction in Section 3 and the
reverse side of the transaction in
Section 7.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

belong to the A-I group as listed in the asset
category table.

3.20 Repo Conducted with Rehypothecated
Collateral

3.13 Category A-II
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the A-I group as
listed in the asset category table, except
transactions collateralized by securities that, if
not otherwise pledged, would qualify for
reporting as unencumbered assets in section 4.
These transactions should be excluded from this
line and be reported in Line 3.14 below.

Report all repurchase agreements where the firm
uses rehypothecated collateral, i.e., customer
collateral that the firm has the legal ability to
utilize, according to asset category table.

3.14 Category A-II Unencumbered
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using
collateral that originated from the firm’s
inventory of unencumbered assets (as defined in
the glossary) using the asset categories that
belong to the A-II group as listed in the asset
category table.

3.22 Category A-II
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the A-II group as
listed in the asset category table.

3.21 Category A-I
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the A-I group as
listed in the asset category table.

3.23 Category B
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the B group as
listed in the asset category table.

3.15 Category B
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the B group as
listed in the asset category table.

3.24 Category C
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the C group as
listed in the asset category table.

3.16 Category C
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the C group as
listed in the asset category table.

3.25 Category D
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the D group as
listed in the asset category table.

3.17 Category D
Report in this line item, using the appropriate
maturity column, all external repurchase
agreement transactions conducted using the
asset categories that belong to the D group as
listed in the asset category table.

8 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

3.30



Securities Lending

3.31 Category A-I
Report in this line item, using the appropriate
maturity column, all external securities lending
transactions conducted using the asset
categories that belong to the A-I group as listed
in the asset category table.





3.32 Category A-II
Report in this line item, using the appropriate
maturity column, all external securities lending
transactions conducted using the asset
categories that belong to the A-II group as listed
in the asset category table.
3.33 Category B
Report in this line item, using the appropriate
maturity column, all external securities lending
transactions conducted using the asset
categories that belong to the B group as listed in
the asset category table.
3.34 Category C
Report in this line item, using the appropriate
maturity column, all external securities lending
transactions conducted using the asset
categories that belong to the C group as listed in
the asset category table.

4.00 Unencumbered Assets
Report the firm’s inventory of unencumbered
assets in the appropriate line item based on the
asset category table. (See Glossary for definition
of Unencumbered Assets.) To the extent that
unencumbered assets have interest rate or other
such hedges associated with them (and under
the control of the firm’s treasury), the market
value of the assets should be reported net of any
amount payable by the reporting institution
should the hedge be terminated on the reporting
date. Amounts due to the reporting institution
should not be added to the asset value.

3.35 Category D
Report in this line item, using the appropriate
maturity column, all external securities lending
transactions conducted using the asset
categories that belong to the D group as listed in
the asset category table.
3.40 Forward Start Repo and Securities
Lending Transactions
3.41 Cash Inflows due to Forward
Settlements
Report the incoming cash flows related to
forward starting repurchase agreement,
securities lending, and dollar roll transactions in
this line item.

Lendable value is the value that the firm could
obtain for the assets in the repurchase markets
reported in the same category, which
9 

Aggregate incoming cash flows across
all repurchase and securities lending
categories.
Report the incoming cash flows in the
maturity column based on the settlement
date of the transactions.
Report only the incoming cash portion of
the forward start transaction in this line.
Report the outgoing, or maturing,
portion of the repurchase agreement,
securities lending, or dollar roll
transactions in its respective category,
i.e. non-rehypothecated, rehypothecated
or securities lending transaction, by asset
type and appropriate maturity column in
Sections 3.10, 3.20, and 3.30.
o Example: A tomorrow/next
repurchase agreement transaction
of non-rehypothecated B
collateral.
 Report the incoming cash
side of the transaction on
Line 3.41 in Business
Day 1.
 Report the outgoing cash
side of the transaction
(the maturity) on Line
3.15 in Business Day 2.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

incorporates haircuts based on factors such as
liquidity, credit, and market risks.

4.31 Category B Market Value
Report the market value of the unencumbered
assets that belong to this category as listed in the
asset category table.

Market value reflects values as of the close of
business on the reporting date.

4.32 Category B Lendable Value
Report the lendable value of the unencumbered
assets that belong to this category as listed in the
asset category table.

Exclude:
 Any assets acquired via reverse
repurchase agreement:
o Report those assets in Section 7
(Reverse Repurchase &
Securities Borrowing
Transactions) and/or Section 14
(Secured Internal Cash Flows).
 Any assets already pledged to central
banks, exchanges, regulatory bodies, etc.
 Any asset used to cover customer short
positions that originate from the firm’s
unencumbered inventory. This is
reported in Line 12.22 (Internal Firm
Funding used to Cover Customer
Shorts).

4.41 Category C Market Value
Report the market value of the unencumbered
assets that belong to this category as listed in the
asset category table.
4.42 Category C Lendable Value
Report the lendable value of the unencumbered
assets that belong to this category as listed in the
asset category table.
4.51 Category D Market Value
Report the market value of the unencumbered
assets that belong to this category as listed in the
asset category table.

4.11 Category A-I Market Value
Report the market value of the unencumbered
assets that belong to this category as listed in the
asset category table.

4.52 Category D Lendable Value
Report the lendable value of the unencumbered
assets that belong to this category as listed in the
asset category table.

4.12 Category A-I Lendable Value
Report the lendable value of the unencumbered
assets that belong to this category as listed in the
asset category table.

5.00 Expected Cash Inflows
Report cash flows (other than contractual cash
inflows from lending transactions reported in
Section 6.00) due to the firm from external
counterparties in the appropriate line item by
remaining maturity in the appropriate maturity
column. (See Glossary for certain definitions of
transactions in this section.)

4.21 Category A-II Market Value
Report the market value of the unencumbered
assets that belong to this category as listed in the
asset category table.
4.22 Category A-II Lendable Value
Report the lendable value of the unencumbered
assets that belong to this category as listed in the
asset category table.

5.10 Derivative Receivables
Report incoming cash flows related to noncollateralized derivatives (e.g. interest rate,
equity, commodity, and option premiums)
executed with external counterparties. Netting
receivable and payables by maturity date is
10 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

allowed if the netting agreement dictates the
contractual settlement flows.
 For fixed rate receive derivatives, report
all contractual known receivable flows.
 For floating rate receive derivatives,
report all contractual known receivables
flows.
o For cash flows that have not been
set, report the undiscounted mark
to market value in the applicable
maturity column.
 Example: The firm has a
floating rate receivable
due on calendar day 91,
for which the rate has not
been set. Report the
expected receivable based
on the undiscounted mark
to market (e.g. based on
the FRA) in the 91-120
days column.

transactions, including, but not limited to
derivatives transactions.

Exclude:
 Any flows beyond the one year maturity.
 Principal flows related to forward
foreign exchange transactions. These
transactions are not part of this data
collection.
 Fees related to brokerage commissions
or exchange fees.
 Expected cash flows from unexercised
in-the-money options. These transactions
are not part of this data collection.

5.50 Other Cash Inflows
Report other material cash inflows not reported
in any other line.
 Include cash inflows that arise out of an
extra-ordinary situation, for example,
proceeds from the sale of a business.
 Include a description of the transactions
in the Comments column and notify the
on-site supervisory teams.

5.20


Exclude collateral called for and received on
Day T.
5.40 Undrawn Committed Facilities
Offered from External Financial Institutions
Report undrawn committed facilities (liquidity
and credit) available to the reporting firm from
external financial institutions.
 Example: If the firm has a $100
committed facility from a financial
institution report $100 in Line 5.40.
o When the firm draws down and
receives cash from the financial
institution, the amount drawn
down should be excluded from
Line 5.40 and reported in Line
8.80 (Draws on Committed
Lines) by remaining maturity.

6.00 Cash Inflows from External
Counterparties
Report contractual cash inflows from external
counterparties in each line item by remaining
maturity in the appropriate maturity column.

TBA Sales
Report all sales of TBA (To Be
Announced) contracts in the appropriate
maturity columns.

6.10

Report the outstanding amount of fed funds and
Eurodollars sold by remaining maturity in the
appropriate maturity column.
 This item also includes interbank nonUSD financing (e.g. domestic JPY,
domestic GBP).

5.30 Collateral Called for Next Day
Receipt
Report the amount of collateral the firm has
called from its counterparties towards
outstanding contracts, for next day receipt
(T+1). Report collateral called for all types of
11 

Fed Funds and Eurodollars Sold

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017



including principal and interest. Do not report
the fair market value of the pledged securities,
unless otherwise noted. Report on a gross basis.
Do not net borrowings against loans. ASC 21020-45 (formerly FIN 41) netting does not apply
for this report.

Eurodollar transactions include
transactions in all Eurocurrency markets
(e.g. Euro yen).

6.20 Loan Cash Inflows
Report cash inflows related to fully performing
loans made by the firm by remaining maturity in
the appropriate maturity column. Do not make
assumptions about amortizations and
prepayments. Do not include loans past due 3089 days, past due 90 days or more and still
accruing, and nonaccrual loans.

Report transactions in the appropriate line based
on the Asset Category Table. Dollar roll lending
transactions are included in reverse repurchase
agreements. For transactions that allow for
collateral agreement amendments, report the
transaction based on the collateral received as of
the reporting date.
Include:
 Both bi-lateral and tri-party transactions
 Transactions with embedded optionality
or structured features should be reported
based on the earliest exercisable
maturity column.
 Evergreen or extendible transactions in
the appropriate maturity column based
on the remaining contractual maturity.
o Do not make assumptions about
future extensions.
 “Collateral upgrade” transactions
involving collateral for collateral activity
with external counterparties should be
reported as two distinct transactions in
the appropriate asset categorization
class.
o Include the repurchase aspect of
the transaction in section 3
(Repurchase & Securities
Lending Transactions) and the
reverse portion of the transaction
in this section.

Exclude:
 Interbank transactions.
6.30 Unsecured Cash Inflows due to
Forward Settlements
Report cash inflows expected from unsecured
forward settle transactions in this line item
based on the appropriate expected maturity
column.
 Report only the incoming cash portion of
the transaction in this line.
 Report the outgoing portion of the
transaction (the maturity) in the
respective product line and tenor bucket.
Do not net balances.
o Example: If the firm issues 5year unsecured long term debt
(not structured) for settlement on
T+3 report the maturity of the
debt in Line 8.40 in the >5Y
maturity column and report the
expected cash flow in Line 6.30
in the Business Day 3 column.
7.00 Reverse Repurchase & Securities
Borrowing Transactions
Report all reverse repurchase agreements,
securities borrowed, and dollar roll buy
transactions executed with external
counterparties on a gross contractual maturity
basis. (See Glossary for definitions of
transactions reported in this section.) Report the
contractual cash payment to be received,

Reverse Repo

7.11

Category A-I

Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted using the
asset categories that belong to the A-I group as
12 

7.10

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

that belong to the A-II group as listed in the
asset category table.
 Do not enter these balances as
unencumbered assets in Section 4.
 A-II securities reversed in and counted
as unencumbered assets of the reporting
legal entity cannot be counted as
unencumbered assets of any other
internal legal entity.
 Reverse repurchase agreement
transactions conducted with other
internal legal entities where collateral is
ultimately designated for inclusion as
unencumbered assets are to be listed in
Section 14 (Secured Internal Cash
Flows).

listed in the asset category table. Transactions in
this asset group where the collateral received
meets the definition of unencumbered assets
(glossary) should be excluded from this line and
be reported in Line 7.12.
7.12 Category A-I Unencumbered
Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted that are to be
counted as part of the firm’s inventory of
unencumbered assets using the asset categories
that belong to the A-I group as listed in the asset
category table.
 Do not enter these balances as
unencumbered assets in Section 4.
 A-I securities reversed in and counted as
unencumbered assets of the reporting
legal entity cannot be counted as
unencumbered assets of any other
internal legal entity.
 Reverse repurchase agreement
transactions conducted with other
internal legal entities where collateral is
ultimately designated for inclusion as
unencumbered assets are to be listed in
Section 14 (Secured Internal Cash
Flows).

7.15 Category B
Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted using the
asset categories that belong to the B group as
listed in the asset category table. Do not enter
these balances as unencumbered assets in
Section 4.
7.16 Category C
Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted using the
asset categories that belong to the C group as
listed in the asset category table. Do not enter
these balances as unencumbered assets in
Section 4.

7.13 Category A-II
Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted using the
asset categories that belong to the A-II group as
listed in the asset category table. Transactions in
this asset group where the collateral received
meets the definition of unencumbered assets
(glossary) should be excluded from this line and
be reported in Line 7.14.

7.17 Category D
Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted using the
asset categories that belong to the D group as
listed in the asset category table. Do not enter
these balances as unencumbered assets in
Section 4.

7.14 Category A-II Unencumbered
Report in this line item, using the appropriate
maturity column, all external reverse repurchase
agreement transactions conducted that are to be
counted as part of the firm’s inventory of
unencumbered assets using the asset categories
13 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

7.20



Securities Borrowing

7.21 Category A-I
Report in this line item, using the appropriate
maturity column, all external securities
borrowed transactions conducted using the asset
categories that belong to the A-I group as listed
in the asset category table.




7.22 Category A-II
Report in this line item, using the appropriate
maturity column, all external securities
borrowed transactions conducted using the asset
categories that belong to the A-II group as listed
in the asset category table.



7.23 Category B
Report in this line item, using the appropriate
maturity column, all external securities
borrowed transactions conducted using the asset
categories that belong to the B group as listed in
the asset category table.
7.24 Category C
Report in this line item, using the appropriate
maturity column, all external securities
borrowed transactions conducted using the asset
categories that belong to the C group as listed in
the asset category table.

8.00 Unsecured Financing
Report all unsecured financing that the firm has
contractually received from external
counterparties based on remaining scheduled
maturity in the appropriate line item and
maturity column. (See Glossary for definitions
of transactions in this section.)
 Record maturity amounts based on the
contractual amount due at maturity. Do
not record the book/fair value.
 For instruments that give the holder the
option to redeem the instrument prior to
maturity date, i.e. a put option, use the
earliest redemption date as the maturity.

7.25 Category D
Report in this line item, using the appropriate
maturity column, all external securities
borrowed transactions conducted using the asset
categories that belong to the D group as listed in
the asset category table.
7.30 Forward Start Reverse Repo and
Securities Borrowing
7.31 Cash Outflows due to Forward
Settlements
Report the outgoing cash flows related to
forward starting reverse repo, securities
borrowed, or dollar roll lending transactions in
this line item
14 

Aggregate outgoing forward start cash
flows across all reverse repurchase and
securities borrowing transactions.
Report the outgoing cash flows into the
maturity column that corresponds to the
settlement date of the transaction.
Only include in this line the outgoing
cash portion of the forward start
transaction.
Report the incoming, or maturing,
portion of the reverse repurchase
agreement or securities borrowing
transaction in its respective category, by
asset type and maturity in Lines 7.117.25.
o Example – A Tomorrow/Next
reverse repo transaction of B
collateral
 Place the outgoing cash
side of the transaction
reported as a Business
Day 1 outgoing cash flow
Line 7.31
 Place the incoming side
of the transaction (the
maturity) on Line 7.15 in
Business Day 2.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

8.60 Government Supported Debt
Report the outstanding amount of government
supported/guaranteed unsecured debt by
remaining maturity in the appropriate maturity
column.
 Provide name of guarantor, amount and
maturity in the Comments column.

8.10 Commercial Paper
Report the outstanding amount of unsecured
commercial paper by remaining maturity in the
appropriate maturity column.
8.20 Promissory Notes
Report the outstanding amount of promissory
notes by remaining maturity in the appropriate
maturity column.

8.70 Wholesale CDs and Bank Notes
Report the outstanding amounts of wholesale
institutional CDs and bank notes by remaining
maturity in the appropriate maturity column.

8.30 Fed Funds and Eurodollars
Purchased
Report the outstanding amount of fed funds and
Eurodollars purchased transactions by
remaining maturity in the appropriate maturity
column.



8.40

Exclude brokered CDs that are reported in Line
10.40 (Brokered CDs/Deposits).
8.80 Draws on Committed Lines from
External Entities
Report all outstanding draws made on
committed lines provided by external entities by
remaining maturity in the appropriate maturity
column.
 Example: When the firm draws down
and receives cash from a committed
facility, exclude the amount drawn down
from Line 5.40 (Undrawn Committed
Facilities Offered from External
Financial Institutions) if a financial
institution, or Line 15.11(Undrawn
Secured Committed Facilities Received
Including Warehousing Facilities) if a
non-financial institution, and report the
amount drawn in Line 8.80 by remaining
maturity in the appropriate maturity
column.

This item also includes interbank nonUSD financing (e.g. domestic JPY,
domestic GBP).
Eurodollar transactions include
transactions in all Eurocurrency markets
(e.g., Euro yen).
Long-Term Debt – Non-Structured

Report the outstanding amount of nonstructured long-term debt by remaining maturity
in the appropriate maturity column. Exclude any
government guaranteed debt and report in Line
8.60
8.50 Long-Term Debt - Structured
Report the amount of structured long term debt
outstanding by remaining maturity in the
appropriate maturity column. Exclude any
government guaranteed debt and a report in
Line 8.60.
 Transactions with a specified exercise
schedule should be reported on the first
scheduled exercise date.
 Include derivatives classified as long
term debt based on GAAP rules.

8.90 Other Unsecured Financing
Report the outstanding amount of any other
unsecured financing activities not already
covered in this section by maturity in the
appropriate maturity column.
 Provide details of material amounts and
changes in the Comments column.
 Report any new products or material
changes in existing products to the onsite supervisory team.
15 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

9.00 Central Bank, FHLB Sources, and
Nostro Balances
Report all borrowing capacities from
government and FHLB sources in the
appropriate line item and maturity column based
on collateral pledged.

9.50 Other Central Bank Borrowing
Capacity
Report all other central bank borrowing capacity
that is immediately available to the firm.
 Exclude any balances that are legally
restricted for regulatory or other
purposes.

9.10 Cash Balance at Federal Reserve
Report cash balances in excess of reserve
requirements maintained at the Federal Reserve.

9.51 Other Central Bank Borrowing
Capacity using A-I/ A-II Collateral
Report the amount of borrowing capacity at
other central banks reported in Line 9.50 where
the collateral is Category A-1 and Category A-II
on the Asset Category Table.
 Exclude any balances that are legally
restricted for regulatory or other
purposes.

9.20 Cash Balance at Other Central Banks
Report cash balances in excess of reserve
requirements maintained at other central banks.
 Report details of the cash balances in the
Comments column.
9.30 FHLB Borrowing Capacity
Report the firm's available FHLB secured
borrowing capacity.
 Report the capacity based on the most
recent information available from the
FHLB system.
o Report the capacity by FHLB
district in the Comments column.
 Report FHLB advance amounts in Line
2.20 (FHLB Borrowing).

9.60 Nostro Balances
Report cash balances held at 3rd party depository
institutions in Nostro accounts.
 Nostro balances are cash balances of the
firm left at other depository institutions
(typically related to clearing or
correspondent banking activities).
 Report only the balance that exceeds the
minimum balance necessary to meet
operational requirements.
o Balances that are held to meet
regulatory or contractual needs
and cannot be moved would be
considered trapped and should be
reported in Line 14.81.
 Exclude interbank placements (e.g.
Eurodollars, fed funds). These are
reported in Line 6.10.

9.40 Fed Discount Window Borrowing
Capacity
Report total available capacity created by the
existence of pledged collateral at the Federal
Reserve’s discount window facility across all
asset categories.
 Report the capacity as reported to the
firm by the Fed Discount Window.

10.00 Deposit Funding
Report deposit funding obtained by the
reporting entity from external counterparties in
the appropriate sub item with the corresponding
maturity columns. For products with nonmaturing characteristics, (e.g. demand deposits)
report the balances in the Open maturity bucket.

9.41 Fed Discount Window Borrowing
Capacity using A-I/A-II Collateral
Report the available borrowing capacity at the
Fed Discount Window reported in Line 9.40
where the collateral is Category A-I and
Category A-II on the Asset Category Table.
 Report the capacity as reported to the
firm by the Fed Discount Window.
16 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

For purposes of this report, counterparties are
defined as follows:








have substantive dependency with the bank and
the deposit is required from such activities.
10.11 Retail & SME3 deposits – Stable
Report the retail and SME deposits that the firm
defines as stable in the appropriate line item and
maturity column. Stable deposits are deposits
covered by an effective deposit insurance
program (e.g. FDIC insurance), although the
existence of deposit insurance alone is not the
only condition to consider. Other factors
include:
 Depositors have established
relationships with the bank, which make
deposit withdrawal highly unlikely.
 Deposits held in transactional accounts
(e.g. accounts where salaries are
automatically credited).
 Term deposits that have a withdrawal
penalty greater than the loss of interest
can be considered in this category.

Retail
Refers to a counterparty who is a natural
person. Do not include legal entities,
sole proprietorships, or partnerships,
which are considered wholesale
counterparties.
Small Medium Enterprise (SME)
Refers to entities managed as retail
exposures on a pooled or portfolio
segment basis that exhibit the same
liquidity risk characteristics as retail
customers.
Financial Institution
Refers to bank holding companies,
savings and loan holding companies,
depository institution, non-bank
financial institutions supervised by a
domestic prudential regulator, credit
unions, insurance companies, securities
firms, commodity pools, benefit plans,
and other companies predominantly
engaged in financial activities. Also
include hedge funds, mutual funds and
SPEs as financial.
Non-Financial Institution
Refers to commercial entities that are
non-financial in nature (i.e., do not meet
the definition of a financial or other
entity as identified above). Sovereigns,
supranationals, public sector entities,
and state and municipal governments
are included in this category.

If the firm cannot readily identify which retail
deposits qualify as “stable” according to the
above definition, report the amount in Line
10.12 (Less Stable).
10.12

Retail & SME deposits - Less Stable

Report the total retail and SME deposits the firm
classifies as less stable. Less stable deposits
include, but are not limited to, those deposits
which are not covered by effective deposit
insurance, high value deposits, deposits of
sophisticated or high net worth individuals,
deposits which can be withdrawn quickly
(internet deposits), and foreign currency
deposits.

For purpose of this report, Operational accounts
refers to deposits to facilitate access and ability
to use payment and settlement systems and
otherwise make payments, e.g. clearing,
custody, and cash management activities. Funds
in this category must be from customers who

10.21 Financial Institution - Operating
Report all deposits and other extensions of
funds made by financial institution customers

3
See paragraph 273 of the 2006 International Convergence of Capital
Measurement and

Capital Standards: A Revised Framework – Comprehensive Version.
This can be found at the following link:
http://www.bis.org/publ/bcbs128.htm

17 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

to market value in the applicable
maturity column.
 Example: If the firm has
a floating rate payable
due on calendar day 91.
Report the expected
receivable based on the
undiscounted mark to
market (e.g. based on the
FRA) in the 91-120 days
column.

that are specifically held for operational
purposes.
10.22 Financial Institution - Non-Operating
Report all deposits and other extensions of
funds made by financial institution customers
that are not specifically held for operational
purposes.
10.31 Corporate Accounts - Non-Financial
Institution – Operating
Report all deposits and other extensions of
funds made by non-financial corporate
customers, which are specifically held for
operational purposes.

Exclude:



10.32 Corporate Accounts - Non-Financial
Institution - Non-Operating
Report all deposits and other extensions of
funds made by non-financial corporate
customers that are not specifically held for
operational purposes.




10.40 Brokered CDs/Deposits
Report all brokered deposits, regardless of
account type (e.g., CDs and MMDAs).

11.20 TBA Purchases
Report all purchases of TBA (To Be
Announced) contracts in the appropriate
maturity columns.

11.00 Expected Cash Outflows
Report cash outflows due to the firm’s external
counterparties in the appropriate line item by
remaining maturity in the appropriate maturity
column.

11.30 Collateral Called for Next Day
Delivery
Report the amount of collateral that the firm’s
counterparties have called from the firm towards
outstanding contracts, for next day delivery
(T+1).
 Do not include collateral called for and
delivered out on Day T.
 Report collateral called for all types of
transactions, including, but not limited to
derivatives transactions.

11.10 Derivative Payables
Report cash outflows related to noncollateralized derivatives (e.g. interest rate,
equity, commodities, and option premium)
executed with external counterparties.
 For fixed rate payable derivatives, report
all contractual known payable flows.
 For floating rate payable derivatives,
report all contractual known payable
flows.
o For cash flows that have not been
set, report the undiscounted mark
18 

Any flows beyond the one year maturity.
Flows related to forward foreign
exchange transactions. These
transactions are not part of this data
collection.
Fees related to brokerage commissions
or exchange fees.
Expected cash flows from unexercised
in-the-money unexercised options.
These transactions are not part of this
data collection.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

11.40 Committed & Undrawn Liquidity
Facilities Provided to Financial Institutions
Report undrawn liquidity commitments
provided to financial institutions.
 A liquidity facility is defined as any
committed, undrawn back-up facility put
in place expressly for the purpose of
refinancing the debt of a customer in
situations where such a customer is
unable to obtain its ordinary course of
business funding requirements (e.g.
pursuant to a commercial paper
program) in the financial markets.



12.00 Operating Cash Flows
12.10 Prime Brokerage Free Credits
Report all “free credit” balances that clients’
hold in their accounts.
 Exclude from this line item cash set
aside towards SEC 15c3-3 “lock-up”
requirements. This is reported in Line
12.30 (Lockup Cash Flows).

11.50 Committed & Undrawn Credit
Facilities Provided to Financial Institutions
Report undrawn credit commitments (other than
liquidity commitments) provided to financial
institutions.

12.21 External Funding used to Cover
Customer Shorts
Report the gross amount of external funding
reported in Section 7 (Reverse Repurchase &
Securities Borrowing Transactions) used to
cover customer short positions. Report the
market value of the securities borrowed plus
overcollateralization, if applicable.

11.60 Other Cash Outflows
Report any other material cash outflows not
reported in any other line that can impact the
liquidity of the firm:
 Do not report regular ‘run the enterprise’
expenses.
 Include cash needs that arise out of an
extra-ordinary situation (e.g. a
significant cash flow needed to address a
legal suit settlement or pending
transaction).
o Include a description of the
entries in the Comments column
and notify the on-site supervisory
teams.

Example: A customer in the US broker-dealer’s
Prime Brokerage unit sells $100 of a CategoryB security short and the firm has to go out to the
market to borrow that security from an external
counterparty to deliver into the customer’s short
sale.
 Report the following transactions:
o $100 in Line 12.21 on the US
Broker-dealer report and on the
consolidated report.
o $100 in Line 7.23 on the US
Broker-dealer report and on the
consolidated report.

11.70 Unsecured Cash Outflows due to
Forward Settlements
Report cash outflows expected from unsecured
forward settle transactions in this line item
based on expected maturity.
 Report only the outgoing cash portion of
the transaction in this line. Report the
incoming portion of the transaction (the
maturity) in the respective product line
and maturity column.

Example: A customer in the U.S. Brokerdealer’s Prime Brokerage unit sells $100 of a
Category B security short and the firm has to
borrow the security from the U.K. broker19 

o Do not net balances.
Example: If the firm makes a 5-year
unsecured loan for settlement on T+3
report the maturity of the loan in Line
6.20 (Loan Cash Inflows) in the >5Y
maturity column and report the expected
cash flow in this line in the Business
Day 3 column.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

dealer, who has to go out to the market to
borrow the security from an external
counterparty to deliver into the customer’s short
sale.
 Report the following transactions:
o $100 in Line 12.21 on the U.S.
Broker-dealer report and on the
consolidated report.
o $100 in Line 7.23 on the U.K.
Broker-dealer report and on the
consolidated report.
o $100 in Line 14.33 on the U.K.
Broker-dealer report.
o $100 in Line 14.63 on the U.S.
Broker-dealer report.



12.22 Internal Firm Funding used to Cover
Customer Shorts
Report the gross market value of firm long
positions utilized to cover customer short
positions. If the asset used to cover the short
position originates from the firm's
unencumbered inventory as defined in Section 4
(Unencumbered Assets), do not report the
security in Section 4.
 Example: A customer in the US brokerdealer’s Prime Brokerage unit sells $100
of Category-B security short. The firm
has the security in its trading inventory.
o Report the following
transactions:
 $100 in Line 12.22
reported by the US
Broker-dealer and by the
consolidated entity.
 Example: A customer in the US brokerdealer’s Prime Brokerage unit sells $100
of Category-B security short. The firm
has the security in its unencumbered
inventory, as defined in Section 4 at the
US broker-dealer.
o Report the following
transactions:
 $100 in Line 12.22
reported by the US

12.23 Internal Customer Funding used to
Cover Customer Shorts
Report the gross market value of customer long
positions utilized to cover customer short
positions.
20 

Broker-dealer and by the
consolidated entity.
 Reduce the value of Line
4.31 (Category B Market
Value) and Line 4.32
(Category B Lendable
Value) by the market
value and the lendable
value of the security,
respectively on the US
Broker-dealer report and
on the Consolidated
entity report.
Example: A customer in the US brokerdealer’s Prime Brokerage unit sells $100
of Category-B security short. The firm
has the security in its unencumbered
inventory, as defined in Section 4 at the
UK broker-dealer.
o Report the following
transactions:
 $100 in Line 12.22
reported by the US
Broker-dealer and by the
consolidated entity.
 $100 in Line 14.33
(Category B) on the UK
Broker-dealer report.
 $100 in Line
14.63(Category B) on the
US Broker-dealer report.
 Reduce the value of Line
4.31 and Line 4.32 by the
market value and the
lendable value of the
security, respectively, on
the UK Broker-dealer
report and on the
Consolidated entity
report.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017





Example: A customer in the US brokerdealer’s Prime Brokerage unit sells $100
of Category-B security short. The firm
has access to the security via another
customer.
o Report the following transaction:
 $100 in Line 12.22 on the
US Broker-dealer report
and on the consolidated
report.

Lines 13.11 through 13.22 represent
unsecured cash flows between the Parent
Company and its subsidiaries.
 Fill out Line 13.11 and Line 13.13 on the
Parent Company report only.
 Fill out Line 13.12 and Line 13.14 on all
reports other than the Parent Company.
13.11 Due from Subsidiaries of Parent
Company
Report the gross balances of the Parent
Company due from related offices by
contractual maturity. Report cash flows
returning from all offices within the scope of the
consolidated entity defined for this report. This
line is completed by the Parent Company only.
This line should include all unsecured cash
down-streamed from the parent. Do not report
any equity investments in subsidiaries.
 Example: The parent company lends
$300 (unsecured), $100 to the brokerdealer, $100 to the bank and $100 to
other entities not required to report the
FR 2052a, all for the same maturity date.
For the returning flow, and for the
correct maturity column, report the cash
flows as follows:
o Report $300 in Line 13.11 on the
Parent Company report
 On other respective
reports:
 Report $100 in
Line 13.12 on the
Broker-dealer
report.
 Report $100 in
Line 13.12 on the
Bank report.
 Remaining $100
would not be
captured on a
report since it is a
receivable from an
entity not required

12.24 Margin Loans
Report the amount of customer margin loans the
firm has extended by maturity in the appropriate
maturity column.
12.30 Lockup Cash Flows
Report cash balances segregated for SEC 15c3-3
or other regulations to protect client assets.
 Example: Include locked cash flows
related to the UK Asset Protection
Scheme.
13.00 Unsecured Internal Cash Flows
In this section, report the contractual flows of all
inter-company unsecured transactions. Intercompany transactions are transactions between
offices within the scope of the consolidated
entity defined for this report. Report all intercompany flows on a gross basis within the
appropriate maturity column by collateral
category as described on the asset category
table. Since intercompany transactions are
eliminated in consolidation, this section would
not be reported by the consolidated entity.
Exclude:
 Transactions with 3rd parties or external
non-firm affiliated counterparties.
o External unsecured transactions
should be reported in the
appropriate lines in Section 8
(Unsecured Financing).
 Intra-entity transactions, (i.e., activity
between two groups within) the
reporting legal entity.
21 

Equity investments in affiliates.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

the FR 2052a, all for the same maturity
date.
o Report the cash flows as follows:
 Report $300 in Line
13.13 on the Parent
Company report
 On other
respective reports:
 Report $100 in
Line 13.14 on the
Broker-dealer
report.
 Report $100 in
Line 13.14 on the
Bank report.
 Remaining $100
would not be
captured on a
report

to report the FR
2052a.
13.12 Due to Parent Company from
Subsidiaries
Report the gross balances due to the Parent
company from the reporting legal entity. This
line is completed for all reporting legal entities,
but not for the Parent Company. Report all
unsecured funds due to the Parent in the
appropriate maturity column. This line should
include all unsecured cash down-streamed from
the parent. Do not report equity investments in
subsidiaries.
Example:
 Using the same example as in 13.11:
o The Broker-dealer, the bank, and
an entity not required to report
the FR 2052a each borrow $100
from the parent company.
Report the transactions as
follows:
 Report $100 in Line
13.12 on the Brokerdealer report.
 Report $100 in Line
13.12 on the Bank report.
 Remaining $100 would
not be captured on the FR
2052a.
 Report $300 in Line
13.11 on the Parent
Company report

13.14 Due from Parent Company to
Subsidiaries
Report gross balances due from the Parent
Company to the reporting legal entity. This line
is completed for all reporting legal entities
except for the Parent company. Report all
unsecured funds due from the Parent in the
appropriate maturity column.
Example:
 Using same example as in 13.13:
o The Broker-dealer lends $100
(unsecured) to the parent
company, the bank lends $100 to
the parent company and an entity
not listed on the tabbing structure
lends $100 to the parent
company. For the returning flow,
and for the correct maturity
column, report the cash flows as
follows:
 Report $300 in Line
13.13 on the Parent
Company report.
 On the other respective
reports:

13.13 Due to Subsidiaries of Parent
Company
Report the gross balances of the Parent
Company due to related offices by contractual
maturity. Report cash flows returning to all
offices within the scope of the consolidated
entity defined for this report. This line is
completed for the Parent Company only.
Example:
 The parent company borrows $300
(unsecured), $100 from the Brokerdealer, $100 from the bank and $100
from other entities not required to report
22 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017






Report $100 in
Line 13.14 on the
Broker-dealer
report.
Report $100 in
Line 13.14 on the
Bank report.
Remaining $100
would not be
captured on the
FR 2052a.







13.15 Due from Affiliate Entities
Report the gross balances of the reporting entity
due from affiliates by contractual maturity.
Affiliates are all offices within the scope of the
consolidated entity defined for this report,
except for the parent company.
 Example: The US Broker-dealer lends
$100 (unsecured) to the UK Brokerdealer.
o Report $100 in Line 13.15on the
US Broker-dealer report and
report $100 in Line 13.16on the
UK Broker-dealer report.
 Include intercompany cash balances.
o Example: Broker-dealer leaves
money in clearing account at
affiliate bank.
 Report unsecured transactions only.
 Do not report equity investments in
affiliates
 Do not report transactions with the
parent company.

13.21 Internal Unsecured Cash Outflows
due to Forward Settlements
Report cash outflows expected from internal
unsecured forward settle transactions in this line
item, in the appropriate expected maturity
column.
 Report only the outgoing cash portion of
the transaction in this line. Report the
incoming portion of the transaction (the
maturity) in the appropriate line (e.g.
13.11) and maturity column.
o Do not net balances.
 Include all internal unsecured forward
start transaction (e.g. Due from Parent,
Due from Affiliates).
13.22 Internal Unsecured Cash Inflows due
to Forward Settlements
Report cash inflows expected from internal
unsecured forward settle transactions in this line
item, in the appropriate expected maturity
column.
 Report only the outgoing cash portion of
the transaction in this line. Report the
incoming portion of the transaction (the
maturity) in the respective product line
and maturity column.
o Do not net balances.
 Include all internal unsecured forward
start transaction (e.g. Due from Parent,
Due from Affiliates).

13.16 Due to Affiliate Entities
Report the gross balances of the reporting entity
due to affiliates by contractual maturity.
Affiliates are all offices within the scope of the
consolidated entity defined for this report,
except for the parent company.
 Example: The US Broker-dealer
borrows $100 (unsecured) from the UK
Broker-dealer.
o Report $100 in Line 13.15on the
US Broker-dealer report and

14.00 Secured Internal Cash Flows
23 

report $100 in Line 13.16on the
UK Broker-dealer report.
Include intercompany cash balances.
o Example: Bank holds money in
clearing account for affiliated
broker-dealer.
Report unsecured transactions only.
Do not report equity investments in
affiliates.
Do not report transactions with the
parent company.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

the appropriate asset categorization
class.

Report all repurchase agreement, securities
lending, and dollar roll transactions executed
internally between legal entities on a gross
contractual maturity basis in this section.
Report the contractual flows of all intercompany secured transactions. Inter-company
transactions are transactions between offices
within the scope of the consolidated entity as
defined for this report. Report the contractual
cash payment to be paid, including principal and
interest. Do not report the fair market value of
the pledged securities, unless otherwise noted.
Report on a gross basis.
ASC 210-20-45 (formerly FIN 41) netting does
not apply for this report.
Report transactions in the appropriate line based
on the Asset Category Table. Dollar roll
funding transactions are included with
repurchase agreements. For transactions that
allow for collateral agreement amendments,
report the transaction based on the collateral
utilized as of the reporting date.

Exclude:
 Transactions with 3rd parties or external nonfirm affiliated counterparties. External
unsecured transactions should be reported in
the appropriate lines in Section 8
(Unsecured Financing).
 Intra-entity transactions or activity between
two groups within the reporting legal entity.
 Equity investments in affiliates.
14.10 Internal Repo Conducted with Nonrehypothecated Collateral
14.11 Category A-I
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the A-I group as
listed in the asset category table, except
transactions collateralized by securities that,
if not otherwise pledged, would qualify for
reporting as unencumbered assets in section
4. These transactions should be excluded from
this line and be reported in Line 14.12.

The consolidated entity does not report this
section.

14.12 Category A-I Unencumbered
Report in this line item, using the appropriate
maturity column, all internal repurchase
agreement transactions conducted using
collateral that originated from the firm’s
inventory of unencumbered assets (defined in
Section 4) using the asset categories that belong
to the A-I group as listed in the asset category
table.
 Do not enter these balances as
unencumbered assets in Section 4.

Include:
 Both bi-lateral and tri-party transactions.
 Transactions with embedded optionality
or structured features should be reported
based on the earliest exercisable
maturity.
 Evergreen or extendible repos in the
appropriate maturity column based on
the remaining contractual maturity.
o Do not make assumptions about
future extensions.
 “Collateral upgrade” transactions,
involving collateral for collateral activity
with internal counterparties should be
reported as two distinct transactions in

14.13 Category A-II
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the A-II group as
24 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

agreement transactions conducted using the
asset categories that belong to the A-I group as
listed in the asset category table.

listed in the asset category table, except
transactions collateralized by securities that,
if not otherwise pledged, would qualify for
reporting as unencumbered assets in section
4. These transactions should be excluded from
this line and be reported in Line 14.14.

14.22 Category A-II
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the A-II group as
listed in the asset category table.

14.14 Category A-II Unencumbered
Report in this line item, using the appropriate
maturity column, all internal repurchase
agreement transactions conducted using
collateral that originated from the firm’s
inventory of unencumbered assets (as defined in
Section 4) using the asset categories that belong
to the A-I group as listed in the asset category
table.
 Do not enter these balances as
unencumbered assets in Section 4.

14.23 Category B
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
transactions conducted using the asset
categories that belong to the B group as listed in
the asset category table.
14.24 Category C
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
transactions conducted using the asset
categories that belong to the C group as listed in
the asset category table.

14.15 Category B
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the B group as
listed in the asset category table.

14.25 Category D
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the D group as
listed in the asset category table.

14.16 Category C
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the C group as
listed in the asset category table.

14.30 Internal Securities Lending
14.17 Category D
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
agreement transactions conducted using the
asset categories that belong to the D group as
listed in the asset category table.

14.31 Category A-I
Report in this line item, using the appropriate
maturity column, all inter-company securities
lending transactions conducted using the asset
categories that belong to the A-I group as listed
in the asset category table.

14.20 Internal Repo Conducted with
Rehypothecated Collateral

14.32 Category A-II
Report in this line item, using the appropriate
maturity column, all inter-company securities
lending transactions conducted using the asset

14.21 Category A-I
Report in this line item, using the appropriate
maturity column, all inter-company repurchase
25 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

or securities lending transaction),
by asset type and appropriate
maturity column: Example: A
tomorrow/next repo transaction
of non-rehypothecated B
collateral.
 Place the incoming cash
side of the transaction on
Line 14.41 in Business
Day 1.
 Place the outgoing cash
side of the transaction
(the maturity) on Line
14.15(Nonrehypothecated collateral
Category B) in Business
Day 2.

categories that belong to the A-II group as listed
in the asset category table.
14.33 Category B
Report in this line item, using the appropriate
maturity column, all inter-company securities
lending transactions conducted using the asset
categories that belong to the B group as listed in
the asset category table.
14.34 Category C
Report in this line item, using the appropriate
maturity column, all inter-company securities
lending transactions conducted using the asset
categories that belong to the C group as listed in
the asset category table.
14.35 Category D
Report in this line item, using the appropriate
maturity column, all inter-company securities
lending transactions conducted using the asset
categories that belong to the D group as listed in
the asset category table.

14.50 & 14.60 Internal Reverse Repo &
Securities Borrowing
Report gross contractual maturity cash flows of
inter-company reverse repurchase agreements,
securities borrowed or dollar roll transactions in
the appropriate line item and column. Report
the contractual cash payment to be received,
including principal and interest. Do not report
the fair market value of the pledged securities,
unless otherwise noted. Report on a gross basis.
ASC 210-20-45 (formerly FIN 41) netting does
not apply for this report.

14.40 Internal Forward Start Repo
14.41 Internal Cash Inflows due to Forward
Settlements
Report the incoming cash flows related to
forward starting inter-office repurchase
agreement, securities lending, and dollar roll
transactions in this line item.
 Aggregate incoming cash flows across
all forward starting categories.
 Report the incoming cash flows into the
maturity column that corresponds to the
settlement date of the transaction.
 Only include in this line the incoming
cash portion of the forward start
transaction.
o Report the outgoing, or maturing,
portion of the repurchase
agreement, securities lending, or
dollar roll transactions in its
respective category (i.e., nonrehypothecated, rehypothecated

Report transactions in the appropriate line based
on the Asset Category Table. Dollar roll
lending transactions are included in reverse
repurchase agreements. For transactions that
allow for collateral agreement amendments,
report the transaction based on the collateral
utilized on the reporting date.
Include:
 Both bi-lateral and tri-party transactions.
 Transactions with embedded optionality
or structured features should be reported
based on the earliest exercisable
maturity column.

26 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017





in Section 7 (Reverse Repurchase &
Securities Borrowing Transactions).

Evergreen or extendible reverse
repurchase agreements in the appropriate
maturity column corresponding to the
remaining contractual maturity.
o Do not make assumptions about
future extensions.
“Collateral upgrade” transactions
involving collateral for collateral activity
with internal entities should be reported
as two distinct transactions in the
appropriate asset categorization class.

14.53 Category A-II
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
using the asset categories that belong to the A-II
group as listed in the asset category table.
Transactions in this asset group where the
collateral received meets the definition of
unencumbered assets (glossary) should be
excluded from this line and be reported in Line
14.54

14.50 Internal Reverse Repo
14.51 Category A-I
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
using the asset categories that belong to the A-I
group as listed in the asset category table.
Transactions in this asset group where the
collateral received meets the definition of
unencumbered assets (glossary) should be
excluded from this line and be reported in Line
14.52.

14.54 Category A-II Unencumbered
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
that are to be counted as part of the firm’s
inventory of unencumbered assets using the
asset categories that belong to the A-II group as
listed in the asset category table.
 Do not report these balances as
unencumbered in Section 4.
 A-II securities reversed in and counted
as unencumbered assets of the reporting
legal entity cannot be counted as
unencumbered assets of any other
internal legal entity.
 Reverse repurchase agreement
transactions conducted with external
counterparties where the collateral is
ultimately designated for inclusion as
unencumbered assets are to be reported in
Section 7.

14.52 Category A-I Unencumbered
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
that are to be counted as part of the firm’s
inventory of unencumbered assets using the
asset categories that belong to the A-I group as
listed in the asset category table.
 Do not enter these balances as
unencumbered in Section 4.
 A-I securities reversed in and counted as
unencumbered assets of the reporting
legal entity cannot be counted as
unencumbered assets of any other
internal legal entity.
 Reverse repurchase agreement
transactions conducted with external
counterparties where the collateral is
ultimately designated for inclusion as
unencumbered assets are to be reported

14.55 Category B
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
using the asset categories that belong to the B
group as listed in the asset category table. Do
not report these balances as unencumbered in
Section 4.

27 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

categories that belong to the C group as listed in
the asset category table.

14.56 Category C
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
using the asset categories that belong to the C
group as listed in the asset category table. Do
not report these balances as unencumbered in
Section 4.

14.65 Category D
Report in this line item, using the appropriate
maturity column, all securities borrowed
transactions conducted using the asset
categories that belong to the D group as listed in
the asset category table.

14.57 Category D
Report in this line item, using the appropriate
maturity column, all inter-company reverse
repurchase agreement transactions conducted
using the asset categories that belong to the D
group as listed in the asset category table. Do
not report these balances as unencumbered in
Section 4.

14.70 Internal Forward Start Reverse Repo
14.71 Internal Cash Outflows due to
Forward Settlements
Report outgoing cash flows related to forward
starting reverse repo, securities borrowed, or
reverse dollar roll transactions in this line item
 Aggregate outgoing cash flows across all
forward starting categories.
 Report the outgoing cash flows into the
maturity column that corresponds to the
settlement date of the transaction.
 Only include in this line the outgoing
cash portion of the forward start
transaction.
 Report the incoming, or maturing,
portion of the internal reverse repo or
securities borrowing transaction in its
respective category, by asset type and
appropriate maturity column: Section
14.50 or 14.60.
o Example – A Tomorrow/Next
reverse repo transaction of
Category B collateral
 Place the outgoing cash
side of the transaction
reported as a Business
Day 1 outgoing cash flow
Line 14.71
 Place the incoming side
of the transaction (the
maturity) on Line 14.55
in Business Day 2.

14.60 Internal Securities Borrowing
14.61 Category A-I
Report in this line item, using the appropriate
maturity column, all securities borrowed
transactions conducted using the asset
categories that belong to the A-I group as listed
in the asset category table.
14.62 Category A-II
Report in this line item, using the appropriate
maturity column, all securities borrowed
transactions conducted using the asset
categories that belong to the A-II group as listed
in the asset category table.
14.63 Category B
Report in this line item, using the appropriate
maturity column, all securities borrowed
transactions conducted using the asset
categories that belong to the B group as listed in
the asset category table.
14.64 Category C
Report in this line item, using the appropriate
maturity column, all securities borrowed
transactions conducted using the asset
28 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

14.80 Internal Supplemental Information
For Broker dealer entities, FRB 23-A capacity is
related to the available securities that are
eligible under FRB 23-A regulations and can be
subject to transfer on the day. Please calculate
the amount that is readily available. If various
assets qualify for 23-A, but cannot achieve full
acceptance under the rule due to mark-to-market
restrictions or other operational constraints, do
not include them

14.81 Trapped Liquidity due to Legal Ring
Fencing
Report known balances for the reporting entity
that are trapped and subject to legal or
regulatory restrictions on movement.
14.82 FRB 23-A Capacity
Report the entity’s FRB 23-A eligible capacity
available on the template tab. For reporting
legal entities that are banks, this line captures
the bank’s capacity to lend to Section 23-A
affiliates. For reporting legal entities that are
non-banks, this line captures the entity’s
capacity to borrow from Section 23-A affiliates.

15.00 Contingency Funding Items
Report all contingent items that could impact
the funding and liquidity at the reporting
institution. For lines that cannot be calculated on
a daily basis, report the date of the last
calculation and the frequency of calculation in
the Comments column.
 Example: If the most recent calculation
occurred on January 31 and the number
is calculated on a weekly basis report:
January 31 -Weekly.

Bank Entities:
Section 23A of the Bank Holding Company Act
limits the aggregate amount of covered
transactions between an insured depository
institution and any single affiliate (other than a
financial subsidiary) to no more than 10 percent
of the insured depository institution’s capital
stock and surplus, and the aggregate amount of
covered transactions with all affiliates
(including financial subsidiaries) to no more
than 20 percent of the insured depository
institution’s capital stock and surplus. An
insured depository institution may engage in
covered transactions with a single financial
subsidiary up to 20 percent of the insured
depository institution’s capital stock and
surplus.


15.11 Undrawn Secured Committed
Facilities Received Including Warehousing
Facilities
Report any undrawn secured committed
facilities available to the reporting firm from
legally committed non-financial 3rd party
facilities. Do not include undrawn facilities
available to the reporting firm from external
financial institutions in this line, but in Line
5.40 (Undrawn Committed Facilities Offered
from External Financial Institutions).
15.12 Undrawn Committed Liquidity
Facilities Provided to Non-Financial
Corporates
Report undrawn liquidity commitments
provided to external non-financial corporate
entities and Public Sector Entities (PSEs). A
liquidity facility is defined as any committed,
undrawn back-up facility put in place expressly
for the purpose of refinancing the debt of a
customer in situations where such a customer is

Bank entities may do monthly capital
calculations, since daily calculations are
not typical. If a firm calculates on a
more frequent basis, update the 23-A
capacity to reflect the most recent capital
calculations.

Broker dealer Entities
29 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

unable to obtain its ordinary course of business
funding requirements (e.g., pursuant to a
commercial paper program) in the financial
markets.

15.15 Undrawn Commitments & Explicit
Funding Guarantees to Sponsored & 3rd
party structured vehicles (Conduit, SPVs &
SIVs)
Report undrawn commitments and explicit
funding guarantees provided to sponsored and
3rd party structured vehicles.

Exclude:
 Commitments to sovereigns and
structured vehicles (should be reported
in lines 15.16 and 15.15 respectively).
 Liquidity commitments provided to
financial institutions which are reported
in Line 11.40 (Committed & Undrawn
Liquidity Facilities Provided to Financial
Institutions).

15.16 Undrawn Commitments & Explicit
Funding Guarantees to Sovereigns
Report undrawn commitments and explicit
(contractual) funding guarantees provided to
sovereigns.
15.21 Debt Bought back on Day T
Report the total amount of debt issued by the
firm that the firm repurchased on Day T. This
line item includes securities bought back to
retire and securities bought back as part of
market making activity.

15.13 Undrawn Committed Credit Facilities
Provided to Non-Financial Corporates
Report undrawn credit commitments (other than
liquidity commitments) provided to external
non-financial corporate entities and Public
Sector Entities (PSEs). This includes, for
example, general working capital facilities for
corporate entities (e.g. revolving credit facilities
in place for general corporate and/or working
capital purposes, undrawn letters of credit).






Exclude commitments to sovereigns and
structured vehicles.
Exclude credit commitments provided to
financial institutions which are reported
in Line 11.50 (Committed & Undrawn
Credit Facilities Provided to Financial
Institutions).

15.22 Debt Held in Inventory on Day T
Report the total amount of debt issued by the
firm that the firm holds in inventory at the close
of business on Day T. This line item includes
securities bought back to retire and securities
bought back as part of market making activity.

15.14 Undrawn Retail Overdraft Facilities,
Committed Mortgage Pipeline Business and
any other Retail Lending Commitments
Report all external retail facilities that the firm
has provided and considers contractually
extended.





Include HELOCs in this line.
Exclude any unconditionally revocable
commitment such as credit card lines in
this line. Credit cards are not within the
scope of this report.
30 

Include CP, Wholesale CDs, Long Term
Debt, Structured Notes, ABCP, etc.
Example: The firm purchases $100 of
long term debt as part of its market
making activities. Report $100 in Line
15.21

Include CP, Wholesale CDs, Long Term
Debt, Structured Notes, ABCP, etc.
o Example: The firm purchases
$100 of long term debt (nonstructured) from an investor.
 If the firm retires the debt
on Day T, do not report
entry in this line and
reduce the balance of
long term debt
outstanding in Line 8.40

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017



(Long-Term Debt-NonStructured).
If the firm keeps the debt
in its inventory, report
$100 in this line. When
the firm sells any portion
of the debt back into the
market, reduce the
balance in this line.

15.31 Total Collateral Required from a
One-Notch Downgrade
Report the total cumulative market value of
additional collateral the firm is required to post
from a one-notch downgrade.


15.32 Total Collateral Required from a
Two-Notch Downgrade
Report the total cumulative market value of
additional collateral the firm is required to post
from a two-notch downgrade.

15.23 Securities with Put Options Optionality Exercised
Report the amount of securities issued by the
firm which investors have exercised the put
option on Day T.





Do not include intercompany
transactions.
Report the amount to be paid out to the
holder. For example, if the security has
a notional of $1mm with a put price of
$101, record $1.010mm.







Report figures based on existing firm
specific stress scenarios.

15.40 Trapped Liquidity in Foreign Entities
Under Stress
Provide an estimate of the total amount of funds
that the firm estimates will be trapped in foreign
entities under a stress event scenario.

Do not include intercompany
transactions.
Put the amount to be paid to the holder.
For example, if the security has a
notional of $1mm with a put price of
$101, record $1.010mm.
Example: The firm issued a $100
Wholesale CD with a 21-day put option
to an investor.
o Report $100 in Line 15.24.
 The CD should also be in
Line 8.70 in the 15 – 30
Days maturity column.
o If an investors exercises the put
option, remove the $100 in Line
15.24 and place the $100 in Line
15.23




Note the most significant funds trapped
by location in the Comments column.
Report this number based on a firm
specific stress scenario.
o Use the firm’s most severe stress
scenario.

16.00 Funding Pricing –
Report the wholesale funding pricing of the firm
across various products and maturities stated in
an absolute rate (rounded to two decimals) in
this section. Report transaction rates on Day T
executed with external counterparties.
31 

Report figures based on existing firm
specific stress scenarios.

15.33 Total Collateral required from a
Three-Notch Downgrade
Report the total cumulative market value of
additional collateral the firm is required to post
from a three-notch downgrade.

15.24 Securities with Put Options - Potential
to be Exercised
Report total outstanding amount of securities
issued by the firm that investors can potentially
put back to the firm.


Report figures based on existing firm
specific stress scenarios.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017















16.10 Asset Backed Commercial Paper
Report the weighted average pricing for ABCP
conduits sponsored by the firm.

Example: if the firm paid 350 bps for 1week commercial paper, report 3.50 in
Line 16.22 (Commercial Paper) in the
Business Day 6 through Cal(endar) Day
14 column.
Convert all discounted instruments to
money market yields.
Report the weighted average yield of
funding executed in each maturity
column on Day T.
o In the cases where the line calls
for the price across more than
one category of funding type
(i.e., Line 16.21-Fed Funds,
Eurodollars, CDs, Prom Notes,
and Bank Notes) use the
weighted average rate across the
products.
For days that the firm does not source
any funding for a given product and/or
maturity, leave the item(s) blank.
In the secured financing lines (16.31 –
16.33) report the price of funding for
general collateral.
o Do not report special collateral
transactions.
Convert floating rate instruments with
original maturity less than one-year to a
bullet format (i.e., interest at maturity)
and report the money market yield in the
maturity bucket corresponding to the
final maturity date.
For transactions greater than 1-year:
Convert the price of funds to a spread vs.
3-Month LIBOR.
o Example: If the firm issues a 2year CD at 3-monthLIBOR
+25bps, report 0.25 in line 16.21.
o Example 2: If the firm issues a 2year fixed rate CD convert the
yield to a spread over 3-month
LIBOR and report the spread in
line 16.21.
Do not report transactions with
embedded options (e.g. put option).

16.11 ABCP Single-Seller
Report the weighted average pricing for singleseller ABCP conduits sponsored by the firm.
16.12 ABCP Multi-Seller
Report the weighted average pricing for multiseller ABCP conduits sponsored by the firm.
16.13 Collateralized CP
Report the weighted average pricing for
collateralized CP sponsored by the firm.
16.20 Unsecured Funding Pricing
Report the weighted average pricing for
wholesale unsecured funding. Wholesale
unsecured funding is defined as those liabilities
and general obligations that are raised from nonnatural persons (i.e.,, legal entities, including
sole proprietorships and partnerships) and are
not collateralized by legal rights to specifically
designated assets owned by the borrowing
institution in the case of bankruptcy, insolvency,
liquidation, or resolution. Obligations related to
derivatives contracts are explicitly excluded
from this definition.
16.21 Fed Funds, Eurodollars, CDs, Prom
Notes, and Bank Notes
Report the weighted average pricing for fed
funds, Eurodollars, CDs, promissory notes and
bank notes used to raise USD.



32 

Eurodollar transactions include
transactions in all Eurocurrency markets
(e.g. Euro yen).
Only report transactions executed in
non-USD currencies if those transactions
are used to raise USD.
o Report the implied USD yield.

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

16.22 Commercial Paper
Report the weighted average pricing for
commercial paper.
16.23 Large Institutional Deposits
Report the weighted average pricing for large
institutional deposits, as defined by the
institution.
16.30 Secured Funding Pricing
Report the weighted average pricing of
repurchase financing.
16.31 Treasury
Report the weighted average pricing of
repurchase financing using treasury collateral.
16.32 Agency
Report the weighted average pricing of
repurchase financing using Agency (non-MBS)
collateral.
16.33 Agency MBS
Report the weighted average pricing of
repurchase financing using Agency MBS
collateral.

33 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

GLOSSARY
Company receives from brokers or dealers for
the account of others either directly or
indirectly. Includes both those in which the
entire beneficial interest in a given deposit
instrument issued by the bank subsidiary is held
by a single depositor and those in which the
broker sells participations in a given bank
instrument to one or more investors.

Asset Backed Commercial Paper
ABCP is a form of commercial paper that is
collateralized by other financial assets. ABCP
is typically a short-term instrument that matures
between 1 and 270 days from issuance and is
issued by an asset-backed commercial paper
program or conduit. A conduit is set up by a
sponsoring financial institution. The sole
purpose of a conduit is to purchase and hold
financial assets from a variety of asset sellers.
The conduit finances the assets by selling assetbacked commercial paper to outside investors.

Brokered retail deposits are issued in
denominations of $100,000 or less or that are
issued in denominations greater than $100,000
and participated out by the broker in shares of
$100,000 or less.

ABCP Single Seller refers to conduits that issue
asset backed commercial paper to fund the
assets of a single originator or seller. ABCP
Multi Seller refers to conduits that issue assetbacked commercial paper to fund the assets of
several unrelated sellers into one diverse
portfolio of assets supporting the issuance of
commercial assets.

Commercial Paper
Refers to a promissory note issued by
commercial businesses, including finance
companies and banks, usually sold at a discount,
and typically having a fixed maturity of 270
days or less.

Asset Backed Security
A financial security backed by a loan, lease or
receivables against assets other than real estate
and mortgage-backed securities.
Bankers Acceptances
A banker’s acceptance is a draft or bill of
exchange that has been drawn on and accepted
by a banking institution (the “accepting bank”)
or its agent for payment by that institution at a
future date that is specified in the instrument.

Corporate Bonds
A bond issued by a corporation usually with a
maturity date greater than or equal to one year.

Bank Notes
A promissory note made by a bank and payable
to bearer on demand.

Evergreen/Extendible Repo/Resale
An evergreen repo/resale is an agreement
between two parties that is automatically
renewed (rolled over) after each completion or
maturity period, until canceled by either party.

Covered Bonds
Bonds issued and owned by a bank or mortgage
institution and are subject by law to special
public supervision designed to protect bond
holders.

Brady Bonds
Dollar-denominated bonds issued mostly by
Latin American countries.

An extendible repo/resale is an agreement that
the date of the repurchase/resale can be
continuously renewed by mutual agreement of
the parties.

Brokered CDs
Represents deposits which the banking
subsidiaries of the reporting Bank Holding
34 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

note is unconditional and readily saleable, it is a
negotiable instrument.

Fed Funds
Unsecured transactions between depository
institutions and other eligible entities
denominated in US dollars settling via accounts
at regional banks.

Repurchase/Resale Agreements
A repurchase agreement is a transaction
involving the sale of financial assets by one
party to another, subject to an agreement by the
seller to repurchase the assets at a specified date
or in specified circumstances. A resale
agreement (also known as a reverse repurchase
agreement) is a transaction involving the
purchase of financial assets by one party from
another, subject to an agreement by the
purchaser to resell the assets at a specified date
or in specified circumstances.

Forward Starting Repurchase/Reverse
Repurchase Forward starting
repurchase/reverse repurchase transactions are
those transactions whose starting leg is one or
more business days in the future.
Long-Term Debt-Structured
Debt instruments with an original maturity of
greater than or equal to one year whose
principal and/or interest payments are liked to
an underlying asset (e.g., commodity linked
notes, equity linked notes, reverse convertible
notes, currency linked notes).

Securities borrowing/lending
Securities borrowing/lending transactions are
typically initiated by broker-dealers and other
financial institutions that need specific securities
to cover a short sale or a customer’s failure to
deliver securities sold. A transferee (borrower)
of securities generally is required to provide
collateral to the transferor (lender) of securities,
commonly cash but sometimes other securities
or standby letters of credit, with a value slightly
higher than that of the securities borrowed.

Long-Term Debt-Unstructured
Debt issuances with an original maturity greater
than or equal to one year, including plain vanilla
floating rate notes linked to indexes like LIBOR
or Fed Funds Effective as well as plain vanilla
benchmark issuances with standard embedded
options (i.e., call/put).
Margin Loans
Collateralized loans extend to customers for the
purpose of taking leverage trading positions.

Sovereign
Entities of a country’s central, state or local
government. They do not include governmentowned financial or non-financial firms, and
international organizations.

Prime Brokerage
Prime brokerage is a package of services offered
to large active investors, particularly hedge
funds. These services usually include: securities
lending; capital introductions; and risk analytics.

Special Purpose Vehicle4
Also referred to as a "bankruptcy-remote entity"
whose operations are limited to the acquisition
and financing of specific assets. The SPV is
usually a subsidiary company with an
asset/liability structure and legal status that
makes its obligations secure even if the parent
company goes bankrupt.

Promissory Notes
A financial instrument in which the issuer
promises in writing to pay a determinate sum of
money to the payee, either at a fixed or
determinable future time or on demand of the
payee, under specific terms. If the promissory

4

Not according to Generally accepted accounting
principles (GAAP)

35 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

o Assets should not be held as a hedge
for any other exposure.
o Assets should not be pledged either
explicitly or implicitly in any way to
secure, collateralize, or credit
enhance any transaction.
o Assets cannot have any legal,
regulatory or operational restrictions
that limit their use as a source of
contingent funds.

TBA purchases and sales
A forward contract for the purchase or sale of
mortgage-backed securities to be delivered on a
specified future date; however the specific pool
of mortgages that will be delivered to fulfill the
forward contract are unknown at the time of the
trade.
Unencumbered Assets
Unencumbered assets refer to securities that
meet the following conditions:
o Assets should be under the control of
the specific function, or functions,
charged with managing the liquidity
risk of the firm (typically the
treasurer).
o Assets should be managed with the
clear and sole intent for use as a
source of contingent funds.

U.S.
Any state of the U.S., the District of Columbia,
and territory of the U.S., Puerto Rico, Guam,
American Samoa, and the Virgin Islands.
Wholesale CDs
Large denominations of certificates of deposit
that are both tradeable and negotiable and
typically settled at DTCC.

36 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

FR 2052a Appendix A

File Format
A data file should be submitted using MS Excel version 2003 or later. Do not send a PDF of the
submission. Do not modify or add/delete columns or rows to any template. Do not rename tab names in
the template or add any passwords. Any changes will result in a rejection of the submission and will
require a resubmission of the file.
File naming convention:
The file name should consist of three parts with each part separated by an underscore ("_"):
 The bank holding company ticker symbol, which is the publicly traded U.S. equity ticket symbol.
If entity does not have a ticker symbol, consult your on-site supervisory team.
 The as of date in MMDDYYYY format
 A version number
o Example: A bank with the ticker symbol ABC submitted for the first time as-of 12/31/2010,
the file name should read: ABC_12312010_v1.xls.
o All submissions must include the version number in the file name; however the number
should only be incremented if submissions are successful.
o If a file is submitted successfully, but a revision for that as of date is later deemed
necessary, the revised file should follow the same convention with the version
number incremented by one.
 File Name: ABC_12312010_v2.xls
o If a file is rejected (e.g. file name ABC_12312010_v1.xls), maintain the original file
name for the resubmission (e.g. ABC_12312010_v1.xls).
Required Information




Enter the Firm Ticker in Cell C1
Report the as-of-date in the “as-of-date field on the consolidated tab in Cell C2.
On each reporting tab, fill in the RSSD ID for the legal entity being reported on the tab in cell
B4.
o The RSSD ID will fill in automatically in succeeding rows. The RSSD IDs are available
from your respective onsite supervisory team members.

Common Submission Errors
Any change to the template can result in the rejection of the template submission. For example:
 Physical changes to the template
o Examples: Adding lines, columns, etc.
 Numeric accuracy related:
o Examples: if the sum of the columns does not equal the total column.
37 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017






Changing the names of the tabs.
Changing the names of the entity on a tab.
Putting other text in the as-of-date other than the correct date.
Incorrect file name.

38 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

FR 2052a Appendix B
Asset Category Table
Category

Instruments
Sovereign issuances: Bills, Notes, Bonds - 0% risk - weight
Government Sponsored Enterprises, Agencies, PSE's: Bills, Notes, Bonds, Inflation Indexes, Zero
Coupons, STRIPS, with 0% risk-weight
Marketable securities issued by Supranational quasi-governmental entities representing claims on or
claims guaranteed by sovereigns, central banks, BIS, IMF, EC, non-central government public sector
entities (PSEs) or multilateral development banks. Only issuances with a 0% risk-weight
FDIC Temporary Liquidity Guarantee Program backed issuance until the guarantee end date
A-I
Sovereign debt for non-0% risk weight sovereigns, issued in domiciled currency or foreign currency, to
the extent that this asset purchase matches the liquidity requirement needs of the bank’s operations in
that non US jurisdiction.
Sovereign debt for non-0% risk-weight sovereigns, sovereign or central bank debt securities issued in
domestic currencies by the sovereign or central bank in the country in which the liquidity risk is being
taken or in the bank’s home country, to the extent that this asset purchase matches the liquidity
requirement in the firm’s home country
Government Sponsored Enterprises, Agencies, PSE's(including Munis): Bills, Notes, Bonds, Inflation
Indexes, Zero Coupons, STRIPS, with 20% risk-weight
Foreign Government Agencies qualifying for the 20% risk weight
A-II
Brady Bond – USD and non USD denominated
Corporate Bond AA- and higher - USD and non USD denominated issued by non-financial institutions
Covered Bond AA- and higher – USD and non USD denominated and not self-issued
Government Sponsored Enterprises, Agencies, PSE's(including Munis): Bills, Notes, Bonds, Inflation
Indexes, Zero Coupons, STRIPS, with greater than 20% risk-weight
Corporate bonds rated A+ to and including BBB- and not self-issued
B
Covered bonds rated A+ to and including BBB- and not self-issued
Corporate bonds issued by financials AAA down to and including BBB- and not self-issued
Bankers Acceptances, Certificates of Deposit, and Commercial Paper A1/ P1 or higher and not selfissued
Commercial and Agricultural Loans
Commercial Real Estate Loans Construction Real Estate Loans
Construction Real Estate Loans
Consumer Loans - Autos, Private Banking, Installment, etc.
C
Consumer Loans - Credit Card Receivables, Student Loans
Consumer Loans - Subprime Credit Card Receivables
Home Equity
1-4 Family Residential Mortgages
Equities (including GSE Stock like FHLM,FHLB, FNMA)
Structured products including RMBS, CMBS, ABS etc.
D
Commodities
Any other securities
For loan collateral class only include current loans, and loans less than 30-days past due.

39 

FR 2052a
OMB Number 7100-0361
Approval Expires August 31, 2017

FR 2052a - Appendix C
Institution Name: 
As of Date: 

LIQUIDITY USES AND SOURCES 
Secured Financing 
     ABCP 
   Collateralized Borrowing 
       Federal Reserve 
       FHLB 
     Repo/Securities Lending 
      Treasuries / Agency Debt 
      Agency MBS 
      Investment Grade Bonds 
      Liquid Equities 
      Repo / Securities Lending ‐ All Others 
Unsecured Financing 
       Commercial Paper 
      Wholesale CDs 
      Fed Funds and Eurodollar Purchased 
      Committed & funded loans provided from other banks 
      Long ‐ Term Debt 
     Unsecured Financing – Other 
Other Immediate Potential Cash Outflows 
      Derivatives Payable Due Next Day 
      Collateral Called for Next Day Delivery 
      Prime Brokerage: net free credit 
      Committed & unfunded amounts offered to banks 
Anticipated Cash inflows 
      Fed Funds and Eurodollars Sold 
Immediate Potential Cash Inflows 
      Derivative Receivable Due Next Day 
      Collateral Called for Next Day Receipt 

40 

FR 2052a  
subset items 
reported twice a month  
Consolidated view only 

1.1 

2.1 
2.2 

3.11 
3.13 
3.15 
3.17 
3.17 

8.1 
8.7 
8.3 
8.8 
8.1 
8.9 

11.1 
11.3 
12.1 
11.4 

6.1 

5.1 
5.3