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pdfSupporting Statement for the
Complex Institution Liquidity Monitoring Report (FR 2052a) and the
Liquidity Monitoring Report (FR 2052b) (OMB No. 7100-0361)
Summary
The Board of Governors of the Federal Reserve System, under delegated authority from
the Office of Management and Budget (OMB), proposes to extend for three years, with revision,
the Complex Institution Liquidity Monitoring Report (FR 2052a) and the Liquidity Monitoring
Report (FR 2052b) (OMB No. 7100-0361). The FR 2052 reports are authorized by section 5 of
the Bank Holding Company Act and section 165 of the Dodd-Frank Act. The FR 2052a and
FR 2052b reports collect quantitative information on selected assets, liabilities, funding
activities, and contingent liabilities on a consolidated basis and by material entity. U.S. bank
holding companies (BHCs) designated by the Financial Stability Board (FSB) as Global
Systematically Important Banks (G-SIBs) report the complete FR 2052a daily. Foreign banking
organizations (FBOs) with U.S. broker/dealer assets of $100 billion or more report the complete
FR 2052a on occasion and an abbreviated FR 2052a (as discussed further below) twice a month.
U.S. BHCs (excluding G-SIBs) with total consolidated assets of $50 billion or more (including
FBO subsidiaries) and U.S. BHCs (not controlled by FBOs) with total consolidated assets of $10
billion to $50 billion report on the FR 2052b monthly and quarterly, respectively.
The FR 2052 reports are used to monitor the overall liquidity profile of institutions
supervised by the Federal Reserve. These data provide detailed information on the liquidity risks
within different business lines (e.g., financing of securities positions and prime brokerage
activities). In particular, these data serve as part of the Federal Reserve’s supervisory
surveillance program in its liquidity risk management area and provide timely information on
firm-specific liquidity risks during periods of stress. Analysis of systemic and idiosyncratic
liquidity risk issues are then used to inform the Federal Reserve’s supervisory processes,
including the preparation of analytical reports that detail funding vulnerabilities. Additionally,
FR 2052a will allow the Federal Reserve to monitor compliance with the liquidity coverage
ratio.
The Federal Reserve revised the FR 2052a by 1) modifying the firms that are required to
respond, the applicable asset threshold, and frequency of reporting; 2) including a data structure
that subdivides three general categories of inflows, outflows and supplemental items into 10
distinct data tables; 3) requiring all U.S. firms with total consolidated assets of $250 billion or
more or foreign exposure of $10 billion or more and all FBOs with total U.S. assets of $50
billion or more to report liquidity profiles by major currency for each material entity of the
reporting institution; 4) collecting more detail regarding securities financing transactions,
wholesale unsecured funding, deposits, loans, unfunded commitments, collateral, derivatives,
and foreign exchange transactions; and 5) changing the structure of the collection from a
spreadsheet format to an XML format.
The Federal Reserve revised the FR 2052b reporting panel by modifying the firms that
are required to respond and the applicable asset threshold, and eliminating monthly reporting.
The total current annual paperwork burden for the FR 2052 reports is estimated to be
460,480 hours. With the proposed revisions, the paperwork burden for 2015 is estimated to
initially decrease, then incrementally increase for 2016, 2017, and 2018, for an annual net
increase of 266,480 hours. A draft copy of the proposed instructions is attached.
Background and Justification
The financial crisis of 2007 and 2008 highlighted the need for timely liquidity data to
identify and monitor liquidity risks at individual firms as well as in the aggregate across the
financial system. The data provided in the FR 2052 reports meet this need. The crisis
highlighted the importance of understanding intra-company flows and exposures within a
consolidated institution. Capturing such flows is a focus of the FR 2052a, particularly at large,
systemically important, globally active U.S. banking institutions. A single, consolidated view is
not sufficient to provide meaningful insight into an institution’s liquidity profile. Rather,
disaggregated views by legal entities (parent company, broker-dealer entities, bank entities, etc.)
have contributed to supervisory monitoring efforts and risk supervision by identifying
vulnerabilities posed by potential impediments to the movement of liquidity across legal entities.
The modified FR 2052a report would provide sufficient detail to monitor compliance of those
institutions subject to the liquidity coverage ratio in the United States, finalized in September
2014 (LCR rule).1 Furthermore, the collection of these data assists with the Federal Reserve’s
macroprudential supervision. For example, some of the instruments that are commonly used in
conjunction with an institution’s funding and liquidity activities (e.g., financing of securities
positions) may have also been at the center of stress points during periods of systemic risk.
Description of Information Collection
Data from the FR 2052 reports are used to monitor the liquidity profile and also provide
detailed information on the liquidity risks within different business lines within a firm. Data
from these reports serve as part of the Federal Reserve’s supervisory surveillance program in its
liquidity risk management area and provide timely information on firm-specific liquidity risks
during periods of stress. These reports assist in supervisory assessments of liquidity risk levels
and conditions at individual institutions.
Current FR 2052a
The FR 2052a report includes sections covering broad funding classifications by product,
outstanding balance, purpose, and segmented by maturity date. Generally, each section can be
classified into one of the following categories:
1
Section 1: Secured Financing: Institutions report obligations and lending activities
backed by the pledge of assets or other collateral. This section includes asset-backed
commercial paper (single-seller and multi-seller arrangements), term asset-backed
securities, collateralized commercial paper, and other secured financing.
See 79 FR 61440 (October 10, 2014).
2
Section 2: Official Government Sources Drawn: Institutions report their borrowings
from the Federal Reserve and other Central Banks, Federal Home Loan Banks (FHLBs)
as well as any amounts drawn from official government sources.
Section 3: Repurchase & Securities Lending Transactions: Institutions report repurchase
and securities lending transactions such as those conducted under a Global Master Repo
Agreement, Master Securities Loan Agreement or a Master Securities Forward
Transaction Agreement. Repurchase & Securities Lending Transactions would be
grouped according to specific categories pre-identified by the Federal Reserve.
Section 4: Unencumbered Assets: Institutions report the amount of assets that are free
and clear of any encumbrances such as creditor claims or liens. Unencumbered assets
would be grouped according to specific categories pre-identified by the Federal Reserve.
Section 5: Expected Cash Inflows: Institutions report cash and collateral inflows, for
example those related to derivatives, and not covered in any other section.
Section 6: Cash Inflows from External Counterparties: Institutions report inflows related
to Fed funds and Eurodollars sold and other loan cash inflows.
Section 7: Reverse Repurchase & Securities Borrowing Transactions: Institutions report
reverse repurchase and securities borrowing transactions such as those conducted under a
Global Master Repo Agreement, Master Securities Loan Agreement or a Master
Securities Forward Transaction Agreement. Reverse Repurchase & Securities Borrowing
Transactions are grouped according to specific categories pre-identified by the Federal
Reserve.
Section 8: Unsecured Financing: Institutions report the amount of obligations not backed
by the pledge of specific collateral. Categories include commercial paper, wholesale
certificates of deposit and bank notes, promissory notes, Fed funds and Eurodollars
purchased, long-term debt (structured and non-structured), draws on committed lines
from external entities and other unsecured financing.
Section 9: Central Bank, FHLB Sources, and Nostro Balances: Institutions report cash
balances maintained at the Federal Reserve and at other central banks. Firms’ cash
balances held at other financial institutions (Nostro balances) would be reported.
Section 10: Deposit Funding: Institutions report the amounts of retail and wholesale
deposits and retail CDs based on Basel III classifications as of the December 2010
release. These classifications differentiate between accounts that are stable versus less
stable and operating versus non-operating. Institutions would report wholesale CDs in
Section 8.
Section 11: Expected Cash Outflows: Institutions report cash and collateral outflows, for
example those related to derivatives, and not covered in any other section.
Section 12: Operating Cash Flows: Institutions report operating cash flows related to
prime brokerage (e.g., free credits, external/internal funding used to cover customer
shorts, margin loans, lockup cash flows) to help supervisors disentangle firm-specific and
business-specific trends. Expected cash outflows/inflows related to derivatives activities
is also reported.
Section 13: Unsecured Internal Cash Flows: Institutions report unsecured lending
between internal entities.
Section 14: Secured Internal Cash Flows: Institutions report the amounts of repurchase,
reverse-repurchase, and securities borrowing and securities lending transactions between
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legal entities. Secured Internal Cash Flows are grouped according to specific categories
pre-identified by the Federal Reserve.
Section 15: Contingency Line Items: Institutions report all contingent items that could
impact the funding and liquidity at the reporting institution. Examples include undrawn
commitments provided to external counterparties. Institutions also report the total
cumulative market value of additional collateral their counterparties will require the
Institutions to post as a result of various levels of credit rating downgrades.
Section 16: Funding Pricing: Institutions report the market rates paid to third parties to
execute secured and unsecured transactions.
U.S. BHCs designated by the FSB as G-SIBs are required to provide a complete
FR 2052a daily. For continuous monitoring purposes, FBOs with U.S. broker-dealer assets of
$100 billion or more are required to provide a complete FR 2052a report on an occasional basis.
These FBOs also submit an abbreviated FR 2052a report twice a month as reflected in
Appendix C of the FR 2052a instructions.
The Federal Reserve may also conduct up to 10 ad-hoc collections of daily liquidity data
from a total of 16 respondents. The ad-hoc collections consist of approximately 65 data items
not currently reported on the FR 2052a. Results from the ad-hoc collections are used to develop
future enhancements to the FR 2052a report.
Current FR 2052b
The FR 2052b includes sections covering broad funding classifications by product,
outstanding balance, purpose, and segmented by maturity date. Generally, each section may be
classified into one the following categories:
Section 1: Liquid Assets: Institutions report cash balances maintained at the Federal
Reserve and at other central banks. Firms’ cash balances held at other financial
institutions are reported as well as physical currency and coin positions.
Section 2: Reverse Repos: Institutions report reverse repos by maturity and security
collateral type.
Section 3: Investment Securities: Institutions report assets by risk weight and type,
segregating those that are unencumbered from those that are pledged to garner secured
funding by the counterparty type (FHLB, Central Bank, etc.) to which the collateral is
pledged. Both marketable and lendable values should be included.
Section 4: Loans and Leases: Institutions report loans by type, segregating those that are
unencumbered from those that are pledged to garner secured funding by the counterparty
type to which the collateral is pledged.
Section 5: Secured Funding Sources Outstanding: Institutions report their borrowing
outstanding by maturity from the Federal Reserve, the FHLB, and other secured
financing facilities.
Section 6: Repurchase Transaction: Institutions report repurchase transactions by
securities collateral type and maturity.
Section 7: Unsecured Financing: Institutions report the amount of obligations not backed
by the pledge of specific collateral. Categories include commercial paper, wholesale
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certificates of deposits and bank notes, Fed funds and Eurodollars purchased, long-term
debt (structured and non-structured), draws on committed lines from external entities and
other unsecured financing.
Section 8: Estimated Core Funding Gap: The Net Loan Growth/Attrition and Net Retail
Deposit Growth/Attrition line items are included to capture the forecasted (best estimate,
non-stressed) change in loan and retail deposits over the stated horizon.
Section 9: Contractual Loan Inflows and Committed Inflow: Institutions report
contractual inflows of all maturing performing loans are listed in the corresponding
maturity columns.
Section 10.4: Brokered CDs/NMDs: Institutions report all insured and uninsured
deposits originated through financial advisory or broker sales force. This should include
deposits sourced from deposit gatherers. Brokered deposits represent funds which the
reporting bank obtains, directly or indirectly, by or through any deposit broker for deposit
into one or more deposit accounts. Thus, brokered deposits include both those in which
the entire beneficial interest in a given bank deposit account or instrument is held by a
single depositor and those in which the deposit broker sells participations in a given bank
deposit account or instrument to one or more investors.
Section 11: ABCP Exposure: Institutions report the outstanding asset backed commercial
paper issued to fund the assets of a single or several unrelated sellers.
Section 12: Not applicable.2
Sections 13 - 18: Parent Company Schedule: Institutions report items in the Parent
Company Only section which relate only to the Parent Company. Included are fields for
liquid assets, forecasts of cash inflows (such as dividends from subsidiaries and
operations) and outflows (such as operating expenses, dividends, subsidiary support and
debt service), unsecured financing (such as commercial paper, debt and draws on
committed lines), and committed liquidity and credit facilities provided to third-party
banks.
Sections 19 -20: Pricing Schedule: Section 19, Credit Default Swap (CDS) - Institutions
report (in basis points) the CDS 5 year (or closest tenor available) spread or premium per
annum. Section 20, Unsecured Funding - Institutions report the market rates paid to third
parties to execute unsecured transactions, by BHC, across the maturity spectrum. If
market funding quotes are unavailable, the institution’s internal funds pricing curve could
be used as a supplement.
U.S. BHCs (excluding G-SIBs) with total consolidated assets of $50 billion or more
(including FBO subsidiaries) and U.S. BHCs (not controlled by FBOs) with total consolidated
assets of $10 billion to $50 billion report on the FR 2052b monthly and quarterly, respectively.
Proposed FR 2052a Revisions
The Federal Reserve proposes to revise the FR 2052a report to improve the effectiveness
of its supervisory surveillance program. In general, the revisions would provide additional detail
to facilitate a more sophisticated approach to monitoring liquidity risk. Additionally, the
The Federal Reserve temporarily exempted FR 2052b filers from reporting Section 12 “Undrawn Commitments
and Contingent Liquidity Needs” until modifications could be made to more closely align with the LCR rule.
Section 12 was retained as a placeholder to reduce respondent reprogramming burden.
2
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revisions to FR 2052a would allow the Federal Reserve to monitor compliance with the LCR
Rule. For all U.S. firms with total consolidated assets of $250 billion or more or foreign
exposure of $10 billion or more and all FBOs with total U.S. assets of $50 billion or more,
liquidity profiles would be reported by currency for each material entity of the reporting
institutions, which for BHCs may include sub-divisions of the global banking entity by
geographical region, and for FBOs would include material entities managed within the U.S.
These dimensions are important because dislocations in foreign exchange markets and
restrictions limiting fund transfers can inhibit the ability of a global financial institution to
convert its available sources of liquidity to meet its specific needs. The proposed data collection
would collect more details regarding securities financing transactions, wholesale unsecured
funding, deposits, loans, unfunded commitments, collateral, derivatives, and foreign exchange
transactions. The greater level of detail surrounding these activities is necessary to ensure that
supervised firms are adequately reserving for the risks based on current supervisory expectations
and the Board’s Regulation YY. Furthermore, the Federal Reserve proposes to change the
structure of the collection to an XML format from a spreadsheet format. This new structure is
necessary to accommodate the additional granularity and implement the collection with leading
data industry practices.
The revisions to FR 2052a include a data structure that subdivides the three general
categories of inflows, outflows, and supplemental items into 10 distinct data tables. These tables
are designed to stratify the assets, liabilities and supplemental components of a firm’s liquidity
risk profile based on products that can be described with common data structures, while still
maintaining a coherent framework for liquidity risk reporting.
All U.S. firms with total consolidated assets of $250 billion or more or foreign exposure
of $10 billion or more and all FBOs with total U.S. assets of $50 billion or more would report by
major currency all data elements denominated in major currencies, while other data elements
denominated in non-major currencies would be converted into USD and flagged as converted.
All other reporting entities would be able to report exclusively in United States Dollar (USD) by
flagging data as converted. Reporting by major currency or flagging a conversion should help
supervisors to identify potential currency mismatches. Additionally, data elements would be
reported for each material entity, which are identified by the Federal Reserve for a given
reporting entity. All entities that are required to comply with the LCR Rule are considered
material entities. This granularity in currency and material entity reporting would enhance
monitoring of a firm’s liquidity resources to ensure they are distributed according to specific
needs, considering existing or potential regulatory or other limitations on inter-company liquidity
transfers.
The granularity of the data increased for numerous items of FR 2052a. Maturity buckets
increased to eliminate potential contractual maturity mismatches in the near term. There are now
more categories of assets, largely delineated by the type of security or loan, the structuring of
cash flows, and risk-based capital weightings. The list of counterparty types increased, along
with the number of products requiring the counterparty to be reported, including loan cash flows,
deposits, committed facilities, and certain unsecured borrowings.
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The proposed revisions would also draw more distinction between types of securities
financing transactions such as collateral swaps, to-be-announced contracts, and the various
methods of covering firm or customer short sales. Fields would be added for the amount of rehypothecation, collateralization, encumbrance, and methods of settlement. The report would
provide information on the stock and flow of collateral received and posted for derivative
transactions, as well as values of prime brokerage client assets and associated wire transfers.
Together, these revisions to secured financing transactions would provide a more complete view
of the firm’s activities, especially brokerage activities, and certain liquidity risk characteristics,
all of which were implicated during the recent financial crisis.
Several new types of deposit accounts would also be added, such as escrow accounts and
various categories of brokered deposits and sweeps. Balances that are “fully insured” would be
identified, as well as balances that are subject to withdrawal in the event of a specific change or
trigger.
Certain elements would be added to capture risk associated with collateral. The potential
requirements to post collateral in the event of an adverse move in the mark-to-market value of a
firm’s derivative portfolio or a change in a firm’s financial condition is reported. Additionally,
firms would report collateral balances that are contractually owed to a counterparty, but not yet
called.
Fields would be added to capture the settlement date cash flows in forward starting
transactions. This revision would accommodate “trade date” reporting, which would allow for a
more accurate representation of forward looking cash flows.
The instructions for reporting the maturity date of a transaction would also be modified
for short term (less than one year) liabilities with call options, as well as certain transactions
reported in the Secured Inflows table where the collateral received was rehypothecated.
Reporting of foreign exchange transactions, such as foreign exchange spot, forwards and
futures, and swap transactions, would be required for all U.S. firms with total consolidated assets
of $250 billion or more or foreign exposure of $10 billion or more and all FBOs with total U.S.
assets of $50 billion or more in order to complement the currency level reporting of cash flows.
The proposed revisions to the FR 2052a report includes sections covering broad funding
classifications by product, outstanding balance and purpose, segmented by maturity date.
Generally, each section can be classified into one of the following categories:
Section 1: Inflows-Assets: Institutions would report assets such as unencumbered assets,
borrowing capacity from central banks or FHLBs, unrestricted reserve balances at central
banks, restricted reserve balances at central banks, unsettled asset purchases, and forward
asset purchases.
Section 2: Inflows-Unsecured: Institutions would report unsecured inflow transactions
such as onshore placement, offshore placements, required nostro balances, excess nostro
balances, outstanding draws on revolving facilities, and other unsecured loans.
7
Section 3: Inflows-Secured: Institutions would report secured inflow transactions such as
reverse repurchase agreements, securities borrowing transactions, dollar rolls, collateral
swaps, margin loans, other secured loans where the collateral is rehypothecatable, and
other secured loans where the collateral is not rehypothecatable.
Section 4: Inflows-Other: Institutions would report other inflow transactions such as
derivatives receivables, collateral called for receipt, sales in the to-be-announced market,
undrawn committed facilities purchased, lock-up balances, interest and dividends
receivables, a net 30-day derivatives receivables measure, principal payments receivable
on unencumbered investment securities, and other inflow transactions.
Section 5: Outflows-Wholesale: Institutions would report wholesale outflow transactions
such as asset-backed commercial paper single-seller outflows, asset-back commercial
paper multi-seller outflows, collateralized commercial paper, asset-backed securities,
covered bonds, tender option bonds, other asset-backed financing, commercial paper,
onshore borrowing, offshore borrowing, unstructured long-term debt, structured longterm debt, government supported debt, unsecured notes, structured notes, wholesale
certificates of deposit, draws on committed facilities, free credits, and other unsecured
wholesale outflow transactions.
Section 6: Outflows-Secured: Institutions would report secured outflow transactions such
as repurchase agreements, securities lending transactions, dollar rolls, collateral swaps,
FHLB Advances, outstanding secured funding from facilities at central banks, customer
short transactions, firm short transactions, and other secured outflow transactions.
Section 7: Outflows-Deposits: Institutions would report deposit outflow transactions
such as transactional accounts, non-transactional relationship accounts, non-transactional
non-relationship accounts, operational accounts, non-operational accounts, operational
escrow accounts, non-reciprocal brokered accounts, affiliated sweep accounts, nonaffiliated sweeps accounts, other product sweep accounts, reciprocal accounts, other
third-party deposits, and other deposit accounts.
Section 8: Outflows-Other: Institutions would report other outflow transactions such as
derivatives payables, collateral called for delivery, purchases in the to-be-announced
market, credit facilities, liquidity facilities, retail mortgage commitments, trade finance
instruments, potential derivative valuation changes, loss of rehypothecation rights and
collateral required due to changes in financial condition, excess customer margin,
commitments to lend on margin to customers, interest and dividends payables, a net 30day derivatives payables measure, other outflows related to structured transactions, and
other cash outflow transactions.
Section 9: Supplemental-Informational: Institutions would report supplemental
information such as initial margin posted and received, variation margin posted and
received, collateral dispute receivables and deliverables, collateral that may need to be
delivered, collateral that the institution could request to be received, collateral that could
be substituted by the institution or a counterparty, long and short market value of client
assets, gross client wires received and paid, subsidiary liquidity that cannot be
transferred, 23A capacity, outflows or inflows from closing out hedges early, and
potential outflows from non-structured or structured debt maturing beyond 30 days where
the institution is the primary market maker in that debt.
Section 10: Supplemental-Foreign Exchange: Institutions would report foreign exchange
information such as foreign exchange spot, forwards and futures, and swap transactions.
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Tailoring Reporting Requirements
The revisions would tailor the FR 2052a data elements to the size and complexity of the
firms by requiring less data and maturity granularity for smaller, less complex firms. The
granularity of maturity data would be modified for firms subject to the FR 2052a that are not
U.S. firms with total consolidated assets of $700 billion or more or with assets under custody of
$10 trillion or more or FBOs identified as LISCC firms, with only the residual value of products
reported beyond one year. For the smaller firms subject to the FR 2052a, certain products, such
as unencumbered assets, inflows from traditional loans, and interest and dividends payable,
would be reported according to Appendix IV-b of the instructions. Consistent with the
instructions, these firms would be permitted to report these particular products with less
granularity, even within one year.
The revisions would tailor reporting for certain broker-dealer activity. For example, for
derivatives collateral reporting, firms that do not meet a certain threshold could use a default subproduct. Additionally, the product for reporting interest payments could be ignored for
amortizing products if the interest is aggregated with principal and reported in the product for
principal amounts. Also, certain products which implicate inflows that are not part of the LCR
calculation could be optionally ignored, such as sleeper collateral receivables and derivative
collateral substitution capacity. There would also be certain products that are specific to services
provided by broker-dealers, so the FR 2052a would not require those specific products to be
reported unless the firm has a significant broker-dealer.
Mapping Document
The revisions to the FR 2052a would include an appendix to the instructions that maps
the provisions of the LCR to the data elements reported on the FR 2052a. This mapping
document would not be a part of the LCR rule or a component of the FR 2052a report. Firms
would be able to use the mapping document solely at their discretion.
Additional Changes
The revisions would make additional changes to the FR 2052a reporting instructions and
would provide additional information describing a “material entity” for the purposes of the
reporting form. The revisions would also implement a supervisory process to determine which
entities are deemed material, which would include consideration of size, complexity, business
activities, and overall risk profile of the entity.
The revisions would require firms to retain data for one year because the Federal Reserve
believes that one year is an appropriate amount of data, as it is likely that a firm may need to
look back farther than 6 months, but unlikely that a review of data older than 1 year will be
necessary.
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Proposed FR 2052b Revisions
The revisions to the FR 2052b reporting panel would eliminate the monthly reporting
frequency. The U.S. BHCs that are not controlled by FBOs with total consolidated assets of $10
billion or more, but less than $50 billion would submit reports on a quarterly basis within 15
days after the “as-of date.” Firms reporting on the FR 2052b would be required to continue
reporting without interruption.
Current Reporting Panel and Frequency of Submissions3
The current scope of application, frequency, and submission dates are contained in the
following table.
Report
Number
Reporter Description
FR 2052a
U.S. BHCs that the
Financial Stability Board
designated as Global
Systematically Important
Banks (G-SIBs)
FR 2052a
FR 2052b
FR 2052b
Foreign banking
organizations with U.S.
broker/dealer assets > $100
billion
U.S. BHCs (excluding GSIBs) with total
consolidated assets greater
than $50 billion (including
FBO subsidiaries)
U.S. BHCs (not controlled
by FBOs) with total
consolidated assets of
between $10 billion and
$50 billion
Frequency
As-of
Date
Submission
Date
Daily
09/11/2014
09/15/2014
TBD
Advanced
notice from
supervisors
TBD
Advanced
notice from
supervisors
09/11/2014
09/15/2014
Monthly
11/30/2014
12/15/2014
Quarterly
12/31/2014
01/15/2015
On Occasion
(FR 2052a;
complete
report)
Twice a
month
(FR 2052a;
abbreviated
report)
U.S. BHCs filing the FR 2052a are required to submit data on a consolidated basis as
well as by material legal entity. These material legal entities are determined by the institutions
and their Reserve Banks and are based upon size and importance of the subsidiary’s liquidity
3
Savings and Loan Holding Companies (SLHCs) are not subject to these reporting requirements, however, through
future rulemakings these institutions may be required to participate in some form of liquidity monitoring.
10
profile to the holding company. These institutions report all material bank, broker-dealer, and
non-bank entities contributing to the institution’s funding and liquidity operations.
Foreign banking organizations filing the FR 2052a must submit separate reports for each
material entity. FBOs with $100 billion or more in U.S. broker-dealer assets are required to
submit separate reports for each material entity in their U.S. operations and for their consolidated
U.S. operations, excluding U.S. BHCs. Material entities (including material foreign branches)
are entities that pose liquidity risk, provide liquidity support to, or depend on liquidity support
from, affiliates. The Federal Reserve does not consider the asset size of the entity to be the
determining factor of whether the subsidiary should be treated as material for purposes of
liquidity risk monitoring. Institutions are required to consult with supervisors to determine
which entities are material for purposes of the liquidity reporting requirements.
BHCs filing the FR 2052b report consolidated information and provide parent entity
specific information using the additional schedule included within the FR 2052b.
Revised Reporting Panel and Frequency of Submissions4
The Federal Reserve proposes to revise the scope of application, frequency, submission
dates, and timing of submission as shown in the following table.
Report
Number
First
Submission
Date5
Timing of
Submission
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody,
Daily
and
FBOs identified as LISCC firms
12/14/20156
12/16/2015
T+2
U.S. firms with total consolidated
assets < $700 billion and with <
01/31/20177
02/15/2017
T+15
Reporter Description
FR 2052a
FR 2052a
First
As-of
Date
Frequency
Monthly
4
SLHCs that are not subject to the LCR are not subject to these reporting requirements; however, through future
rulemakings these institutions may be required to participate in some form of liquidity monitoring. Nonbank
financial companies designated for Federal Reserve supervision by the Financial Stability Oversight Council under
section 113 of the Dodd-Frank Act (12 U.S.C. § 5323), to which the Federal Reserve has applied the requirements of
the liquidity coverage ratio by rule or order are not subject to these reporting requirements unless included in the
rule or order.
5
For U.S. bank holidays and weekends, no positions should be reported. For data reported by entities in
international locations, if there is a local bank holiday, submit data for those entities using the data from the previous
business day.
6
These firms must comply with the transitions set forth in the LCR. However, these firms do not need to report on
the FR 2052a until this reporting as-of date.
7
These firms must comply with the transitions set forth in the LCR Rule, which requires an LCR calculation
monthly starting in January 2015. However, these firms do not need to report on the FR 2052a until this reporting
as-of date.
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FR 2052a
FR 2052b10
$10 trillion in assets under
custody, but total consolidated
assets ≥ $250 billion or foreign
exposure ≥ $10 billion, and
FBOs that are not identified as
LISCC firms, but with U.S. assets
≥ $250 billion
U.S. firms with total consolidated
assets ≥ $50 billion, but total
consolidated assets < $250 billion
and foreign exposure < $10
billion, and
FBOs that are not identified as
LISCC firms and with U.S. assets
< $250 billion, but U.S. assets ≥
$50 billion
U.S. BHCs (not controlled by
FBOs) with total consolidated
assets of between $10 billion and
$50 billion
Monthly8
07/31/2017
08/02/2017
T+2
Monthly
07/31/2017
08/15/2017
T+15
Monthly9
01/31/2018
02/10/2018
T+10
Quarterly
12/31/2015
01/15/2016
T+15
As illustrated in the table above, the Federal Reserve will implement three categories of
treatment for both U.S. firms and FBOs, according to the asset size of the firm and whether it has
been identified as a LISCC firm. Thus, the Federal Reserve will accord U.S. firms and FBOs of
similar size the same treatment because similarly situated firms should be treated in a similar
manner. Additionally, the Federal Reserve will implement the following transition periods for
the timing of the data submission. All firms subject to FR 2052a reporting requirements, except
for U.S. firms with total consolidated assets of $700 billion or more or with assets under custody
of $10 trillion or more, and FBOs identified as LISCC firms, will have a T+15 submission
requirement at their first effective date. Subsequently, the timing of the submission will be
reduced until it reaches the final timing of submission requirement. Because of the importance
of timely liquidity data for the largest firms, the final timing of submission will remain T+2 days.
However, for U.S. firms with total consolidated assets of $50 billion or more, but less than $250
billion and foreign exposure of less than $10 billion, and FBOs with U.S. assets of $50 billion or
more and less than $250 billion that are not identified as LISCC firms, the final timing of
submission requirement will be T+10 days due to these firms’ smaller contributions to systemic
risk. Additionally, for all FR 2052a filers, as set forth in the instructions, the Federal Reserve
will change the submission time on the submission date to 3:00pm ET, which will provide firms
additional time to prepare the data submissions. The T+15 timing of submission requirement for
the FR 2052b will remain unchanged.
8
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily request the FR 2052a liquidity data on a more frequent basis.
9
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily request the FR 2052a liquidity data on a more frequent basis.
10
The FR 2052b would not change for U.S. BHCs (not controlled by FBOs) with total consolidated assets of
between $10 billion and $50 billion, so the frequency and as-of date would be the same as it is currently.
12
In addition, for U.S. firms with total consolidated assets of $700 billion or more or with
assets under custody of $10 trillion or more, and FBOs identified as LISCC firms, the Federal
Reserve will collect data as of November 30, 2015 with a request for submission on December 2,
2015. Responses to this one-time information collection are voluntary.
Legal Status
The Board’s Legal Division has determined that the liquidity monitoring reports are
authorized pursuant to section 5 of the Bank Holding Company Act (12 U.S.C. § 1844), section 8
of the International Banking Act (12 U.S.C. § 3106), and section 165 of the Dodd-Frank Act
(12 U.S.C. § 5365) and are mandatory, with voluntary early reporting on FR 2052a for U.S.
firms with total consolidated assets of $700 billion or more or with assets under custody of $10
trillion or more, and FBOs identified as LISCC firms. Section 5(c) of the Bank Holding
Company Act authorizes the Board to require BHCs to submit reports to the Board regarding
their financial condition. Section 8(a) of the International Banking Act subjects FBOs to the
provisions of the Bank Holding Company Act. Section 165 of the Dodd-Frank Act requires the
Board to establish prudential standards for certain BHCs and FBOs, which include liquidity
requirements. The individual financial institution information provided by each respondent
would be accorded confidential treatment under exemption 8 of the Freedom of Information Act
(5 U.S.C. § 552(b)(8)). In addition, the institution information provided by each respondent
would not be otherwise available to the public and is entitled to confidential treatment under
exemption 4 of the Freedom of Information Act (5 U.S.C. §§ 552(b)(4)), which protects from
disclosure trade secrets and commercial or financial information.
Consultation Outside the Agency
On December 2, 2014, the Federal Reserve published a notice in the Federal Register
(79 FR 71416) requesting public comment for 60 days on the extension, with revision, of the
FR 2052a and FR 2052b. The comment period for this notice expired on February 2, 2015. The
Federal Reserve received eight comment letters on the proposed revisions to the FR 2052
reports: two from trade associations, five from U.S. banking organizations, and one from an
FBO. In addition, the Federal Reserve held several meetings with banks and trade associations.
In general, the comments focused on scope of application, transition periods, timing of data
submission, tailoring of the requirements to certain institutions, application to firms subject to
the modified LCR, application to nonbank financial companies supervised by the Federal
Reserve, availability of a template and mapping document, and other changes. The comments
and responses are discussed in detail below. In addition, the Federal Reserve has revised the
proposed reporting formats and instructions, as appropriate, in response to the technical
comments received. On November 17, 2015, the Federal Reserve published a final notice in the
Federal Register (80 FR 71795).
Detailed Discussion of Public Comments
Initially Proposed FR 2052a and FR 2052b Revisions
The Federal Reserve initially proposed to revise the FR 2052a report by 1) modifying the
13
firms that are required to respond, the applicable asset threshold, and frequency of reporting; 2)
including a data structure that subdivides three general categories of inflows, outflows, and
supplemental items into 10 distinct data tables; 3) requiring all U.S. firms with total consolidated
assets of $250 billion or more or foreign exposure of $10 billion or more and all FBOs with total
U.S. assets of $50 billion or more to report liquidity profiles by major currency for each material
entity of the reporting institution; 4) collecting more detail regarding securities financing
transactions, wholesale unsecured funding, deposits, loans, unfunded commitments, collateral,
derivatives, and foreign exchange transactions; and 5) changing the structure of the collection to
an XML format from a spreadsheet format.
The Federal Reserve also initially proposed to revise the FR 2052b reporting panel by
modifying the firms that are required to respond and the applicable threshold, and eliminating
monthly reporting.
Initially Proposed Reporting Panel and Frequency of Submissions11
The scope of application, frequency, submission dates, and timing of submission that
were initially proposed are shown in the following table.
Report
Number
FR 2052a
FR 2052a
Reporter Description
Frequency
U.S. firms13 with total consolidated
assets
≥ $700 billion or with assets under
custody of ≥ $10 trillion
U.S. firms with total consolidated
assets
< $700 billion and with assets under
custody of < $10 trillion but, total
consolidated assets ≥ $250 billion or
11
Monthly
Daily
Monthly
Daily
First
As-of
Date
First
Submission
Date12
03/31/201514 04/02/2015
T+2
07/01/2015
07/03/2015
T+2
07/31/201515 08/02/2015
T+2
07/01/2016
T+2
07/03/2016
SLHCs not subject to the LCR would not have been subject to these reporting requirements. However, the initial
proposal noted that through future rulemakings these institutions may be subject to some form of liquidity
monitoring.
12
For U.S. bank holidays and weekends, no positions would have been reported. For data that would have been
reported by entities in international locations, if there were to be a local bank holiday, those entities would have
submitted data using the data from the previous business day.
13
U.S. firms would have included nonbank financial companies that the Financial Stability Oversight Council has
determined under section 113 of the Dodd-Frank (12 U.S.C. § 5323) shall be supervised by the Federal Reserve and
for which such determination is still in effect, where the Federal Reserve has applied the requirements of the
liquidity coverage ratio to such company by rule or order.
14
These firms would have complied with the transitions set forth in the LCR Rule, which requires an LCR
calculation monthly starting in January 2015. However, these firms would not have needed to report on the
FR 2052a until this reporting as-of date.
15
These firms would have complied with the transitions set forth in the LCR Rule, which requires an LCR
calculation monthly starting in January 2015. However, these firms would not have needed to report on the
FR 2052a until this reporting as-of date.
14
Timing of
Submission
foreign exposure ≥ $10 billion
FR 2052a16
U.S. firms with total consolidated
assets
≥ $50 billion but, total consolidated
assets < $250 billion and foreign
exposure < $10 billion
FR 2052a
FR 2052a
FR 2052b18
Monthly
01/31/2016
02/02/2016
T+2
FBOs with U.S. assets ≥ $50 billion
and U.S. broker-dealer assets
≥ $100 billion
Monthly
03/31/2015
04/02/2015
T+2
Daily
07/01/2015
07/03/2015
T+2
FBOs with U.S. assets ≥ $50 billion
and U.S. broker-dealer assets
< $100 billion
Monthly
01/31/2016
02/02/2016
T+2
Monthly17
07/31/2016
08/02/2016
T+2
Quarterly
12/31/2014
01/15/2015
T+15
U.S. BHCs (not controlled by FBOs)
with total consolidated assets of
between $10 billion and $50 billion
For purposes of the FR 2052 reports, a U.S. firm is a top-tier bank holding company, as
that term is defined in section 2(a) of the Bank Holding Company Act (12 U.S.C. § 1841(a)) and
section 225.2(c) of the Federal Reserve’s Regulation Y (12 C.F.R. 225.2(c)), organized under the
laws of the United States and excludes any bank holding company that is a subsidiary of a
foreign banking organization. For the purposes of the FR 2052 reports, foreign banking
organization has the same meaning as in section 211.21(o) of the Federal Reserve’s Regulation
K (12 C.F.R. 211.21(o)) and includes any U.S. bank holding company that is a subsidiary of an
FBO. The FR 2052b report only applies to U.S. BHCs with total consolidated assets of between
$10 billion and $50 billion that are not controlled by FBOs.
16
The frequency of the FR 2052a monthly report could have been temporarily adjusted to daily on a case-by-case
basis as market conditions and supervisory needs changed to carry out effective continuous liquidity monitoring.
The Federal Reserve anticipated frequency adjustments to be a rare occurrence.
17
These FBOs would have been required to have the ability to report on each business day. If the FBO were
consolidating a U.S. firm that would independently have to report daily, then the FBO would have had to report
daily. The Federal Reserve would have tested these FBOs for their ability to report daily.
18
FR 2052b reporting requirements would not have changed for U.S. BHCs (not controlled by FBOs) with total
consolidated assets of between $10 billion and $50 billion, so the frequency and as-of date would have been the
same as it had been.
15
Reporting Panel and Frequency of Submissions19
The Federal Reserve has modified the scope of application, frequency, submission dates,
and timing of submission as shown in the following table in response to public comments.
Report
Number
Reporter Description
FR 2052a
FR 2052a
FR 2052a
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody,
and
FBOs identified as LISCC firms
U.S. firms with total consolidated
assets < $700 billion and with <
$10 trillion in assets under
custody, but total consolidated
assets ≥ $250 billion or foreign
exposure ≥ $10 billion, and
FBOs that are not identified as
LISCC firms, but with U.S. assets
≥ $250 billion
U.S. firms with total consolidated
assets ≥ $50 billion, but total
consolidated assets < $250 billion
and foreign exposure < $10
billion, and
FBOs that are not identified as
LISCC firms and with U.S. assets
Frequency
First
As-of
Date
First
Submission
Date20
Timing of
Submission
Daily
12/14/201521 12/16/2015
T+2
Monthly
01/31/201722 02/15/2017
T+15
Monthly23
07/31/2017
08/02/2017
T+2
Monthly
07/31/2017
08/15/2017
T+15
Monthly24
01/31/2018
02/10/2018
T+10
19
SLHCs that are not subject to the LCR are not subject to these reporting requirements; however, through future
rulemakings these institutions may be required to participate in some form of liquidity monitoring. Nonbank
financial companies designated for Federal Reserve supervision by FSOC under section 113 of the Dodd-Frank Act
(12 U.S.C. § 5323), to which the Federal Reserve has applied the requirements of the liquidity coverage ratio by rule
or order are not subject to these reporting requirements unless included in the rule or order.
20
For U.S. bank holidays and weekends, no positions should be reported. For data reported by entities in
international locations, if there is a local bank holiday, submit data for those entities using the data from the previous
business day.
21
These firms must comply with the transitions set forth in the LCR Rule. However, these firms do not need to
report on the FR 2052a until this reporting as-of date.
22
These firms must comply with the transitions set forth in the LCR Rule, which requires an LCR calculation
monthly starting in January 2015. However, these firms do not need to report on the FR 2052a until this reporting
as-of date.
23
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily request the FR 2052a liquidity data on a more frequent basis.
24
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily request the FR 2052a liquidity data on a more frequent basis.
16
< $250 billion, but U.S. assets ≥
$50 billion
FR 2052b
25
U.S. BHCs (not controlled by
FBOs) with total consolidated
assets of between $10 billion and
$50 billion
Quarterly
12/31/2015
01/15/2016
T+15
Detailed Discussion of Public Comment and Recommended Response
Scope of Application
The Federal Reserve has modified the scope of application for the FR 2052a from the
proposal, which is set forth in the charts above. These changes will not add additional burden on
any firm based on the proposed scope of application, and in some cases the changes may result in
less burden. Regarding the changes, the Federal Reserve will accord U.S. firms and FBOs of
similar size the same treatment because similarly situated firms should be treated in a similar
manner. Second, the Federal Reserve will implement three categories of treatment for both U.S.
firms and FBOs, according to the asset size of the firm and whether it has been identified as a
LISCC firm.26 Firms in the first category, U.S. firms with total consolidated assets of $700
billion or more or with assets under custody of $10 trillion or more, and FBOs identified as
LISCC firms, will be required to submit the FR 2052a daily. Firms in the second category will
be U.S. firms with total consolidated assets less than $700 billion and assets under custody less
than $10 trillion, but total consolidated assets greater than or equal to $250 billion or foreign
exposure greater than or equal to $10 billion, and FBOs with U.S. assets greater than or equal to
$250 billion that have not been identified as LISCC firms. Firms in the second category will be
required to submit the FR 2052a monthly. Firms in the third category will be U.S. firms with
total consolidated assets less than $250 billion and foreign exposure less than $10 billion, but
total consolidated assets greater than or equal to $50 billion, and FBOs with U.S. assets greater
than or equal to $50 billion but less than $250 billion that are not identified as LISCC firms.
Firms in the third category will be required to submit the FR 2052a monthly and will be granted
additional time to submit the report.
As discussed further below, nonbank financial companies designated by the Financial
Stability Oversight Council (FSOC) are not included in the reporting panel for the FR 2052a.
Firms whose asset sizes or identification as a LISCC firm causes them to cross the
threshold from the third category to the second category, or from the second category to the first
category, will be required to meet the applicable reporting requirements of the new category
within three months of crossing the threshold. A firm whose asset size causes it to cross the
25
The FR 2052b will not change for U.S. BHCs (not controlled by FBOs) with total consolidated assets of between
$10 billion and $50 billion, so the frequency and as-of date would be the same as it is currently.
26
A list of the LISCC firms can be found at http://www.federalreserve.gov/bankinforeg/large-institutionsupervision.htm.
17
threshold to the third category will have to meet the applicable reporting requirements within one
year of crossing the threshold.
In addition to these changes, the Federal Reserve will consider future enhancements to
the thresholds that define the applicability of the reporting requirements that are more sensitive
to liquidity risk. Any future enhancements would be proposed and subject to comment, and if
finalized, firms whose reporting requirements change based on those enhancements would be
provided sufficient time to comply.
Transition Period
Some commenters raised concerns about whether the proposed implementation schedule
would allow sufficient time to implement reporting requirements. One commenter noted that
banking organizations with less than $700 billion in assets and firms subject to the modified
LCR methodology by the LCR rule should not be required to report monthly on the FR 2052a
before July 1, 2016. According to the commenter, the proposed timeline would divert resources
from efforts to ensure daily LCR compliance by July 1, 2016, and potentially put those efforts at
risk. This commenter asserted that monthly reporting on the FR 2052a cannot be equated to the
monthly LCR calculations starting in July 2015 because the FR 2052a is much more granular
than is necessary to compute the LCR and suggested that because FR 2052a reporting is more
akin to the daily LCR calculation, it should be on the same timeline. The commenter also noted
that for the same reasons and due to their smaller size, firms subject to the modified LCR
methodology should not be required to submit reports until July 2016.
Other commenters noted that banks that were not required to report on the prior versions
of the FR 2052a report should be provided more time to comply and suggested that these
organizations not be required to comply with FR 2052a reporting until July 2016, January 2017,
or July 2017, to allow sufficient time to enhance IT and other systems. A commenter pointed out
that even if an extension was provided, these firms could continue to report on the FR 2052b in
the interim.
Similarly, one FBO commenter noted that implementing the proposed FR 2052a with its
more granular and expanded data requirements would require considerable resources and
operational effort to comply by February 2, 2016 for certain entities that were not required to
report on the prior versions of the FR 2052a report. The commenter noted that G-SIBs were
given a two-year lead time prior to the implementation of the FR 2052a reporting requirements
and it would be appropriate for current FR 2052b filers and new FR 2052a filers to receive
similar lead time.
One commenter noted that the implementation schedule for FBOs with U.S. assets of $50
billion or greater and U.S. broker-dealer assets of less than $100 billion is unrealistic. The
commenter noted that reporting challenges are magnified for FBOs that have not previously had
the experience of filing the FR 2052a or FR 2052b. The commenter further noted that many of
these firms are working to come into compliance with the Federal Reserve Board’s intermediate
holding company (IHC) requirement by July 2016. The commenter suggested that new FBO
filers start with the FR 2052b report before moving to the FR 2052a report, with implementation
18
dates of July 2016 for the FR 2052b and July 2017 for the FR 2052a. The commenter also noted
that the LCR Rule does not apply to many of these firms and that for FR 2052b FBO filers, no
further requirement should be applied until the IHC requirements are clarified and there is an
LCR rule in place for FBOs.
Another commenter requested that firms forming IHCs have a reasonable transition time
for reporting on a consolidated basis and legal entity basis and that entities required to
consolidate pursuant to the IHC requirement, effective July 2016, should not be required to
report on the FR 2052a beforehand.
Based on comments and analysis of the transitions and effective dates, the Federal
Reserve has extended the effective dates for firms to provide more time for them to complete the
necessary system builds. The table above sets forth the revised transitions and effective dates for
the FR 2052a. The effective date for the FR 2052b remains unchanged, which is also set forth in
the table above. Further, for the FR 2052a filers, the Federal Reserve will require monthly
submissions for all firms that are not U.S. firms with total consolidated assets of $700 billion or
more or with assets under custody of $10 trillion or more, and FBOs identified as LISCC firms.
For firms that submit monthly reports, consistent with current supervisory authority and
processes, during periods of stress the Federal Reserve may temporarily request the FR 2052a
liquidity data to be filed on a more frequent basis.
In addition, for U.S. firms with total consolidated assets of $700 billion or more or with
assets under custody of $10 trillion or more, and FBOs identified as LISCC firms, the Federal
Reserve will collect data as of November 30, 2015 with a request for submission on December 2,
2015. Responses to this one-time information collection are voluntary.
Timing of data submission
The Federal Reserve received several comments related to the amount of time needed to
prepare reports for submission. Most commenters disagreed with the proposal’s requirement that
reporting forms be submitted within two days of the as-of date. One commenter noted that the
two-day lag does not provide enough time for quality assurance necessary for a regulatory report.
In addition, some commenters expressed concern that the two-day lag is practically only 1.5 days
because the proposed submission time is noon. One commenter specifically requested that
advanced approaches firms with $700 billion or more in assets be given a full two-day reporting
window.
Other commenters stated that 15 days is an appropriate time period for firms that would
have been required to report monthly and for firms that are currently reporting on the FR 2052b.
One commenter suggested a five-day lag for regional banks subject to the full LCR. Another
commenter offered that advanced approaches firms with less than $700 billion in assets and new
FBO filers should have five days to submit the reports.
As illustrated in the table above, the Federal Reserve will implement the following
transition periods for the timing of the data submission. All firms subject to FR 2052a reporting
requirements, except for U.S. firms with total consolidated assets of $700 billion or more or with
19
assets under custody of $10 trillion or more, and FBOs identified as LISCC firms, will have a
T+15 submission requirement at their first effective date. Subsequently, the timing of the
submission will be reduced until it reaches the final timing of submission requirement. Because
of the importance of timely liquidity data for the largest firms, the final timing of submission will
remain T+2 days. However, for U.S. firms with total consolidated assets of $50 billion or more,
but less than $250 billion and foreign exposure of less than $10 billion, and FBOs with U.S.
assets of $50 billion or more and less than $250 billion that are not identified as LISCC firms,
the final timing of submission requirement will be T+10 days due to these firms’ smaller
contributions to systemic risk. Additionally, for all FR 2052a filers, as set forth in the
instructions, the Federal Reserve will change the submission time on the submission date to
3:00pm ET, which will provide firms additional time to prepare the data submissions. The T+15
timing of submission requirement for the FR 2052b will remain unchanged.
Tailoring
One commenter noted that less complex financial institutions that are not internationally
active should not be held to the same reporting standards as larger and much more complex
financial institutions. Financial institutions that are less complex do not present significant risk
to the financial system. Another commenter noted that the FR 2052a is not tailored to take into
account the risk profile of the reporting firms. A few commenters disagreed with the
requirement to provide specific maturity data for five years. These commenters argued that the
data would not provide beneficial supervisory information. One of these commenters suggested
that only payments within one year should be reported.
One commenter noted that disaggregating principal and interest payments would be
burdensome to respondents and unhelpful for the Federal Reserve because this approach would
not consider balance sheet growth or other behavioral assumptions. Two commenters
commented on derivatives reporting. One noted that the granular derivatives details required by
the proposal are not necessary for calculating the LCR, and implementing it for regional banks
would be burdensome and unhelpful to the Federal Reserve. The other commenter noted that the
granularity of derivative reporting for advanced approaches banking organizations with less than
$700 billion in assets and modified LCR banking organizations should align with the LCR. The
commenter asserted that the proposed requirement to segregate information about payables and
receivables and provide the margin information in more granular detail than required by the LCR
would impose tremendous burden on the collateral tracking systems of firms.
Another commenter stated that data elements related to broker-dealers are immaterial to
regional banks and these banks should not be required to report them. The commenter stated that
collecting that data would not be helpful to the Federal Reserve and would impose a burden on
the banks.
The Federal Reserve received two comments on reporting by currency. One commenter
stated that reporting by major currency for regional banks that are subject to the full LCR is
unnecessary because their foreign activities are limited (more akin to firms subject to the
modified LCR) and the LCR Rule does not require it. The commenter stated that because
current systems only record in USD, additional implementation burden would be imposed.
20
Alternatively, the commenter suggested establishing a threshold for reporting by major currency
other than USD only if the percent of foreign currency liabilities to total liabilities exceeded, for
example, 5 percent. Another commenter suggested that the FR 2052a should incorporate
thresholds for reporting by major currency that align with the Basel Committee on Banking
Supervision’s LCR standard’s definition of “significant currency,” which is when the aggregated
liabilities in that currency exceed 5 percent of total liabilities. The commenter explained that if
this suggestion is followed, a firm should be required to meet the threshold for four quarters
before being considered a significant currency to prevent a currency from toggling between
significant and not significant.
The Federal Reserve notes that the FR 2052a was not designed solely for monitoring
compliance with the LCR; rather, it is a supervisory liquidity report that also allows for
monitoring compliance with the LCR. In the context of that supervisory purpose and based on
an analysis of the reporting firms, the FR 2052a will be better tailored to the size and complexity
of the firms. First, and as mentioned above, the timing of the data submission will be extended
to T+10 days for the smaller firms subject to FR 2052a reporting requirements. In addition, the
FR 2052a will be revised to have tailored data elements. The granularity of maturity data will be
modified for firms subject to the FR 2052a that are not U.S. firms with total consolidated assets
of $700 billion or more or with assets under custody of $10 trillion or more or FBOs identified as
LISCC firms, with only the residual value of products reported beyond one year. The residual
value data will be required because it is necessary to have sufficient information on the liquidity
profile of the firm. For the smaller firms subject to the FR 2052a, certain products, such as
unencumbered assets, inflows from traditional loans, and interest and dividends payable, will be
reported according to Appendix IV-b of the instructions. Consistent with the instructions, these
firms will be permitted to report these particular products with less granularity, even within one
year.
The Federal Reserve views as inappropriate the elimination of reporting requirements
related to broker-dealer activities for an entire segment of firms; however, where appropriate,
certain products are tailored, as detailed in the instructions. For example, for derivatives
collateral reporting, firms that do not meet a certain threshold may use a default sub-product.
Additionally, the product for reporting interest payments may be ignored for amortizing products
if the interest is aggregated with principal and reported in the product for principal amounts.
Also, certain products which implicate inflows that are not part of the LCR calculation may be
optionally ignored, such as sleeper collateral receivables and derivative collateral substitution
capacity. There are also certain products that are specific to services provided by broker-dealers,
so the FR 2052a will not require those specific products to be reported unless the firm has a
significant broker-dealer.
Lastly, firms subject to FR 2052a requirements that historically have less foreign
currency exposure will only have to report in USD and will not have to report data required by
the F/X table. Thus, U.S. firms with total consolidated assets of less than $700 billion and with
assets under custody of less than $10 trillion, but total consolidated assets of $50 billion or more
and FBOs with U.S. assets of less than $250 billion, but U.S. assets of $50 billion or more that
are not identified as LISCC firms may report solely in USD and will not have to report data
required by the F/X table. All other firms subject to FR 2052a requirements will report in the
21
major currencies listed in the instructions and report data required by the F/X table. The
FR 2052b will continue to be reported solely in USD.
Modified LCR
The Federal Reserve received the following comments specific to reporting by
institutions subject to the modified LCR (1) the proposed FR 2052a report materially expands the
required time period bucketing to include 60 days of daily contractual cash flows and four
periods of weekly contractual cash flows requiring fundamental changes to data, systems, and
processes that have already been developed to support the FR 2052a and LCR calculations that
extract data based on monthly cash flows; (2) the 60-day daily period maturity buckets go
beyond the 30-day period that is necessary to compute the LCR and daily time bucket should
only be 30 days for firms subject to the full LCR and should not exist for firms subject to the
modified LCR; (3) maturity buckets for firms subject to the modified LCR should have no more
granularity than monthly, which is what is needed for the LCR; (4) daily maturity buckets for
days 31-60 should be phased in over time because systems have already been developed for the
LCR’s 30-day window; (5) the FR 2052a does not align with the modified LCR, requiring a
parent-only report whereas a consolidated figure is required for the LCR; (6) firms subject to the
modified LCR should be required to report only on the FR 2052b or an amended FR 2052b or
the FR 2052a should be tailored to regional banks; and (7) required reporting for entities should
be consistent with the requirements of the final LCR rule for modified LCR BHCs, i.e., global
consolidated entity only, since modifying systems to include other reporting levels pose a
significant operational task because systems and processes were built to support the calculation
at the global consolidated entity.
In response to the comments on the reporting requirements for firms subject to the
modified LCR, as mentioned above, the Federal Reserve notes that the FR 2052a was not
designed solely for monitoring compliance with the LCR; rather, it is a supervisory liquidity
report that also allows for monitoring compliance with the LCR. For that reason, there are
products and maturity buckets beyond what is necessary for an LCR calculation. All of the
products and maturity buckets are required to appropriately monitor liquidity risk within a firm
subject to the FR 2052a reporting requirement. For example, to understand a firm’s liquidity risk
profile, it is necessary to have information beyond the LCR’s 30-day time horizon and on a
parent-only basis, in addition to the consolidated holding company. However, as described
above, for the smaller firms subject to the FR 2052a, the Federal Reserve will allow less granular
maturity bucketing for certain products where receiving less maturity information is appropriate,
such as unencumbered assets, inflows from traditional loans, and interest and dividends.
Furthermore, as noted above, the Federal Reserve will extend the transitions and effective dates
to provide sufficient time for system enhancements to meet the increased data requirements.
Nonbank financial companies
One commenter noted that nonbank financial companies designated by FSOC for
supervision by the Board are implicated as covered in the FR 2052a update notice. The
commenter requested that these companies have an opportunity to comment on the FR 2052a
after being designated but before imposition of the LCR requirement and filing on the FR 2052a.
22
Non-bank financial companies designated by FSOC for supervision by the Federal
Reserve will not be automatically subject to FR 2052a reporting requirements based on being
subject to the LCR. Because these companies may become subject to the LCR by rule or order,
the Federal Reserve believes it is appropriate to subject them to supervisory reporting
requirements also by rule or order to ensure that such requirements are appropriate for the
specific nonbank financial company.
Availability of Template or Mapping Document
The Federal Reserve proposed to require the data in XML format. Two commenters
requested that the Federal Reserve make available an Excel template to facilitate internal review
of the data submission.
In addition, the Federal Reserve requested comment on whether it should publish a
description of how the FR 2052a data will be used to monitor LCR compliance. Several
commenters agreed that the Federal Reserve should publish a description and specifically
requested that the Federal Reserve should provide a reporting template that would illustrate how
to calculate the reporting entity’s LCR.
In response to comments, the Federal Reserve has revised the FR 2052a instructions to
include an appendix that maps the provisions of the LCR to the unique data identifiers that can
be used to calculate an LCR. The Federal Reserve will not provide an Excel or other template,
as firms subject to FR 2052a reporting requirements may, based on the description of data tables
in the instructions and the appendix describing an LCR calculation, develop their own MIS to
analyze FR 2052a data. This mapping document is not a part of the LCR rule or a component of
the FR 2052a report. Firms may use this mapping document solely at their discretion.
Other Changes
One commenter provided an appendix describing certain technical issues with the
calculation of the LCR using FR 2052a data. The Federal Reserve has resolved these issues
through the appendix to the instructions that describes an LCR calculation by mapping the LCR
provisions to the FR 2052a data. Another commenter noted that “material legal entity” should be
defined more clearly, as entities falling under the definition would be an additional reporting
entity. The Federal Reserve revised the instructions to provide additional information about
what constitutes a material entity. In addition, the Federal Reserve will implement a supervisory
process to determine which entities are deemed material. As described in the instructions, the
Federal Reserve will consider characteristics of the entity, such as size, complexity, business
activities, and overall risk profile.
Another commenter noted that collateral value and collateral class fields should be better
explained, in particular with respect to non-investment securities collateral, cross
collateralization, and when collateral is all business assets. The Federal Reserve finalized as
initially proposed because Appendix III to the instructions includes all collateral classes that are
relevant for this report.
23
The proposal would have required firms submitting the FR 2052a report to retain data for
six months. The Federal Reserve will require firms to retain that data for one year after it is
submitted because the Federal Reserve believes that one year is an appropriate amount of data in
the event a firm needs to review previously submitted data.
Estimate of Respondent Burden
The current total annual burden for the FR 2052a and FR 2052b reports is estimated to be
460,480 hours. The Federal Reserve estimates that, with the proposed revisions, the total annual
burden would initially reflect a decrease in 2015, increasing in 2016, 2017, and 2018, as shown
in the tables below. The changes in the estimated annual burden are primarily due to a shift in
respondents from the FR 2052b monthly reporting panel to the FR 2052a monthly and daily
reporting panel and the increased data item granularity of the FR 2052a report. The current total
burden for the FR 2052a and FR 2052b represents 3.5 percent of total Federal Reserve System
annual burden. The proposed 2016 revisions would represent 5.1 percent of total Federal
Reserve System and for 2017 and 2018 it would change to 5.5 percent of total Federal Reserve
System burden.
Current
FR 2052a and FR 2052b
FR 2052a
Ongoing:
BHCs (G-SIBs)27
FBOs (complete)
FBOs (abbreviated)
Ad-Hoc28
FR 2052a Total
FR 2052b
Ongoing:
BHCs (excluding G-SIBs,
>$50 billion, including FBO
subsidiaries)
BHCs (>$10 & <$50 billion,
not controlled by FBOs)
FR 2052b Total
Number of
respondents
Annual
frequency
Estimated
average hours
per response
Estimated
annual burden
hours
8
8
8
16
251
1
24
10
200
200
60
100
401,600
1,600
11,520
16,000
430,720
24
12
60
17,280
52
4
60
12,480
29,760
460,480
Current Total burden hours
27
28
A list of G-SIBs is available at http://www.financialstabilityboard.org/publications/r_131111.pdf.
The FR 2052a Ad-Hoc surveys were discontinued as of October 30, 2015.
24
One-time Implementation
12
1
Estimated
average
hours
per
response
400
One-time Voluntary Submission:
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody29 and
FBOs identified as LISCC firms
12
1
220
2,640
Daily:
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody and
FBOs identified as LISCC firms
12
13
220
34,320
Proposed
FR 2052a for 2015
Number
of
respondents
Annual
frequency
Daily:
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody and
FBOs identified as LISCC firms
4,800
41,760
FR 2052a Total for 2015
Proposed
FR 2052a for 2016
Estimated
annual
burden
hours
Number
of
respondents
Annual
frequency
Estimated
average
hours
per
response
12
251
220
Estimated
annual
burden
hours
662,640
662,640
FR 2052a Total for 2016
“Assets under custody” is defined in the Banking Organization Systemic Risk Report (FR Y-15) (OMB No.
7100-0352) reporting instructions.
29
25
36
1
Estimated
average
hours
per
response
400
U.S. firms with total consolidated
assets ≥ $50 billion but total
consolidated assets < $250 billion and
foreign exposure < $10 billion and
FBOs with U.S. assets ≥ $50 billion
but U.S. assets < $250 billion that are
not identified as LISCC firms
27
6
120
19,440
U.S. firms with total consolidated
assets ≥ $250 billion or foreign
exposure > $10 billion but total
consolidated assets < $700 billion and
with < $10 trillion in assets under
custody and FBOs with U.S. assets ≥
$250 billion that are not identified as
LISCC firms
9
12
120
12,960
12
251
220
662,640
Proposed
FR 2052a for 2017
One-time Implementation
Number
of
respondents
Annual
frequency
Estimated
annual
burden
hours
14,400
Monthly:
Daily:
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody and
FBOs identified as LISCC firms
709,440
FR 2052a Total for 2017
26
Proposed
FR 2052a for 2018 and ongoing
Number
of
respondents
Annual
frequency
Estimated
average
hours
per
response
Estimated
annual
burden
hours
Monthly:
U.S. firms with total consolidated
assets ≥ $50 billion but total
consolidated assets < $250 billion and
foreign exposure < $10 billion and
FBOs with U.S. assets ≥ $50 billion
but U.S. assets < $250 billion that are
not identified as LISCC firms
27
12
120
38,880
U.S. firms with total consolidated
assets ≥ $250 billion or foreign
exposure > $10 billion but total
consolidated assets < $700 billion and
with < $10 trillion in assets under
custody and FBOs with U.S. assets ≥
$250 billion that are not identified as
LISCC firms
9
12
120
12,960
12
251
220
662,640
Daily:
U.S. firms with total consolidated
assets ≥ $700 billion or with ≥ $10
trillion in assets under custody and
FBOs identified as LISCC firms.
FR 2052a Total for 2018 and
ongoing
714,480
27
Proposed
FR 2052b
BHCs (>$10 & <$50 billion, not
controlled by FBOs)
Number
of
respondents
Annual
frequency
Estimated
average
hours
per
response
52
4
60
Estimated
annual
burden
hours
12,480
FR 2052b Total
12,480
Proposed
FR 2052a and FR 2052b:
2015 - Proposed Total burden hours
Change
2016 - Proposed Total burden hours
Change
2017 - Proposed Total burden hours
Change
2018 - Proposed Total burden hours
Change
Net Change
54,240
-406,240
675,120
620,880
721,920
46,800
726,960
5,040
266,480
The current cost to the public is estimated be $23,829,840.30 For 2016 the cost to the public is
estimated to rise to $34,937,460, for 2017 the cost to the public is estimated to rise to
$37,359,360, and for 2018 the cost to the public is estimated to rise to $37,620,180.
Sensitive Questions
This collection of information contains no questions of a sensitive nature, as defined by
OMB guidelines.
Estimate of Cost to the Federal Reserve System
The estimated costs to the Federal Reserve System associated with this information
collection are minimal.
30
Total cost to the public was estimated using the following formula: percent of staff time, multiplied by annual
burden hours, multiplied by hourly rates (30% Office & Administrative Support at $17, 45% Financial Managers at
$63, 15% Lawyers at $64, and 10% Chief Executives at $87). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages
May 2014, published March 25, 2015, www.bls.gov/news.release/ocwage.nr0.htm. Occupations are defined using
the BLS Occupational Classification System, www.bls.gov/soc/.
28
| File Type | application/pdf |
| File Modified | 2015-12-31 |
| File Created | 2015-12-31 |