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FR 2052a Instructions
FR 2052a
Complex Institution Liquidity Monitoring
Report OMB Number 7100-0361
Approval expires March 31, 2019
Public reporting burden for this information collection is estimated to average 120-220 hours
per response, including time to gather and maintain data in the required form and to review
instructions and complete the information collection. Comments regarding this burden
estimate or any other aspect of this information collection, including suggestions for
reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve
System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management
and Budget, Paperwork Reduction Project (7100-0361), Washington, DC 20503.
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FR 2052a Instructions
GENERAL INSTRUCTIONS
Purpose
The FR 2052a report collects data elements that will enable the Federal Reserve to assess
the liquidity profile of reporting firms. FR 2052a data will be shared with the Office of the
Comptroller of the Currency (OCC) and the Federal Deposit Insurance Corporation (FDIC) to
and will assist the agencies in monitoring compliance with the Liquidity Coverage Ratio
(LCR) Rule for applicable banking organizations.
Confidentiality
The data collected on the FR 2052a report receives confidential treatment. Information for
which confidential treatment is provided may subsequently be released in accordance with
the terms of 12 CFR 261.16 or as otherwise provided by law. Information that has been
shared with the OCC or the FDIC may be released in accordance with the terms of 12 CFR
260.20(g).
LCR Rule
For purposes of these instructions, the LCR Rule means 12 CFR part 50 for national banks
and Federal savings associations, Regulation WW or 12 CFR part 249 for Board‐regulated
institutions, and 12 CFR part 329 for the FDIC‐supervised institutions.
Undefined Terms
Any undefined term used herein has the meaning set forth in the LCR Rule.
Categories of Banking Organizations
Categories of banking organizations are identified pursuant to 12 CFR 252.5 and 12 CFR
238.10.
A global systemically important bank holding company is identified as such pursuant to
12 CFR 217.402.
Average weighted short‐term wholesale funding is defined at 12 CFR 252.2.
Who Must Report
For U.S. Firms:
For purposes of the FR 2052a report, a U.S. firm is (1) a top‐tier bank holding company (BHC),
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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 Board’s Regulation Y, organized under the laws of the United
States and excludes any bank holding company that is a subsidiary of an Foreign Banking
OrganizationFBO; and (2) a top‐tier covered savings and loan holding company, as that term
is defined in section 10(a) of the Home Owners’ Loan Act (12 U.S.C. 1467a(a), and section
238.2(m) of the Board’s Regulation LL, organized under the laws of the United States and
excludes any savings and loan holding company that is a subsidiary of an FBO.
U.S. firms with $1050 billion or more in total consolidated assets must report.
U.S. firms identified as global systemically important BHCs, or as Category II or III banking
organizations should submit data for the following entities: the global consolidated entity, the
parent company only (ignoring consolidated subsidiaries), and, separately, each material
entity (see below). For these firms, all bank subsidiaries with total consolidated assets of $10
billion or more are considered material entities. Consult your supervisory teams to determine
other material entities that should also be reported.
U.S. firms that are identified as The parent company for those firms with less than $250 billion
in total consolidated assets and with less than $10 billion of on‐balance sheet foreign exposure
Category IV banking organizations should submit data for the following entities: the global
consolidated entity and the parent company only (ignoring consolidated subsidiaries). Consult
your supervisory teams to determine if the parent company should also separately report any
material entities (see below).
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The parent company for those firms with $250 billion or more in total consolidated assets or
$10 billion or more of on‐balance sheet foreign exposure should submit data for the following
entities: the global consolidated entity, the parent only (ignoring consolidated subsidiaries),
and, separately, each material entity (see below). For these firms, all bank subsidiaries with
total consolidated assets of $10 billion or more are considered material entities. Consult your
supervisory teams to determine other material entities that should also be reported.
For Foreign Banking Organizations (FBOs):
For the purposes of the FR 2052a report, foreign banking organization (FBO) has the same
meaning as in section 211.21(o) of the Board’s Regulation K (12 CFR 211.21(o)) and includes
any bank holding company that is a subsidiary of an FBO.
FBOs with U.S. assets of $50 billion or more should report for their consolidated U.S.
operations and, separately, each material entity, including those outside the U.S. managed
from the U.S. For FBOs that own U.S. entities subject to the LCR Rule, material entities
include at least those entities subject to the LCR Rule. Consult your supervisory teams to
determine other material entities that should also be reported.
Material Entity:
A material entity is each consolidated bank, branch or non‐bank entity that is a
material contributor to the firm’s funding and liquidity operations, based on factors
including size, complexity, business activities, and overall risk profile.
Scope of the Consolidated Entity
For purposes of reporting the consolidated entity, the firm should consolidate its
subsidiaries on the same basis as U.S. Generally Accepted Accounting Principles (GAAP).
Any material conduits or special purpose entities (SPEs) that are not consolidated under
GAAP should be discussed with the supervisory team to ensure that the liquidity risk of
those entities is properly addressed.
Rules of Consolidation
For purposes of this report, the consolidated entity will report all offices (e.g., branches,
subsidiaries, affiliates, variable interest entities (VIEs), and international banking facilities
(IBFs)) that are within the scope of the consolidated firm as described above. Unless the
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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 intracompany balances
between offices, subsidiaries, and other entities included in the scope of the consolidated firm
are to be eliminated and must be excluded from the consolidated report.
For purposes of this report, each material entity required to report will report on a
consolidated basis. Unless otherwise specified,1 each reporting entity should include the
reportable exposures of all subsidiaries within its scope of consolidation. This process of
consolidation may require certain transactions or positions to be classified differently at the
level of the consolidated firm versus subsidiary reporting entities.2
Frequency and Timing of Data Submission
For U.S. Firms:
Subject to the transitions below, U.S. firms with $50 billion or more in total consolidated
assets, but less than $700 billion in total consolidated assets and less than $10 trillion in
assets under custody must submit a report monthly.
Subject to the transitions below, U.S. firms that are identified as (i) Global systemically
important bank holding companies, (ii) Category II banking organizations, or (iii) Category
III banking organizations and have average weighted short‐term wholesale funding of $75
billion or more with $700 billion or more in total consolidated assets or $10 trillion or
more in assets under custody must submit a report on each business day.
U.S. firms that are identified as (i) Category III banking organizations and have average
weighted short‐term wholesale funding of less than $75 billion, or (ii) Category IV banking
organizations must submit a report monthly.
For FBOs:
Subject to the transitions below, FBOs that are not identified as LISCC firms and have $50
billion or more in U.S. assets must submit a report monthly.
1
Generally the “Parent Company” will be requested as a separate reporting entity and should be reported on a
stand‐alone basis, including only due‐to and due‐from exposures with subsidiaries and direct 3rd party exposures.
2
For example, assets that are owned outright at a subsidiary of the reporting entity, but have been pledged to
secure a repo with another subsidiary of the reporting entity, should still be reported as unencumbered under
product I.A.1: Unencumbered Assets for the consolidated reporting entity. However, if the subsidiary entities are
also designated reporting entities, the position should be considered as encumbered at the subsidiary that owns
the assets outright, and reported under product I.S.1: Reverse Repo with the [Unencumbered] flag set to “Yes” at
the subsidiary that has received the assets as collateral in connection with the internal secured transaction.
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Subject to the transitions below, FBOs identified as LISCC firms must submit a report on
each business day.
As‐of Date (Day T)
Day T refers to the as‐of date of the data. Subject to the transitions below, U.S. firms with
less than $250 billion in total consolidated assets and with less than $10 billion of on‐balance
sheet foreign exposure that are Category IV banking organizations and FBOs with less than
$250 billion in U.S. assets and must submit data by day T+10. All other U.S. firms and FBOs
must submit data by day T+2.
Holidays
For U.S. bank holidays and weekends, no report should be submitted. For data reported by
entities in international locations, if there is a local bank holiday, reported data should
reflect data from the previous good business day in that jurisdiction with updated [Maturity
Bucket] values.
When to Submit the Report
The reports should be submitted by 3:00 pm ET each business day.
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Submission Summary
Frequency3
Reporter Description
U.S. firms that are identified as (i) Global
systemically important bank holding companies;
(ii) Category II banking organizations; or (iii)
Category III banking organizations and have
average weighted short‐term wholesale funding
of $75 billion or more. 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 that are identified as Category III
banking organizations and have average
weighted short‐term wholesale funding of less
than $75 billion. 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 combined 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
that are identified as Category IV banking
organizations.
FBOs that are not identified as LISCC firms and
with combined U.S. assets <$250 billion, but
combined U.S. assets ≥ $50 billion.
Timing of
Submission
Daily
Each Business Day
T+2
Monthly
T+2
Monthly5
T+10
4
3
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.
4
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily request 2052a liquidity data on a more frequent basis.
5
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily request 2052a liquidity data on a more frequent basis.
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What Must Be Reported
The data collection is grouped into three broad categories of data elements:
Inflows
o Inflows represent cash that the reporting entity is contractually owed and
expects to receive from fully performing transactions, as well as the reporting
firm’s ability to generate cash from assets through repurchase agreements, sale,
or by exercising other contractual rights.
Outflows
o Outflows represent cash obligations that the reporting entity contractually owes,
as well as behavioral‐based obligations that may give rise to additional cash
obligations or increases in required funding, such as unanticipated draws on
committed facilities or loss of funding from customer short positions.
Supplemental
o Supplemental refers to additional data elements that support the assessment of
the reporting entity’s funding and liquidity profile, but do not otherwise meet
the definition of inflows or outflows.
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Field Definitions
Reporting entity
Report in this field the relevant entity name. The list of reportable entities is specific to each
reporting firm (see Who Must Report). Coordinate entity naming conventions with the
supervisory team.
For products or exposures that span multiple reporting entities, allocate balances to
each reporting entity in a manner consistent with internal risk management and
reporting practices. For example, consolidated exposures, such as unfunded
commitments to multinational entities, that are not normally attributed to a specific
reporting entity may be allocated pro‐rata to multiple reporting entities, provided that
the allocation better represents the reporting firm’s contingent funding profile and is
consistent with internal risk management practices. Discuss with the supervisory team
as necessary.
Currency
U.S. firms with less than $700 billion in total consolidated assets and less than $10 trillion in
assets under custody and FBOs with less than $250 billion in U.S. assets may report all assets,
liabilities, and other informational data elements in USD millions.
U.S. firms that are identified as Category III banking organizations and have average weighted
short‐term wholesale funding of less than $75 billion;, U.S. firms that are identified as
Category IV banking organizations;, and FBOs with less than $250 billion in U.S. assets may
report all assets, liabilities, and other informational data elements in USD millions.
For all other firms, each numerical field (e.g., [Market Value], [Maturity Amount], etc.) has an
associated currency attribute, which should be used to identify the currency denomination of
all assets, liabilities, and other informational data elements. All currency‐denominated values
should be reported in millions (e.g., U.S. dollar‐denominated transactions in USD millions,
sterling‐denominated transactions in GBP millions). Use the following currency codes: USD,
EUR, GBP, CHF, JPY, AUD, and CAD.
o For all other currencies, convert to USD according to the closing exchange rate
(i.e., 6:30pm EST) on the as‐of date (T) using the same currency conversion
convention.
Converted
Report this field as “True” if the data element values have been converted to USD‐equivalent
values.
Product
Refer to the product definitions section for specific guidance on the classification of inflows,
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outflows, and supplemental items. Unless otherwise specified, do not report the same
transaction more than one time for each reporting entity.
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Sub‐Product
The sub‐product field is used in conjunction with the product field to further differentiate
similar data elements.
The sub‐product is only a required field for certain products.
For a full listing of acceptable product and sub‐product combinations, see Appendix II.
Counterparty
The following counterparty types are used across the Inflows‐Secured, Inflows‐Unsecured,
Outflows‐Secured, Outflows‐Deposits, Outflows‐Wholesale and Outflows‐Other tables. The
definitions for these types should be applied consistently across all tables where applicable,
except in the case of a Debt Issuing SPE, which is treated differently in the Outflows‐Other table
for certain products.
Retail
Refers to a counterparty who is a natural person. Retail includes a living or
testamentary trust that is solely for the benefit of natural persons, does not have a
corporate trustee, and terminates within 21 years and 10 months after the death of
grantors or beneficiaries of the trust living on the effective date of the trust or within
25 years, if applicable under state law. Retail does not include other legal entities,
sole proprietorships, or partnerships. Other legal entities, proprietorships and
partnerships should be reported, as appropriate, in one of the sub‐products as
defined below.
Small Business
Refers to entities managed as retail exposures that exhibit the same liquidity risk
characteristics as retail customers. The total aggregate funding raised from these
entities should not exceed $1.5 million from the perspective of the consolidated
reporting entity. Under circumstances where small business entities are affiliated,
the $1.5 million threshold should be assessed against the aggregate funding or
lending exposures of the affiliated group.
Non‐Financial Corporate
Refers to commercial entities that are not owned by central governments, local
governments or local authorities with revenue‐raising powers, and that are non‐
financial in nature (i.e., do not meet the definition of Bank, Supervised Non‐Bank
Financial Entity, or Other Financial Entity as identified in the sections below).
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Sovereign
Refers to a central government or an agency, department or ministry.
Central Bank
Refers to a bank responsible for implementing its jurisdiction’s monetary policy.
Government Sponsored Entity (GSE)
Refers to entities established or chartered by the Federal government to serve
public purposes specified by the United States Congress, but whose debt obligations
are not explicitly guaranteed by the full faith and credit of the United States
government.
Public Sector Entity (PSE)
Refers to a state, local authority, or other governmental subdivision below the
sovereign level.
Multilateral Development Bank (MDB)
Refers to the International Bank for Reconstruction and Development, the
Multilateral Investment Guarantee Agency, the International Finance Corporation,
the Inter‐American Development Bank, the Asian Development Bank, the African
Development Bank, the European Bank for Reconstruction and Development, the
European Investment Bank, the European Investment Fund, the Nordic Investment
Bank, the Caribbean Development Bank, the Islamic Development Bank, the Council
of Europe Development Bank, and any other entity that provides financing for
national or regional development in which the U.S. government is a shareholder or
contributing member or which the appropriate Federal banking agency determines
poses comparable risk.
Other Supranational
International or regional organizations or subordinate or affiliated agencies thereof,
created by treaty or convention between sovereign states that are not multilateral
development banks, including the International Monetary Fund, the Bank for
International Settlements, and the United Nations.
Bank
Refers to a depository institution; bank holding company or savings and loan holding
company; foreign bank; credit union; industrial loan company, industrial bank, or
other similar institution described in section 2 of the Bank Holding Company Act of
1956, as amended (12 U.S.C. 1841 et seq.); national bank, state member bank, or
state non‐member bank that is not a depository institution. This term does not
include non‐bank financial entities that have an affiliated banking entity, bridge
financial companies as defined in 12 U.S.C. 5381(a)(3), or new depository institutions
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or bridge depository institutions as defined in 12 U.S.C. 1813(i).
Supervised Non‐Bank Financial Entity
(1) A company that the Financial Stability Oversight Council has determined under
section 113 of the Dodd‐Frank Act (12 U.S.C. 5323) shall be supervised by the Board
of Governors of the Federal Reserve System and for which such determination is still
in effect;
(2) A company that is not a bank but is included in the organization chart of a bank
holding company or savings and loan holding company on the Form FR Y‐6, as listed
in the hierarchy report of the bank holding company or savings and loan holding
company produced by the National Information Center (NIC) Web site, provided
that the top‐tier depository institution holding company is subject to a minimum
liquidity standard under 12 CFR part 249;
(3) An insurance company;
(4) A securities holding company as defined in section 618 of the Dodd‐Frank Act (12
U.S.C. 1850a); broker or dealer registered with the SEC under section 15 of the
Securities Exchange Act (15 U.S.C. 78o); futures commission merchant as defined in
section 1a of the Commodity Exchange Act of 1936 (7 U.S.C. 1 et seq.); swap dealer
as defined in section 1a of the Commodity Exchange Act (7 U.S.C. 1a); or security‐
based swap dealer as defined in section 3 of the Securities Exchange Act (15 U.S.C.
78c);
(5) A designated financial market utility, as defined in section 803 of the Dodd‐Frank
Act (12 U.S.C. 5462);
(6) An investment advisor, registered with the SEC as an investment advisor under
the Investment Advisers Act of 1940 (15 U.S.C. 80b‐1 et seq.); and
(7) Any company not domiciled in the United States (or a political subdivision
thereof) that is supervised and regulated in a manner similar to entities described in
paragraphs (1) through (6) of this definition (e.g., a foreign banking organization,
foreign insurance company, foreign securities broker or dealer or foreign financial
market utility).
(8) A supervised non‐bank financial entity does not include:
(i) U.S. government‐sponsored enterprises;
(ii) Small business investment companies, as defined in section 102 of the Small
Business Investment Act of 1958 (15 U.S.C. 661 et seq.);
(iii) Entities designated as Community Development Financial Institutions (CDFIs)
under 12 U.S.C. 4701 et seq. and 12 CFR part 1805; or
(iv) Central banks, the Bank for International Settlements, the International
Monetary Fund, or multilateral development banks.
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Debt Issuing SPE
Refers to an SPE8 that issues or has issued commercial paper or securities (other
than equity securities issued to a company of which the SPE is a consolidated
subsidiary) to finance its purchases or operations. This counterparty type should
only be used to identify stand‐alone SPEs that issue debt and are not consolidated
on an affiliated entity’s balance sheet for purposes of financial reporting, except for
exposures reported in the Outflows‐Other table under products O.O.4: Credit
Facilities and O.O.5: Liquidity Facilities. All debt issuing SPEs should be identified as
Debt Issuing SPEs for products O.O.4 and O.O.5, regardless of whether they are
consolidated by an affiliate for financial reporting.
Other Financial Entity
Refers to a person or company registered with the SEC under the Investment
Company Act of 1940 (15 U.S.C. 80a‐1 et seq.) or a hedge fund or private equity fund
whose investment advisor is required to file SEC Form PF (Reporting Form for
Investment Advisers to Private Funds and Certain Commodity Pool Operators and
Commodity Trading Advisors), other than a small business investment company as
defined in section 102 of the Small Business Investment Act of 1958 (15 U.S.C. 661 et
seq.)).
Other
Refers to any counterparty that does not fall into any of the above categories.
Consult with your supervisory team before reporting balances using this
counterparty type.
Collateral Class
Use the asset category table in Appendix III to identify the type of collateral for all relevant
inflows, outflows, and informational items.
For securities that have multiple credit risk profiles, report the transaction or asset
based on the lowest quality.
Use the risk weightings as derived for the reporting of Basel III risk‐based capital.
Work with supervisory teams to address questions on the categorization of specific
assets.
8
An SPE refers to a company organized for a specific purpose, the activities of which are significantly limited to
those appropriate to accomplish a specific purpose, and the structure of which is intended to isolate the credit risk
of the SPE.
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Collateral Value
Refers to the fair value under GAAP of the referenced asset or pool of collateral, gross of any
haircuts, according to the close‐of‐business marks on the as‐of date.
Maturity Bucket
Report the appropriate maturity time bucket value for each data element, based on the listing
provided in Appendix IV.
• Report all information based on the contractual maturity of each data element.
o Do not report based on behavioral or projected assumptions.
• “Day 1” (Calendar Day 1) represents balances on T+1 (maturing the next calendar day
from T).
• Report non‐maturity transactions and balances (e.g., retail demand deposits) as “Open”.
• Outflows with embedded options that are exercisable at the investor’s discretion should
be reported at the earliest date the funds can be withdrawn by the investor.
• Inflows with embedded options that are exercisable at the borrower’s discretion should
be reported at the latest date the funds can be paid by the borrower (internal and/or
external).
• Outflows with embedded options that are exercisable at the reporting entity’s
discretion should be reported at the earliest date the funds can be paid by the reporting
entity. However, if the reporting entity has a call option on an outflow instrument
described in section 31(a)(1)(iii) of the LCR Rule, then the original maturity can be used
to determine the proper maturity bucket.
• Inflows with embedded options that are exercisable at the reporting entity’s discretion
should be reported at the latest date the funds can be received by the reporting entity.
• For outflows with embedded options, if the option is subject to a contractually defined
notice period, the reporting entity must determine the earliest possible contractual
maturity date regardless of the notice period. For inflows with embedded options, if the
option is subject to a contractually defined notice period, the reporting entity must
determine the latest possible contractual maturity date based on the borrower using
the entire notice period.
• In the case of forward starting transactions with an open maturity, report the [Maturity
Bucket] value equal to the [Forward Start Bucket] value until the forward start date
arrives. Do not report the record with a [Maturity Bucket] value of “Open” until the
forward starting leg actually settles.
• Report all executed transactions, including transactions that have traded but have not
settled.
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o Do not report transactions that are anticipated, but have not yet been
executed.
• Further guidance that is only relevant to specific products is provided in the product
definitions section.
Effective Maturity Bucket
This field is only relevant for data elements in the Inflows‐Secured table. Report a maturity time
bucket value in this field for all Inflows‐Secured data elements where the collateral received has
been rehypothecated. With respect to a transaction reported in the Inflows‐Secured table, to
the extent the transaction is secured by collateral that has been pledged in connection with
either a secured funding transaction or collateral swap exchange, the effective maturity date is
the later of the stated maturity date of the secured lending transaction, or the maturity date of
the secured funding transaction or collateral swap to which the collateral has been pledged. For
transactions where the collateral received has been rehypothecated and delivered into a firm
short position, report an effective maturity date of “Open”. Do not report an effective maturity
date of “Open” if the collateral received has been delivered into any other type of transaction.
Under circumstances where the collateral received via a secured lending transaction with an
“Open” maturity date has been rehypothecated and delivered into another transaction with an
“Open” maturity date that is not a firm short position, report a “Day 1” value in the [Effective
Maturity Bucket] field.
Maturity Amount
Report the notional amount contractually due to be paid or received at maturity for each data
element.
All notional currency‐denominated values should be reported in millions (e.g., U.S.
dollar‐denominated transactions in USD millions, sterling‐denominated transactions in
GBP millions).
This amount represents the aggregate balance of trades, positions or accounts that
share common data characteristics (i.e., common non‐numerical field values). If the
aggregate amount rounds to less than ten thousand currency units (i.e., 0.01 for this
report), the record should not be reported.
o Example: The banking entity has corporate customers with a total of $2.25 billion
in operational and non‐operational deposits, of which:
$1 billion is operational and fully FDIC insured with an open
maturity;
$500 million is non‐operational uninsured with an open maturity;
and
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$750 million is non‐operational uninsured maturing on calendar
day 5.
o Table 1 below illustrates how the total operational and non‐operational
corporate deposit balance should be disaggregated and reported across these
three distinct combinations of fields in the deposit table (O.D).
Table 1 – Example: maturity amount aggregation
O.D fields:
Sample 1:
Sample 2:
Sample 3:
Reporting
Currency Converted PID
Entity
BANK
USD
No
4
BANK
USD
No
5
BANK
USD
No
5
Product
SID
Operational
Non‐operational
Non‐operational
3
3
3
Maturity Maturity Collateral Collateral
Internal
Insured Trigger Rehyp'd Internal
Amount Bucket
Class
Value
Counterparty
Non‐financial corporate 1,000
Open
FDIC
N
N
Non‐financial corporate
500
Open
Uninsured
N
N
Non‐financial corporate
750
Day 5
Uninsured
N
N
Sub‐Product
Forward Start Bucket
This field is only relevant for data elements with a forward‐starting leg (i.e., the trade settles at
a future date). Report the appropriate maturity bucket for the forward‐starting settlement date
of each applicable data element, based on the maturity buckets provided in Appendix IV. See
the Supplemental‐Foreign Exchange table guidance in the product definitions section for
further instruction on how to report forward‐starting foreign exchange transactions.
Forward Start Amount
This field is only relevant for data elements with a forward‐starting leg. In conjunction with the
forward start bucket, report the notional amount due to be paid or received on the opening
trade settlement date of forward starting transactions. See the Supplemental‐Foreign Exchange
table guidance in the product definitions section for further instruction on how to report
forward‐starting foreign exchange transactions.
Internal
This field is only relevant for data elements reporting transactions between FR 2052a reporting
entities and designated internal counterparties (i.e., affiliated transactions). Flag all data
elements representing these transactions with a “Yes” in this field. Affiliated transactions are
defined as all transactions between the reporting entity and any other entity external to the
reporting entity that falls under the “Scope of the Consolidated Entity” as defined in these
instructions (e.g., branches, subsidiaries, affiliates, VIEs, and IBFs).
Internal Counterparty
This field is only relevant for data elements reporting affiliated transactions. Report the internal
counterparty for affiliated transactions referenced above in this field.
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Treasury Control
This field is only applicable to the Assets, Secured and Inflows‐Other tables (however, the
concept is also implicated for certain Supplemental Information products). Use this field to flag
(“Yes”) assets, or transactions secured by assets that meet the operational requirements for
eligible HQLA in the LCR Rule other than the requirement to be unencumbered, which
addresses: the operational capability to monetize; policies that require control by the function
of the bank charged with managing liquidity risk; policies and procedures that determine the
composition; and not being client pool securities or designated to cover operational costs.
Do not set [Treasury Control]=”Yes” in the Secured‐Inflows table where the collateral received
has been rehypothecated and pledged to secure a collateral swap where the collateral that
must be returned at the maturity of the swap transaction does not qualify as HQLA per the FR
2052a Asset Category Table (Appendix III).
Market Value
This field is only applicable to the Assets and Informational Items tables. Report the fair value
under GAAP for each applicable data element.
Report values according to the close‐of‐business marks on the as‐of date.
Lendable Value
This field is only applicable to the Assets table. Report the lendable value of collateral for each
applicable data element in the assets table.
Lendable value is the value that the reporting entity could obtain for assets in secured
funding markets after adjusting for haircuts due to factors such as liquidity, credit and
market risks.
Prime Brokerage
This field is applicable to the Secured, Unsecured, Other, Wholesale, Informational Items, and
Foreign Exchange tables. Use this field to flag (“Yes”) all data elements that relate specifically to
the prime brokerage or prime services business.
Prime brokerage refers to a package of services offered by an entity whereby the entity,
among other services, executes, clears, settles, and finances transactions entered into
by the customer or a third‐party entity on behalf of the customer (such as an executing
broker), and where the entity has a right to use or rehypothecate assets provided by the
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customer, including in connection with the extension of margin and other similar
financing of the customer.
Settlement
This field is only applicable to the Secured and Foreign Exchange tables. Use this field to identify
the settlement mechanisms used for Secured and Foreign Exchange products.
Products in the secured tables should be classified using the following flags:
o TRIPARTY: secured financing transactions settled on the US‐based tri‐party
platform
o OTHER: secured financing transactions settled on other (e.g., non‐US) third‐party
platforms
o BILATERAL: secured financing transactions settled bilaterally
Products in the foreign exchange table should be classified using the following flags:
o CLS: FX transactions centrally cleared via CLS
o OTHER: FX transactions settled via other (non‐CLS) central clearinghouses
o BILATERAL: FX transactions settled bilaterally
Rehypothecated
This field is only applicable to the Outflows‐Secured and Outflows‐Deposits tables. Use this field
to flag (“Yes”) data elements representing transactions or accounts secured by collateral that
has been rehypothecated. Transactions should not be flagged as rehypothecated if they have
not yet settled.
Unencumbered
This field is only applicable to the Inflows‐Secured table. Use this field to flag (“Yes”) secured
transactions where the collateral received is held unencumbered in inventory and: (i) the assets
are free of legal, regulatory, contractual, or other restrictions on the ability of the reporting
entity to monetize the assets; and (ii) the assets are not pledged, explicitly or implicitly, to
secure or to provide credit enhancement to any transaction. Transactions should not be flagged
as unencumbered if they have not yet settled. Do not flag secured transactions as
unencumbered if the collateral received has been pre‐positioned at a central bank or Federal
Home Loan Bank (FHLB), as that collateral should also be reported under product I.A.2:
Capacity.
Insured
This field is only applicable to the Outflows‐Deposits table. Use this field to identify
balances that are fully insured by the FDIC or other foreign government‐sponsored deposit
insurance systems.
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FDIC
Refers to deposits fully insured by FDIC deposit insurance.
Other
Refers to deposits that are fully insured by non‐US local‐jurisdiction government
deposit insurance.
Uninsured
Refers to deposits that are not fully insured by FDIC deposit insurance or other non‐ US
local‐jurisdiction government deposit insurance.
Trigger
This field is only applicable to the Outflows‐Deposits table. Use this field to flag (“Yes”)
deposit accounts that include a provision requiring the deposit to be segregated or
withdrawn in the event of a specific change or “trigger”, such as a change in a reporting
entity’s credit rating.
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Product Table of Contents
I.A: Inflows‐Assets ....................................................................................................................................... 22
I.A. 1: Unencumbered Assets ............................................................................................................... 22
I.A.2: Capacity ..................................................................................................................................... 22
I.A.3: Unrestricted Reserve Balances .................................................................................................. 23
I.A.4: Restricted Reserve Balances ...................................................................................................... 24
I.A.5: Unsettled Asset Purchases ........................................................................................................ 24
I.A.6: Forward Asset Purchases ........................................................................................................... 24
I.U: Inflows‐Unsecured................................................................................................................................ 24
I.U.1: Onshore Placements ................................................................................................................. 25
I.U.2: Offshore Placements ................................................................................................................. 25
I.U.3: Required Nostro Balances ......................................................................................................... 26
I.U.4: Excess Nostro Balances ............................................................................................................. 26
I.U.5: Outstanding Draws on Revolving Facilities ............................................................................... 26
I.U.6: Other Loans ............................................................................................................................... 26
I.S: Inflows‐Secured ..................................................................................................................................... 26
I.S.1: Reverse Repo ............................................................................................................................. 27
I.S.2: Securities Borrowing .................................................................................................................. 27
I.S.3: Dollar Rolls ................................................................................................................................. 27
I.S.4: Collateral Swaps ......................................................................................................................... 27
I.S.5: Margin Loans .............................................................................................................................. 28
I.S.6: Other Secured Loans (Rehypothecatable) ................................................................................. 28
I.S.7: Other Secured Loans (Non‐Rehypothecatable) ......................................................................... 28
I.O: Inflows‐Other ....................................................................................................................................... 28
I.O.1: Derivatives Receivables ............................................................................................................. 28
I.O.2: Collateral Called for Receipt ...................................................................................................... 28
I.O.3: TBA Sales ................................................................................................................................... 29
I.O.4: Undrawn Committed Facilities Purchased ................................................................................ 29
I.O.5: Lock‐up Balance......................................................................................................................... 29
I.O.6: Interest and Dividends Receivable ............................................................................................ 29
I.O.7: Net 30‐Day Derivative Receivables ........................................................................................... 30
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I.O.8: Principal Payments Receivable on Unencumbered Investment Securities ............................... 30
I.O.9: Other Cash Inflows .................................................................................................................... 30
O.W: Outflows‐Wholesale .......................................................................................................................... 30
O.W.1: Asset‐Backed Commercial Paper (ABCP) Single‐Seller ........................................................... 31
O.W.2: Asset‐Backed Commercial Paper (ABCP) Multi‐Seller ............................................................ 31
O.W.3: Collateralized Commercial Paper ............................................................................................ 31
O.W.4: Asset‐Backed Securities (ABS) ................................................................................................ 31
O.W.5: Covered Bonds ........................................................................................................................ 31
O.W.6: Tender Option Bonds .............................................................................................................. 31
O.W.7: Other Asset‐Backed Financing ................................................................................................ 31
O.W.8: Commercial Paper................................................................................................................... 32
O.W.9: Onshore Borrowing ................................................................................................................. 32
O.W.10: Offshore Borrowing .............................................................................................................. 33
O.W.11: Unstructured Long Term Debt .............................................................................................. 33
O.W.12: Structured Long Term Debt .................................................................................................. 33
O.W.13: Government Supported Debt ............................................................................................... 33
O.W.14: Unsecured Notes .................................................................................................................. 34
O.W.15: Structured Notes ................................................................................................................... 34
O.W.16: Wholesale CDs ...................................................................................................................... 34
O.W.17: Draws on Committed Lines ................................................................................................... 34
O.W.18: Free Credits ........................................................................................................................... 34
O.W.19: Other Unsecured Financing .................................................................................................. 34
O.S: Outflows‐Secured ................................................................................................................................ 34
O.S.1: Repo ......................................................................................................................................... 35
O.S.2: Securities Lending..................................................................................................................... 35
O.S.3: Dollar Rolls ................................................................................................................................ 35
O.S.4: Collateral Swaps ....................................................................................................................... 35
O.S.5: FHLB Advances ......................................................................................................................... 36
O.S.6: Exceptional Central Bank Operations ....................................................................................... 36
O.S.7: Customer Shorts ....................................................................................................................... 36
O.S.8: Firm Shorts ............................................................................................................................... 38
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O.S.9: Other Secured Financing Transactions ..................................................................................... 39
O.D: Outflows‐Deposits .............................................................................................................................. 39
O.D.1: Transactional Accounts ............................................................................................................ 40
O.D.2: Non‐Transactional Relationship Accounts ............................................................................... 41
O.D.3: Non‐Transactional Non‐Relationship Accounts ....................................................................... 41
O.D.4: Operational Accounts .............................................................................................................. 41
O.D.5: Non‐Operational Accounts ...................................................................................................... 41
O.D.6: Operational Escrow Accounts .................................................................................................. 41
O.D.7: Non‐Reciprocal Brokered Accounts ......................................................................................... 42
O.D.8: Affiliated Sweep Accounts ....................................................................................................... 42
O. D.9: Non‐Affiliated Sweep Accounts .............................................................................................. 42
O.D.10: Other Product Sweep Accounts ............................................................................................. 42
O.D.11: Reciprocal Accounts............................................................................................................... 43
O.D.12: Other Third‐Party Deposits .................................................................................................... 43
O.D.13: Other Accounts ...................................................................................................................... 43
O.O: Outflows‐Other ................................................................................................................................... 43
O.O.1: Derivatives Payables ................................................................................................................ 43
O.O.2: Collateral Called for Delivery ................................................................................................... 44
O.O.3: TBA Purchases.......................................................................................................................... 44
O.O.4: Credit Facilities ........................................................................................................................ 44
O.O.5: Liquidity Facilities..................................................................................................................... 45
O.O.6: Retail Mortgage Commitments ............................................................................................... 45
O.O.7: Trade Finance Instruments ...................................................................................................... 46
O.O.8: MTM Impact on Derivative Positions ...................................................................................... 46
O.O.9: Loss of Rehypothecation Rights Due to a 1 Notch Downgrade ............................................... 46
O.O.10: Loss of Rehypothecation Rights Due to a 2 Notch Downgrade ............................................. 46
O.O.11: Loss of Rehypothecation Rights Due to a 3 Notch Downgrade ............................................. 46
O.O.12: Loss of Rehypothecation Rights Due to Changes in Financial Condition ............................... 46
O.O.13: Total Collateral Required Due to a 1 Notch Downgrade ....................................................... 46
O.O.14: Total Collateral Required Due to a 2 Notch Downgrade ....................................................... 47
O.O.15: Total Collateral Required Due to a 3 Notch Downgrade ....................................................... 47
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O.O.16: Total Collateral Required Due to a Change in Financial Condition ........................................ 47
O.O.17: Excess Margin ........................................................................................................................ 47
O.O.18: Unfunded Term Margin ......................................................................................................... 47
O.O.19: Interest & Dividends Payable................................................................................................. 47
O.O.20: Net 30‐Day Derivative Payables............................................................................................. 48
O.O.21: Other Outflows Related to Structured Transactions ............................................................. 48
O.O.22: Other Cash Outflows.............................................................................................................. 48
S.I: Supplemental‐Informational ................................................................................................................. 48
S.I. 1: Initial Margin Posted ‐ House ..................................................................................................... 49
S.I.2: Initial Margin Posted ‐ Customer ............................................................................................... 49
S.I.3: Initial Margin Received............................................................................................................... 49
S.I.4: Variation Margin Posted ‐ House ............................................................................................... 49
S.I.5: Variation Margin Posted ‐ Customer.......................................................................................... 49
S.I.6: Variation Margin Received ......................................................................................................... 50
S.I.7: Collateral Disputes Deliverables ................................................................................................ 50
S.I.8: Collateral Disputes Receivables ................................................................................................. 50
S.I.9: Sleeper Collateral Deliverables .................................................................................................. 50
S.I.10: Sleeper Collateral Receivables ................................................................................................. 50
S.I.11: Derivative Collateral Substitution Risk ..................................................................................... 50
S.I.12: Derivative Collateral Substitution Capacity.............................................................................. 51
S.I.13: Other Collateral Substitution Risk ............................................................................................ 51
S.I.14: Other Collateral Substitution Capacity..................................................................................... 51
S.I.15: Long Market Value Client Assets .............................................................................................. 51
S.I.16: Short Market Value Client Assets ............................................................................................. 52
S.I.17: Gross Client Wires Received .................................................................................................... 52
S.I.18: Gross Client Wires Paid ............................................................................................................ 52
S.I.19: Subsidiary Liquidity That Cannot be Transferred ..................................................................... 52
S.I.20: FRB 23A Capacity...................................................................................................................... 52
S.I.21: Unencumbered Asset Hedges – Early Termination Outflows .................................................. 53
S.I.22: Unencumbered Asset Hedges – Early Termination Inflows ..................................................... 53
S.I.23: Non‐Structured Debt Maturing in Greater than 30‐days – Primary Market Maker ................ 53
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S.I.24: Structured Debt Maturing in Greater than 30‐days – Primary Market Maker ........................ 53
S.FX: Supplemental‐Foreign Exchange ........................................................................................................ 53
S.FX.1: Spot ......................................................................................................................................... 56
S.FX.2: Forwards and Futures ............................................................................................................. 56
S.FX.3: Swaps ...................................................................................................................................... 56
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I.A: Inflows‐Assets
I.A.1: Unencumbered Assets
Refers to assets that are purchased outright that are (i) free of legal, regulatory, contractual, or
other restrictions on the ability of the reporting entity to monetize the assets; and (ii) not
pledged, explicitly or implicitly, to secure or to provide credit enhancement to any transaction.
Exclude all unencumbered assets that are pledged to a central bank or a U.S. government‐
sponsored enterprise that meet the specifications of, and should be reported under, product
I.A.2: Capacity. Exclude transactions involving the purchase of securities that have been
executed, but not yet settled as those transactions should be reported in lines I.A.5: Unsettled
Asset Purchases or I.A.6: Forward Asset Purchases, depending on the timing of settlement. If
unencumbered assets have associated hedges (e.g., interest rate hedges), report the amounts
payable by or receivable to the reporting institution if the hedge were to be terminated by
close of business on the as‐of date (T) in lines S.I.21: Unencumbered Asset Hedges – Early
Termination Outflows or S.I.22: Unencumbered Asset Hedges – Early Termination Inflows,
respectively. Any amounts due to the reporting institution with respect to the associated
hedges should not be added or subtracted from the fair value of the asset. Include
unencumbered loans held as available‐for‐sale or for trading purposes, even though these loans
must also be reported under the appropriate Inflows‐Unsecured products. Do not exclude
assets that are owned outright at a subsidiary of the reporting entity, but have been pledged to
secure a transaction with another subsidiary of the reporting entity; to the extent these assets
remain unencumbered.
I.A.2: Capacity
Refers to the available credit extended by central banks or GSEs that is secured by acceptable
collateral, where (i) potential credit secured by the assets is not currently extended to the
reporting entity or its consolidated subsidiaries; and (ii) the pledged assets are not required to
support access to the payment services of a central bank. The amount of available capacity
should be reported net of any advances that have already been drawn upon or other forms of
encumbrance (e.g., FHLB LOCs). The [Market Value] field should indicate the market value of
collateral pledged, while the [Lendable Value] field should indicate the residual capacity
available to draw against this collateral. For the purpose of reporting available capacity and
encumbrance, under circumstances where draws are not assessed against specific individual
assets, but rather the entire pool of collateral generally, assume that the lowest quality assets
are encumbered first followed by higher quality assets (quality in terms of high‐quality liquid
asset categories under the LCR Rule). Include unencumbered loans, even though these loans
must also be reported under the appropriate Inflows‐Unsecured products.
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Use the [Sub‐Product] field to identify the specific source of the capacity according to the
following choices:
FRB (Federal Reserve Bank)
SNB (Swiss National Bank)
BOE (Bank of England)
ECB (European Central Bank)
BOJ (Bank of Japan)
RBA (Reserve Bank of Australia)
BOC (Bank of Canada)
OCB (Other Central Bank)
FHLB (FHLB System)
Other GSE
I.A.3: Unrestricted Reserve Balances
Refers to reserve bank balances maintained at a Federal Reserve Bank, less the reserve balance
requirement as defined in section 204.5(a)(1) of Regulation D (12 CFR 204.5(a)(1)), foreign
withdrawable reserves maintained at other central banks, and Federal Reserve term deposits
that are not held to satisfy reserve requirements.
Reserve Bank balances has the meaning set forth in the LCR Rule. For those accounts that
explicitly and contractually permit withdrawal upon demand prior to the expiration of the term
or that may be pledged as collateral for term or automatically renewing overnight advances
from the Federal Reserve Bank, report the [Maturity Bucket] value as “Open”. For other
accounts, report the [Maturity Bucket] value that corresponds with the contractual maturity.
Foreign withdrawable reserves have the meaning set forth in the LCR Rule.
Use the [Sub‐Product] field to further identify the specific central bank account according to the
following choices, or “other cash” for currency and banknotes:
FRB (Federal Reserve Bank)
SNB (Swiss National Bank)
BOE (Bank of England)
ECB (European Central Bank)
BOJ (Bank of Japan)
RBA (Reserve Bank of Australia)
BOC (Bank of Canada)
OCB (Other Central Bank)
Other Cash9
9
The sub‐product "Other Cash" should capture any cash items, such as vault cash in the US, which qualify to offset
the reporting entity's reserve requirement, but are not reflected in the reporting entity's account balance at the
relevant central bank.
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I.A.4: Restricted Reserve Balances
Refers to balances held at central banks that are not immediately withdrawable and currency
and banknotes, including the reserve balances and term deposits that are held to satisfy
reserve requirements.
Use the [Sub‐Product] field to further identify the specific central bank account according to the
following choices, or “other cash” for currency and banknotes:
FRB (Federal Reserve Bank)
SNB (Swiss National Bank)
BOE (Bank of England)
ECB (European Central Bank)
BOJ (Bank of Japan)
RBA (Reserve Bank of Australia)
BOC (Bank of Canada)
OCB (Other Central Bank)
Other Cash
I.A.5: Unsettled Asset Purchases
Refers to transactions involving the purchase of securities that have been executed, but have
not yet settled; and for which the settlement contractually occurs within the period of time
(after the trade date) generally established by regulations or conventions in the marketplace or
exchange in which the transaction is being executed (i.e., regular‐way security trades). Use the
Forward Start Amount and Forward Start Bucket fields to indicate the settlement amount and
settlement date of the securities purchased.
I.A.6: Forward Asset Purchases
Refers to transactions involving the purchase of securities that have been executed, but not yet
settled; and for which the settlement contractually occurs outside the period of time (after the
trade date) generally established by regulations or conventions in the marketplace or exchange
in which the transaction is being executed (i.e., not a regular‐way security trade). Use the
Forward Start Amount and Forward Start Bucket fields to indicate the settlement amount and
settlement date of the securities purchased. These transactions must also be included in the
calculation of products I.O.7: Net 30‐day Derivative Receivables and O.O.20: Net 30‐day
Derivative Payables.
I.U: Inflows‐Unsecured
General Guidance: Report aggregated principal and interest cash inflows for all fully performing
loans and placements. Do not make any assumptions about amortizations or pre‐payments. If
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an amortizing loan is underwritten on a forward‐starting basis, the amount reported in the
[Forward Start Amount] field, representing the initial disbursement of the loan, should be split
across all associated products and should match the corresponding maturity amount (i.e., the
principal payment received for that period). For syndicated loans, only report the portion of
the loan that is due to the reporting entity. Include overdrafts as well as instruments classified
as loans based on GAAP in this section.
For all products, use the [Counterparty] field to further identify the type of borrower as one of
the following:
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
The following list defines the scope of products to be reported in the Inflows‐Unsecured table:
I.U.1: Onshore Placements
Refers to unsecured placements of the domestic currency between eligible domestic
institutions made in the wholesale inter‐bank or inter‐dealer broker market. (e.g., fed funds10
sold, domestic sterling sold, domestic euro, domestic yen).
I.U.2: Offshore Placements
Refers to unsecured placements of the domestic currency outside of the onshore market, but
still placed through the wholesale inter‐bank or inter‐dealer broker market (e.g., Eurodollars,
EuroSterling, EuroYen, EuroEuro).
10
See: http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html for definition.
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I.U.3: Required Nostro Balances
Refers to the minimum balances held at other financial counterparties necessary to maintain
ongoing operational activities, such as clearing and settlement.
I.U.4: Excess Nostro Balances
Refers to balances placed at other financial counterparties in excess of what is necessary to
maintain ongoing operational activities. If a reporting entity cannot reasonably identify excess
balances, do not report any balance as excess and report the entire balance in I.U.3: Required
Nostro Balances.
I.U.5: Outstanding Draws on Revolving Facilities
Refers to the existing loan arising from the drawn portion of a revolving facility (e.g., a general
working capital facility) extended by the reporting entity.
I.U.6: Other Loans
Refers to all other loans. Include any subordinated lending to affiliates that do not fall within
the reporting entity’s scope of consolidation.
I.S: Inflows‐Secured
General Guidance: Report the contractual principal and interest payments to be received.
Report the fair (market) value of the pledged securities using the Collateral Value field. Report
on a gross basis; do not net borrowings against loans. FIN 41 does not apply for this report. If an
amortizing loan is underwritten on a forward‐starting basis, the amount reported in the
[Forward Start Amount] field, representing the initial disbursement of the loan, should be split
across all associated products and should match the corresponding maturity amount (i.e., the
principal payment received for that period).
Asset Category: For transactions that allow for collateral agreement amendments, report the
transaction based on the actual stock of collateral held as of the as‐of date (T).
For all products, use the [Counterparty] field to further identify the type of borrower as one of
the following:
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
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GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
The following is a list of products to be reported in the Inflows‐Secured table:
I.S.1: Reverse Repo
Refers to all reverse repurchase agreements (including under Master Repurchase Agreement or
Global Master Repurchase Agreements).
I.S.2: Securities Borrowing
Refers to all securities borrowing transactions (including under Master Securities Loan
Agreements).
I.S.3: Dollar Rolls
Refers to transactions using “To Be Announced” (TBA) contracts with the intent of providing
financing for a specific security or pool of collateral. Report transactions where the reporting
entity has agreed to buy the TBA contract and sell it back at a later date.
I.S.4: Collateral Swaps
Refers to transactions where non‐cash assets are exchanged (e.g., collateral
upgrade/downgrade trades) at the inception11 of the transaction, or a non‐cash asset is
borrowed and no collateral is posted (i.e., an unsecured borrowing of collateral), and the assets
will be returned at a future date.
For collateral swaps where there is an exchange of non‐cash assets, split the collateral swap
into two separate borrowing and lending transactions and report in both the Inflows‐Secured
and Outflows‐Secured tables. I.S.4 should reflect the borrowing leg of the transaction. Report
the [Collateral Class] according to the assets received. Report the fair value under GAAP of the
assets received in the [Collateral Value] field. Report the fair value under GAAP of the assets
pledged in the [Maturity Amount] field. Use the [Sub‐Product] field to identify the type of
collateral pledged based on the asset categories defined in the LCR Rule:
11
Collateral swap transactions that are remargined with cash payments should continue to be reported under this
product.
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Level 1 Pledged
Level 2a Pledged
Level 2b Pledged
Non‐HQLA Pledged
For collateral swaps where a non‐cash asset is borrowed, report the [Collateral Class] according
to the assets received and report the fair value under GAAP of the assets received in the
[Collateral Value] field.
I.S.5: Margin Loans
Refers to credit provided to a client to fund a trading position, collateralized by the client’s cash
or security holdings. Report margin loans on a gross basis; do not net client debits and credits.
I.S.6: Other Secured Loans (Rehypothecatable)
Refers to all other secured lending that does not otherwise meet the definitions of the Inflows‐
Secured products listed above, for which the collateral received is contractually
rehypothecatable.
I.S.7: Other Secured Loans (Non‐Rehypothecatable)
Refers to all other secured lending that does not otherwise meet the definitions of the Inflows‐
Secured products listed above, for which the collateral received is not contractually
rehypothecatable.
I.O: Inflows‐Other
I.O.1: Derivatives Receivables
Refers to the maturing incoming cash flows related to uncollateralized derivatives (e.g.,
interest rate, equity, commodity, and option premiums). Report contractually known
receivables for fixed and floating rate payables. If a floating rate has not been set, report the
undiscounted anticipated cash flow by maturity. Do not include brokerage commission fees,
exchange fees, or cash flows from unexercised in‐the‐money options. Netting receivables and
payables by counterparty and maturity date is allowed if a valid netting agreement is in place,
allowing for the net settlement of contractual flows. Do not include receivables related to the
exchange of principal amounts for foreign exchange transactions, as these should be reported
in the Supplemental‐Foreign Exchange table under products S.FX.1 through S.FX.3.
I.O.2: Collateral Called for Receipt
Refers to the fair value under GAAP of collateral due to the reporting entity as of date T (the
collateral flow). This product does not represent the entire stock of collateral held, which
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FR 2052a Instructions
should be reported in S.I.2: Initial Margin Received or S.I.4: Variation Margin Received.
Collateral calls should be related to outstanding collateralized contracts which include but are
not limited to derivative transactions with bilateral counterparties, central counterparties, or
exchanges. Use the Maturity Bucket field to identify the expected settlement date. For
collateral calls with same‐day settlement (i.e., the collateral is both called and received on date
T), report using the “Open” value in the Maturity Bucket field. If the settlement date or
[Maturity Bucket] is unknown, then exclude the transaction from the data collection. If the
[Currency] or [Collateral Class] is unknown then default to [Currency] =”USD” and [Collateral
Class] = “Z‐1” (i.e., the asset category for “all other assets”).
I.O.3: TBA Sales
Refers to all sales of TBA contracts for market making or liquidity providing. Do not include TBA
sales which are part of a Dollar Roll, as defined under products I.S.3 or O.S.3.
I.O.4: Undrawn Committed Facilities Purchased
Refers to legally binding agreements that provide the reporting entity with the ability to draw
funds at a future date. Report only facilities that are committed, as defined in the LCR Rule.
I.O.5: Lock‐up Balance
Refers to inflows related to broker‐dealer segregated accounts, as set forth in the LCR Rule. The
I.O.[Maturity Bucket] value must reflect the date of the next scheduled calculation of the
amount required under applicable legal requirements for the protection of customer assets
with respect to each broker‐dealer segregated account, in accordance with the reporting
entity’s normal frequency of recalculating such requirements.
I.O.6: Interest and Dividends Receivable
Refers to contractual interest and dividend payments receivable on securities owned by the
reporting entity, except for amortizing products for which the principal and interest amounts
cannot be readily separated. Do not include receivables related to unsecured derivative
transactions, which should be reported under product I.O.1: Derivatives Receivables and
included in the calculation of I.O.7: Net 30‐day Derivative Receivables. Do not include interest
receivable on loans, which should be aggregated and reported under the appropriate I.U or I.S
product. Use the [Treasury Control] field to identify payments receivable related to securities
that are similarly flagged in the Inflows‐Assets table. For all interest and dividend payments
reported, indicate the corresponding collateral class in the [Collateral Class] field. Under
circumstances where the interest and dividend payments receivable are uncertain (e.g. an
indexed floating rate payment has not yet been set), forecast receivables for a minimum of 30
calendar days beyond the as‐of date (T).
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I.O.7: Net 30‐Day Derivative Receivables
Refers to the net derivative cash inflow amount, as set forth in the LCR Rule.
I.O.8: Principal Payments Receivable on Unencumbered Investment Securities
Refers to contractual principal payments receivable on reporting entity‐owned investment
securities. For amortizing products for which the principal and interest amounts cannot be
readily separated, report aggregated principal and interest cash inflows, and do not report the
interest under I.O.6: Interest and Dividends Receivable. For other products, report the
contractual principal cash payment to be received, excluding interest payments, which should
be reported under product I.O.6: Interest and Dividends Receivable. Do not include principal
payments receivable on loans held as investments, which should be reported separately under
the appropriate product in the Inflows‐Unsecured table. Do not include principal payments
receivable on securities that are currently encumbered. Use the [Treasury Control] field to
identify payments receivable related to securities that are similarly flagged in the Inflows‐Assets
table. For all principal payments reported, indicate the corresponding collateral class in the
[Collateral Class] field. Under circumstances where the principal payments receivable are
uncertain (e.g. an index‐linked structured note, where the payout has not yet been
determined), forecast receivables for a minimum of 30 calendar days beyond the as‐of date (T).
I.O.9: Other Cash Inflows
Refers to other contractual cash inflows that do not adhere to the definitions of the products
outlined above. Contact the supervisory team to determine if the associated cash flow should
be reported.
O.W: Outflows‐Wholesale
Conduit and Asset‐Backed Funding
General Guidance: For products that typically make use of conduits or SPEs to finance assets
for which the reporting entity 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. For debt instruments issued at a discount, report the final
maturity obligation under the [Maturity Amount] field, which will effectively include interest
accrued over the term of the instrument. Report all other periodic interest payments under
product O.O.19 Interest & Dividends Payable.
Reporting Entity: In most cases, conduits should be reported as if “on‐balance sheet” at one of
the designated reporting entities (e.g., bank) and the “consolidated” reporting entity,
specifically if the entity is consolidated under GAAP. Therefore, if the reporting entity uses a
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repurchase agreement to facilitate the transfer of assets to or from this conduit, this repo
agreement should not be reported in any section of this report in order to avoid double
counting.
If the issuance requires an additional guarantee or line of support, only report the line of
support if the issuance and corresponding line of support reside in two distinct legal entities.
Lines of support for SPEs should be reported in the Outflows‐Other table according to the
appropriate product instructions. For consolidated entity reporting purposes, only report the
conduit issuance and do not include the line of support to avoid double counting.
If the reporting entity issues a new product that makes use of a conduit which is not defined
below, please notify the supervisory team and report the balances as O.W.7: Other Asset‐
Backed Financing in the Outflows‐Wholesale table.
The following list outlines the products that typically make use of conduits or SPVs to be
reported in the Outflows‐Wholesale table:
O.W.1: Asset‐Backed Commercial Paper (ABCP) Single‐Seller
O.W.2: Asset‐Backed Commercial Paper (ABCP) Multi‐Seller
O.W.3: Collateralized Commercial Paper
O.W.4: Asset‐Backed Securities (ABS)
O.W.5: Covered Bonds
O.W.6: Tender Option Bonds
O.W.7: Other Asset‐Backed Financing
Refers to (i) all other asset‐backed financing arrangements that make use of conduits; and (ii) all
other issuances backed by a lien on an underlying asset or pool of collateral where rights of
rehypothecation over the collateral are not conferred to the investor or counterparty.
Unsecured Funding
General Guidance: For products that generate unsecured funding, report the contractual
liabilities based on the remaining maturity of the issuance. Do not record book/fair value. To
the extent that the interest payable on structured instruments is realized through increases or
decreases in the principal balance, this interest/return should be aggregated with the principal
maturity amount of the associated product. For debt instruments issued at a discount (e.g.,
commercial paper), report the final maturity obligation under the [Maturity Amount] field,
which will effectively include interest accrued over the term of the instrument. Report all other
periodic interest payments under product O.O.19 Interest & Dividends Payable.
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If the reporting entity issues a new unsecured product to generate funding that is not outlined
in the list below, please notify the supervisory team and report the balances in O.W.19: Other
Unsecured Financing.
The following list outlines the unsecured products to be reported in the Outflows‐Wholesale
table:
O.W.8: Commercial Paper
O.W.9: Onshore Borrowing
Refers to unsecured borrowing of the domestic currency between eligible domestic institutions
made in the wholesale inter‐bank or inter‐dealer broker market. (e.g., fed funds12 purchased,
domestic sterling purchased, domestic euro, domestic yen).
Onshore borrowing must satisfy the following criteria: (1) the currency denomination of the
transaction is matched with the jurisdiction in which the transaction is booked; and (2) the
transacting entities (i.e., the legal entities party to the transaction) are both domiciled in the
same jurisdiction.
Use the O.W.[Counterparty] field to further identify the type of lender according to the
following choices:
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
12
For FRBNY definition, see: http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html
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W.W. 0: Offshore Borrowing
Refers to unsecured borrowing of the domestic currency outside of the onshore market, but
still placed through the inter‐bank or inter‐dealer broker market (e.g., Eurodollars, EuroSterling,
EuroYen, EuroEuro).
Use the O.W.[Counterparty] field to further identify the type of lender according to the
following choices:
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
O.W.11: Unstructured Long Term Debt
Refers to debt issuances with original maturity greater than one year, including plain vanilla
floating rate notes linked to indexes like LIBOR or Fed Funds Effective and plain vanilla
benchmark issuances with standard embedded options (i.e., call/put). Include instruments
classified as long‐term debt under GAAP. Include subordinated debt issued to affiliates that fall
outside the reporting entity’s scope of consolidation. Do not include perpetual preferred stock.
O.W.12: Structured Long Term Debt
Refers to debt instruments with original maturity greater than one year whose principal or
interest payments are linked to an underlying asset (e.g., commodity linked notes, equity linked
notes, reverse convertible notes, currency linked notes). Include instruments classified as long
term debt under GAAP accounting rules that also meet the structured description set forth in
this product. Do not include perpetual preferred stock.
O.W.13: Government Supported Debt
Refers to debt issuances with an explicit guarantee from a sovereign entity or central bank (e.g.,
TLGP).
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O.W.14: Unsecured Notes
Refers to issuances of unsecured debt with original maturities less than a year, including
promissory notes and bank notes, but excluding the other forms of unsecured financing defined
elsewhere, and excluding all deposits as defined in the Outflows‐Deposits section.
O.W.15: Structured Notes
Refers to debt instruments with original maturity less than one year whose principal or interest
payments are linked to an underlying asset (e.g., commodity linked notes, equity linked notes,
reverse convertible notes, currency linked notes).
O.W.16: Wholesale CDs
Refers to certificates of deposits greater than $250,000 issued to counterparties that are not
Retail or Small Business where the certificate of deposits are tradable, negotiable, and typically
settle at DTCC.
O.W.17: Draws on Committed Lines
Refers to the outstanding amount of funds borrowed or drawn from a committed facility
provided by another institution.
O.W.18: Free Credits
Refers to liabilities of a broker or dealer to customers, excluding payables related to customer
short positions. Do not net against Lock‐up Balances.
O.W.19: Other Unsecured Financing
Refers to other forms of unsecured financing that are not captured above. Notify the
supervisory team of products reported in this category.
O.S: Outflows‐Secured
General Guidance: For all products outlined in this table, report the contractual principal cash
payment to be paid at maturity, excluding interest payments (which should be reported under
product O.O.19, using the Maturity Amount field). Report the fair value under GAAP of the
pledged securities using the Collateral Value field. Report on a gross basis; do not net
borrowings against loans. FIN 41 does not apply for this report.
For collateral class, report the type of collateral financed according to the Asset Category Table
(Appendix III). For transactions that allow for collateral agreement amendments, report the
transaction based on the collateral pledged as of date T.
Use the O.S.[Counterparty] field to indicate the type of counterparty for each data element:
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Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
The following is a list of product transactions to be reported in the Outflows‐Secured table:
O.S.1: Repo
Refers to all repurchase agreements (including under Master Repurchase Agreements or Global
Master Repurchase Agreements).
O.S.2: Securities Lending
Refers to all securities lending transactions (including under Master Securities Loan
Agreements).
O.S.3: Dollar Rolls
Refers to transactions using TBA contracts with the intent of financing a security or pool of
collateral. Report transactions where the reporting entity has agreed to sell the TBA contract
and buy it back at a later date.
O.S.4: Collateral Swaps
Refers to transactions where non‐cash assets are exchanged (e.g., collateral
upgrade/downgrade trades) at the inception13 of the transaction, or a non‐cash asset is lent
and no collateral is received (i.e., an unsecured loan of collateral), and the assets will be
returned at a future date.
For collateral swaps where non‐cash assets are exchanged, split the collateral swap into two
separate lending and borrowing transactions and report in both the Outflows‐Secured and
13
Collateral swap transactions that are remargined with cash payments should continue to be reported under this
product.
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Inflows‐Secured tables. O.S.4 should be reported based on the collateral pledged. Report the
[Collateral Class] according to the assets pledged. Report the fair value of these assets pledged
in the [Collateral Value] field. Report the fair value of assets received in the [Maturity Amount]
field. Use the [Sub‐Product] field to identify the type of collateral received based on the asset
categories defined in the LCR Rule:
Level 1 Received
Level 2a Received
Level 2b Received
Non‐HQLA Received
For collateral swaps where a non‐cash asset is lent, report the [Collateral Class] according to the
assets pledged and report the fair value of these assets pledged in the [Collateral Value] field.
O.S.5: FHLB Advances
Refers to outstanding secured funding sourced from the FHLBs. The amount borrowed and the
fair value of collateral pledged to secure the borrowing should not be included under product
I.A.2: Capacity.
O.S.6: Exceptional Central Bank Operations
Refers to outstanding secured funding from central banks for exceptional central bank
operations. Do not include transactions related to normal open market operations, which
should be reported based on the transaction type (e.g., O.S.1: Repo) with the [Counterparty]
field set to “Central Bank”. The amount borrowed and the fair value of collateral pledged to
secure the borrowing should not be included under product I.A.2: Capacity.
Use the O.S.[Sub‐Product] field to further identify the specific source of secured funding
provided according to the following groupings:
FRB (Federal Reserve Bank)
SNB (Swiss National Bank)
BOE (Bank of England)
ECB (European Central Bank)
BOJ (Bank of Japan)
RBA (Reserve Bank of Australia)
BOC (Bank of Canada)
OCB (Other Central Bank)
O.S.7: Customer Shorts
Refers to a transaction where the reporting entity’s customer sells a security it does not own,
and the entity subsequently obtains the same security from an internal or external source to
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make delivery into the sale. External refers to a transaction with a counterparty that falls
outside the scope of consolidation for the reporting entity. Internal refers to securities sourced
from within the scope of consolidation of the reporting entity.
Use the O.S.[Sub‐Product] field to further identify the appropriate source for delivery into the
sale according to the following categories:
External Cash Transaction
Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
External Non‐Cash Transaction
Refers to securities sourced through a collateral swap or like transaction in
exchange for non‐cash collateral.
Firm Longs
Refers to securities sourced internally from the reporting entity’s own
inventory of collateral where the sale does not coincide with an offsetting
performance‐based swap derivative.
Customer Longs
Refers to securities sourced internally from collateral held in customer
accounts at the reporting entity.
Firm Longs with an Associated Derivative
Refers to transactions that generate funding for collateral owned by the
reporting entity through a short sale coinciding with a performance‐based
swap derivative. The short sale is the effective source of funds for the firm
long, which serves as a hedge against the underlying market exposure of the
performance‐based swap derivative. Report the maturity date of the
associated derivative in the [Maturity Bucket] field.
Unsettled (Regular Way)
Refers to sales that meet the definition of regular‐way securities trades
under GAAP, that have been executed, but not yet settled and therefore
have not been covered.
Unsettled (Forward)
Refers to sales that do not meet the definition of regular‐way securities
trades, that have been executed, but not yet settled and therefore have not
been covered.
Note that the [Sub‐Product] designation may differ between the Consolidated Firm reporting
entity and a subsidiary reporting entity if the collateral delivered into the short is sourced from,
for example, an affiliate’s long inventory. For the subsidiary reporting entity, collateral sourced
from an affiliate should be represented as sourced from an external transaction; however for
the consolidated firm, this would be represented as sourced from a “Firm Long” position.
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O.S.8: Firm Shorts
Refers to a transaction where the reporting entity sells a security it does not own, and the
entity subsequently obtains the same security from an internal or external source to make
delivery into the sale. External refers to a transaction with a counterparty that falls outside the
scope of consolidation for the reporting entity. Internal refers to securities sourced from within
the scope of consolidation of the reporting entity.
Use the O.S.[Sub‐Product] field to further identify the appropriate source for delivery into the
sale according to the following categories:
External Cash Transaction
Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
External Non‐Cash Transaction
Refers to securities sourced through a collateral swap or like transaction in
exchange for non‐cash collateral.
Firm Longs
Refers to securities sourced internally from the reporting entity’s own
inventory of collateral where the sale does not coincide with an offsetting
performance‐based swap derivative.
Customer Longs
Refers to securities sourced internally from collateral held in customer
accounts at the reporting entity.
Firm Longs with an Associated Derivative
Refers to transactions to generate funding for collateral owned by the
reporting entity with a short sale coinciding with a performance‐based swap
derivative. The short sale is the effective source of funds and the derivative
enables the reporting entity to retain the underlying market exposure.
Report the maturity date of the associated derivative in the [Maturity
Bucket] field.
Unsettled (Regular Way)
Refers to sales that meet the definition of regular‐way securities trades
under GAAP, that have been executed, but not yet settled and therefore
have not been covered.
Unsettled (Forward)
Refers to sales that do not meet the definition of regular‐way securities
trades, that have been executed, but not yet settled and therefore have not
been covered. These transactions should also be included in the calculation
of products I.O.7: Net 30‐day Derivative Receivables and O.O.20: Net 30‐day
Derivative Payables.
Note that the [Sub‐Product] designation may differ between the Consolidated Firm reporting
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entity and a subsidiary reporting entity if the collateral delivered into the short is sourced from,
for example, an affiliate’s long inventory. For the subsidiary reporting entity, collateral sourced
from an affiliate should be represented as sourced from an external transaction; however for
the consolidated firm, this would be represented as sourced from a “Firm Long” position.
O.S.9: Other Secured Financing Transactions
Refers to all other secured financing transactions that do not otherwise meet the definitions of
Outflows‐Secured products listed above, and for which rehypothecation rights over the
collateral pledged are conferred to the reporting entity’s counterparty.
O.D : Outflows‐Deposits
Collateralized Deposits has the same meaning as it does under the LCR Rule.
For collateralized deposits, report the type of collateral using the O.D.[Collateral Class] field
using the asset categories listed in the Asset Category Table (Appendix III). Report the fair value
of collateral held against these deposits using the O.D.[Collateral Value] field.
Insured Deposits: Use the O.D.[Insured] field to distinguish between balances that are FDIC‐
insured, foreign deposits insured by a non‐US local‐jurisdiction government insurance system,
and uninsured deposits as described in the field definitions section.
FDIC
Other
Uninsured
Instructions on reporting by counterparty: Deposit products must be reported by the type of
counterparty that made the deposit. Certain deposit products apply only to a subset of
counterparty types. The lists of reportable counterparty types are identified by product in the
following section.
For O.D.1 transactional accounts, O.D.2 non‐transactional relationship accounts, and O.D.3 non‐
transactional non‐relationship accounts, use the O.D.[Counterparty] field to distinguish deposit
accounts according to the counterparty types below:
Retail
Small Business
For O.D.4 operational accounts and O.D.5 non‐operational accounts use the O.D.[Counterparty]
field to distinguish deposit accounts according to the counterparty types below:
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Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
For all other deposit products, use the O.D.[Counterparty] field to distinguish deposit accounts
according to the counterparty types below:
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
The following list defines the scope of products to be reported in the Outflows‐Deposits table:
O.D.1: Transactional Accounts
For purposes of this report, the term "Transactional Accounts" has the same meaning as
Transaction Accounts under Regulation D 12 CFR 204 (Reserve Requirements of Depository
Institutions); however this product only includes deposits placed by Retail and Small Business
customers.
Transaction accounts include:
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Demand deposits
Now accounts
ATS accounts
Telephone or preauthorized transfer accounts
Transaction accounts generally do not include savings deposits accounts. Report savings
accounts in either O.D.2 or O.D.3 depending on the characteristics of the reporting entity’s
relationship with the depositor.
Refer to Regulation D for a complete definition of transaction accounts.
O.D.2: Non‐Transactional Relationship Accounts
Refers to Retail and Small Business deposits in accounts that are not transactional accounts
under O.D.1, but where the underlying depositors have other established relationships with the
reporting entity such as another deposit account, a loan, bill payment services, or any similar
service or product provided to the depositor that the reporting entity has demonstrated to the
satisfaction of the supervisory team would make deposit withdrawal highly unlikely during a
liquidity stress event. Do not report brokered, sweep or reciprocal deposits using this product,
as they should be reported using products O.D.7 through O.D.12.
O.D.3: Non‐Transactional Non‐Relationship Accounts
Refers to Retail and Small Business deposits in accounts that are not transactional accounts
under O.D.1 where the underlying depositors do not have other established relationships with
the reporting entity that would otherwise make deposit withdrawal highly unlikely. Do not
report brokered, sweep or reciprocal deposits using this product, as they should be reported
using products O.D.7 through O.D.12.
O.D.4: Operational Accounts
Refers to deposits from counterparties that are not Retail or Small Business customers that are
operational deposits as defined in the LCR Rule, except operational escrow deposits reported
under product O.D.6: Operational Escrow Accounts.
O.D.5: Non‐Operational Accounts
Refers to all deposits balances from wholesale customers which do not meet the criteria for
operational deposits.
O.D.6: Operational Escrow Accounts
Refers to deposits from counterparties that are operational deposits as defined in the LCR Rule
in the form of operational escrow deposits. Operational escrow deposits refers to an account
that a designated third party (e.g., a servicer) establishes or controls on behalf of another party
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to process transactions such as the payment of taxes, insurance premiums (including flood
insurance), or other charges with respect to a loan or transaction, including charges that the
borrower and servicer have voluntarily agreed that the servicer should collect and pay. The
definition encompasses any account established for this purpose, including a "trust account",
"reserve account", "impound account", or other term in different localities.
With respect to, e.g., mortgage escrow accounts, an "escrow account" includes any
arrangement where the servicer adds a portion of the borrower's payments to principal and
subsequently deducts from principal the disbursements for escrow account items. For purposes
of this section, the term "escrow account" excludes any account that is under the borrower's
total control.
O.D.7: Non‐Reciprocal Brokered Accounts
Refers to any deposit held at the reporting entity that is obtained, directly or indirectly, from or
through the mediation or assistance of a deposit broker as that term is defined in section 29 of
the Federal Deposit Insurance Act (12 U.S.C. 1831f(g)), not including a reciprocal brokered
deposit or a sweep account. This definition does not include wholesale negotiable CDs (see
O.W.16), listing service deposits, where the only function of a deposit listing service is to
provide information on the availability and terms of accounts, unless they were obtained from
a deposit broker.
O.D.8: Affiliated Sweep Accounts
Refers to a deposit held at the reporting entity by a customer or counterparty through a
contractual feature that automatically transfers to the reporting entity from an affiliated
financial company at the close of each business day amounts identified under the agreement
governing the account from which the amount is being transferred. Note: This includes sweep
balances that fall under a primary purpose exemption and are not reported as brokered for Call
Report purposes.
O. D.9: Non‐Affiliated Sweep Accounts
Refers to a deposit held at the reporting entity by a customer or counterparty through a
contractual feature that automatically transfers to the reporting entity from an unaffiliated
financial company at the close of each business day amounts identified under the agreement
governing the account from which the amount is being transferred. These accounts involve
ongoing activity, rather than one deposit transaction.
O.D.10: Other Product Sweep Accounts
Refers to balances swept from deposit accounts into other products (e.g., CP, Fed Funds, Repo),
including other deposit products at the same reporting entity. These balances should also be
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reported under the product that corresponds with the reporting entity’s close‐of‐business
liability.
O.D.11: Reciprocal Accounts
Refers to any deposit held at the reporting entity that is obtained, directly or indirectly, from or
through the mediation or assistance of a deposit broker as that term is defined in section 29 of
the Federal Deposit Insurance Act (12 U.S.C. 1831f(g)), where the deposits are received through
a deposit placement network on a reciprocal basis, such that: (1) for any deposit received, the
reporting entity (as agent for depositors) places the same amount with other insured
depository institutions through the network; and (2) each member of the network sets the
interest rate to be paid on the entire amount of funds it places with other network members.
O.D.12: Other Third‐Party Deposits
Refers to deposit accounts that are placed by a third party on behalf of counterparties that do
not otherwise meet the definitions of O.D.7 through O.D.11.
O.D.13: Other Accounts
Refers to other deposit accounts that do not meet any of the definitions outlined above. Notify
the supervisory team of any balance reported in this category.
O.O: Outflows‐Other
Collateralized facilities: For products O.O.4 through O.O.7 use the [Collateral Value] and
[Collateral Class] fields to report both the amount and type of collateral that has been posted
by the counterparty to secure the used portions of committed facilities according to the
appropriate instructions for these fields or where the counterparty is contractually obligated to
post collateral when drawing down the facility (e.g., if a liquidity facility is structured as a repo
facility). Only report collateral if the bank is legally entitled and operationally capable to re‐use
the collateral in new cash raising transactions once the facility is drawn. If the range of
acceptable collateral spans multiple categories as defined in the Asset Category Table
(Appendix III), report using the lowest possible category.
O.O.1: Derivatives Payables
Refers to the maturing outgoing cash flows related to uncollateralized derivatives (e.g.,
interest rate, equity, commodity, and option premiums). Report contractually known payables
for fixed and floating rate payables. If a floating rate has not been set, report the undiscounted
anticipated cash flow by maturity. Do not include brokerage commission fees, exchange fees, or
cash flows from unexercised in the money options. Netting receivables and payables by
counterparty and maturity date is allowed if a valid netting agreement is in place, allowing for
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the net settlement of contractual flows. Do not include payables related to the exchange of
principal amounts for foreign exchange transactions, as these should be reported in the
Supplemental‐Foreign Exchange table under products S.FX.1 through S.FX.3.
O.O.2: Collateral Called for Delivery
Refers to the fair value of collateral due to the reporting entity’s counterparties that has been
called as of date T (i.e., the collateral flow). This product does not represent the entire stock of
collateral posted, which should be reported in S.I.1: Initial Margin Posted or S.I.3: Variation
Margin Posted. Collateral called for delivery should be related to the outstanding collateralized
contracts which include, but are not limited to, derivative transactions with bilateral
counterparties, central counterparties, or exchanges. Use the Maturity Bucket field to identify
the expected settlement date. For collateral calls with same‐day settlement (i.e., the collateral
is both called and received on the as‐of date T), report using the “Open” value in the Maturity
Bucket field.
O.O.3: TBA Purchases
Refers to all purchases of TBA contracts for market making or liquidity providing. Do not include
TBA purchases which are part of a Dollar Roll, as defined under products I.S.3 or O.S.3.
O.O.4: Credit Facilities
Refers to committed credit facilities, as defined in the LCR Rule. Do not include committed
liquidity facilities, as defined in the LCR Rule, which should be reported using product O.O.5:
Liquidity Facility or O.O.18: Unfunded Term Margin. Do not include excess margin, which
should be reported using product O.O.17: Excess Margin, or retail mortgage commitments,
which should be reported using product O.O.6: Retail Mortgage Commitments.
Use the O.O.[Maturity Bucket] field to indicate the earliest date the commitment could be
drawn.
Use the O.O.[Counterparty] field to distinguish between facilities to different counterparties:
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
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Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
O.O.5: Liquidity Facilities
Refers to committed liquidity facilities, as defined in the LCR Rule; however, exclude unfunded
term margin, which should be reported under O.O.18: Unfunded Term Margin.
If facilities have aspects of both credit and liquidity facilities, the facility must be classified as a
liquidity facility.
Use the O.O.[Maturity Bucket] field to indicate the earliest date the commitment could be
drawn.
Use the O.O.[Counterparty] field to distinguish between facilities to different counterparties:
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE, except Municipalities for VRDN structures
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
o Includes TOBs
Other Financial Entity
Municipalities for VRDN structures
o Includes standby purchase agreements that backstop remarketing
obligations, as well as direct‐pay LOCs that provide credit enhancement. If a
VRDN is not supported by an SBPA or LOC, then the remarketing obligation
should also be considered as a liquidity facility under this product.
Other
O.O.6: Retail Mortgage Commitments
Refers to contractual commitments made by the reporting entity to originate retail mortgages.
Use the O.O.[Maturity Bucket] field to indicate the earliest date the commitment could be
drawn.
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O.O.7: Trade Finance Instruments
Refers to documentary trade letters of credit, documentary and clean collection, import bills
and export bills, and guarantees directly related to trade finance obligations, such as shipping
guarantees.
Lending commitments, such as direct import or export financing for non‐financial firms, should
be included in O.O.4: Credit Facilities and O.O.5: Liquidity Facilities, as appropriate.
O.O.8: MTM Impact on Derivative Positions
Refers to the absolute value of the largest 30‐consecutive calendar day cumulative net mark‐to‐
market collateral outflow or inflow realized during the preceding 24 months resulting from
derivative transaction valuation changes, as set forth in the LCR Rule. The cumulative collateral
outflow or inflow should be measured on a portfolio basis, which should include both 3rd party
and affiliated transactions (for subsidiary reporting entities) that are external to the reporting
entity’s scope of consolidation. However, as this product should be measured on a portfolio
basis, the [Internal] and [Internal Counterparty] flags should not be used. The absolute amount
should be determined across all currencies and reported in USD.
O.O.9: Loss of Rehypothecation Rights Due to a 1 Notch Downgrade
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a 1 notch credit rating downgrade.
O.O.10: Loss of Rehypothecation Rights Due to a 2 Notch Downgrade
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a 2 notch credit rating downgrade.
O.O.11: Loss of Rehypothecation Rights Due to a 3 Notch Downgrade
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a 3 notch credit rating downgrade.
O.O.12: Loss of Rehypothecation Rights Due to Changes in Financial Condition
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a change in financial condition.
O.O.13: Total Collateral Required Due to a 1 Notch Downgrade
Refers to the total cumulative fair value of additional collateral the reporting entity’s
counterparties will require the reporting entity to post as a result of a 1‐ notch credit rating
downgrade. Report figures based on contractual commitments. Collateral required includes,
but is not limited to, collateral called from OTC derivative transactions and exchanges. Include
outflows due to additional termination events. Do not double count balances reported in O.O.9.
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O.O.14: Total Collateral Required Due to a 2 Notch Downgrade
Refers to the total cumulative fair value of additional collateral the reporting entity’s
counterparties will require the reporting entity to post as a result of a 2‐ notch credit rating
downgrade. Report figures based on contractual commitments. Collateral required includes,
but is not limited to, collateral called from OTC derivative transactions and exchanges. Include
outflows due to additional termination events. Do not double count balances reported in
O.O.10.
O.O.15: Total Collateral Required Due to a 3 Notch Downgrade
Refers to the total cumulative fair value of additional collateral the reporting entity’s
counterparties will require the reporting entity to post as a result of a 3‐ notch credit rating
downgrade. Report figures based on contractual commitments. Collateral required includes,
but is not limited to, collateral called from OTC derivative transactions and exchanges. Include
outflows due to additional termination events. Do not double count balances reported in
O.O.11.
O.O.16: Total Collateral Required Due to a Change in Financial Condition
Refers to the total cumulative fair value of additional collateral the reporting entity’s
counterparties will require the reporting entity to post as a result of a change in the reporting
entity’s financial condition. Report figures based on contractual commitments. Collateral
required includes, but is not limited to, collateral called from OTC derivative transactions and
exchanges. Include outflows due to additional termination events. Do not double count
balances reported in O.O.12.
O.O.17: Excess Margin
Refers to the total capacity of the reporting entity’s customer to generate funding for additional
purchases or short sales of securities (i.e., the reporting entity’s obligation to fund client
positions) for the following day based on the net equity in the customer’s margin account. This
capacity can generally be revoked or reduced on demand (i.e., uncommitted).
O.O.18: Unfunded Term Margin
Refers to any unfunded contractual commitment to lend to a brokerage customer on margin for
a specified duration greater than one day. Report the minimum contractually committed term
that would be in effect upon a customer draw from the margin facility using the O.O.[Maturity
Bucket] field.
O.O.19: Interest & Dividends Payable
Refers to interest and dividends contractually payable on the reporting entity’s liabilities and
equity. Do not include payables related to unsecured derivative transactions, which should be
reported under product O.O.1: Derivatives Payables and which should be included in the
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calculation of O.O.20: Net 30‐day Derivative Payables. Under circumstances where the interest
and dividend payments receivable are uncertain (e.g. an indexed floating rate payment has not
yet been set), forecast payables for a minimum of 30 calendar days beyond the as‐of date (T).
O.O.20: Net 30‐Day Derivative Payables
Refers to the net derivative cash outflow amount, as set forth in the LCR Rule.
O.O.21: Other Outflows Related to Structured Transactions
Refers to any incremental potential outflows under 32(b) of the LCR Rule related to structured
transactions sponsored but not consolidated by the reporting entity that are not otherwise
reported in O.O.4 or O.O.5.
O.O.22: Other Cash Outflows
Refers to any other material cash outflows not reported in any other line that can impact the
liquidity of the reporting entity. Do not report ‘business as usual’ expenses such as rents,
salaries, utilities and other similar payments. 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).
S.I: Supplemental‐Informational
The following list defines the scope of products to be reported in the Supplemental‐
Informational table.
Products S.I.1 through S.I.6 below, refer to the stock of collateral held or posted by the
reporting entity related to certain transactions (e.g., derivatives). For these products only, the
following “Sub‐Product” and “Sub‐Product 2” fields must also be reported.
Use S.I.[Sub Product] field to distinguish the stock of collateral according to the following
categories:
Rehypothecatable – Unencumbered (and Treasury Controlled)
Rehypothecatable – Encumbered (or not Treasury Controlled)
Non‐Rehypothecatable
Segregated Cash
Non‐Segregated Cash
If the total collateral reported under Products S.I.1 through S.I.6 is less than $2 billion, the
reporting entity may use the sub‐product “Non‐Rehypothecatable” as a default for these
products.
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Use the S.I.[Sub Product 2] field to further distinguish the stock of collateral according to the
following categories:
Bilateral
Refers to collateral posted or received in relation to derivatives activities for which
collateral payments settle bilaterally.
Centralized
Refers to collateral posted or received in relation to derivatives transactions for
which collateral payments settle via a centralized financial market utility (e.g., a
central counterparty).
S.I.1: Initial Margin Posted ‐ House
Refers to the fair value of collateral that the reporting entity has posted (total stock by
applicable [Collateral Class]) to its counterparties as initial margin on its own proprietary
derivatives positions.
S.I.2: Initial Margin Posted ‐ Customer
Refers to the fair value of collateral that the reporting entity has posted (total stock by
applicable [Collateral Class]) to its counterparties as initial margin on behalf of customers,
where the reporting entity is acting as a principal, or where the reporting entity is acting as
agent, but guarantees the return of customer margin posted.
S.I.3: Initial Margin Received
Refers to the fair value of collateral that the reporting entity has received (total stock by
applicable [Collateral Class]) from its counterparties as initial margin against both house and
customer positions. In cases where IM collected at the inception of a transaction is returned to
a client to offset the reporting entity’s requirement to post VM, the firm should still report the
initial value in S.I.3: Initial Margin Received; however, in the case of non‐cash collateral, the Sub
Product flag should reflect the fact that the collateral has been rehypothecated.
S.I.4: Variation Margin Posted ‐ House
Refers to the fair value of collateral that the reporting entity has posted (total stock by
applicable [Collateral Class]) to its counterparties as variation margin on its own proprietary
derivatives positions.
S.I.5: Variation Margin Posted ‐ Customer
Refers to the fair value of collateral that the reporting entity has posted (total stock by
applicable [Collateral Class]) to its counterparties as variation margin on behalf of customers,
where the reporting entity is acting as a principal, or where the reporting entity is acting as
agent, but guarantees the return of customer margin posted.
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S.I.6: Variation Margin Received
Refers to the fair value of collateral that the reporting entity has received (total stock by
applicable [Collateral Class]) from its counterparties as variation margin against both house and
customer positions.
S.I.7: Collateral Disputes Deliverables
Refers to the fair value of collateral called by the reporting entity’s counterparties that the
reporting entity has yet to deliver due to a dispute. Disputes include, but are not limited to,
valuation of derivative contracts. If the total amount that would have been reported related to
distinct disputes over the previous year for products S.I.7 and S.I.8 is less than $500 million, the
reporting firm need not report this product.
S.I.8: Collateral Disputes Receivables
Refers to the fair value of collateral that the reporting entity has called from its counterparties,
but has not yet received due to a dispute. Disputes include, but are not limited to, valuation of
derivative contracts. If the total amount that would have been reported related to distinct
disputes over the previous year for products S.I.7 and S.I.8 is less than $500 million, the
reporting firm need not report this product.
S.I.9: Sleeper Collateral Deliverables
Refers to (1) the fair value of unsegregated collateral that the reporting entity may be required
by contract to return to a counterparty because the collateral currently held by the reporting
entity exceeds the counterparty’s current collateral requirements under the governing
contract; and (2) the fair value of collateral that the reporting entity is contractually obligated
to post to a counterparty, but has not yet posted as it has not yet been called by the reporting
entity’s counterparty.
S.I.10: Sleeper Collateral Receivables
Refers to the fair value of collateral that the reporting entity could call for or otherwise reclaim
under legal documentation, but has not yet been called. U.S. firms that are identified as
Category III banking organizations and have average weighted short‐term wholesale funding of
less than $75 billion; U.S. firms that are identified as Category IV banking organizations; and
FBOs with less than $250 billion in U.S. assets have the option of not reporting this product. U.S.
firms with less than $700 billion in total consolidated assets and less than $10 trillion in assets
under custody and FBOs with less than $250 billion in U.S. assets have the option of not
reporting this product.
S.I.11: Derivative Collateral Substitution Risk
Refers to the potential funding risk arising from the reporting entity’s derivative counterparties
having the contractual ability to substitute collateral with higher liquidity value currently held
by the reporting entity with collateral of lower liquidity value or collateral that the reporting
entity cannot monetize either due to liquidity or operational constraints. Report only a single
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value in USD per reporting entity, representing the difference between the fair value of the
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collateral held and the fair value of collateral that could be received, after applying the haircut
factors prescribed in the LCR Rule.
S.I.12: Derivative Collateral Substitution Capacity
Refers to the potential funding capacity arising from the reporting entity’s contractual ability to
substitute collateral with higher liquidity value currently posted to a derivatives counterparty
with collateral of lower liquidity value. Report only a single value in USD per reporting entity,
representing the difference between the fair value of the collateral held and the fair value of
the collateral that could be posted, after applying the haircut factors prescribed in the LCR Rule.
U.S. firms that are identified as Category III banking organizations and have average weighted
short‐term wholesale funding of less than $75 billion; U.S. firms that are identified as
Category IV banking organizations; U.S. firms with less than$700 billion in total consolidated
assets and less than $10 trillion in assets under custody and FBOs with less than $250 billion in
U.S. assets have the option of not reporting this product.
S.I.13: Other Collateral Substitution Risk
Refers to the potential funding risk arising from the reporting entity’s counterparties of non‐
derivative transactions having the contractual ability to substitute collateral with higher
liquidity value currently held by the reporting entity with collateral of lower liquidity value or
collateral that the reporting entity cannot monetize either due to liquidity or operational
constraints. Report only a single value in USD per reporting entity, representing the difference
between the fair value of the collateral held and the fair value of collateral that could be
received, after applying the haircut factors prescribed in the LCR Rule.
S.I.14: Other Collateral Substitution Capacity
Refers to the potential funding capacity arising from the reporting entity’s contractual ability to
substitute collateral with higher liquidity value currently posted to a counterparty of a non‐
derivative transaction with collateral of lower liquidity value. Report only a single value in USD
per reporting entity, representing the difference between the fair value of the collateral held
and the fair value of the collateral that could be posted, after applying the haircut factors
prescribed in the LCR Rule. U.S. firms that are identified as Category III banking organizations
and have average weighted short‐term wholesale funding of less than $75 billion; U.S. firms
that are identified as Category IV banking organizations; and FBOs with less than $250 billion in
U.S. assets have the option of not reporting this product. U.S. firms with less than $700 billion
in total consolidated assets and less than $10 trillion in assets under custody and FBOs with
less than $250 billion in U.S. assets have the option of not reporting this product.
S.I.15: Long Market Value Client Assets
Refers to the fair value of clients’ long positions in margin accounts held at the reporting entity.
This product must only be reported when a firm has a broker‐dealer that is a material entity
(i.e. is a reporting entity).
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S.I.16: Short Market Value Client Assets
Refers to the fair value of clients’ short positions in margin accounts held at the reporting
entity. This product must only be reported when a firm has a broker‐dealer that is a material
entity (i.e. is a reporting entity).
S.I.17: Gross Client Wires Received
Refers to all wires received into Prime Brokerage client accounts occurring on day T. This
product must only be reported when a firm has a broker‐dealer that is a material entity (i.e. is a
reporting entity).
S.I.18: Gross Client Wires Paid
Refers to all wires paid from Prime Brokerage client accounts occurring on day T. This product
must only be reported when a firm has a broker‐dealer that is a material entity (i.e. is a
reporting entity).
S.I.19: Subsidiary Liquidity That Cannot be Transferred
Refers to an amount of assets of each reporting entity’s consolidated subsidiaries that is in
excess of the net outflows, calculated pursuant to the LCR Rule, of that consolidated subsidiary
that is not freely transferrable to affiliates due to statutory, regulatory, contractual, or
supervisory restrictions (including sections 23A and 23B of the Federal Reserve Act and
Regulation W)
Use the “Internal Counterparty” (S.I.[Internal Counterparty]) field to indicate the subsidiary
entity from which the assets cannot be transferred; however do not flag this product as
[Internal] = “Y”.
S.I.20: FRB 23A Capacity
Report the entity’s FRB 23A eligible capacity available. Section 23A of the Federal Reserve Act
limits the aggregate amount of covered transactions between an insured depository institution
and any single affiliate 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
to no more than 20 percent of the insured depository institution’s capital stock and surplus.
Bank Entities: For reporting entities that are banks, FRB 23A capacity should reflect the bank’s
capacity to engage in covered transactions with Section 23A affiliates.
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Non‐bank Entities: For non‐bank reporting entities, FRB 23A capacity should reflect the ability
to engage in covered transactions with each affiliated depository institution. Use the
S.I.[Internal Counterparty] field to indicate the relevant affiliated depository institution entity.
S.I.21: Unencumbered Asset Hedges – Early Termination Outflows
Refers to all cash outflows that would arise from the early termination of a hedge associated
with eligible HQLA, as defined in the LCR Rule, reported in the Inflows‐Assets table. Use the
Collateral Class field to indicate the type of unencumbered asset associated with the hedge.
S.I.22: Unencumbered Asset Hedges – Early Termination Inflows
Refers to all cash inflows that would arise from the early termination of a hedge associated with
eligible HQLA, as defined in the LCR Rule, reported in the Inflows‐Assets table. Use the
Collateral Class field to indicate the type of unencumbered asset associated with the hedge.
S.I.23: Non‐Structured Debt Maturing in Greater than 30‐days – Primary Market Maker
Refers to the debt security buyback outflow amount set forth in the LCR Rule for the reporting
entity’s non‐structured debt issuances.
S.I.24: Structured Debt Maturing in Greater than 30‐days – Primary Market Maker
Refers to the debt security buyback outflow amount set forth in the LCR Rule for the reporting
entity’s structured debt issuances.
S.FX: Supplemental‐Foreign Exchange
General Guidance:
U.S. firms that are identified as Category III banking organizations and have average weighted
short‐term wholesale funding of less than $75 billion; U.S. firms that are identified as Category
IV banking organizations; and FBOs with less than $250 billion in U.S. assets with less
than$700 billion in total consolidated assets and less than $10 trillion in assets under custody
and FBOs with less than $250 billion in U.S. assets are not required to report on this S.FX table.
Foreign exchange transactions are broken down into spot transactions and two general
derivative classifications: forwards and swaps.
Report in the FX table only those transactions that cash settle with the physical exchange of
currency. Do not report non‐deliverable transactions (e.g., non‐deliverable forwards or
contracts for differences). Transactions reported here should not be excluded from the
calculation of I.O.7: Net 30‐day Derivatives Receivables or O.O.20: Net 30‐day Derivatives
Payable entries. Report periodic interest payments associated with transactions such as cross‐
currency swaps using I.O.1: Derivatives Receivables for contractual unsecured interest
receivable and O.O.1: Derivatives Payables for contractual unsecured interest payable, using
the currency field to identify the currency denomination of each cash flow; do not report
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periodic interest payments in the FX table. Additionally, margin collateral flows related to non‐
deliverable derivatives should be reported as collateral payable (O.O.2) and collateral
receivable (I.O.2) where appropriate. The exchange of margin collateral related to secured FX
transactions with a physical settlement should also be excluded from this section and reported
as collateral payable (O.O.2) and collateral receivable (I.O.2) where appropriate.
Date and amount fields: The FX table includes “Forward Start” and “Maturity” fields to capture
transactions that have both initial and final settlement cash flows (e.g. FX Swaps). The “Forward
Start” fields generally refer to the “near” leg of the transaction, while the “Maturity” fields refer
to the final maturity or “far” leg of the transaction. An exception is made for the treatment of
FX options, which is described in further detail below.
Currency reporting: FX transactions require the reporting of two currencies (i.e., the receivable
currency and the payable currency). Report the currency receivable upon final maturity (i.e.,
final settlement) of the transaction in the S.FX.[Currency 1] field, and the currency payable
upon final maturity of the transaction in the S.FX.[Currency 2] field.
In the case of transactions for Spot FX, FX Forward (i.e. “Forward Outright”) or currency futures,
the one‐time settlement is the final maturity.
In the case of FX Swaps, the final maturity refers to the settlement at the long side (or “Far leg”)
of the FX swap transaction.
The S.FX.[Maturity Amount Currency 1] field and S.FX.[Forward Start Amount
Currency 1] field must both correspond with the S.FX.[Currency 1] field;
therefore the S.FX.[Forward Start Amount Currency 1] will reflect the payable
amount on the near leg of swap transactions, while S.FX.[Maturity Amount
Currency 1] will correspond with the receivable amount upon final maturity (the
far leg).
For currencies not currently covered by the FR 2052a report, provide notional amounts
converted into USD and set the S.FX.[Converted] field equal to “True”.
Centrally settled transactions: Use the S.FX.[Settlement] field to indicate if transactions are
centrally settled (e.g., through CLS) or bilaterally settled (i.e. OTC). If transactions are centrally
settled through CLS, report “CLS”, if they are centrally settled but not through CLS, report
“Other”. If the transaction is settled bilaterally, report “Bilateral”.
FX Options: Report transactions with embedded options such as currency options, currency
swaptions or other exotic currency products using the product or products that best align with
contractual structure, and indicate the type of option bought or sold in the Foreign Exchange
Option Direction field.
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Foreign Exchange Option Directions include “Sold”, which indicates that the reporting entity has
sold the option to its client (i.e., it is exercised at the client’s discretion), and “Purchased”,
which indicates that the reporting entity retains the option (i.e., it is exercised at the reporting
entity’s discretion).
Report the option expiration date in the S.FX.[Maturity Bucket] field.
If the option cannot be exercised until a future date, report the first possible date the option
could settle (if exercised) in the S.FX.[Forward Start Maturity Bucket] field.
For European‐style options on forward transactions, where the exercise date coincides with the
expiration date, report the same date using both the S.FX.[Forward Start Maturity Bucket] and
S.FX.[Maturity Bucket] fields. For European‐style swaptions, report the exercise date using the
S.FX.[Forward Start Maturity Bucket] field and report the final maturity of the swap using the
S.FX.[Maturity Bucket] field.
Under circumstances where the reporting entity has sold an option that carries preconditions
or limitations on either the entity’s own or its customer’s ability to exercise the optionality,
report the position ignoring these limitations, unless the option can no longer be contractually
exercised.
Example: the reporting entity has sold an American‐style barrier option to
exchange USD for €1mm EUR any time in the next 30 days at $1.34 per euro,
provided the spot rate does not exceed $1.40 per euro. Report the option as an
option sold with a S.FX.[Maturity Amount Currency 1] value of €1mm, a
S.FX.[Maturity Amount Currency 2] value of $1.34mm, an [Foreign Exchange
Option Direction] of “Sold” and a [Maturity Bucket] of Day 30, even if the existing
spot rate is in excess of $1.40 per euro.
Report options with variable pricing for which the rate has yet to be determined using a best
estimate of what the pricing would be at the earliest possible exercise date.
Example: the reporting entity has purchased an American‐style average rate
currency option to exchange USD for €1mm EUR based on the average closing
price over the two weeks prior to the option being exercised. In this case, use
the average closing price over the two weeks prior to the as‐of date (T), as the
option could be exercised immediately (e.g., if the average rate was $1.34 per
euro, report a S.FX.[Maturity Amount Currency 1] value of €1mm, a
S.FX.[Maturity Amount Currency 2] value of $1.34mm).
For complex transactions that may involve multiple legs and/or resemble a combination of FR
2052a FX Products, disaggregate the transaction and report it as multiple transactions in
accordance with the available FR 2052a FX products and the underlying settlement cash flows.
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Example: A swap contract for which the near leg is non‐optional and the far leg is
fully optional. Report this transaction as two separate forward FX transactions
and use the S.FX.[Foreign Exchange Option Direction] field to differentiate the
optionality on the far leg of the transaction.
The following list outlines the distinct products to be reported in the Supplemental‐Foreign
Exchange Table:
S.FX.1: Spot
Refers to single outright transaction involving the exchange of one currency for another at an
agreed upon rate with immediate delivery according to local market convention (usually two
business days). Report both the receivable and payable sides of the transaction.
S.FX.2: Forwards and Futures
Refers to transactions involving the physical exchange of two currencies at a rate agreed upon
on the date of the contract for delivery at least two business days in the future or later. Refers
to both forward outright transactions (e.g., bespoke bilateral contracts) and standardized
futures contracts (i.e., exchange traded).
S.FX.3: Swaps
Refers to transactions involving the exchange of two currencies on a specific date at a rate
agreed at the time of the conclusion of the contract (e.g., the “near” leg), and a reverse
exchange of the same two currencies at a date further in the future at a rate (generally
different from the rate applied to the near leg) agreed at the time of the contract (e.g., the
“far” leg). This product includes but is not limited to both FX forward swaps that involve only
the exchange of notional currency values at the near leg and far leg settlement dates, and
cross‐currency swaps that involve both the exchange of notional currency values and periodic
payments of interest over the life of the swap transaction.
Use the “Near” fields (i.e., S.FX.[Forward Start Amount Currency 1], S.FX.[Forward Start Amount
Currency 2] and S.FX.[Forward Start Maturity Bucket]) to report the near leg of the transaction,
and the “Maturity Amount” fields (i.e., S.FX.[Maturity Amount Currency 1], S.FX.[Maturity
Amount Currency 2] and S.FX.[Maturity Bucket]) to report the far leg of the transaction.
When reporting transactions for which the near leg has already settled, do not report a value in
the S.FX.[Forward Start Maturity Bucket] field, but continue to report the original currency
settlement values for the short leg in the “Near Amount” fields.
For swaptions where the final maturity date is dependent on the exercise date (e.g., American‐
style or Bermuda‐style), indicate the earliest possible exercise date in the S.FX.[Forward Start
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Maturity Bucket] field, and report the final maturity in the S.FX.[Maturity Bucket] field assuming
the option is exercised at the earliest possible date.
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Appendix I: FR 2052a Data Format, Tables, and Fields
Layout of the Data Collection
The technical architecture for the data collection of the FR 2052a report subdivides the three
general categories of inflows, outflows, and supplemental items into 10 distinct data tables and
includes a mechanism for tracking comments, as displayed in the diagram below. These tables
are designed to stratify the assets, liabilities, and supplemental components of a firm’s liquidity
risk profile based on common data structures, while still maintaining a coherent framework for
liquidity risk reporting.
Diagram 1 – FR 2052a Tables and Information Hierarchy
Inflows
Outflows
Supplemental
Assets
Deposits
Informational
Items
Unsecured
Wholesale
Secured
Secured
Other inflows
Other outflows
Foreign
exchange
Comments
The FR 2052a Data Element
Each table is comprised of a set of fields (i.e., columns) that define the requisite level of
aggregation or granularity for each data element (i.e., row, or record)14. The FR 2052a
framework is a “flat” or tabular structure with predefined columns and an unconstrained
number of rows. The volume of data elements reported should therefore change dynamically
as the size and complexity of the reporting firm’s funding profile changes.
14
Appendix I details the structure of each table.
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This instruction document uses the term data element to describe a unique combination of
non‐numeric field values in a FR 2052a table, or in other words, a unique record in one of the
FR 2052a tables. Numeric values (e.g., contractual cash flow amounts, market values, lendable
values, etc.) are expected to be aggregated across the unique combinations of all other fields in
each FR 2052a table.
All notional currency‐denominated values should be reported in millions of that
currency (e.g., U.S. dollar‐denominated transactions in USD millions, sterling‐
denominated transactions in GBP millions, etc.)
Example: The holding company has four outstanding issuances of plain vanilla long‐term
debt:
o 500mm USD‐denominated bond maturing in 4 years and 6 months,
o 1,000mm USD‐denominated bond maturing in 5 years,
o 2,000mm GBP‐denominated bond maturing in 10 years, and
o 250mm GBP‐denominated bond maturing in 1 year and 6 months.
Assume the USD‐denominated liabilities are issued in New York, while the GBP‐
denominated liabilities are issued in London. In this case, the two USD‐denominated
bonds should be summed up and reported as a single FR 2052a data element, as they
exhibit the same values in all non‐numeric fields (note that although the maturities are
different, they both fall within the “>4 years <=5 years” maturity bucket). The two GBP
issuances, however should not be aggregated, as they fall in separate and distinct
maturity buckets (“>1 year <= 2 years” versus “> 5 years”). Table 2 below illustrates how
these three data elements should be reported in the FR 2052a O.W (Outflows‐
Wholesale) table.
Table 2 – Example: data element aggregation
O.W fields:
Sample 1:
Sample 2:
Sample 3:
Reporting
Currency Converted PID
Entity
PARENT
PARENT
PARENT
USD
GBP
GBP
No
No
No
Product
Maturity Maturity Collateral Collateral Fwd Start Fwd Start
Internal
Prime
Internal
Bucket Amount Class
Value Amount Bucket
Counterparty Brokerage
12 LTD ‐ Non‐Structured >4Y_<=5Y 1,500
12 LTD ‐ Non‐Structured >5Y
2,000
12 LTD ‐ Non‐Structured >1Y_<=2Y 250
N
N
N
Note: additional examples are included in the field and product definition sections of
this document to illustrate the standard for aggregating and reporting FR 2052a data.
Naming conventions and field types
This document uses a standard syntax to refer to specific tables, fields and products in the FR
2052a data hierarchy.
Page 59 of 64
N
N
N
DRAFT
FR 2052a Instructions
Prefixes are the first component of the FR 2052a data reference syntax. There are three
distinct prefixes: I, O and S, which correspond to the first letter of each specific section
in the FR 2052a data hierarchy: Inflows, Outflows and Supplemental.
Tables are referenced using the appropriate prefix, followed by the first letter of the
table as described in Table 3 below (with the exception of foreign exchange, which is
referenced as “FX”).
o Example: the “Assets” table, which relates to inflows, is referenced as I.A, while
the “Deposits” table, which relates to outflows, is referenced as O.D.
Fields are referenced using the table syntax described above, with the field name
enclosed in brackets.
o Example: The “Currency” field in the Outflows‐Secured table is referenced as
O.S.[Currency]
o Example: The “Maturity Bucket” field in the Outflows‐Wholesale table is
referenced as O.W.[Maturity Bucket].
Products are referenced using the table syntax and the corresponding product number.
o Note: The [Product] field designation is omitted to simplify the reference syntax.
A number following the table designation always refers to the product number
for that table.
Table 3 below depicts the table combinations for the product syntax
structure
Example: “Unencumbered Assets” (product #1) in the “Assets” table is
referred to as I.A.1.
Table 3 ‐ Product Reference Syntax
Prefix
.
Table
A (Assets)
U (Unsecured)
I
.
(Inflows)
S (Secured)
O (Other)
D (Deposits)
O
W (Wholesale)
.
(Outflows)
S (Secured)
O (Other)
I (Informational Items)
S
.
(Supplemental)
FX (Foreign Exchange)
Page 60 of 64
Product
#
.
.
#
.
#
.
#
DRAFT
FR 2052a Instructions
Field Types
The data fields in each FR 2052a table fall into two categories:
1. Mandatory fields (May vary for each product, colored red in Table 4 below)
2. Dependent fields (colored blue in Table 4)
Required for certain transaction types.
o Example: the [Forward start bucket] field is generally only required for
forward starting transactions.
o Example: the [Internal Counterparty] field is only required for intercompany
transactions.
[Sub‐Product] required for certain products.
o Example: The “Capacity” product in the Assets table (I.A.2) requires a [Sub‐
Product] designation.
Table 4 below depicts a sample data element reporting FHLB capacity
of $100mm against category C collateral, with market value of
$150mm.
o Refer to Appendix II for a full listing of product/sub‐product combinations.
Table 4 – Example: required versus dependent fields
I.A fields:
Sample:
Reporting
Sub‐
Currency Converted PID Product SID
Entity
Product
BANK
USD
No
2 Capacity 9
FHLB
Maturity
Bucket
Open
Page 61 of 64
Market Lendable Fwd Start Fwd Start Collateral Treasury
Value
Value
Amount Bucket
Class
Control
150
100
L‐3
Y
DRAFT
FR 2052a Instructions
Data Tables
Inflows
Assets
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
text
text
text
numeric
text
numeric
text
numeric
numeric
text
numeric
text
text
text
Unsecured
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
text
text
text
numeric
text
numeric
text
numeric
text
numeric
text
text
text
text
Secured
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Collateral Currency
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
text
text
text
numeric
text
numeric
text
numeric
text
text
numeric
text
text
numeric
text
text
text
text
text
text
text
numeric
text
Secured
Reporting Entity
Currency
Converted
PID
Product
text
text
text
numeric
text
SID
Sub‐Product
Maturity Amount
Maturity Bucket
numeric
text
numeric
text
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Collateral Currency
Treasury Control
Internal
numeric
text
text
numeric
text
text
text
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
text
text
text
text
numeric
text
Other
Reporting Entity
Currency
Converted
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Collateral Currency
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
text
text
text
numeric
text
numeric
text
numeric
text
text
numeric
text
text
text
text
text
Outflows
Deposits
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Collateral Currency
text
text
text
numeric
text
numeric
text
numeric
text
text
numeric
text
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
text
text
text
text
text
Wholesale
Reporting Entity
text
Currency
text
Converted
text
PID
numeric
Product
text
CID
numeric
Counterparty
text
Maturity Amount
numeric
Maturity Bucket
text
Collateral Class
text
Collateral Value
numeric
Collateral Currency
text
Forward Start Amount numeric
Forward Start Bucket
text
Internal
text
Internal Counterparty
text
Prime Brokerage
text
Page 62 of 64
Other
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Collateral Currency
Internal
Internal Counterparty
Prime Brokerage
text
text
text
numeric
text
numeric
text
numeric
text
numeric
text
text
numeric
text
text
text
text
DRAFT
FR 2052a Instructions
Supplemental
Informational
Reporting Entity
text
Currency
text
Converted
text
PID
numeric
Product
text
SID
numeric
Sub‐Product
text
SID2
numeric
Sub‐Product2
text
Market Value
numeric
Collateral Class
text
Internal
text
Internal Counterparty
text
Prime Brokerage
text
Foreign Exchange
Reporting Entity
Currency 1
Currency 1 Converted
Currency 2
Currency 2 Converted
PID
Product
Maturity Amount Currency 1
Maturity Amount Currency 2
Maturity Bucket
Foreign Exchange Option Direction
Forward Start Amount Currency 1
Forward Start Amount Currency 2
Forward Start Bucket
Settlement
Prime Brokerage
Internal
Internal Counterparty
Comments
text
text
text
text
text
numeric
text
numeric
numeric
text
text
numeric
numeric
text
text
text
text
text
Table
PID
SID
Comments
Appendix II‐a: FR 2052a Product/Sub‐Product Requirements
[Enclosure]
Appendix II‐b: FR 2052a Counterparty Requirements
[Enclosure]
Appendix II‐c: FR 2052a Collateral Class Requirements
[Enclosure]
Appendix II‐d: FR 2052a Forward Start Exclusions
[Enclosure]
Appendix III: FR 2052a Asset Category Table
[Enclosure]
Appendix IV‐a: FR 2052a Maturity Bucket Value List
[Enclosure]
Page 63 of 64
text
numeric
numeric
text
DRAFT
FR 2052a Instructions
Appendix IV‐b: FR 2052a Maturity Bucket Tailoring
[Enclosure]
Appendix V: FR 2052a Double Counting of Certain Exposures
[Enclosure]
Appendix VI: LCR to FR 2052a Mapping
[Enclosure]
Page 64 of 64
DRAFT
Appendix II‐a
FR 2052a Product/Sub‐Product Requirements
b‐Product Reporting by Product
lays which products require the reporting of a Sub‐Product or Sub‐Product 2, along with the corresponding set of acceptable v
PID Product
2
Capacity
3
4
Unrestricted Reserve Balances
Restricted Reserve Balances
4
Collateral Swaps
4
Collateral Swaps
6
Central Bank Draws
7
8
Customer Shorts
Firm Shorts
SID Sub‐Product
1 Federal Reserve Bank
2 Swiss National Bank
3 Bank of England
4 European Central Bank
5 Bank of Japan
6 Reserve Bank of Australia
7 Bank of Canada
8 Other Central Bank
9 Federal Home Loan Bank
11 Other Government Sponsored Entity
1 Federal Reserve Bank
2 Swiss National Bank
3 Bank of England
4 European Central Bank
5 Bank of Japan
6 Reserve Bank of Australia
7 Bank of Canada
8 Other Central Bank
10 Other Cash
1 Level 1 Pledged
2 Level 2a Pledged
3 Level 2b Pledged
4 Non‐HQLA Pledged
16 Level 1 Received
17 Level 2a Received
18 Level 2b Received
19 Non‐HQLA Received
1 Federal Reserve Bank
2 Swiss National Bank
3 Bank of England
4 European Central Bank
5 Bank of Japan
6 Reserve Bank of Australia
7 Bank of Canada
8 Other Central Bank
9 External Cash Transactions
10 External Non‐Cash Transactions
11 Firm Longs
12 Customer Longs
13 Firm Long with Associated Derivative
14 Unsettled ‐ Regular Way
15 Unsettled ‐ Forward
SID2
Appendix II‐b
FR 2052a Counterparty Requirements
DRAFT
Required Counterparty Reporting by Product
The following table displays which products require the reporting of the Counterparty field.
In addition, the table adresses which specific counterparty field selections are applicable/not applicable.
Table
PID Product
Applicable Counterparty Values
Outflows ‐ Other
5
Liquidity Facilities
Retail
Small Business Non‐
Financial Corporate
Sovereign
Central Bank
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Bank Subject to Prudential Supervision
Supervised Non‐Bank Financial Entity
Debt Issuing Special Purpose Entity
Other Financial Entity
Municipalities
Other
Inflows ‐ Unsecured
5
6
Outstanding Draws on Revolving Credit Facilities
Other Loans
Inflows ‐ Secured
5
6
7
Margin Loans
Other Secured Loans ‐ Rehypothecatable
Other Secured Loans ‐ Non‐Rehypothecatable
Outflows ‐ Deposits
6
7
8
9
10
11
12
13
Operational Escrow Accounts
Non‐Reciprocal Brokered Accounts
Affiliated Sweep Accounts
Non‐Affiliated Sweep Accounts
Other Product Sweep Accounts
Reciprocal Accounts
Other Third‐Party Deposits
Other Accounts
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Bank Subject to Prudential Supervision
Supervised Non‐Bank Financial Entity
Debt Issuing Special Purpose Entity
Other Financial Entity
Other
Outflows ‐ Secured
7
Outflows ‐ Other
Inflows ‐ Secured
Municipalities
Customer Shorts
4
Credit Facilities
1
2
3
4
Reverse Repo
Securities Borrowing
Dollar Rolls
Collateral Swaps
Inflows ‐ Unsecured
1
2
3
4
Onshore Placements
Offshore Placements
Required Nostro Accounts
Excess Nostro Accounts
Outflows ‐ Deposits
4
5
Operational Accounts
Non‐Operational Accounts
Non‐Financial Corporate
Sovereign
Central Bank
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Bank Subject to Prudential Supervision
Supervised Non‐Bank Financial Entity
Debt Issuing Special Purpose Entity
Other Financial Entity
Other
1
2
3
4
9
Repo
Securities Lending
Dollar Rolls
Collateral Swaps
Other Secured Financing
Outflows ‐ Wholesale
9
10
Onshore Borrowing
Offshore Borrowing
Outflows ‐ Deposits
1
2
3
Transactional Accounts Non‐
Transactional Relationship Accounts
Non‐Transactional Non‐Relationship Accounts
Outflows ‐ Secured
Not Applicable Counterparty Values
Retail
Small Business
Municipalities
Retail
Small Business
Page 1 of 2
Debt Issuing Special Purpose Entity
Municipalities
Non‐Financial Corporate
Sovereign
Central Bank
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Bank Subject to Prudential Supervision
Supervised Non‐Bank Financial Entity
Other Financial Entity
Other
Appendix II‐b
FR 2052a Counterparty Requirements
DRAFT
Table
Outflows ‐ Secured
PID Product
5
Federal Home Loan Bank Advances
Applicable Counterparty Values
Government Sponsored Entity
Not Applicable Counterparty Values
Retail
Small Business Non‐
Financial Corporate
Sovereign
Central Bank
Public Sector Entity
Multilateral Development Bank
Other Supranational
Bank Subject to Prudential Supervision
Supervised Non‐Bank Financial Entity
Debt Issuing Special Purpose Entity
Other Financial Entity
Municipalities
Other
Outflows ‐ Secured
6
Central Bank
Retail
Small Business Non‐
Financial Corporate
Sovereign
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Bank Subject to Prudential Supervision
Supervised Non‐Bank Financial Entity
Debt Issuing Special Purpose Entity
Other Financial Entity
Municipalities
Other
Central Bank Draws
Page 2 of 2
Appendix II‐c
FR 2052a Collateral Class Requirements
DRAFT
Collateral Class Requirements by Product
The following table displays the applicable reporting requirements for the Collateral Class field by Product:
(1) Required: the product by definition requires a collateral class designation
(2) Dependent: the product requires a collateral class designation to the extent collateral has been, or would need to be posted or received
(3) Not applicable: the product should not be assigned a collateral class
PID
Product
Inflows‐Assets
I.A.1
Unencumbered Assets
I.A.2
Capacity
I.A.3
Unrestricted Reserve Balances
I.A.4
Restricted Reserve Balances
I.A.5
Unsettled Asset Purchases
I.A.6
Forward Asset Purchases
Inflows‐Unsecured
I.U.1
Onshore Placements
I.U.2
Offshore Placements
I.U.3
Required Nostro Balances
I.U.4
Excess Nostro Balances
I.U.5
Outstanding Draws on Revolving Facilities
I.U.6
Other Loans
Inflows‐Secured
I.S.1
Reverse Repo
I.S.2
Securities Borrowing
I.S.3
Dollar Rolls
I.S.4
Collateral Swaps
I.S.5
Margin Loans
I.S.6
Other Secured Loans (Rehypothecatable)
I.S.7
Other Secured Loans (Non‐Rehypothecatable)
Inflows‐ Other
I.O.1
Derivatives Receivable
I.O.2
Collateral Called for Receipt
I.O.3
TBA Sales
I.O.4
Undrawn Committed Facilities Purchased
I.O.5
Lock‐up Balance
I.O.6
Interest and Dividends Receivable
I.O.7
Net 30‐Day Derivative Receivables
I.O.8
Principal Payments on Unencumbered Investment Securities
I.O.9
Other Cash Inflows
Outflow s‐Wholesale
O.W.1 Asset‐Backed Commercial Paper: Single‐Seller
O.W.2 Asset‐Backed Commercial Paper: Multi‐Seller
O.W.3 Collateralized Commercial Paper
O.W.4 Asset‐Backed Securities
O.W.5 Covered Bonds
O.W.6 Tender Option Bonds
O.W.7 Other Asset‐Backed Financing
O.W.8 Commercial Paper
O.W.9 Onshore Borrowing
O.W.10 Offshore Borrowing
O.W.11 Unstructured Long Term Debt
O.W.12 Structured Long Term Debt
O.W.13 Government Supported Debt
O.W.14 Unsecured Notes
O.W.15 Structured Notes
O.W.16 Wholesale CDs
O.W.17 Draws on Committed Lines
O.W.18 Free Credits
O.W.19 Other Unsecured Financing
Outflow s‐Secured
O.S.1
Repo
O.S.2
Securities Lending
O.S.3
Dollar Rolls
O.S.4
Collateral Swaps
O.S.5
FHLB Advances
O.S.6
Exceptional Central Bank Operations
O.S.7
Customer Shorts
O.S.8
Firm Shorts
O.S.9
Other Secured Financing Transactions
Required
Dependent
Not Applicable
Page 1 of 2
Appendix II‐c
FR 2052a Collateral Class Requirements
PID
Product
Outflows‐Deposits
O.D.1
Transactional Accounts
O.D.2
Non‐Transactional Relationship Accounts
O.D.3
Non‐Transactional Non‐Relationship Accounts
O.D.4
Operational Accounts
O.D.5
Non‐Operational Accounts
O.D.6
Operational Escrow Accounts
O.D.7
Non‐Reciprocal Brokered Deposits
O.D.8
Affiliated Sweep Accounts
O.D.9
Non‐Affiliated Sweep Accounts
O.D.10 Other Product Sweep Accounts
O.D.11 Reciprocal Accounts
O.D.12 Other Third‐Party Deposits
O.D.13 Other Accounts
Outflow s‐Other
O.O.1
Derivatives Payables
O.O.2
Collateral Called for Delivery
O.O.3
TBA Purchases
O.O.4
Credit Facilities
O.O.5
Liquidity Facilities
O.O.6
Retail Mortgage Commitments
O.O.7
Trade Finance Instruments
O.O.8
MTM Impact on Derivative Positions
O.O.9
Loss of Rehypothecation Rights Due to a 1 Notch Downgrade
O.O.10 Loss of Rehypothecation Rights Due to a 2 Notch Downgrade
O.O.11 Loss of Rehypothecation Rights Due to a 3 Notch Downgrade
O.O.12 Loss of Rehypothecation Rights Due to a Change in Financial Condition
O.O.13 Total Collateral Required Due to a 1 Notch Downgrade
O.O.14 Total Collateral Required Due to a 2 Notch Downgrade
O.O.15 Total Collateral Required Due to a 3 Notch Downgrade
O.O.16 Total Collateral Required Due to a Change in Financial Condition
O.O.17 Excess Margin
O.O.18 Unfunded Term Margin
O.O.19 Interest and Dividends Payable
O.O.20 Net 30‐Day Derivative Payables
O.O.21 Other Outflows Related to Structured Transactions
O.O.22 Other Cash Outflows
Supplemental‐Informational
S.I.1
Initial Margin Posted ‐ House
S.I.2
Initial Margin Posted ‐ Customer
S.I.3
Initial Margin Received
S.I.4
Variation Margin Posted ‐ House
S.I.5
Variation Margin Posted ‐ Customer
S.I.6
Variation Margin Received
S.I.7
Collateral Disputes Deliverables
S.I.8
Collateral Disputes Receivables
S.I.9
Sleeper Collateral Deliverables
S.I.10
Sleeper Collateral Receivables
S.I.11
Derivative Collateral Substitution Risk
S.I.12
Derivative Collateral Substitution Capacity
S.I.13
Other Collateral Substitution Risk
S.I.14
Other Collateral Substitution Capacity
S.I.15
Long Market Value Client Assets
S.I.16
Short Market Value Client Assets
S.I.17
Gross Client Wires Received
S.I.18
Gross Client Wires Paid
S.I.19
Subsidiary Liquidity That Cannot be Transferred
S.I.20
FRB 23A Capacity
S.I.21
Unencumbered Asset Hedges ‐ Early Termination Outflows
S.I.22
Unencumbered Asset Hedges ‐ Early Termination Inflows
S.I.23
Non‐Structured Debt Maturing in Greater than 30‐days ‐ Primary Market Maker
S.I.24
Structured Debt Maturing in Greater than 30‐days ‐ Primary Market Maker
Supplemental‐Foreign Exchange
S.FX.1 Spot
S.FX.2 Forwards and Futures
S.FX.3 Swaps
Page 2 of 2
DRAFT
Required
Dependent
Not Applicable
Appendix II‐d
FR 2052a Forward Start Exclusions
DRAFT
Forward Start Product Exclusions
The following products should not be assigned a [Forward Start Bucket] or [Forward Start Amount] value.
Product
Inflows‐Assets
I.A.1
Unencumbered Assets
I.A.2
Capacity
I.A.3
Unrestricted Reserve Balances
I.A.4
Restricted Reserve Balances
I.U.3
Required Nostro Balances
I.U.4
Excess Nostro Balances
I.O.1
Derivatives Receivable
I.O.2
Collateral Called for Receipt
I.O.3
TBA Sales
I.O.4
Undrawn Committed Facilities Purchased
I.O.5
Lock‐up Balance
I.O.6
Interest and Dividends Receivable
I.O.7
Net 30‐Day Derivative Receivables
I.O.8
Principal Payments on Unencumbered Investment Securities
I.O.9
Other Cash Inflows
O.W.18 Free Credits
O.D.1
Transactional Accounts
O.D.2
Non‐Transactional Relationship Accounts
O.D.3
Non‐Transactional Non‐Relationship Accounts
O.D.4
Operational Accounts
O.D.5
Non‐Operational Accounts
O.D.6
Operational Escrow Accounts
O.D.7
Non‐Reciprocal Brokered Deposits
O.D.8
Affiliated Sweep Accounts
O.D.9
Non‐Affiliated Sweep Accounts
O.D.10 Other Product Sweep Accounts
O.D.11 Reciprocal Accounts
O.D.12 Other Third‐Party Deposits
O.D.13 Other Accounts
O.O.1 Derivatives Payables
O.O.2 Collateral Called for Delivery
O.O.3 TBA Purchases
O.O.4 Credit Facilities
O.O.5 Liquidity Facilities
O.O.6 Retail Mortgage Commitments
O.O.7 Trade Finance Instruments
O.O.8 MTM Impact on Derivative Positions
O.O.9 Loss of Rehypothecation Rights Due to a 1 Notch Downgrade
Page 1 of 2
Appendix II‐d
FR 2052a Forward Start Exclusions
DRAFT
O.O.10
O.O.11
O.O.12
O.O.13
O.O.14
O.O.15
O.O.16
O.O.17
O.O.18
O.O.19
O.O.20
O.O.21
O.O.22
S.I.1
S.I.2
S.I.3
S.I.4
S.I.5
S.I.6
S.I.7
S.I.8
S.I.9
S.I.10
S.I.11
S.I.12
S.I.13
S.I.14
S.I.15
S.I.16
S.I.17
S.I.18
S.I.19
S.I.20
S.I.21
S.I.22
S.I.23
S.I.24
Loss of Rehypothecation Rights Due to a 2 Notch Downgrade
Loss of Rehypothecation Rights Due to a 3 Notch Downgrade
Loss of Rehypothecation Rights Due to a Change in Financial Condition
Total Collateral Required Due to a 1 Notch Downgrade
Total Collateral Required Due to a 2 Notch Downgrade
Total Collateral Required Due to a 3 Notch Downgrade
Total Collateral Required Due to a Change in Financial Condition
Excess Margin
Unfunded Term Margin
Interest and Dividends Payable
Net 30‐Day Derivative Payables
Other Outflows Related to Structured Transactions
Other Cash Outflows
Initial Margin Posted ‐ House
Initial Margin Posted ‐ Customer
Initial Margin Received
Variation Margin Posted ‐ House
Variation Margin Posted ‐ Customer
Variation Margin Received
Collateral Disputes Deliverables
Collateral Disputes Receivables
Sleeper Collateral Deliverables
Sleeper Collateral Receivables
Derivative Collateral Substitution Risk
Derivative Collateral Substitution Capacity
Other Collateral Substitution Risk
Other Collateral Substitution Capacity
Long Market Value Client Assets
Short Market Value Client Assets
Gross Client Wires Received
Gross Client Wires Paid
Subsidiary Liquidity That Cannot be Transferred
FRB 23A Capacity
Unencumbered Asset Hedges ‐ Early Termination Outflows
Unencumbered Asset Hedges ‐ Early Termination Inflows
Non‐Structured Debt Maturing in Greater than 30‐days ‐ Primary Market Maker
Structured Debt Maturing in Greater than 30‐days ‐ Primary Market Maker
Page 2 of 2
Appendix III
FR2052a Asset Category Table
DRAFT
te: the "‐Q" suffix indicates that assets meet all the asset‐specific tests detailed in section 20 of Regulation WW (e.g., risk profile and mark
sed characteristics)
set Category
QLA Level 1
0‐Q
1‐Q
2‐Q
3‐Q
4‐Q
5‐Q
1‐Q
2‐Q
3‐Q
4‐Q
QLA Level 2a
1‐Q
2‐Q
3‐Q
5‐Q
6‐Q
7‐Q
QLA Level 2b
1‐Q
2‐Q
Asset Category Description
Cash
Debt issued by the US Treasury
US Government Agency‐issued debt (excluding the US Treasury) with a US Government guarantee
Vanilla debt (including pass‐through MBS) guaranteed by a US Government Agency, where the US Government Agency has
full US Government guarantee
Structured debt (excluding pass‐through MBS) guaranteed by a US Government Agency, where the US Government Agency
has a full US Government guarantee
Other debt with a US Government guarantee
Debt issued by Non‐US Sovereigns with a 0% RW
Debt issued by multilateral development banks or other supranationals with a 0% RW
Debt with a non‐US sovereign or multilateral development bank or other supranational, guarantee, where guaranteeing
entity has a 0% RW
Debt issued or guaranteed by a Non‐US Sovereign that does not have a 0% RW, but supports outflows that are in the same
jurisdiction of the sovereign and are denominated in the same currency as the debt
Senior to preferred debt issued by a US Government Sponsored Entity (GSE)
Vanilla debt (including pass‐through MBS) guaranteed by a US GSE
Structured debt (excluding pass‐through MBS) guaranteed by a US GSE
Debt issued by Non‐US Sovereigns with a 20% RW, not otherwise included
Debt issued by multilateral development banks or other supranationals with a 20% RW, not otherwise included
Debt with a non‐US sovereign or multilateral development bank or other supranational guarantee, where guaranteeing
entity has a 20% RW, not otherwise included
US equities ‐ Russell 1000
Non‐US Equities listed on a foreign index designated to by the local supervisor as qualifying for the LCR, and denominated i
USD or the currency of outflows that the foreign entity is supporting
1‐Q
Investment grade corporate debt
2‐Q
Investment grade municipal obligations
on‐HQLA Assets that do not meet the asset‐specific tests detailed in section 20 of Regulation WW
0
Cash
1
Debt issued by the US Treasury
2
US Government Agency‐issued debt (excluding the US Treasury) with a US Government guarantee
3
Vanilla debt (including pass‐through MBS) guaranteed by a US Government Agency, where the US Government Agency has
full US Government guarantee
4
Structured debt (excluding pass‐through MBS) guaranteed by a US Government Agency, where the US Government Agency
has a full US Government guarantee
5
Other debt with a US Government guarantee
1
Debt issued by Non‐US Sovereigns with a 0% RW
2
Debt issued by multilateral development banks or other supranationals with a 0% RW
3
Debt with a non‐US sovereign or multilateral development bank or other supranational, guarantee, where guaranteeing
entity has a 0% RW
4
Debt issued or guaranteed by a Non‐US Sovereign that does not have a 0% RW, but supports outflows that are in the same
jurisdiction of the sovereign and are denominated in the same currency as the debt
Appendix III
FR2052a Asset Category Table
set Category Asset Category Description
on‐HQLA Assets other
8
All other debt issued by sovereigns and supranational entities, not otherwise included
4
Debt, other than senior or preferred, issued by a US GSE
3
All other US equities, including ETFs and preferred stock
4
All other non‐US equities, including ETFs and preferred stock
3
Investment grade Vanilla ABS
4
Investment grade Structured ABS
5
Investment grade Private label Pass‐thru CMBS/RMBS
6
Investment grade Private label Structured CMBS/RMBS
7
Investment grade covered bonds
1
Non‐investment grade debt issued by municipals/PSEs
2
Non‐investment grade corporate debt
3
Non‐investment grade Vanilla ABS
4
Non‐investment grade structured ABS
5
Non‐investment grade Private label Pass‐thru CMBS/RMBS
6
Non‐investment grade Private label Structured CMBS/RMBS
7
Non‐investment grade covered bonds
GSE‐eligible conforming residential mortgages
Other GSE‐eligible loans
Other 1‐4 family residential mortgages
4
Other multi family residential mortgages
Home equity loans
Credit card loans
Auto loans and leases
Other consumer loans and leases
Commercial real estate loans
0
Commercial and industrial loans
1
All other loans
1
Debt issued by reporting firm ‐ parent
2
Debt issued by reporting firm ‐ bank
3
Debt issued by reporting firm ‐ all other (incl. conduits)
1
Commodities
1
All other assets
DRAFT
Appendix IV‐a
FR 2052a Maturity Buckets
DRAFT
Maturity Time Bucket Value List
The [Maturity Bucket] and [Forward Start Bucket] fields allow for daycount reporting at the following level of
granularity:
Daily
Weekly*
Day 40
Day 41
Day 42
Day 43
Day 44
Day 45
Day 46
Day 47
Day 48
Day 49
Day 50
Day 51
Day 52
Day 53
Day 54
Day 55
Day 56
Day 57
Day 58
Day 59
Day 60
61 ‐ 67 Days
68 ‐ 74 Days
75 ‐ 82 Days
83 ‐ 90 Days
180‐day 30‐day
Open
Day 1
Day 2
Day 3
Day 4
Day 5
Day 6
Day 7
Day 8
Day 9
Day 10
Day 11
Day 12
Day 13
Day 14
Day 15
Day 16
Day 17
Day 18
Day 19
Day 20
Day 21
Day 22
Day 23
Day 24
Day 25
Day 26
Day 27
Day 28
Day 29
Day 30
Day 31
Day 32
Day 33
Day 34
Day 35
Day 36
Day 37
Day 38
Day 39
91 ‐ 120 Days
121 ‐ 150 Days
151 ‐ 180 Days
181 ‐ 270 Days
271 Days ‐ 1 Yr
>1 Yr <= 2 Yr
>2 Yr <= 3 Yr
>3 Yr <= 4 Yr
>4 Yr <= 5 Yr
Yearly
Daily
Residual
>5 Yr
*The first two "weekly" buckets contain 7 days, while the last two contain 8 days
Page 1 of 1
Appendix IV‐b
FR 2052a Maturity Bucket Tailoring
DRAFT
Maturity Buckets by Reporting Cohort
(1) U.S. firms with ≥ $700 billion in assetsthat are identified as global systemically important bank holding companies or Category II banking
organizations or ≥ $10 trillion in assets under custody; FBOs identified as LISCC firms.
(a) All products should be reported using the following 75 maturity buckets:
Open
Daily
Day 1
Day 60
Weekly* Buckets
Day 61
Day 90
60 buckets
4 buckets
30‐Day Buckets
90‐Day Buckets
Yearly Buckets
Day 91
Day 180 Day 181
Day 365 Day 366
Year 5
3 buckets
2 buckets
> 5
Years
4 buckets
(2) U.S. firms with ≥ $250 billion in assets or ≥ $10 billion in foreign exposurethat are identified as Category III banking organizations; FBOs with ≥
$250 billion in U.S. assets and not included in (1).
(a) All outflow and supplemental products with maturities within 1 year should be reported using the 70 applicable maturity buckets,
while these products with contractual maturities beyond 1 year may be reported in aggregate in the > 1 Year and ≤ 2 Year bucket.
Open
Daily
Day 1
Day 60
Weekly* Buckets
Day 61
Day 90
60 buckets
4 buckets
30‐Day Buckets
90‐Day Buckets
All cash flows maturing in > 1 year
Day 91
Day 180 Day 181
Day 365
> 1 Year and ≤ 2 Years
3 buckets
2 buckets
1 bucket
(b) All inflow products with maturities within 1 year should be reported using the 70 applicable maturity buckets,
while these products with contractual maturities beyond 1 year may be reported in aggregate in the > 5 Year bucket.
Open
Daily
Day 1
Day 60
Weekly* Buckets
Day 61
Day 90
60 buckets
4 buckets
30‐Day Buckets
90‐Day Buckets
All cash flows maturing in > 1 year
Day 91
Day 180 Day 181
Day 365
> 5 Years
3 buckets
2 buckets
1 bucket
(3) U.S. firms with < $250 billion in assets and < $10 billion in foreign exposurethat are identified as Category IV banking organizations; FBOs with
< $250 billion in U.S. assets.
(a) All balances for products I.A.1 and I.A.2 may be reported under the maturity bucket "Open"
All balances
Open
(b) Loan cash flows reported under products I.U.6 and I.S.7 (including interest) may be split into the following 2 maturity buckets:
All cash flows due in ≤ 30 days
Day 30
All cash flows due in > 30 days
> 5 Years
1 bucket
1 bucket
(c) Interest and dividends payable (O.O.19) in 30‐days may be reported in aggregate under maturity bucket "Day 1":
All cash flows due in ≤ 30 days
Day 1
All cash flows due in > 30 days
Not reported
1 bucket
n/a
(d) Interest and dividends receivable (I.O.6) in 30‐days may be reported in aggregate under maturity bucket "Day 30":
All cash flows due in ≤ 30 days
Day 30
All cash flows due in > 30 days
Not reported
1 bucket
n/a
(e)All other outflow and supplemental products with maturities within 1 year should be reported using the 70 applicable maturity buckets,
while these products with contractual maturities beyond 1 year may be reported in aggregate in the > 1 Year and ≤ 2 Year bucket.
Open
Daily
Day 1
Day 60
60 buckets
Weekly* Buckets
Day 61
Day 90
4 buckets
30‐Day Buckets
90‐Day Buckets
All cash flows maturing in > 1 year
Day 91
Day 180 Day 181
Day 365
> 1 Year and ≤ 2 Years
3 buckets
2 buckets
1 bucket
(f) All other inflow products with maturities within 1 year should be reported using the 70 applicable maturity buckets,
while these products with contractual maturities beyond 1 year may be reported in aggregate in the > 5 Year bucket.
Open
Daily
Day 1
Day 60
60 buckets
Weekly* Buckets
Day 61
Day 90
4 buckets
30‐Day Buckets
90‐Day Buckets
All cash flows maturing in > 1 year
Day 91
Day 180 Day 181
Day 365
> 5 Years
3 buckets
2 buckets
*The first two "weekly" buckets contain 7 days, while the last two contain 8 days (i.e., days 61‐67, 68‐74, 75‐82, 83‐90)
1 bucket
DRAFT
Page 1 of 1
DRAFT
Appendix V: Double‐Counting of Certain FR2052a Exposures
The FR 2052a instructions state that, as a general rule, transactions should not be reported twice in a
single submission. However, there are certain exceptions to this rule and this document outlines the
instances when it is acceptable.
The following items may be double‐counted:
1. All third‐party exposures at subsidiaries that are designated reporting entities, as these will be,
at a minimum, reported for both the consolidated reporting entity and all applicable reporting
entities that comprise the consolidated firm.
2. Collateral swaps, as each transaction will be reported in both the Inflows‐Secured and Outflows‐
Secured tables (albeit from different perspectives).
3. Collateral that has been received via a secured lending transaction and pre‐positioned at a
central bank or GSE, as these assets should appear in the I.S table (note that the
[Unencumbered] flag must be set to false) and under product I.A.2: Capacity.
4. Available‐for‐sale loans and loans held in a reporting firm’s trading book, as these must be
reported in the Inflows‐Unsecured table by counterparty as well as under I.A.1: Unencumbered
Assets according to their market value.
5. Unsecured derivatives cash flows occurring over the next 30 days, as these must be reported
under products I.O.1: Derivatives Receivables or O.O.1: Derivatives Payables and must be
included in the calculation of products I.O.7: Net 30‐day Derivative Receivables or O.O.20: Net
30‐day Derivative Payables.
6. Derivative collateral cash flows occurring over the next 30 days, as these must be reported
under products I.O.2: Collateral Called for Receipt or O.O.2: Collateral Called for Delivery and
must be included in the calculation of products I.O.7: Net 30‐day Derivative Receivables or
O.O.20: Net 30‐day Derivative Payables.
7. Foreign exchange transactions maturing over the next 30 days, as these must be reported
under products S.FX.1: Spot, S.FX.2: Forwards and Futures, and S.FX.3: Swaps and must be
included in the calculation of products I.O.7: Net 30‐day Derivative Receivables or O.O.20: Net
30‐day Derivative Payables.
8. Forward purchases and sales of securities maturing over the next 30 days, as these purchases
must be reported under I.A.6: Forward Asset Purchases and sales must be reported under O.S.8:
Firm Shorts, with a [Sub‐Product] of “Unsettled (Forward)”, and both must be included in the
calculation of products I.O.7: Net 30‐day Derivative Receivables or O.O.20: Net 30‐day
Page 1 of 3
DRAFT
Derivative Payables.
9. Structured and non‐structured debt maturing beyond 30 days where the reporting firm is the
primary market maker, as these balances will be reported in one of the Outflows‐Wholesale
products and in S.I.23: : Non‐Structured Debt Maturing in Greater than 30‐days – Primary
Market Maker or S.I.24: Structured Debt Maturing in Greater than 30‐days – Primary Market
Maker.
10. O.O.13‐O.O.16: Total Collateral Required Due to a Downgrade/Change in Financial Condition,
as the various downgrade levels are meant to reflect a cumulative impact. This concept is
illustrated by the inequalities below:
Total Collateral Required Due to a:
1 Notch Downgrade 2 Notch Downgrade 3 Notch Downgrade Change in Financial Condition
11. O.O.9‐O.O.12: Loss of Re‐hypothecation Rights Due to a Downgrade/Change in Financial
Condition, as the various downgrade levels are meant to reflect the cumulative impact. This
concept is illustrated by the inequalities below:
Loss of Re‐hypothecation Rights Due to a:
1 Notch Downgrade 2 Notch Downgrade 3 Notch Downgrade Change in Financial Condition
12. I.O.2: Collateral called for Receipt with a [Maturity Bucket] = “Open”, as collateral that is both
called for and received on the reporting date T should be also reported in the stock of S.I.3:
Initial Margin Received or S.I.4: Variation Margin Posted – House or S.I.5: Variation Margin
Posted – Customer.
13. O.O.2: Collateral called for Delivery with a [Maturity Bucket] = “Open”, as collateral that is
both called for and posted on the reporting date T should be also be reported in the stock of
S.I.1: Initial Margin Posted‐ House or S.I.2: Initial Margin Posted – Customer or S.I.4: Variation
Margin Posted – House or S.I.5: Variation Margin Posted ‐ Customer.
14. S.I.8: Collateral Disputes Receivables and I.O.2: Collateral Called for Receipt, since an amount
in dispute should be reflected in both products.
15. S.I.7: Collateral Disputes Deliverables and O.O.2: Collateral Called for Delivery, since an
amount in dispute should be reflected in both products.
16. S.I.10: Sleeper Collateral Receivables, as the amount due to a reporting entity but not yet called
for will also be included in the total amount of S.I.4: Variation Margin Posted – House or S.I.5:
Variation Margin Posted ‐ Customer.
Page 2 of 3
DRAFT
17. S.I.9: Sleeper Collateral Deliverables, as the amount due to a reporting firm’s counterparties
that has not yet been called for should also be included in the total amount of S.I.6: Variation
Margin Received.
18. S.I.19: Subsidiary Liquidity that Cannot Be Transferred should also be reported elsewhere on
the FR 2052A submission, such as products in the Inflows‐Assets, Inflows‐Secured, or
Supplemental‐Informational tables that count towards a firm’s HQLA.
19. O.D.10: Other Product Sweep Accounts includes balances that are swept from deposit accounts
into other products or other types of deposits accounts. These balances should be reported in
both the product that corresponds with the contractual liability into which the funds are swept
as of close of business on the reporting date, as well as O.D.10.
Page 3 of 3
DRAFT
APPENDIX VI
LCR to FR 2052a Mapping
Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to
assist reporting firms subject to the liquidity coverage ratio rule (LCR Rule1) in mapping the provisions of
the LCR Rule to the unique data identifiers reported on FR 2052a. This mapping document is not a part
of the LCR Rule nor a component of the FR 2052a report. Firms may use this mapping document solely
at their discretion. From time to time, to ensure accuracy, an updated mapping document may be
published and reporting firms will be notified of these changes.
Key
*
Values relevant to the LCR
#
Values not relevant to the LCR
NULL
Should not have an associated value
LCR Calculation2,3
1
.85
.5
2
2
1
2
2
2
,
2
2
2
1
2
.85
.5
.6667
2
2
1
0,
1
DRAFT
2
0,
.5
2
2
.1765
1
.85
2
1
1
2
1
2
1
1
1
1
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
0,
2
.5
2
.6667
1
.85
2
2
1
2
DRAFT
2
.5
0,
2
2
1
2
.1765
1
.85
2
2
∗
∗
, .75
∗
0,
0,
30
∀
.32
∗
.33 ,
,
,
,
1 ,
2 ,
5 ,
,
,
,
∗
∈ 1, 2, … , 30
30
.32
∗
.33 ,
,
,
1 ,
2 ,
,
5 ,
,
,
∗
1
Refer to LCR Rule as defined on p. 1 of the FR 2052a Instructions.
For the maturity mismatch add‐on, please note that Open maturity should still be reported in FR 2052a, and the
LCR calculation will convert Open to day 1 pursuant to section 31(a)(4) of the LCR Rule.
3
For the modified LCR, simply ignore the maturity mismatch add‐on calculation.
2
3
DRAFT
HQLA Amount Values
HQLA Additive Values
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
(1) High‐Quality Liquid Assets (Subpart C, §.20‐.22)
Value
LCR Firm
*
#
I.A.1, 2, and 3
Matches PID
Matches Sub‐Product
Not Other Cash
*
#
Open for I.A.3, # otherwise
NULL
NULL
HQLA (except A‐0‐Q for I.A.2)
Y
(2) Rehypothecatable Collateral (Subpart C, §.20‐.22)
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 4, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
#
Maturity Bucket
#
Effective Maturity Bucket
NULL
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
HQLA (except A‐0‐Q)
Collateral Value
*
Unencumbered
Y
Treasury Control
Y
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
5
DRAFT
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
SID2
Sub‐Product2
Market Value
Collateral Class
Internal
Internal Counterparty
Prime Brokerage
(3) Rehypothecatable Collateral (Subpart C, §.20‐.22)
Value
LCR Firm
*
#
S.I.3 and 6
Matches PID
Matches Sub‐Product
Unencumbered and Treasury Control
#
#
*
HQLA
#
#
#
HQLA Subtractive Values
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
SID2
Sub‐Product2
Market Value
Collateral Class
Internal
Internal Counterparty
Prime Brokerage
(4) Excluded Sub HQLA (§.22(b)(3)and(4))
Value
LCR Firm
*
#
S.I.19
Matches PID
#
#
#
#
*
HQLA
#
#
#
Field
Reporting Entity
Currency
Converted
PID
(5) Early Hedge Termination Outflows (§.22(a)(3))
Value
LCR Firm
*
#
S.I.21
6
DRAFT
Product
SID
Sub‐Product
SID2
Sub‐Product2
Market Value
Collateral Class
Internal
Internal Counterparty
Prime Brokerage
Matches PID
#
#
#
#
*
HQLA
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
SID2
Sub‐Product2
Market Value
Collateral Class
Internal
Internal Counterparty
Prime Brokerage
(6) Excess Collateral (§.22(b)(5))
Value
LCR Firm
*
#
S.I.9
Matches PID
#
#
#
#
*
HQLA
#
#
#
Unwind Transactions
(7) Secured Lending Unwind (Subpart C, §.21)
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days, but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
7
DRAFT
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
HQLA
*
Y if Effective Maturity Bucket is NULL, otherwise
#
Y
#
#
#
#
#
#
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
(8) Secured Funding Unwind (Subpart C, §.21)
Value
LCR Firm
*
#
O.S.1, 2, 3, 5, 6, 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
<= 30 calendar days
NULL
NULL
HQLA
*
Y
#
#
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
(9) Asset Exchange Unwind (Subpart C, §.21)
Value
LCR Firm
*
#
I.S.4
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
8
DRAFT
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
Matches Sub‐Product
Level 1 HQLA, Level 2A HQLA, and Level 2B HQLA
*
<= 30 calendar days
NULL or <= 30 calendar days, not Open
NULL
NULL
HQLA
*
Y if Effective Maturity Bucket is NULL, otherwise
#
Y
#
#
#
#
#
#
9
DRAFT
OUTFLOW VALUES
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(10) Stable Retail Deposits (§.32(a)(1))
Value
LCR Firm
*
#
O.D.1 and 2
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
FDIC
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(11) Other Retail Deposits (§.32(a)(2))
Value
LCR Firm
*
#
O.D.1, 2, and 3
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
Not FDIC for PID = 1 and 2, and # for PID = 3
#
#
#
#
Field
Reporting Entity
Currency
(12) Insured Placed Retail Deposits (§.32(a)(3))
Value
LCR Firm
*
10
DRAFT
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
O.D.12
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
FDIC
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(13) Non‐Insured Placed Retail Deposits (§.32(a)(4))
Value
LCR Firm
*
#
O.D.12
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
Not FDIC
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
(14) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
*
#
O.D.13
Matches PID
Matches Counterparty
Retail or Small Business
*
11
DRAFT
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
#
#
#
#
NULL
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(15) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
*
#
O.O.22
Matches PID
Matches Counterparty
Retail or Small Business
*
#
NULL
NULL
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
(16) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
*
#
O.S.1, 2, 7, and 9
Matches PID
#
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
#
NULL
NULL
#
#
12
DRAFT
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
#
#
#
#
#
#
Matches Counterparty
Retail or Small Business
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(17) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
*
#
O.W.18
Matches PID
Matches Counterparty
Retail or Small Business
*
<= 30 calendar days
#
#
NULL
NULL
#
#
#
(18) Structured Transaction Outflow Amount (§.32(b))
(The total amount for 32(b) is the relevant commitment amounts plus the incremental increase from
O.O.21)
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.O.21 (adds the incremental amount)
Product
Matches PID
CID
#
Counterparty
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
#
13
DRAFT
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(19) Net Derivatives Cash Outflow Amount (§.32(c))
Value
LCR Firm
*
#
O.O.20
Matches PID
#
#
*
#
#
#
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(20) Mortgage Commitment Outflow Amount (§.32(d))
Value
LCR Firm
*
#
O.O.6
Matches PID
Matches Counterparty
Retail
*
<= 30 calendar days
#
#
#
#
#
#
#
14
DRAFT
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(21) Affiliated DI Commitments (§.32(e)(1)(i))
Value
LCR Firm that is a depository institution
*
#
O.O.4 and 5
Matches PID
Matches Counterparty
Bank
*
<= 30 calendar days
#
#
*
*
Y
Bank from the U.S. subject to the LCR
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(22) Retail Commitments (§.32(e)(1)(ii))
Value
LCR Firm
*
#
O.O.4, 5 and 18
Matches PID
Matches Counterparty
Retail or Small Business
*
<= 30 calendar days for O.O.4, O.O.5; # for O.O.18
#
#
*
*
#
#
#
Field
Reporting Entity
Currency
Converted
PID
(23) Non‐Financial Corporate Credit Facilities (§.32(e)(1)(iii))
Value
LCR Firm
*
#
O.O.4
15
DRAFT
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank,
GSE, PSE, MDB, Other Supranational
*
<= 30 calendar days
#
#
*
*
#
#
#
(24) Non‐Financial Corporate Liquidity Facilities (§.32(e)(1)(iv))
Value
LCR Firm
*
#
O.O.5 and 18
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank,
GSE, PSE, MDB, Other Supranational,
Municipalities for VRDN Structures
Maturity Amount
*
Maturity Bucket
<= 30 calendar days for O.O.5; # for O.O.18
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
*
Collateral Value
*
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
(25) Bank Commitments (§.32(e)(1)(v))
Value
LCR Firm
*
#
O.O.4, 5 and 18
Matches PID
Matches Counterparty
Bank
16
DRAFT
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
*
<= 30 calendar days for O.O.4, O.O.5; # for O.O.18
#
#
*
*
Y
Bank not from the U.S. or Bank from the U.S. not
subject to the LCR
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(26) Bank Commitments (§.32(e)(1)(v))
Value
LCR Firm
*
#
O.O.4, 5 and 18
Matches PID
Matches Counterparty
Bank
*
<= 30 calendar days for O.O.4, O.O.5; # for O.O.18
#
#
*
*
N
NULL
#
(27) Non‐Bank and Non‐SPE Financial Sector Entity Credit Facilities (§.32(e)(1)(vi))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.O.4
Product
Matches PID
CID
Matches Counterparty
Supervised Non‐Bank Financial Entity, Other
Counterparty
Financial Entity
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
17
DRAFT
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
*
*
#
#
#
(28) Non‐Bank and Non‐SPE Financial Sector Entity Liquidity Facilities (§.32(e)(1)(vii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.O.5 and 18
Product
Matches PID
CID
Matches Counterparty
Supervised Non‐Bank Financial Entity, Other
Counterparty
Financial Entity
Maturity Amount
*
Maturity Bucket
<= 30 calendar days for O.O.5; # for O.O.18
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
*
Collateral Value
*
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(29) Debt Issuing SPE Commitments (§.32(e)(1)(viii))
Value
LCR Firm
*
#
O.O.4, 5 and 18
Matches PID
Matches Counterparty
Debt Issuing SPE
*
<= 30 calendar days for O.O.4, O.O.5; # for O.O.18
#
#
*
*
#
#
#
18
DRAFT
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
(30) Other Commitments (§.32(e)(1)(ix))
Value
LCR Firm
*
#
O.O.4, 5 and 18
Matches PID
Matches Counterparty
Other
*
<= 30 calendar days for O.O.4, O.O.5; # for O.O.18
#
#
*
*
#
#
#
(31) Changes in Financial Condition (§.32(f)(1))
Value
LCR Firm
*
#
O.O.16
Matches PID
#
#
*
#
#
#
#
#
#
#
#
(32) Changes in Financial Condition (§.32(f)(1))
Value
LCR Firm
*
19
DRAFT
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
#
O.O.12
Matches PID
#
#
*
#
#
#
#
#
#
#
#
(33) Derivative Collateral Potential Valuation Changes (§.32(f)(2))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
S.I.1, 2, 4 and 5
Product
Matches PID
SID
#
Sub‐Product
#
SID2
#
Sub‐Product2
#
Market Value
*
Collateral Class
Not level 1 HQLA
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
(34) Potential Derivative Valuation Changes (§.32(f)(3))
Value
LCR Firm
*
#
O.O.8
Matches PID
#
#
*
#
#
20
DRAFT
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
SID2
Sub‐Product2
Market Value
Collateral Class
Internal
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
SID2
Sub‐Product2
Market Value
Collateral Class
Internal
Internal Counterparty
Prime Brokerage
#
#
#
#
#
#
(35) Collateral Deliverables (§.32(f)(4) and (5))
Value
LCR Firm
*
#
S.I.9
Matches PID
#
#
#
#
*
Non‐HQLA4 or Z‐1 All other assets
#
#
#
(36) Collateral Substitution (§.32(f)(6))
Value
LCR Firm
*
#
S.I.11 and 13
Matches PID
#
#
#
#
*
#
#
#
#
4
Non‐HQLA is all asset classes listed in appendix III that do not have a “‐Q” suffix, except Z‐1 All other assets.
21
DRAFT
(37) Other Brokered Retail Deposits Maturing within 30 days (§.32(g)(1))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.7
Product
Matches PID
CID
Matches Counterparty
Counterparty
Retail or Small Business
Maturity Amount
*
Maturity Bucket
<= 30 calendar days (but not open)
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
(38) Other Brokered Retail Deposits Maturing later than 30 days (§.32(g)(2))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.7
Product
Matches PID
CID
Matches Counterparty
Counterparty
Retail or Small Business
Maturity Amount
*
Maturity Bucket
> 30 calendar days
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
(39) Insured Other Brokered Retail Deposits with No Maturity(§.32(g)(3))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.7
22
DRAFT
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Matches PID
Matches Counterparty
Retail or Small Business
*
Open
#
#
FDIC
#
#
#
#
(40) Not Fully Insured Other Brokered Retail Deposits with No Maturity (§.32(g)(4))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.7
Product
Matches PID
CID
Matches Counterparty
Counterparty
Retail or Small Business
Maturity Amount
*
Maturity Bucket
Open
Collateral Class
#
Collateral Value
#
Insured
Not FDIC
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
(41) Insured Reciprocal (§.32(g)(5))
Value
LCR Firm
*
#
O.D.11
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
23
DRAFT
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
FDIC
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(42) Not Fully Insured Reciprocal (§.32(g)(6))
Value
LCR Firm
*
#
O.D.11
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
Not FDIC
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(43) Insured Affiliated Sweeps (§.32(g)(7))
Value
LCR Firm
*
#
O.D.8
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
FDIC
#
#
#
#
24
DRAFT
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(44) Insured Non‐Affiliated Sweeps (§.32(g)(8))
Value
LCR Firm
*
#
O.D.9
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
FDIC
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(45) Sweeps that are not Fully Insured (§.32(g)(9))
Value
LCR Firm
*
#
O.D.8 and 9
Matches PID
Matches Counterparty
Retail or Small Business
*
#
#
#
Not FDIC
#
#
#
#
(46) Insured Unsecured Wholesale Non‐Operational Non‐Financial (§.32(h)(1)(i))
Field
Value
Reporting Entity
LCR Firm
Currency
*
25
DRAFT
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
O.D.5
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank,
GSE, PSE, MDB, Other Supranational, Other
*
<= 30 calendar days
NULL
NULL
FDIC
#
#
#
#
(47) Not Fully Insured Unsecured Wholesale Non‐Operational Non‐Financial (§.32(h)(1)(ii)(A))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.5
Product
Matches PID
CID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Counterparty
Bank, GSE, PSE, MDB, Other Supranational, Other
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Collateral Class
NULL
Collateral Value
NULL
Insured
Not FDIC
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
(48) Not Fully Insured Unsecured Wholesale Non‐Operational Non‐Financial (§.32(h)(1)(ii)(A))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.W.9, 10, 17, 18
Product
Matches PID
CID
Matches Counterparty
26
DRAFT
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other
*
<= 30 calendar days
#
#
NULL
NULL
#
#
#
(49) Unsecured Wholesale Brokered Deposit Non‐Operational Non‐Financial (§.32(h)(1)(ii)(B))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.7 – 9 and 11
Product
Matches PID
CID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Counterparty
Bank, GSE, PSE, MDB, Other Supranational, Other
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Collateral Class
NULL
Collateral Value
NULL
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
(50) Financial Non‐Operational (§.32(h)(2))
Value
LCR Firm
*
#
O.D.5, 7 ‐ 9 and 11
Matches PID
Matches Counterparty
Bank, Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity
*
<= 30 calendar days
27
DRAFT
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
NULL
NULL
#
#
#
#
#
(51) Financial Non‐Operational (§.32(h)(2))
Value
LCR Firm
*
#
O.W.9, 10, 17, and 18
Matches PID
Matches Counterparty
Bank, Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity
*
<= 30 calendar days
#
#
NULL
NULL
#
#
#
(52) Issued Debt Securities Maturing within 30 Days (§.32(h)(2))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.W.8,11‐16
Product
Matches PID
CID
#
Counterparty
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Collateral Class
*
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
28
DRAFT
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
#
#
(53) Insured Operational Deposits (§.32(h)(3))
Value
LCR Firm
*
#
O.D.4
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational,
Other, Bank, Supervised Non‐Bank Financial
Entity, Debt Issuing SPE, Other Financial Entity,
Other
*
<= 30 calendar days
NULL
NULL
FDIC
#
#
#
#
(54) Not Fully Insured Operational Deposits (§.32(h)(4))
Value
LCR Firm
*
#
O.D.4
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
*
<= 30 calendar days
NULL
NULL
Not FDIC
#
29
DRAFT
Rehypothecated
Internal
Internal Counterparty
#
#
#
(55) Not Fully Insured Operational Deposits (§.32(h)(4))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.6
Product
Matches PID
CID
Matches Counterparty
Retail and Small Business, Non‐Financial
Counterparty
Corporate, Sovereign, Central Bank, GSE, PSE,
MDB, Other Supranational, Bank, Supervised
Non‐Bank Financial Entity, Debt Issuing SPE,
Other Financial Entity, Other
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Collateral Class
NULL
Collateral Value
NULL
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
(56) Other Unsecured Wholesale (§.32(h)(5))
Value
LCR Firm
*
#
O.D.12 and 13
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational,
Other, Bank, Supervised Non‐Bank Financial
Entity, Debt Issuing SPE, Other Financial Entity,
Other
*
<= 30 calendar days
NULL
NULL
#
30
DRAFT
Trigger
Rehypothecated
Internal
Internal Counterparty
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
#
#
#
#
(57) Other Unsecured Wholesale (§.32(h)(5))
Value
LCR Firm
*
#
O.W.19
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
*
<= 30 calendar days
#
#
NULL
NULL
#
#
#
(58) Issued Not Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker
(§.32(i)(1))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
S.I.23
Product
Matches PID
SID
#
Sub‐Product
#
SID2
#
Sub‐Product2
#
Market Value
*
Collateral Class
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
31
DRAFT
(59) Issued Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker
(§.32(i)(2))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
S.I.24
Product
Matches PID
SID
#
Sub‐Product
#
SID2
#
Sub‐Product2
#
Market Value
*
Collateral Class
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
*Footnotes appearing in the Secured Funding L1 tables regarding central bank secured funding apply to
all other secured funding tables.
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
(60) Secured Funding L1 (§.32(j)(1)(i))
Value
LCR Firm
*
#
O.D.4, 5, and 6
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank
(FRB and other central banks where the
sovereign has not established its own outflow
rate)5, GSE, PSE, MDB, Other Supranational,
Bank, Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
*
<= 30 calendar days
Level 1 HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
5
Central bank is determined by currency. For central banks whose currencies are not included in the major
currencies reported, the outflow rate will be assumed to be 0% because the jurisdiction cannot be determined.
32
DRAFT
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
wholesale funding under .32(h)
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
(61) Secured Funding L1 (§.32(j)(1)(i))
Value
LCR Firm
*
#
O.S.1, 2, 3, 5, 6 (FRB and other central banks
where the sovereign has not established an LCR
outflow rate)6, 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
<= 30 calendar days
NULL
NULL
Level 1 HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
#
#
#
#
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank
(FRB and other central banks where the
sovereign has not established its own outflow
rate), GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
6
For O.S.6, if the counterparty is OCB, the outflow rate will be assumed to be 0% because the jurisdiction cannot
be determined.
33
DRAFT
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
(62) Secured Funding L1 (§.32(j)(1)(i))
Value
LCR Firm
*
#
O.W.1‐7
Matches PID
#
#
*
<= 30 calendar days
Level 1 HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
NULL
NULL
#
#
#
(63) Secured Funding L2A (§.32(j)(1)(ii))
Value
LCR Firm
*
#
O.D.4 (not FDIC insured), 5, and 6
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank
(FRB and other central banks where the
sovereign has not established its own outflow
rate), GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
*
<= 30 calendar days
Level 2A HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
If O.D.4 then not FDIC, otherwise #
34
DRAFT
Trigger
Rehypothecated
Internal
Internal Counterparty
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
Field
Reporting Entity
Currency
Converted
#
#
#
#
(64) Secured Funding L2A (§.32(j)(1)(ii))
Value
LCR Firm
*
#
O.S.1, 2, 3, 5, 6 (FRB and other central banks
where the sovereign has not established an LCR
outflow rate), 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
<= 30 calendar days
NULL
NULL
Level 2A HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
#
#
#
#
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central Bank
(FRB and other central banks where the
sovereign has not established its own outflow
rate), GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
(65) Secured Funding L2A (§.32(j)(1)(ii))
Value
LCR Firm
*
#
35
DRAFT
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
O.W.1‐7
Matches PID
#
#
*
<= 30 calendar days
Level 2A HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
NULL
NULL
#
#
#
(66) Secured Funding from Governmental Entities not L1 or L2A (§.32(j)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.D.4 and 5 (if not FDIC insured) and 6
Product
Matches PID
CID
Matches Counterparty
Sovereign, Central Bank (FRB and other central
Counterparty
banks where the sovereign has not established its
own outflow rate), GSE, or MDB
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Collateral Class
Level 2B HQLA or Non‐HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
Insured
Not FDIC for O.D.4 and 5, # for O.D.6
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
(67) Secured Funding from Governmental Entities not L1 or L2A (§.32(j)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
36
DRAFT
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
#
O.S.1, 2, 3, 5, 6 (FRB and other central banks
where the sovereign has not established an LCR
outflow rate), 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
<= 30 calendar days
NULL
NULL
Level 2B HQLA or Non‐HQLA, For O.S.9, include Z‐
1 All other assets
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
#
#
#
#
Matches Counterparty
Sovereign, Central Bank (FRB and other central
banks where the sovereign has not established
its own outflow rate), GSE, or MDB
(68) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
*
#
O.D.4 and 6 (only collateralized deposits)7
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
*
7
Secured deposits must meet the definition of a “collateralized deposit” under .32 of the LCR rule to be eligible for
reporting under O.D.4 or O.D.6 (subject to the additional definitional requirements of these products). Secured
deposits that do not meet the definition of a “collateralized deposit” should be reported under O.D.5.
37
DRAFT
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
<= 30 calendar days
Level 2B HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
Y
#
#
Internal
Internal Counterparty
(69) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
*
#
O.D.5
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
*
<= 30 calendar days
Level 2B HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
Y for Non‐Financial Corporate, PSE, Other
Supranational, Other; # for Bank, Supervised
Non‐Bank Financial Entity, Debt Issuing SPE,
Other Financial Entity
#
#
Field
Reporting Entity
Currency
Converted
(70) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
*
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
38
DRAFT
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
O.S.1, 2, 3, 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
<= 30 calendar days
NULL
NULL
Level 2B HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
#
#
#
Y for Non‐Financial Corporate, PSE, Other
Supranational, Other; # for Bank, Supervised
Non‐Bank Financial Entity, Debt Issuing SPE,
Other Financial Entity
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
(71) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
*
#
O.W.1‐7
Matches PID
#
#
*
<= 30 calendar days
Level 2B HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
NULL
39
DRAFT
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
NULL
#
#
#
(72) Customer Shorts Funded by Non‐HQLA Customer Longs (§.32(j)(1)(v))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
O.S.7
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Customer Long
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non‐HQLA
Collateral Value
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
Rehypothecated
#
CID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Counterparty
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
(73) Secured Funding Non‐HQLA (§.32(j)(1)(vi))
Value
LCR Firm
*
#
O.D.4 and 6 (only collateralized deposits)
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
40
DRAFT
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Entity
*
<= 30 calendar days
Non‐HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
Y
#
#
Internal
Internal Counterparty
(74) Secured Funding Non‐HQLA (§.32(j)(1)(vi))
Value
LCR Firm
*
#
O.D.5
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
*
<= 30 calendar days
Non‐HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
Y for Non‐Financial Corporate, PSE, Other
Supranational, Other; # for Bank, Supervised
Non‐Bank Financial Entity, Debt Issuing SPE,
Other Financial Entity
#
#
Field
Reporting Entity
(75) Secured Funding Non‐HQLA (§.32(j)(1)(vi))
Value
LCR Firm
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
41
DRAFT
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
*
#
O.S.1, 2, 3, 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Customer Long, Unsettled
(Regular Way) or Unsettled (Forward), #
otherwise
*
<= 30 calendar days
NULL
NULL
Non‐HQLA, For O.S.9, include Z‐1 All other assets
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale funding under .32(h)
#
#
#
#
#
Y for Non‐Financial Corporate, PSE, Other
Supranational, Other; # for Bank, Supervised
Non‐Bank Financial Entity, Debt Issuing SPE,
Other Financial Entity
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
(76) Secured Funding Non‐HQLA (§.32(j)(1)(vi))
Value
LCR Firm
*
#
O.W.1‐7
Matches PID
#
#
*
<= 30 calendar days
Non‐HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
42
DRAFT
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
the Collateral Value amount as unsecured
wholesale funding under .32(h)
NULL
NULL
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(77) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
*
#
O.D.5
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other
*
<= 30 calendar days
Level 2B or Non‐HQLA
#
*
#
N
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
(78) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
*
#
O.S.1, 2, 3, 5, 7, and 9
Matches PID
Matches Sub‐Product
For O.S.7 must be firm long, otherwise #
*
<= 30 calendar days
NULL
NULL
Level 2B or Non‐HQLA, For O.S.9, include Z‐1 All
other assets
43
DRAFT
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
#
#
#
#
#
#
N
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(79) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
*
#
O.D.4 (only collateralized deposits)
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity; if FDIC insured: Sovereigns, GSEs, MDBs,
Central Bank (FRB and other central banks where
the sovereign has not established its own outflow
rate)
*
<= 30 calendar days
Level 2A (if FDIC insured), Level 2B or Non‐HQLA
#
*
#
N
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
(80) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
*
#
O.D.6 (only collateralized deposits)
Matches PID
Matches Counterparty
Non‐Financial Corporate, PSE, Other
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
44
DRAFT
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Supranational, Other, Bank, Supervised Non‐Bank
Financial Entity, Debt Issuing SPE, Other Financial
Entity
*
<= 30 calendar days
Level 2B or Non‐HQLA
#
#
#
N
#
#
(81) Asset Exchange Post L1 Receive L1 (§.32(j)(3)(i))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 1 HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 1 HQLA
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
Field
Reporting Entity
(82) Asset Exchange Post L1 Receive L2A (§.32(j)(3)(ii))
Value
LCR Firm
45
DRAFT
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
*
#
I.S.4
Matches PID
Matches Sub‐Product
Level 2A HQLA
#
<= 30 calendar days
NULL or <= 30 calendar days but not open
NULL
NULL
Level 1 HQLA
*
#
#
#
#
#
#
#
#
(83) Asset Exchange Post L1 Receive L2B (§.32(j)(3)(iii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2B HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 1 HQLA
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
46
DRAFT
Counterparty
#
(84) Asset Exchange Post L1 Receive Non‐HQLA (§.32(j)(3)(iv))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Non‐HQLA or NULL
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 1 HQLA
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
(85) Asset Exchange Post L2A Receive L1 or L2A (§.32(j)(3)(v))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 1 HQLA or level 2A HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
Collateral Value
*
Unencumbered
#
47
DRAFT
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
#
#
#
#
#
#
#
(86) Asset Exchange Post L2A Receive L2B (§.32(j)(3)(vi))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2B HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
(87) Asset Exchange Post L2A Receive Non‐HQLA (§.32(j)(3)(vii))
Value
LCR Firm
*
#
I.S.4
Matches PID
Matches Sub‐Product
48
DRAFT
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
Non‐HQLA or NULL
#
<= 30 calendar days
NULL or <= 30 calendar days but not open
NULL
NULL
Level 2A HQLA
*
#
#
#
#
#
#
#
#
(88) Asset Exchange Post L2B Receive L1, L2A or L2B (§.32(j)(3)(viii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
49
DRAFT
(89) Asset Exchange Post L2B Receive Non‐HQLA (§.32(j)(3)(ix))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Non‐HQLA or NULL
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL or <= 30 calendar days but not open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
(90) Asset Exchange Post Rehypothecated Assets >30 days Receive L1 (§.32(j)(3)(x))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 1 HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
> 30 calendar days or Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
*
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
50
DRAFT
Prime Brokerage
Settlement
CID
Counterparty
#
#
#
#
(91) Asset Exchange Post Rehypothecated Assets >30 days Receive L2A (§.32(j)(3)(xi))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2A HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
> 30 calendar days or Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
*
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
(92) Asset Exchange Post Rehypothecated Assets >30 days Receive L2B (§.32(j)(3)(xii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2B HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
51
DRAFT
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
> 30 calendar days or Open
NULL
NULL
*
*
#
#
#
#
#
#
#
#
(93) Asset Exchange Post Rehypothecated Assets >30 days Receive Non‐HQLA (§.32(j)(3)(xiii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Non‐HQLA or NULL
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
> 30 calendar days or Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
*
Collateral Value
*
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
Field
Reporting Entity
Currency
Converted
(94) Foreign Central Banking Borrowing (§.32(k))
Value
LCR Firm
*
#
52
DRAFT
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
O.D.4, 5, 6 (only collateralized deposits) (foreign
central banks where the sovereign has
established an LCR outflow rate; if the foreign
central bank has not established an outflow rate,
then the outflow should be calculated through
the secured funding tables above, see relevant
footnotes above)
Matches PID
Matches Counterparty
Central Bank
*
<= 30 calendar days
*
*
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
(95) Foreign Central Banking Borrowing (§.32(k))
Value
LCR Firm
*
#
O.S.1, 2, 3 (foreign central banks where the
sovereign has established an LCR outflow rate; if
the foreign central bank has not established an
outflow rate, then the outflow should be
calculated through the secured funding tables
above, see relevant footnotes above)
Matches PID
#
#
*
<= 30 calendar days
NULL
NULL
*
*
#
#
#
#
#
#
53
DRAFT
CID
Counterparty
Matches Counterparty
Central Bank
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
(96) Foreign Central Banking Borrowing (§.32(k))
Value
LCR Firm
*
#
O.S.6 (foreign central banks where the sovereign
has established an LCR outflow rate; if the
foreign central bank has not established an
outflow rate, then the outflow should be
calculated through the secured funding tables
above)
Matches PID
Matches Sub‐Product
Specific central bank
*
<= 30 calendar days
NULL
NULL
*
*
#
#
#
#
#
#
Matches Counterparty
Central Bank
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
(97) Other Contractual Outflows (§.32(l))
Value
LCR Firm
*
#
O.O.19
Matches PID
Matches Counterparty
#
*
<= 30 calendar days
#
54
DRAFT
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
#
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Prime Brokerage
(98) Other Contractual Outflows (§.32(l))
Value
LCR Firm
*
#
O.O.22
Matches PID
#
Not Retail or Small Business
*
<= 30 calendar days
NULL
NULL
#
#
#
#
#
55
DRAFT
INFLOW VALUES
Field
Reporting Entity
Currency
Converted
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
(99) Net Derivatives Cash Inflow Amount (§.33(b))
Value
LCR Firm
*
#
I.O.7
Matches PID
*
#
#
#
#
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(100) Retail Cash Inflow Amount (§.33(c))
Value
LCR Firm
*
#
I.U.5 and 6
Matches PID
Matches Counterparty
Retail or Small Business
*
<= 30 calendar days but not Open
NULL
NULL
#
#
#
Field
Reporting Entity
Currency
Converted
PID
(101) Retail Cash Inflow Amount (§.33(c))
Value
LCR Firm
*
#
I.S.1, 2, 5, 6, and 7
56
DRAFT
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
Matches PID
#
#
*
<= 30 calendar days but not Open
#
NULL
NULL
#
#
#
#
#
#
#
#
Matches Counterparty
Retail or Small Business
(102) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.U.1, 2, 4, and 6
Product
Matches PID
CID
Matches Counterparty
Bank, Supervised Non‐Bank Financial Entity, Debt
Counterparty
Issuing SPE, Other Financial Entity, Central Bank
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Prime Brokerage
#
(103) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.A.3
Product
Matches PID
57
DRAFT
SID
Sub‐Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
#
#
*
#
<= 30 calendar days but not Open
NULL
NULL
A‐0‐Q
#
(104) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.7
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Z‐1 All other assets
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
Matches Counterparty
Bank, Supervised Non‐Bank Financial Entity, Debt
Counterparty
Issuing SPE, Other Financial Entity, Central Bank
(105) Non‐Financial Wholesale Cash Inflow Amount (§.33(d)(2))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.U.1, 2, and 6
Product
Matches PID
CID
Matches Counterparty
58
DRAFT
Counterparty
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
Non‐Financial Corporate, Sovereign, GSE, PSE,
MDB, Other Supranational, Other
*
<= 30 calendar days
NULL
NULL
#
#
#
(106) Non‐Financial Wholesale Cash Inflow Amount (§.33(d)(2))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.7
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Z‐1 All other assets
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
Matches Counterparty
Non‐Financial Corporate, Sovereign, GSE, PSE,
Counterparty
MDB, Other Supranational, Other
Field
Reporting Entity
Currency
Converted
PID
Product
Maturity Amount
(107) Securities Cash Inflow Amount (§.33(e))
Value
LCR Firm
*
#
I.O.6 and I.O.8
Matches PID
*
59
DRAFT
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
<= 30 calendar days but not Open
NULL
NULL
Non‐HQLA securities
#
#
#
#
#
Field
Reporting Entity
Currency
Converted
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
(108) Securities Cash Inflow Amount (§.33(e))
Value
LCR Firm
*
#
I.O.6 and I.O.8
Matches PID
*
<= 30 calendar days but not Open
NULL
NULL
HQLA
#
N
#
#
#
(109) Secured Lending when Asset Rehypothecated not returned within 30 days (§.33(f)(1)(i))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
> 30 calendar days or Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
HQLA or Non‐HQLA
Collateral Value
#
60
DRAFT
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
N
#
#
#
#
#
#
Not Retail or Small Business
(110) Secured Lending when Asset Available for Return (§.33(f)(1)(ii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 6, and 7
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non‐HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
Not Retail or Small Business
(111) Secured Lending when Asset Available for Return (§.33(f)(1)(ii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 6, and 7
Product
Matches PID
61
DRAFT
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
#
#
*
<= 30 calendar days
NULL
NULL
NULL
HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
N
Y
#
#
#
#
#
Not Retail or Small Business
(112) Secured Lending when Asset Available for Return (§.33(f)(1)(ii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, 6, and 7
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Unencumbered
#
Treasury Control
N
Internal
#
Internal Counterparty
#
Prime Brokerage
#
62
DRAFT
Settlement
CID
Counterparty
#
#
Not Retail or Small Business
(113) Secured Lending with L1 HQLA (§.33(f)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 1 HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
Not Retail or Small Business
(114) Secured Lending with L1 HQLA (§.33(f)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL
63
DRAFT
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
NULL
NULL
Level 1 HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Y
Y
#
#
#
#
#
Not Retail or Small Business
(115) Secured Lending with L2A HQLA (§.33(f)(1)(iv))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
Not Retail or Small Business
64
DRAFT
(116) Secured Lending with L2A HQLA (§.33(f)(1)(iv))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Unencumbered
Y
Treasury Control
Y
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
Not Retail or Small Business
(117) Secured Lending with L2B HQLA (§.33(f)(1)(v))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
65
DRAFT
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
the Collateral Value amount as unsecured
wholesale lending under .33(d)
#
#
#
#
#
#
#
Not Retail or Small Business
(118) Secured Lending with L2B HQLA (§.33(f)(1)(v))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
SID
#
Sub‐Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
NULL
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
To the extent the Collateral Value is less than the
Collateral Value
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
Unencumbered
Y
Treasury Control
Y
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
Not Retail or Small Business
Field
Reporting Entity
Currency
Converted
(119) Secured Lending with Non‐HQLA (§.33(f)(1)(vi))
Value
LCR Firm
*
#
66
DRAFT
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
I.S.1, 2, 3, 6, and 7
Matches PID
#
#
*
<= 30 calendar days
<= 30 calendar days but not Open
NULL
NULL
Non‐HQLA
To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less
the Collateral Value amount as unsecured
wholesale lending under .33(d)
#
#
#
#
#
#
#
Not Retail or Small Business
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
(120) Margin Loans for Non‐HQLA (§.33(f)(1)(vii))
Value
LCR Firm
*
#
I.S.5
Matches PID
#
#
*
<= 30 calendar days
<= 30 calendar days or NULL but not Open
NULL
NULL
Non‐HQLA
#
#
#
#
#
#
#
67
DRAFT
CID
Counterparty
#
Not Retail or Small Business
(121) Asset Exchange Collateral Rehypothecated and Not Returning within 30 days (§.33(f)(2)(i))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
*
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
> 30 calendar days or Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
#
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
(122) Asset Exchange Post L1 Receive L1 (§.33(f)(2)(ii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 1 HQLA
Collateral Value
#
68
DRAFT
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
#
#
#
#
#
#
#
#
(123) Asset Exchange Post L2A Receive L1 (§.33(f)(2)(iii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
(124) Asset Exchange Post L2B Receive L1 (§.33(f)(2)(iv))
Value
LCR Firm
*
#
I.S.4
Matches PID
Matches SID
Level 1 HQLA
*
69
DRAFT
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
<= 30 calendar days
<= 30 calendar days or NULL but not Open
NULL
NULL
Level 2B HQLA
#
#
#
#
#
#
#
#
#
(125) Asset Exchange Post Non‐HQLA Receive L1 (§.33(f)(2)(v))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non‐HQLA or Z‐1
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
Field
Reporting Entity
Currency
(126) Asset Exchange Post L2A Receive L2A (§.33(f)(2)(vi))
Value
LCR Firm
*
70
DRAFT
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
#
I.S.4
Matches PID
Matches Sub‐Product
Level 2A HQLA
*
<= 30 calendar days
<= 30 calendar days or NULL but not Open
NULL
NULL
Level 2A HQLA
#
#
#
#
#
#
#
#
#
(127) Asset Exchange Post L2B Receive L2A (§.33(f)(2)(vii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2A HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
71
DRAFT
(128) Asset Exchange Post Non‐HQLA Receive L2A (§.33(f)(2)(viii))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2A HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non‐HQLA or Z‐1
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
(129) Asset Exchange Post L2B Receive L2B (§.33(f)(2)(ix))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2B HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
72
DRAFT
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
#
#
#
#
#
#
(130) Asset Exchange Post Non‐HQLA Receive L2B (§.33(f)(2)(x))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.S.4
Product
Matches PID
SID
Matches Sub‐Product
Sub‐Product
Level 2B HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non‐HQLA or Z‐1
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Prime Brokerage
#
Settlement
#
CID
#
Counterparty
#
(131) Broker‐Dealer Segregated Account Inflow Amount (§.33(g))
Field
Value
Reporting Entity
LCR Firm
Currency
*
Converted
#
PID
I.O.5
Product
Matches PID
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
#
73
DRAFT
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Field
Reporting Entity
Currency
Converted
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
#
#
#
#
#
(132) Other Cash Inflow Amount (§.33(h))
Value
LCR Firm
*
#
I.O.9
Matches PID
*
<= 30 calendar days but not Open
NULL
NULL
#
#
#
#
#
#
74
DRAFT
APPENDIX VII
Short‐Term Wholesale Funding (STWF) to FR 2052a Mapping
Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to
assist reporting firms that must file Schedule G (STWF Indicator) of the FR Y‐15 (Banking Organization
Systemic Risk Report) in mapping the specific line items on Schedule G to the unique data identifiers
reported on the FR 2052a. This mapping document is not a part of any regulation nor a component of
official guidance related to the FR 2052a or FR Y‐15 reports. Firms may use this mapping document
solely at their discretion. From time to time, to ensure accuracy, an updated mapping document may be
published and reporting firms will be notified of these changes.
Key
*
Values relevant to Schedule G of the FR Y‐15
#
Values not relevant to Schedule G of the FR Y‐15
NULL
Should not have an associated value
1
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
FR 2052a to FR Y‐15, Schedule G Map
Item 1.a: Funding secured by level 1 liquid assets (sum of tables 1‐3)
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(1) O.D. PIDs for item 1.a
Value
FR Y‐15 Firm
*
#
O.D.5, 7, 8, 9, 11, 12, 13
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Level 1 HQLA
#
#
#
#
#
#
2
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
(2) O.S. PIDs for item 1.a
Value
FR Y‐15 Firm
*
#
O.S.1, 2, 3, 5, 6, 7, 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL
NULL
Level 1 HQLA
#
#
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
#
#
#
#
#
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
3
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(3) O.W. PIDs for item 1.a
Value
FR Y‐15 Firm
*
#
O.W.1‐7, 9‐19
Matches PID
#
#
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Level 1 HQLA
#
NULL
NULL
#
#
#
4
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 1.b: Retail brokered deposits and sweeps (table 4)
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
(4) O.D. PIDs for item 1.b
Value
FR Y‐15 Firm
*
#
O.D.7, 8, 9, 11
Matches PID
Matches Counterparty
Retail or Small Business
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
#
#
#
#
#
#
5
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 1.c: Unsecured wholesale funding obtained outside of the financial sector (sum of
tables 5 and 6)
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
(5) O.D. PIDs for item 1.c
Value
FR Y‐15 Firm
*
#
O.D.5, 7, 8, 9, 11, 12, 13
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL or Z‐1
NULL
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
#
#
#
#
6
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
(6) O.W. PIDs for item 1.c
Value
FR Y‐15 Firm
*
#
O.W.9, 10, 17, 18, 19
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL
NULL
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
NULL
NULL
#
#
#
7
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 1.d: Firm short positions involving level 2B liquid assets or non‐HQLA (table 7)
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
(7) O.S. PIDs for item 1.d
Value
FR Y‐15 Firm
*
#
O.S.8
Firm Shorts
9, 10, 12, 13
Matches SID
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Collateral Currency
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
#
#
Level 2B HQLA or Non‐HQLA
#
#
#
#
#
#
#
#
#
#
8
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 2.a: Funding secured by level 2A liquid assets (sum of tables 8‐10)
(8) O.D. PIDs for item 2.a
Value
FR Y‐15 Firm
*
#
O.D.5, 7, 8, 9, 11, 12, 13
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Level 2A HQLA
#
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
#
#
#
#
#
9
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
(9) O.S. PIDs for item 2.a
Value
FR Y‐15 Firm
*
#
O.S.1, 2, 3, 5, 6, 7, 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL
NULL
Level 2A HQLA
#
#
#
#
#
#
#
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, Other
10
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(10) O.W. PIDs for item 2.a
Value
FR Y‐15 Firm
*
#
O.W.1‐7, 9‐19
Matches PID
#
#
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Level 2A HQLA
#
NULL
NULL
#
#
#
11
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 2.b: Covered asset exchanges (level 1 to level 2A) (table 11)
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
(11) O.S. PIDs for item 2.b
Value
FR Y‐15 Firm
*
#
O.S.4
Matches PID
16
Level 1 Received
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
#
NULL
NULL
Level 2A HQLA
#
#
#
#
#
#
#
#
#
12
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 3.a: Funding secured by level 2A liquid assets (sum of tables 12‐14)
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(12) O.D. PIDs for item 3.a
Value
FR Y‐15 Firm
*
#
O.D.5, 7, 8, 9, 11, 12, 13
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financing Entity, Other
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Level 2B HQLA
#
#
#
#
#
#
13
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
(13) O.S. PIDs for item 3.a
Value
FR Y‐15 Firm
*
#
O.S.1, 2, 3, 5, 6, 7, 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL
NULL
Level 2B HQLA
#
#
#
#
#
#
#
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financing Entity, Other
14
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(14) O.W. PIDs for item 3.a
Value
FR Y‐15 Firm
*
#
O.W.1‐7, 9‐19
Matches PID
#
#
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Level 2B HQLA
#
NULL
NULL
#
#
#
15
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 3.b: Other covered asset exchanges (table 15)
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
CID
Counterparty
(15) O.S. PIDs for item 3.b
Value
FR Y‐15 Firm
*
#
O.S.4
Matches PID
For Collateral Class Level 2B HQLA: 16, 17; For
Collateral Class Non‐HQLA: 16, 17, 18
Matches SID
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
#
NULL
NULL
Level 2B HQLA or Non‐HQLA
#
#
#
#
#
#
#
#
#
16
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 3.c: Unsecured wholesale funding obtained within the financial sector (sum of tables
16 and 17)
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(16) O.D. PIDs for item 3.c
Value
FR Y‐15 Firm
*
#
O.D.5, 7, 8, 9, 11, 12, 13
Matches PID
Matches Counterparty
Bank, Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL or Z‐1
NULL
#
#
#
#
#
17
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(17) O.W. PIDs for item 3.c
Value
FR Y‐15 Firm
*
#
O.W.8‐19
Matches PID
For OW.8, 11‐16: #; For O.W.9, 10, 17, 18, 19:
Matches Counterparty
For OW.8, 11‐16: #; For O.W.9, 10, 17, 18, 19:
Bank, Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financial Entity, or NULL
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL
NULL
NULL
NULL
#
#
#
18
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Item 4: All other components of short‐term wholesale funding (sum of tables 18‐20)
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
(18) O.D. PIDs for item 4
Value
FR Y‐15 Firm
*
#
O.D.5, 7, 8, 9, 11, 12, 13
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financing Entity, Other
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Non‐HQLA
#
#
#
#
#
#
19
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
SID
Sub‐Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Prime Brokerage
Settlement
Rehypothecated
CID
Counterparty
(19) O.S. PIDs for item 4
Value
FR Y‐15 Firm
*
#
O.S.1, 2, 5, 6, 7 , 9
Matches PID
Matches Sub‐Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
NULL
NULL
Not Level 1, 2A, or 2B HQLA
#
#
#
#
#
#
#
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Bank,
Supervised Non‐Bank Financial Entity, Debt
Issuing SPE, Other Financing Entity, Other
20
DRAFT
Map Key: * means values relevant to the Schedule G; # means values not relevant to Schedule G; NULL
means the field should not have an associated value
Field
Reporting Entity
Currency
Converted
PID
Product
CID
Counterparty
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Prime Brokerage
(20) O.W. PIDs for item 4
Value
FR Y‐15 Firm
*
#
O.W.1‐7
Matches PID
#
#
*
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
Not Level 1, 2A, or 2B HQLA
#
NULL
NULL
#
#
#
21
| File Type | application/pdf |
| File Modified | 2019-03-27 |
| File Created | 2018-10-30 |