Form FR 2052a FR 2052a Complex Institution Liquidity Monitoring Report

FR 2052a
Complex Institution Liquidity Monitoring Report OMB Number 7100-0361
Approval expires February 28, 2025
Public reporting burden for this information collection is estimated to average 121-221 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. 

FR 2052a Instructions

Table of Contents
General Instructions...................................................................................................................................... 9
Purpose ................................................................................................................................................. 9
Confidentiality ....................................................................................................................................... 9
Liquidity Risk Measurement (LRM) Standards ...................................................................................... 9
Undefined Terms .................................................................................................................................. 9
Who Must Report ................................................................................................................................. 9
Scope of the Consolidated Entity ........................................................................................................ 10
Rules of Consolidation ........................................................................................................................ 11
Frequency and Timing of Data Submission ......................................................................................... 11
What Must Be Reported ..................................................................................................................... 14
Field Definitions .......................................................................................................................................... 16
Reporting entity .................................................................................................................................. 16
Currency .............................................................................................................................................. 16
Converted............................................................................................................................................ 17
Product ................................................................................................................................................ 17
Sub-Product ........................................................................................................................................ 17
Counterparty ....................................................................................................................................... 17
Collateral Class .................................................................................................................................... 21
Collateral Value ................................................................................................................................... 22
Maturity Bucket .................................................................................................................................. 22
Effective Maturity Bucket ................................................................................................................... 23
Maturity Amount ................................................................................................................................ 23
Forward Start Bucket .......................................................................................................................... 24
Forward Start Amount ........................................................................................................................ 24
Internal ................................................................................................................................................ 24
Internal Counterparty ......................................................................................................................... 25
Treasury Control ................................................................................................................................. 25
Market Value....................................................................................................................................... 25

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Lendable Value.................................................................................................................................... 25
Business Line ....................................................................................................................................... 26
Settlement .......................................................................................................................................... 26
Rehypothecated .................................................................................................................................. 26
Unencumbered ................................................................................................................................... 26
Insured ................................................................................................................................................ 27
Trigger ................................................................................................................................................. 27
Risk Weight ......................................................................................................................................... 27
Collection Reference ........................................................................................................................... 28
Product Reference .............................................................................................................................. 28
Sub-Product Reference ....................................................................................................................... 28
Netting Eligible .................................................................................................................................... 28
Encumbrance Type.............................................................................................................................. 28
Collateral Level .................................................................................................................................... 29
Accounting Designation ...................................................................................................................... 30
Loss Absorbency.................................................................................................................................. 30
G-SIB .................................................................................................................................................... 31
Maturity Optionality ........................................................................................................................... 31
Product Definitions ..................................................................................................................................... 33
I.A: Inflows-Assets ....................................................................................................................................... 33
I.A.1: Unencumbered Assets ............................................................................................................... 33
I.A.2: Capacity ..................................................................................................................................... 33
I.A.3: Unrestricted Reserve Balances .................................................................................................. 34
I.A.4: Restricted Reserve Balances ...................................................................................................... 35
I.A.5: Unsettled Asset Purchases ........................................................................................................ 35
I.A.6: Forward Asset Purchases ........................................................................................................... 35
I.A.7: Encumbered Assets ................................................................................................................... 36
I.U: Inflows-Unsecured ............................................................................................................................... 36
I.U.1: Onshore Placements ................................................................................................................. 37
I.U.2: Offshore Placements ................................................................................................................. 37
I.U.3: Required Operational Balances ................................................................................................. 37
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I.U.4: Excess Operational Balances ..................................................................................................... 37
I.U.5: Outstanding Draws on Unsecured Revolving Facilities ............................................................. 37
I.U.6: Other Loans ............................................................................................................................... 37
I.U.7: Cash Items in the Process of Collection..................................................................................... 38
I.U.8: Short-Term Investments............................................................................................................ 38
I.S: Inflows-Secured..................................................................................................................................... 38
I.S.1: Reverse Repo.............................................................................................................................. 39
I.S.2: Securities Borrowing .................................................................................................................. 39
I.S.3: Dollar Rolls ................................................................................................................................. 39
I.S.4: Collateral Swaps ......................................................................................................................... 39
I.S.5: Margin Loans .............................................................................................................................. 40
I.S.6: Other Secured Loans - Rehypothecatable ................................................................................. 40
I.S.7: Outstanding Draws on Secured Revolving Facilities .................................................................. 40
I.S.8: Other Secured Loans - Non-Rehypothecatable ......................................................................... 41
I.S.9: Synthetic Customer Longs .......................................................................................................... 41
I.S.10: Synthetic Firm Sourcing ........................................................................................................... 41
I.O: Inflows-Other ....................................................................................................................................... 42
I.O.1: Derivative Receivables .............................................................................................................. 42
I.O.2: Collateral Called for Receipt ...................................................................................................... 42
I.O.3: TBA Sales ................................................................................................................................... 43
I.O.4: Undrawn Committed Facilities Purchased ................................................................................ 43
I.O.5: Lock-up Balance......................................................................................................................... 43
I.O.6: Interest and Dividends Receivable ............................................................................................ 43
I.O.7: Net 30-Day Derivative Receivables ........................................................................................... 43
I.O.8: Principal Payments Receivable on Unencumbered Investment Securities............................... 44
I.O.9: Other Cash Inflows .................................................................................................................... 44
O.W: Outflows-Wholesale .......................................................................................................................... 44
O.W.1: Asset-Backed Commercial Paper (ABCP) Single-Seller ........................................................... 46
O.W.2: Asset-Backed Commercial Paper (ABCP) Multi-Seller ............................................................ 46
O.W.3: Collateralized Commercial Paper............................................................................................ 46
O.W.4: Asset-Backed Securities (ABS) ................................................................................................ 46
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O.W.5: Covered Bonds ........................................................................................................................ 46
O.W.6: Tender Option Bonds .............................................................................................................. 46
O.W.7: Other Asset-Backed Financing ................................................................................................ 46
O.W.8: Commercial Paper................................................................................................................... 46
O.W.9: Onshore Borrowing................................................................................................................. 46
O.W.10: Offshore Borrowing .............................................................................................................. 47
O.W.11: Unstructured Long Term Debt .............................................................................................. 47
O.W.12: Structured Long Term Debt .................................................................................................. 47
O.W.13: Government Supported Debt ............................................................................................... 47
O.W.14: Unsecured Notes .................................................................................................................. 47
O.W.15: Structured Notes................................................................................................................... 47
O.W.16: Wholesale CDs ...................................................................................................................... 48
O.W.17: Draws on Committed Lines ................................................................................................... 48
O.W.18: Free Credits ........................................................................................................................... 48
O.W.19: Other Unsecured Financing .................................................................................................. 48
O.S: Outflows-Secured ................................................................................................................................ 48
O.S.1: Repo.......................................................................................................................................... 49
O.S.2: Securities Lending..................................................................................................................... 49
O.S.3: Dollar Rolls ................................................................................................................................ 49
O.S.4: Collateral Swaps ....................................................................................................................... 49
O.S.5: FHLB Advances.......................................................................................................................... 50
O.S.6: Exceptional Central Bank Operations ....................................................................................... 50
O.S.7: Customer Shorts ....................................................................................................................... 51
O.S.8: Firm Shorts ............................................................................................................................... 52
O.S.9: Synthetic Customer Shorts ....................................................................................................... 53
O.S.10: Synthetic Firm Financing ........................................................................................................ 53
O.S.11: Other Secured Financing Transactions ................................................................................... 54
O.D: Outflows-Deposits .............................................................................................................................. 54
O.D.1: Transactional Accounts ............................................................................................................ 55
O.D.2: Non-Transactional Relationship Accounts ............................................................................... 55
O.D.3: Non-Transactional Non-Relationship Accounts ....................................................................... 56
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O.D.4: Operational Account Balances ................................................................................................. 56
O.D.5: Excess Balances in Operational Accounts ................................................................................ 56
O.D.6: Non-Operational Account Balances ......................................................................................... 56
O.D.7: Operational Escrow Accounts .................................................................................................. 56
O.D.8: Non-Reciprocal Brokered Accounts ......................................................................................... 57
O.D.9: Stable Affiliated Sweep Account Balances............................................................................... 57
O.D.10: Less Stable Affiliated Sweep Account Balances ..................................................................... 57
O.D.11: Non-Affiliated Sweep Accounts ............................................................................................. 57
O.D.12: Other Product Sweep Accounts ............................................................................................. 58
O.D.13: Reciprocal Accounts ............................................................................................................... 58
O.D.14: Other Third-Party Deposits .................................................................................................... 58
O.D.15: Other Accounts ...................................................................................................................... 58
O.O: Outflows-Other ................................................................................................................................... 58
O.O.1: Derivative Payables.................................................................................................................. 59
O.O.2: Collateral Called for Delivery ................................................................................................... 59
O.O.3: TBA Purchases.......................................................................................................................... 59
O.O.4: Credit Facilities ........................................................................................................................ 59
O.O.5: Liquidity Facilities .................................................................................................................... 60
O.O.6: Retail Mortgage Commitments ............................................................................................... 61
O.O.7: Trade Finance Instruments ...................................................................................................... 61
O.O.8: MTM Impact on Derivative Positions ...................................................................................... 61
O.O.9: Loss of Rehypothecation Rights Due to a 1 Notch Downgrade ............................................... 62
O.O.10: Loss of Rehypothecation Rights Due to a 2 Notch Downgrade ............................................. 62
O.O.11: Loss of Rehypothecation Rights Due to a 3 Notch Downgrade ............................................. 62
O.O.12: Loss of Rehypothecation Rights Due to a Change in Financial Condition ............................. 62
O.O.13: Total Collateral Required Due to a 1 Notch Downgrade ....................................................... 62
O.O.14: Total Collateral Required Due to a 2 Notch Downgrade ....................................................... 62
O.O.15: Total Collateral Required Due to a 3 Notch Downgrade ....................................................... 62
O.O.16: Total Collateral Required Due to a Change in Financial Condition........................................ 63
O.O.17: Excess Margin ........................................................................................................................ 63
O.O.18: Unfunded Term Margin ......................................................................................................... 63
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O.O.19: Interest & Dividends Payable................................................................................................. 63
O.O.20: Net 30-Day Derivative Payables ............................................................................................ 63
O.O.21: Other Outflows Related to Structured Transactions ............................................................. 63
O.O.22: Other Cash Outflows.............................................................................................................. 64
S.DC: Supplemental-Derivatives & Collateral ............................................................................................. 64
S.DC.1: Gross Derivative Asset Values ................................................................................................ 65
S.DC.2: Gross Derivative Liability Values............................................................................................. 66
S.DC.3: Derivative Settlement Payments Delivered ........................................................................... 66
S.DC.4: Derivative Settlement Payments Received ............................................................................ 66
S.DC.5: Initial Margin Posted - House ................................................................................................. 66
S.DC.6: Initial Margin Posted - Customer ............................................................................................ 66
S.DC.7: Initial Margin Received ........................................................................................................... 66
S.DC.8: Variation Margin Posted - House ........................................................................................... 67
S.DC.9: Variation Margin Posted - Customer ...................................................................................... 67
S.DC.10: Variation Margin Received ................................................................................................... 67
S.DC.11: Derivative CCP Default Fund Contribution ........................................................................... 67
S.DC.12: Other CCP Pledges and Contributions .................................................................................. 67
S.DC.13: Collateral Disputes Deliverables ........................................................................................... 67
S.DC.14: Collateral Disputes Receivables ............................................................................................ 68
S.DC.15: Sleeper Collateral Deliverables............................................................................................. 68
S.DC.16: Required Collateral Deliverables .......................................................................................... 68
S.DC.17: Sleeper Collateral Receivables.............................................................................................. 68
S.DC.18: Derivative Collateral Substitution Risk ................................................................................. 68
S.DC.19: Derivative Collateral Substitution Capacity .......................................................................... 69
S.DC.20: Other Collateral Substitution Risk ........................................................................................ 69
S.DC.21: Other Collateral Substitution Capacity ................................................................................. 69
S.L: Supplemental-Liquidity Risk Measurement (LRM) ............................................................................... 70
S.L.1: Subsidiary Liquidity That Cannot Be Transferred ...................................................................... 70
S.L.2: Subsidiary Liquidity Available for Transfer ................................................................................ 70
S.L.3: Unencumbered Asset Hedges – Early Termination Outflows ................................................... 71
S.L.4: Non-Structured Debt Maturing in Greater than 30-days – Primary Market Maker ................. 71
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S.L.5: Structured Debt Maturing in Greater than 30-days – Primary Market Maker ......................... 71
S.L.6: Liquidity Coverage Ratio ............................................................................................................ 71
S.L.7: Subsidiary Funding That Cannot Be Transferred ....................................................................... 71
S.L.8: Subsidiary Funding Available for Transfer ................................................................................. 71
S.L.9: Additional Funding Requirement for Off-Balance Sheet Rehypothecated Assets .................... 72
S.L.10: Net Stable Funding Ratio ......................................................................................................... 72
S.B: Supplemental-Balance Sheet ............................................................................................................... 72
S.B.1: Regulatory Capital Element ...................................................................................................... 73
S.B.2: Other Liabilities ......................................................................................................................... 73
S.B.3: Non-Performing Assets ............................................................................................................. 73
S.B.4: Other Assets .............................................................................................................................. 73
S.B.5: Counterparty Netting ................................................................................................................ 73
S.B.6: Carrying Value Adjustment ....................................................................................................... 73
S.I: Supplemental-Informational ................................................................................................................. 74
S.I.1: Long Market Value Client Assets................................................................................................ 74
S.I.2: Short Market Value Client Assets............................................................................................... 74
S.I.3: Gross Client Wires Received ...................................................................................................... 74
S.I.4: Gross Client Wires Paid .............................................................................................................. 74
S.I.5: FRB 23A Capacity........................................................................................................................ 74
S.I.6: Subsidiary Liquidity Not Transferrable ....................................................................................... 75
S.FX: Supplemental-Foreign Exchange ........................................................................................................ 75
S.FX.1: Spot ......................................................................................................................................... 78
S.FX.2: Forwards and Futures ............................................................................................................. 78
S.FX.3: Swaps....................................................................................................................................... 78
Appendix I: FR 2052a Data Format, Tables, and Fields ............................................................................... 80
Appendix II-a: FR 2052a Product/Sub-Product Requirements ................................................................... 86
Appendix II-b: FR 2052a Counterparty Requirements ................................................................................ 88
Appendix II-c: FR 2052a Collateral Class Requirements ............................................................................. 91
Appendix II-d: FR 2052a Forward Start Exclusions ..................................................................................... 95
Appendix III: FR 2052a Asset Category Table.............................................................................................. 98
Appendix IV-a: FR 2052a Maturity Bucket Value List ............................................................................... 101
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Appendix IV-b: FR 2052a Maturity Bucket Tailoring ................................................................................. 102
Appendix V: FR 2052a Double Counting of Certain Exposures ................................................................. 103

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FR 2052a Instructions

General Instructions
Purpose
The FR 2052a data, which are used to monitor an individual organization’s overall liquidity
profile, provide detailed information on the liquidity risks within different business lines (e.g.,
financing of securities positions and prime brokerage activities). In particular, the data serve as
part of the Federal Reserve's supervisory surveillance program in its liquidity risk management
area and provide timely information on firm-specific liquidity risks during periods of stress.
Confidentiality
In general, data from the FR 2052a are confidential and are not publicly available. In limited
circumstances, aggregate data for multiple respondents, which do not reveal the identity
of any individual respondent, may be released.
Liquidity Risk Measurement (LRM) Standards
For purposes of these instructions, the LRM Standards mean 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.
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 in 12 CFR 252.2.
Undefined Terms
Any undefined term used herein has the meaning set forth in the LRM Standards.
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), 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 a Foreign Banking Organization; 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

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Regulation LL, organized under the laws of the United States and excludes any savings and loan
holding company that is a subsidiary of a Foreign Banking Organization (FBO).
U.S. firms with $100 billion or more in total consolidated assets, based on a four-quarter
average, 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 identified as 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).
For FBOs:
For the purposes of the FR 2052a report, FBO has the same meaning as in section 252.2 of the
Board’s Regulation YY (12 CFR 252.2) and includes any bank holding company that is a
subsidiary of an FBO.
FBOs with combined U.S. assets of $100 billion or more based on a four-quarter average must
report for their consolidated U.S. operations and, separately, each material entity, including
those outside the U.S. managed from the United States. For FBOs that own U.S. entities subject
to the LRM Standards, material entities include at least those entities subject to the LRM
Standards. 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 a 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).

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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, on a consolidated basis.
Unless the instructions specifically state otherwise, this consolidation shall be on a line-by-line
basis. As part of the consolidation process, the results of all transactions and all 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
Unless otherwise stated in the definition of specific tables or products, the required frequency
and timing of each report is as follows:
For U.S. Firms:
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 with average
weighted short-term wholesale funding of $75 billion or more must submit a report on each
business day.
U.S. firms that are not identified above must submit a report monthly.
For FBOs:
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.
1

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FR 2052a Instructions

For purposes of this form, FBOs are categorized based on the risk profile of their combined U.S.
operations. FBOs identified as (i) Category II foreign banking organizations, or (ii) Category III
foreign banking organizations with average weighted short-term wholesale funding of $75
billion or more must submit a report on each business day.
FBOs identified not identified above must submit a report monthly.
As-of Date (Day T)
Day T refers to the as‐of date of the data. Unless otherwise stated, U.S. firms that are Category
I, II or III banking organizations and FBOs that are Category II or III foreign banking organizations
must submit data on or before T+2 business days. Unless otherwise stated, all other U.S. firms
and FBOs must submit data on or before T+10 calendar days.
Holidays
For U.S. bank holidays 3 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 that corresponds to a
reporting date. If the submission date falls on a weekend or Federal Reserve bank holiday based
on a calendar day reporting cycle, the submission is due the following business day.
Transitions:
If a banking organization’s required FR 2052a reporting timing of submission changes from
monthly T+10 to monthly T+2, the banking organization may continue to report the FR 2052a
monthly T+10 until the first day of the fifth calendar quarter after the banking organization’s
change in category is effective, in accordance with 12 CFR 252.5.
If a banking organization’s required FR 2052a reporting timing of submission changes from
monthly T+2 to monthly T+10, the extension in timing of submission will take effect
immediately on the first day of the first quarter in which the banking organization’s change in
category is effective, in accordance with 12 CFR 252.5.

Standard U.S. bank holidays are published on the Federal Reserve’s Financial Services web site:
https://www.frbservices.org/about/holiday-schedules/index.html

3

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If a banking organization’s required FR 2052a reporting frequency increases from monthly to
daily, the banking organization may continue to report the FR 2052a monthly until the first day
of the second calendar quarter after (i) the banking organization’s change in category is
effective, in accordance with 12 CFR 252.5; or (ii) the banking organization’s average weighted
short-term wholesale funding is $75 billion or more, in accordance with that term’s definition in
12 CFR 252.2.
If a banking organization’s required FR 2052a reporting frequency decreases from daily to
monthly, the reduction in reporting frequency will take effect immediately on the first day of
the first quarter in which (i) the banking organization’s change in category is effective, in
accordance with 12 CFR 252.5, or (ii) the banking organization’s average weighted short-term
wholesale funding is less than $75 billion, in accordance with that term’s definition in 12 CFR
252.2.
Submission Summary
Frequency 4

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 with average
weighted short-term wholesale funding of $75
billion or more.
FBOs that are identified as (i) Category II foreign
banking organizations; or (ii) Category III foreign
banking organizations with average weighted
short-term wholesale funding of $75 billion or
more.

Each Business Day

Timing of
Submission

T+2

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

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U.S. firms identified as Category III banking
organizations with average weighted short-term
wholesale funding of less than $75 billion.
FBOs identified as Category III foreign banking
organizations with average weighted short-term
wholesale funding of less than $75 billion.

•

•

U.S. firms identified as Category IV banking
organizations.
FBOs identified as Category IV foreign banking
organizations.

•
•

5

T+2

Monthly 6

T+10

Monthly

What Must Be Reported
The data collection is grouped into three broad categories of data elements:
•

•

•

Inflows
o Inflows generally 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 generally 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, including derivatives and
collateral exposures, foreign exchange positions, informational data elements,

Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily require 2052a liquidity data on a more frequent basis.
6
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily require 2052a liquidity data on a more frequent basis.
5

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and elements necessary to calculate and monitor a reporting firm’s LRM
Standards.

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FR 2052a Instructions

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
The following firms may report all assets, liabilities, and other informational data elements in
USD millions: U.S. firms that are identified as Category III banking organizations with average
weighted short-term wholesale funding of less than $75 billion; U.S. firms that are identified as
Category IV banking organizations; FBOs that are identified as Category III foreign banking
organizations with average weighted short-term wholesale funding of less than $75 billion; and
FBOs that are identified as Category IV foreign banking organizations.
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.7
•

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.

U.S. Dollar (USD); Euro (EUR); Australian Dollar (AUD); Canadian Dollar (CAD); Swiss Franc (CHF); Pound Sterling
(GBP); Japanese Yen (JPY).

7

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FR 2052a Instructions

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,
outflows, and supplemental items. Unless otherwise specified, do not report the same
transaction more than one time for each reporting entity.
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 all tables except the Inflow-Assets,
Supplemental-Informational, and Comment tables. 8 The definitions for these types should align
with the classification of the legal counterparty to a given exposure and not the counterparty’s
ultimate parent; however two product-specific exceptions to this approach are detailed below
in the definitions of the Debt Issuing SPE and Bank counterparty types.
•

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

This listing does not include “Municipalities for VRDNs”, which is applicable only to O.O.5: Liquidity Facilities and
is defined in that section.

8

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FR 2052a Instructions

reporting entity. Under circumstances where small business entities are affiliated, the
$1.5 million threshold should be assessed against the aggregate funding 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 nonfinancial in nature (i.e., do not meet the definition of Pension Fund, Bank, Broker-Dealer,
Investment Company or Advisor, Financial Market Utility, Other Supervised Non-Bank
Financial Entity, or Non-Regulated Fund as identified in the sections below).

•

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 InterAmerican 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.

Page 18 of 106

FR 2052a Instructions

•

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.

•

Pension Fund
Refers to an employee benefit plan as defined in paragraphs (3) and (32) of section 3 of
the Employee Retirement Income and Security Act of 1974 (29 U.S.C. 1001 et seq.), a
“governmental plan” (as defined in 29 U.S.C. 1002(32)) that complies with the tax
deferral qualification requirements provided in the Internal Revenue Code, or any
similar employee benefit plan established under the laws of a foreign jurisdiction.

•

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 nonmember bank that is not a depository institution. This term does not include non-bank
financial entities that have an affiliated banking entity, except for exposures reported in
the Outflows-Other table under products O.O.4: Credit Facilities and O.O.5: Liquidity
Facilities. Any 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, must be
designated as a Bank for products O.O.4 and O.O.5. This term does not include bridge
financial companies as defined in 12 U.S.C. 5381(a)(3), or new depository institutions or
bridge depository institutions as defined in 12 U.S.C. 1813(i).

•

Broker-Dealer
Refers to 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); security-based swap
dealer as defined in section 3 of the Securities Exchange Act (15 U.S.C. 78c); or any
company not domiciled in the United States (or a political subdivision thereof) that is
Page 19 of 106

FR 2052a Instructions

supervised and regulated in a manner similar to these entities.
•

Investment Company or Advisor
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.); a company registered with the SEC as an
investment adviser under the Investment Advisers Act of 1940 (15 U.S.C. 80b-1 et seq.);
or foreign equivalents of such persons or companies. An investment company or advisor
does not include small business investment companies, as defined in section 102 of the
Small Business Investment Act of 1958 (15 U.S.C. 661 et seq.).

•

Financial Market Utility
Refers to a designated financial market utility, as defined in section 803 of the DoddFrank Act (12 U.S.C. 5462) and any company not domiciled in the United States (or a
political subdivision thereof) that is supervised and regulated in a similar manner.

•

Other 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, broker-dealer, investment company or advisor or
financial market utility, 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;
(3) An insurance company; and
(4) 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 (3) of this definition (e.g., a non-bank subsidiary of a foreign
banking organization, foreign insurance company, etc.).
(5) A supervised non-bank financial entity does not include:
a. U.S. government-sponsored enterprises;
b. Entities designated as Community Development Financial Institutions (CDFIs)
under 12 U.S.C. 4701 et seq. and 12 CFR part 1805; or
c. Central banks, the Bank for International Settlements, the International
Monetary Fund, or multilateral development banks.

Page 20 of 106

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•

Debt Issuing Special Purpose Entity (SPE)
Refers to an SPE 9 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.

•

Non-Regulated Fund
Refers to 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. Use
the comments table to provide description of the counterparty on at least a
monthly basis and in the event of a material change in reported values.

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 standardized risk weightings as specified under subpart D of Regulation Q (12
CFR part 217).

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.

9

Page 21 of 106

FR 2052a Instructions

•

Work with supervisory teams to address questions on the categorization of specific
assets.

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. For pledged loans that are
accounted for on an accrual basis, report the most recent available fair valuation.
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 In general, report maturities based upon the actual settlement of cash flows. For
example, if a payment is scheduled to occur on a weekend or bank holiday, but
will not actually settle until the next good business day, the maturity bucket
must correspond to the date on which the payment will actually settle.
o Do not report based on behavioral or projected assumptions.
“Day” buckets refer to the number of calendar days following the as-of date (T). For
example, “Day 1” (Calendar Day 1) represents balances on T+1 (maturing the next
calendar day from T).
Report transactions and balances that do not have a contractual maturity, but could be
contractually realized on demand (e.g., demand deposits) as “Open”.
Report transactions and balances as “Perpetual” to the extent that they do not have a
contractual maturity (or where the maturity is explicitly defined as perpetual), could not
be contractually realized on demand or with notice at the inception of the transaction,
and would not be subject to the maturity acceleration requirements of sections
31(a)(1)(i) or (iii) of the LRM Standards. For example, common equity included in
regulatory capital should be reported with a [Maturity Bucket] value of “Perpetual”.
For transactions and balances with embedded optionality, report the maturity in
accordance with sections 31(a)(1) and 31(a)(2) of the LRM Standards. For deferred tax
liabilities, report the maturity in accordance with section 101(d) of the LRM Standards.
o For transactions and balances with embedded optionality that are executed
between affiliated reporting entities, where neither reporting entity is subject to
the LRM Standards on a standalone basis, report the maturity according to the
earliest possible date the transaction or balance could contractually be repaid.
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

Page 22 of 106

FR 2052a Instructions

•

•

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.
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-Assets, Inflows-Unsecured, InflowsSecured, Supplemental-Derivatives & Collateral and Supplemental-Balance Sheet tables. Report
a maturity time bucket value in this field for all Inflows-Secured data elements where the asset
has been re-used to secure or otherwise settle another transaction or exposure.
• The effective maturity date must align with the remaining period of encumbrance,
irrespective of the original maturity of the transaction or exposure.
• With respect to an asset pledged to a collateral swap, if the asset received in the
collateral swap has been rehypothecated to secure another transaction, in accordance
with section 106(d)(2) of the LRM Standards, the effective maturity date of the onbalance sheet asset pledged to the collateral swap must align with the longer of the two
encumbrances (i.e., either the maturity of the collateral swap, or the maturity of the
transaction to which the asset received in the collateral swap 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.
• For transactions where the collateral received is generally re-used throughout the day to
satisfy intraday collateral requirements for access to payment, clearance and settlement
systems, 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).

Page 23 of 106

FR 2052a Instructions

•

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
• $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

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

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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.
Treasury Control
This field is only applicable to the Inflows-Assets, Inflows-Secured, Inflows-Other, OutflowsSecured and Supplemental-Derivatives & Collateral tables. Use this field to flag (“Yes”) assets, or
transactions secured by assets that meet the operational requirements for eligible HQLA in the
LRM Standards 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 Inflows-Assets, Supplemental-Derivatives & Collateral,
Supplemental-LRM, Supplemental-Balance sheet and Supplemental-Informational tables.
Report the fair value under GAAP for each applicable data element.
•

In general, report values according to the close-of-business marks on the as-of date. For
loans that are accounted for on an accrual basis, report the most recent available fair
valuation.

Lendable Value
This field is only applicable to the Inflows-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.

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FR 2052a Instructions

Business Line
This field is applicable to all tables except the Supplemental-LRM and Comments tables. U.S.
firms that are identified as Category I banking organizations are required to report this field.
Use this field to designate the business line responsible for or associated with all applicable
exposures. Coordinate with the supervisory team to determine the appropriate representative
values for this field.
Settlement
This field is only applicable to the Inflows-Secured, Outflows-Secured and Supplemental-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 FICC: secured financing transactions that are cleared and novated to the Fixed
Income Clearing Corporation (FICC)
o Triparty: secured financing transactions settled on the US-based tri-party
platform, excluding transactions that originate on the tri-party platform, but are
novated to FICC (e.g., the General Collateral Finance repo service).
o Other: secured financing transactions settled on other (e.g., non-US) third-party
platforms (includes transactions that are initiated bilaterally, but are
subsequently cleared through a CCP)
o Bilateral: secured financing transactions settled bilaterally (excludes transactions
that are initiated bilaterally, but subsequently cleared (e.g., FICC delivery-vspayment transactions)
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

Page 26 of 106

FR 2052a Instructions

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.
•

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 nonUS 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.
Risk Weight
This field is only applicable to the Inflows-Unsecured, Inflows-Secured and SupplementalBalance Sheet tables.
U.S. firms that are identified as Category IV banking organizations with average weighted shortterm wholesale funding of less than $50 billion and FBOs that are identified as Category IV
foreign banking organizations with average weighted short-term wholesale funding of less than
$50 billion are not required to report on this field.

Page 27 of 106

FR 2052a Instructions

Use this field to designate the standardized risk weight of unsecured and secured lending
transactions, as per 12 CFR §217 subpart D, along with any associated adjustments
necessary to establish the balance sheet carrying value of these transactions.
Collection Reference
This field is only applicable to the Supplemental-Balance Sheet table. Use this field to
indicate the [Collection] (i.e., table) designation applicable to a reported adjustment.
Adjustments should be designated using the following values: I.A., I.S, I.U, I.O, O.D, O.S,
O.W., O.O and S.DC.
Product Reference
This field is only applicable to the Supplemental-Balance Sheet table. Use this field to
indicate the [Product] designation applicable to the reported adjustment.
Sub-Product Reference
This field is only applicable to the Supplemental-Balance Sheet table. Use this field to
indicate the [Sub-Product] designation applicable to the reported adjustment.
Netting Eligible
This field is only applicable to the Derivatives & Collateral table. Use this field to identify
the balances of variation margin posted and received under S.DC.8 through S.DC.10 that
are eligible for netting per the conditions referenced in section 107(f)(1) of the LRM
Standards.
Encumbrance Type
This field is only applicable to the Inflows-Assets, Inflows-Unsecured, Inflows-Secured and
Supplemental-Derivatives & Collateral tables. Use this field to categorize asset
encumbrances according to the following types:
•

Securities Financing Transaction
Refers to the encumbrance of assets to transactions reportable in the O.D., O.S and
O.W tables, except for assets pledged to secure Covered Federal Reserve Facility
Funding.

•

Derivative VM
Refers to the encumbrance of assets delivered to satisfy calls for variation margin in
response to change in the value of derivative positions.

•

Derivative IM and DFC

Page 28 of 106

FR 2052a Instructions

Refers to the encumbrance of assets delivered to satisfy initial margin, default fund
contributions or other comparable requirements, where the activity supported by
these encumbrances includes derivatives.
•

Other IM and DFC
Refers to the encumbrance of assets delivered to satisfy initial margin, default fund
contributions or other comparable requirements, where the activity supported by
these encumbrances does not include derivatives.

•

Segregated for Customer Protection
Refers to encumbrances due to the segregation of assets held to satisfy customer
protection requirements (e.g., 15c3-3, CFTC residual interest and other customer
money protection requirements).

•

Covered Federal Reserve Facility Funding
Refers to encumbrance reportable using product O.S.6: Exceptional Central Bank
Operations with a sub-product of Covered Federal Reserve Facility Funding.

•

Other
Refers to all other types of encumbrance. Use the comments table to provide
additional detail on the underlying type of encumbrance on at least a monthly basis
and in the event of a material change in reported values.

Collateral Level
This field is only applicable to the Supplemental-Derivatives & Collateral table. Use this
field to differentiate the derivative asset and liability values (S.DC.1 and 2) and the
balances of variation margin posted and received (S.DC.8 through 10) for all derivative
contracts (e.g., based on the collateralization requirements stipulated in the contractual
terms of a derivative’s credit support annex (CSA)):
•

Uncollateralized
Refers to derivative asset and liability values that do not require exchange of variation
margin (i.e., the transactions or netting sets are not governed by a CSA or the applicable
CSA does not require the out-of-the-money counterparty, based on current market
values, to provide variation margin).

•

Undercollateralized
Refers to derivative asset and liability values and any associated balances of variation
margin posted and received where the value of margin exchanged is less than the
derivative asset or liability value for the transaction or associated derivative transaction

Page 29 of 106

FR 2052a Instructions

or qualifying master netting agreement netting set (e.g., due to thresholds or minimum
transfer amounts).
•

Fully Collateralized
Refers to derivative asset and liability values and any associated balances of variation
margin posted and received where the value of margin exchanged is equal to the
derivative asset or liability value for the transaction or associated derivative transaction
or qualifying master netting agreement netting set. Derivative asset and liability values
may be considered “fully collateralized” to the extent there are short-term timing
mismatches between margin calls and margin settlement that result in temporarily
undercollateralized exposures or minimum transfer amounts are set at de minimus
levels (e.g., $1 million).

•

Overcollateralized
Refers to derivative asset and liability values and the portion of variation margin posted
and received where the value of margin exchanged is greater than the derivative asset
or liability value for the transaction or associated derivative transaction or qualifying
master netting agreement netting set. For variation margin posted and received, use
this value to designate only the portion of margin that exceeds the derivative asset or
liability value.

Accounting Designation
This field is only applicable to the Inflows-Assets table. Use this field to identify the
accounting designation applicable to each asset reported under products I.A.1:
Unencumbered Assets and I.A.2: Capacity. Use the following values:
•
•
•
•

Available-for-Sale
Held-to-Maturity
Trading Asset
Not Applicable: For example, use this designation to the extent assets received via a
secured lending transaction are reported under I.A.2: Capacity.

Loss Absorbency
This field is only applicable to the Wholesale table.
U.S. firms that are identified as Category IV banking organizations with average weighted shortterm wholesale funding of less than $50 billion and FBOs that are identified as Category IV

Page 30 of 106

FR 2052a Instructions

foreign banking organizations with average weighted short-term wholesale funding of less than
$50 billion are not required to report on this field.
Use this field to identify the extent to which instruments reported in the OutflowsWholesale table qualify as capital or Total Loss Absorbing Capacity (TLAC) instruments
under 12 CFR §217 Subpart C or 12 CFR §252 Subparts G and P, respectively. Use the
following values:
•
•

Capital
TLAC

G-SIB
This field is applicable in all cases where the Counterparty field is populated.
U.S. firms that are identified as Category I banking organizations are required to report this
field.
Use this field to identify data elements where the underlying counterparty is a G-SIB
according to the most recent list of G-SIBs published by the Financial Stability Board (FSB).
Report in this field the G-SIB name, as it appears on the FSB list.
Maturity Optionality
This field is applicable to the Inflows-Secured, Inflows-Unsecured, Outflows-Deposits,
Outflows-Secured and Outflows-Wholesale tables. Use this field to identify transactions
with the following types of embedded optionality:
•

Evergreen
Refers to transactions that require either or both parties to provide a minimum number
of days’ notice before the transaction can contractually mature.

•

Extendible
Refers to transactions that include options to extend the maturity beyond its originally
scheduled date.

•

Accelerated-Counterparty
Refers to transactions where the counterparty holds an option to accelerate maturity
(e.g., a liability with a put option), and the maturity is assumed to be accelerated as per
the requirements for reporting of the [Maturity Bucket] field. Include transactions
where the counterparty’s exercise of the option would require the reporting entity’s
mutual consent.
Page 31 of 106

FR 2052a Instructions

•

Accelerated-Firm
Refers to transactions where the reporting entity holds an option to accelerate maturity
(e.g., a liability with a call option), and the maturity is assumed to be accelerated as per
the requirements for reporting of the [Maturity Bucket] field.

•

Not Accelerated
Refers to all other transactions with embedded optionality that could accelerate the
maturity of an instrument, but that maturity is not assumed to be accelerated as per the
requirements for reporting of the [Maturity Bucket] field.

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Product Definitions
I.A: Inflows-Assets
I.A.1: Unencumbered Assets
Refers to assets that are owned 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. governmentsponsored 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. Any
amounts due to the reporting institution with respect to any associated hedges should not be
added or subtracted from the fair value of the asset. Include unencumbered loans and leases
even though these loans and leases must also be reported under the appropriate InflowsUnsecured and Inflows-Secured 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 LRM Standards). Include unencumbered loans, even though these
loans must also be reported under the appropriate Inflows-Unsecured and Inflows-Secured
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 LRM Standards. 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 LRM Standards.
Use the [Sub-Product] field to further identify the specific central bank account according to the
following choices, or “Currency and Coin” 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)

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•

Currency and Coin 10

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 “Currency and Coin” 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)
Currency and Coin8

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. Report failed settlements with a [Forward
Start Bucket] value of “Open”.
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
10

Report U.S. and foreign currency and coin owned and held in all offices of the consolidated holding company;
currency and coin in transit to a Federal Reserve Bank or to any other depository institution for which the
reporting holding company’s subsidiaries have not yet received credit; and currency and coin in transit from a
Federal Reserve Bank or from any other depository institution for which the accounts of the subsidiaries of the
reporting holding company have already been charged.

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[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. Report failed settlements with a [Forward Start Bucket] value of “Open”.
I.A.7: Encumbered Assets
Refers to encumbered assets, of which the reporting entity is the beneficial owner (i.e., the
assets are represented on the accounting balance sheet), that are not otherwise captured
under other FR 2052a balance sheet products in the I.A, I.U or I.S tables.

I.U: Inflows-Unsecured
General Guidance: Report aggregated principal cash inflows for all fully performing loans and
placements. Exclude non-performing loans (i.e., 90 days past due or non-accrual) which are
reported in Supplemental-Balance Sheet table. Do not make any assumptions about
amortizations or pre-payments. 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). 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
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Page 36 of 106

FR 2052a Instructions

•
•
•
•

Other Supervised Non-Bank Financial Entity
Debt Issuing SPE
Non-Regulated Fund
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 funds11
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).
I.U.3: Required Operational Balances
Refers to the minimum balances held at other financial counterparties necessary to maintain
ongoing operational activities, such as clearing and settlement. These balances may not be
mandated by the counterparty, but could include, for example, a minimum balance maintained
by the reporting entity to avoid intraday or end-of-day overdraft fees.
I.U.4: Excess Operational Balances
Refers to balances placed at other financial counterparties not reported in I.U.3.Required
Operational Balances. 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 Operational
Balances.
I.U.5: Outstanding Draws on Unsecured Revolving Facilities
Refers to the existing loan arising from the drawn portion of any unsecured revolving facility
(e.g., a general working capital facility) extended by the reporting entity.
I.U.6: Other Loans
Refers to all other unsecured loans not otherwise included in I.U products. Include any
subordinated lending to affiliates that do not fall within the reporting entity’s scope of
consolidation. Use the comments table to provide a general description of other loans
included in this product on at least a monthly basis and in the event of a material change in
reported values.
11

See: http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html for definition.

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FR 2052a Instructions

I.U.7: Cash Items in the Process of Collection
Refers to (1) checks or drafts in process of collection that are drawn on another depository
institution (or a Federal Reserve Bank) and that are payable immediately upon presentation in
the country where the covered company’s office that is clearing or collecting the check or draft
is located, including checks or drafts drawn on other institutions that have already been
forwarded for collection but for which the reporting entity has not yet been given credit
(known as cash letters), and checks or drafts on hand that will be presented for payment or
forwarded for collection on the following business day; (2) government checks drawn on the
Treasury of the United States or any other government agency that are payable immediately
upon presentation and that are in process of collection; and (3) such other items in process of
collection that are payable immediately upon presentation and that are customarily cleared or
collected as cash items by depository institutions in the country where the covered company’s
office which is clearing or collecting the item is located.
I.U.8: Short-Term Investments
Refers to balances, including, but not limited to time deposits, that are held as short-term
investments (e.g., reported in schedule HC-B on the FR Y-9C) at external financial
counterparties.

I.S: Inflows-Secured
General Guidance: Report the contractual principal payments to be received. Exclude nonperforming loans (i.e., 90-days past due or non-accrual), which are instead reported in
Supplemental-Balance Sheet table. 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
unless the transactions contractually settle on a net basis. 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:

Page 38 of 106

FR 2052a Instructions

•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•

Retail
Small Business
Non-Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing SPE
Non-Regulated Fund
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 inception 12 of the transaction, or a non-cash asset is

Collateral swap transactions that are remargined with cash payments should continue to be reported under this
product.

12

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FR 2052a Instructions

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 LRM Standards:
•
•
•
•
•

Level 1 Pledged
Level 2a Pledged
Level 2b Pledged
Non-HQLA Pledged
No Collateral 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 InflowsSecured products listed above and is not drawn from a revolving facility, for which the collateral
received is contractually rehypothecatable. Use the comments table to provide a general
description of secured loans included in this product on at least a monthly basis and in the
event of a material change in reported values.
I.S.7: Outstanding Draws on Secured 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, where the facility is secured by a lien
on an asset or pool of assets.

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FR 2052a Instructions

I.S.8: Other Secured Loans - Non-Rehypothecatable
Refers to all other secured lending that does not otherwise meet the definitions of the InflowsSecured products listed above, for which the collateral received is not contractually
rehypothecatable. Use the comments table to provide a general description of other loans
included in this product on at least a monthly basis and in the event of a material change in
reported values.
I.S.9: Synthetic Customer Longs
Refers to total return swaps booked in client accounts, where the reporting entity is
economically short the underlying reference asset and the client is economically long. Use the
[Maturity Bucket] to designate the latest date a transaction could be unwound or terminated
after taking into account clients’ contractual rights to delay termination. Use the [Collateral
Class] field to designate the reference asset of the transaction. Use the following [Sub-Product]
values to designate how the position is “funded” (i.e., hedged):
•

•
•
•
•
•

Physical Long Position
 Refers to transactions hedged with physical long positions. In the event the
long position that has been encumbered to another transaction, use the
[Effective Maturity Bucket] to indicate the period of the encumbrance. For
long positions held unencumbered, set the [Unencumbered] flag to “Y”.
Synthetic Customer Short
 Refers to transactions where the customer synthetic long is hedged with
another customer’s synthetic short position reported in O.S.9.
Synthetic Firm Financing
 Refers to transactions where the associated hedge meets the definition of
O.S.10.
Futures
 Refers to transactions hedged with futures contracts.
Other
 Refers to all other methods of hedging.
Unhedged
 Refers to positions that are not economically hedged with another
instrument or transaction.

I.S.10: Synthetic Firm Sourcing
Refers to total return swaps that are not booked in client accounts, where the reporting entity
is economically short the underlying reference asset and the counterparty is economically long.
Use the [Maturity Bucket] to designate the earliest date a transaction could be unwound or
terminated. Use the [Collateral Class] field to designate the reference asset of the transaction.

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FR 2052a Instructions

Use the following [Sub-Product] values to designate how the position is “covered” (i.e.,
hedged):
•

•
•
•
•
•

Physical Long Position
 Refers to transactions hedged with physical long positions. In the event the
long position that has been encumbered to another transaction, use the
[Effective Maturity Bucket] to indicate the period of the encumbrance. For
long positions held unencumbered, set the [Unencumbered] flag to “Y”.
Synthetic Customer Short
 Refers to transactions hedged with a customer’s synthetic short position
reported in O.S. 9.
Synthetic Firm Financing
 Refers to transactions where the associated hedge meets the definition of
O.S.10.
Futures
 Refers to transactions hedged with futures contracts.
Other
 Refers to all other methods of hedging.
Unhedged
 Refers to positions that are not economically hedged with another
instrument or transaction.

I.O: Inflows-Other
I.O.1: Derivative 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. Collateral
calls should be related to outstanding collateralized contracts which include but are not limited

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FR 2052a Instructions

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 LRM
Standards.
I.O.5: Lock-up Balance
Refers to inflows related to broker-dealer segregated accounts, as set forth in the LRM
Standards. 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 and loans and
leases owned by the reporting entity. 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. 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. For interest on loans and leases, use
the [Counterparty] field to designate the payer of the interest. Under circumstances where the
interest and dividend payments receivable are uncertain (e.g., a floating rate payment has not
yet been set), forecast receivables for a minimum of 30 calendar days beyond the as-of date (T).
Exclude interest and dividends receivable on assets securing Covered Federal Reserve Facility
Funding.
I.O.7: Net 30-Day Derivative Receivables
Refers to the net derivative cash inflow amount, as set forth in the LRM Standards.
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FR 2052a Instructions

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 and leases, which should be reported separately under the
appropriate product in the Inflows-Unsecured or Inflows-Secured tables. 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 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. Use the comments table to provide a general description of other cash inflows
included in this product on at least a monthly basis and in the event of a material change in
reported values.

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, use the [Maturity Amount] field to
report the contractual liabilities of the conduits based on the remaining maturity of the
issuance. Use the [Collateral Class] and [Collateral Value] fields to identify the types and fair
value of asset(s) underlying the issuance. 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 and not under product O.O.19 Interest &
Dividends Payable. For all other periodic interest payments, report those under product O.O.19
Interest & Dividends Payable.

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FR 2052a Instructions

For non-tradable products (e.g., O.W.9, O.W.10, O.W.17 and O.W.18), use the [Counterparty]
field to further identify the type of creditor according to the following:
• Retail
• Small Business
• Non-Financial Corporate
• Sovereign
• Central Bank
• GSE
• PSE
• MDB
• Other Supranational
• Pension Fund
• Bank
• Broker-Dealer
• Investment Company or Advisor
• Financial Market Utility
• Other Supervised Non-Bank Financial Entity
• Debt Issuing SPE
• Non-Regulated Fund
• Other
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
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.

The following list outlines the products that typically make use of conduits or SPVs to be
reported in the Outflows-Wholesale table:

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FR 2052a Instructions

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, report
the final maturity obligation under the [Maturity Amount] field, and not under product O.O.19:
Interest & Dividends Payable. For all other periodic interest payments report those under
product O.O.19 Interest & Dividends Payable.

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 funds 13 purchased,
domestic sterling purchased, domestic euro, domestic yen).

13

For FRBNY definition, see: http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html

Page 46 of 106

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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.
O.W.10: 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).
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 standard interest rate indexes 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).
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).

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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 certificates of deposit 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. Use the comments table to provide a
general description of other unsecured financing included in this product on at least a
monthly basis and in the event of a material change in reported values.

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 [Counterparty] field to indicate the type of counterparty for each data element:
•
•
•
•
•
•

Retail
Small Business
Non-Financial Corporate
Sovereign
Central Bank
GSE

Page 48 of 106

FR 2052a Instructions

•
•
•
•
•
•
•
•
•
•
•
•

PSE
MDB
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing SPE
Non-Regulated Fund
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 inception 14 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
Collateral swap transactions that are remargined with cash payments should continue to be reported under this
product.
14

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FR 2052a Instructions

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 LRM Standards:
•
•
•
•
•

Level 1 Received
Level 2a Received
Level 2b Received
Non-HQLA Received
No Collateral 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 with [Counterparty] field set to “GSE”.
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 [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)
FRFF (Covered Federal Reserve Facility Funding)

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O.S.7: Customer Shorts
Refers to a transaction where the reporting entity’s customer sells a physical 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 [Sub-Product] field to further identify the appropriate source for delivery into the sale
according to the following categories:
•
•
•

•
•

•

External Cash Transactions
 Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
External Non-Cash Transactions
 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.
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. Use the [Forward Start Amount] and [Forward Start
Bucket] fields to indicate the settlement amount and settlement date of the
securities sold. Report failed settlements with a [Forward Start Bucket] value
of “Open”.
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. Use the [Forward Start Amount] and [Forward Start Bucket]
fields to indicate the settlement amount and settlement date of the
securities sold. Report failed settlements with a [Forward Start Bucket] value
of “Open”.

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

Page 51 of 106

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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.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 [Sub-Product] field to further identify the appropriate source for delivery into the sale
according to the following categories:
•
•
•

•
•

•

External Cash Transactions
 Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
External Non-Cash Transactions
 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.
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. Use the [Forward Start Amount] and [Forward Start
Bucket] fields to indicate the settlement amount and settlement date of the
securities sold. Report failed settlements with a [Forward Start Bucket] value
of “Open”.
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. Use the [Forward Start Amount] and [Forward Start
Bucket] fields to indicate the settlement amount and settlement date of the

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FR 2052a Instructions

securities sold. Report failed settlements with a [Forward Start Bucket] value
of “Open”.
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.
O.S.9: Synthetic Customer Shorts
Refers to total return swaps booked in client accounts, where the reporting entity is
economically long the underlying reference asset and the client is economically short. Use the
[Maturity Bucket] to designate the earliest date a transaction could be unwound or terminated.
Use the [Collateral Class] field to designate the reference asset of the transaction. Use the
following [Sub-Product] values to designate how the position is “covered” (i.e., hedged):
•

•
•
•
•
•

Firm Short
 Refers to transactions where the associated hedge is a short sale by the
reporting entity of the physical security (i.e., transactions reportable under
O.S.8, excluding those with a [Sub-Product] of “Firm Longs”.
Synthetic Customer Long
 Refers to transactions where the customer synthetic short is hedged with
another customer’s synthetic long position reported in I.S.9.
Synthetic Firm Sourcing
 Refers to transactions where the associated hedge meets the definition of
I.S.10.
Futures
 Refers to transactions hedged with futures contracts.
Other
 Refers to all other methods of hedging.
Unhedged
 Refers to positions that are not economically hedged with another
instrument or transaction.

O.S.10: Synthetic Firm Financing
Refers to a total return swaps that are not booked in client accounts, where the reporting entity
is economically long the underlying reference asset and the counterparty is economically short.
Use the [Maturity Bucket] to designate the earliest date a transaction could be unwound or
terminated. Use the [Collateral Class] field to designate the reference asset of the transaction.

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FR 2052a Instructions

Use the following [Sub-Product] values to designate how the position is “covered” (i.e.,
hedged):
•

•
•
•
•
•

Firm Short
 Refers to transactions where the associated hedge is a short sale by the
reporting entity of the physical security (i.e., transactions reportable under
O.S.8, excluding those with a [Sub-Product] of “Firm Longs”.
Synthetic Customer Long
 Refers to transactions hedged with a customer’s synthetic long position
reported in I.S. 9.
Synthetic Firm Sourcing
 Refers to transactions where the associated hedge meets the definition of
I.S.10.
Futures
 Refers to transactions hedged with futures contracts.
Other
 Refers to all other methods of hedging.
Unhedged
 Refers to positions that are not economically hedged with another
instrument or transaction.

O.S.11: 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. Use the comments
table to provide a general description of other secured financing transactions included in
this product on at least a monthly basis and in the event of a material change in reported values.

O.D: Outflows-Deposits
Collateralized Deposits has the same meaning as it does under the LRM Standards.
For collateralized deposits, report the type of collateral using the [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 [Collateral Value] field.
Insured Deposits: Use the [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
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FR 2052a Instructions

•
•

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.
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•

Retail
Small Business
Non-Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing SPE
Non-Regulated Fund
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" includes demand deposits as
defined under Regulation D 12 CFR section 204 (Reserve Requirements of Depository
Institutions); however this product only includes demand deposits placed by Retail and Small
Business customers.
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

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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.8 through O.D.13.
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.8 through O.D.13.
O.D.4: Operational Account Balances
Refers to deposits from counterparties that are not Retail or Small Business customers that are
operational deposits as defined in the LRM Standards, except operational escrow deposits
reported under product O.D.7: Operational Escrow Accounts.
O.D.5: Excess Balances in Operational Accounts
Refers to deposits from counterparties that are not Retail or Small Business customers that are
excluded from the reporting entity’s operational deposit amount based on the reporting
entity’s methodology for identifying excess balances pursuant to section 249.4(b)(5). These
balances must be in accounts that meet all other provisions of section 249.4(b).
O.D.6: Non-Operational Account Balances
Refers to all deposits balances from counterparties that are not Retail or Small Business
customers where the underlying account does not meet the criteria for operational deposits
(i.e., exclude excess balances in operational accounts, reported under O.D.5).
O.D.7: Operational Escrow Accounts
Refers to deposits from counterparties that are operational deposits as defined in the LRM
Standards 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 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.

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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 servicer's
total control (e.g., payments collected by depository institution secured by real estate and
other loans serviced for others that have not yet been remitted to owners of the loans)
O.D.8: 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.9: Stable Affiliated Sweep Account Balances
Refers to stable deposit balances 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. To qualify as
stable, the deposit balance must satisfy the requirement in section 104(b)(2)(iii) of the LRM
Standards. Note: This includes sweep balances that fall under a primary purpose exemption and
are not reported as brokered for Call Report purposes.
O.D.10: Less Stable Affiliated Sweep Account Balances
Refers to all other deposit balances, excluding those reported under O.D.9: Stable Affiliated
Sweep Account Balances, that are held at the reporting entity by a customer or counterparty as
a result of 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.11: 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

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FR 2052a Instructions

governing the account from which the amount is being transferred. These accounts involve
ongoing activity, rather than one deposit transaction.
O.D.12: 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
reported under the product that corresponds with the reporting entity’s close‐of‐business
liability.
O.D.13: 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.14: 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.8 through O.D.12. Use the comments table to
provide a general description of deposits included in this product on at least a monthly basis
and in the event of a material change in reported values.
O.D.15: Other Accounts
Refers to other deposit accounts that do not meet any of the definitions outlined above.
Examples include but are not limited to cashier’s checks, money orders, other official checks,
merchant credits, and lock box. Notify the supervisory team of any balance reported in this
category. Use the comments table to provide a general description of other deposits
included in this product on at least a monthly basis and in the event of a material change in
reported values.

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

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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: Derivative 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
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. 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 LRM Standards. Do not include
committed liquidity facilities, as defined in the LRM Standards, 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.

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FR 2052a Instructions

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
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing SPE
Non-Regulated Fund
Other

O.O.5: Liquidity Facilities
Refers to committed liquidity facilities, as defined in the LRM Standards; 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

Page 60 of 106

FR 2052a Instructions

•
•
•
•
•
•
•
•
•
•
•
•

•

PSE, except Municipalities for VRDN structures
MDB
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing SPE
Non-Regulated Fund
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.
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-tomarket collateral outflow or inflow realized during the preceding 24 months resulting from
derivative transaction valuation changes, as set forth in the LRM Standards. 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.

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FR 2052a Instructions

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 a Change 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, which includes a downgrade of
the reporting entity’s rating up to but not including default.
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, but do not include inflows from netting sets that
are in a net receivable position. Do not double count balances reported in O.O.9.
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, but do not include inflows from netting sets that
are in a net receivable position. 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, but do not include inflows from netting sets that
are in a net receivable position. Do not double count balances reported in O.O.11.

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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, which includes a downgrade of the reporting entity’s rating up to
but not including default. 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, but do not include inflows
from netting sets that are in a net receivable position. 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. For equity dividends, report a [Collateral Class] of “Y-4”. 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 calculation of O.O.20: Net 30-day
Derivative Payables. Under circumstances where the interest and dividend payments receivable
are uncertain (e.g., floating rate payment has not yet been set), forecast payables for a
minimum of 30 calendar days beyond the as-of date (T). Exclude interest payable on Covered
Federal Reserve Facility Funding.
O.O.20: Net 30-Day Derivative Payables
Refers to the net derivative cash outflow amount, as set forth in the LRM Standards.
O.O.21: Other Outflows Related to Structured Transactions
Refers to any incremental potential outflows under 32(b) of the LRM Standards 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.

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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 extraordinary situation (e.g., a significant cash flow needed to address a legal suit settlement or
pending transaction). Use the comments table to provide a general description of other
cash outflows included in this product on at least a monthly basis and in the event of a material
change in reported values.

S.DC: Supplemental-Derivatives & Collateral
General Guidance: The following list defines the scope of products to be reported in the
Supplemental-Derivatives & Collateral table. U.S. firms that are identified as Category IV
banking organizations with average weighted short-term wholesale funding of less than $50
billion and FBOs that are identified as Category IV foreign banking organizations with average
weighted short-term wholesale funding of less than $50 billion have the option of not reporting
these products.
Products S.DC.3 through S.DC.10 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
[Sub-Product] must also be reported to distinguish the stock of collateral according to the
following categories:
•
•
•
•
•

Rehypothecatable – Unencumbered
Rehypothecatable – Encumbered
Non-Rehypothecatable
Segregated Cash
Non-Segregated Cash

If the total collateral reported under Products S.DC.5 through S.DC.10 is less than $2 billion, the
reporting entity may use the sub-product “Non-Rehypothecatable” as a default for these
products.

For products S.DC.1 through S.DC.10, use the [Sub Product 2] field to further distinguish
derivative assets, liabilities and the stock of collateral according to the following categories:

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•

OTC - Bilateral
Refers to collateral posted or received in relation to derivatives activities for which
the transactions are executed over-the-counter (OTC) and settled bilaterally.

•

OTC – Centralized (Principal)
Refers to collateral posted or received in relation to derivatives transactions for
which transactions are executed OTC, but cleared via a centralized financial market
utility (e.g., a central counterparty), where the reporting entity remains principal to
the transaction, or for client transactions, guarantees the performance of the
centralized financial market utility to the client.

•

OTC – Centralized (Agent)
Refers to collateral posted or received in relation to derivatives transactions for
which transactions are executed OTC, but cleared via a centralized financial market
utility (e.g., a central counterparty), where the reporting entity acts as agent on
behalf of clients and does not guarantee the performance of the centralized financial
market utility to the client.

•

Exchange-traded (Principal)
Refers to collateral posted or received in relation to derivatives transactions for
which transactions are not executed OTC (e.g., executed through an exchange or
central trading platform) and are cleared via a centralized financial market utility
(e.g., a central counterparty), where the reporting entity remains principal to the
transaction, or for client transactions, guarantees the performance of the
centralized financial market utility to the client.

•

Exchange-traded (Agent)
Refers to collateral posted or received in relation to derivatives transactions for
which transactions are not executed OTC (e.g., executed through an exchange or
central trading platform) and are cleared via a centralized financial market utility
(e.g., a central counterparty), where the reporting entity acts as agent on behalf of
clients and does not guarantee the performance of the centralized financial market
utility to the client.

S.DC.1: Gross Derivative Asset Values
Refers to the aggregate value of derivative transactions not subject to qualifying master netting
agreements that are assets and the net value of derivative transactions within qualifying master
netting agreements where the netting sets are assets. In both cases, the asset amount must be
calculated as if no variation margin had been exchanged.

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S.DC.2: Gross Derivative Liability Values
Refers to the aggregate value of derivative transactions not subject to qualifying master netting
agreements that are liabilities and the net value of derivative transactions within qualifying
master netting agreements where the netting sets are liabilities. In both cases, the liability
amount must be calculated as if no variation margin had been exchanged.
S.DC.3: Derivative Settlement Payments Delivered
Refers to the cumulative value of payments delivered as variation margin on outstanding
derivative contracts for the purpose of settling a change in the market value of the contract
(e.g., “settled-to-market” derivatives).
S.DC.4: Derivative Settlement Payments Received
Refers to the cumulative value of payments received as variation margin on outstanding
derivative contracts for the purpose of settling a change in the market value of the contract
(e.g., “settled-to-market” derivatives).
S.DC.5: 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. Include any independent amount pledged that must be maintained by
contract, where the independent amount pledged does not also serve as variation margin by
offsetting a derivative liability as-of the reporting date.
S.DC.6: 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.
Include initial margin related to customer transactions to which the reporting entity is acting as
either principal or agent. Use the [Sub-Product 2] field to distinguish initial margin posted
where the reporting entity is acting as agent and does not guarantee the performance of the
counterparty to its customer from all other initial margin posted on behalf of customers.
S.DC.7: 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. Include any independent amount received that must be maintained by
contract, where the independent amount received does not also serve as variation margin by
offsetting a derivative asset as-of the reporting date. Use the [Sub-Product 2] field to
distinguish initial margin received from customers where the reporting entity is acting as agent
and does not guarantee the performance of the counterparty to its customer from all other
initial margin received from customers.
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S.DC.8: 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. Exclude variation margin delivered on outstanding contracts in the form
of settlement payments, which must be reported under S.DC.3.
S.DC.9: 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.
Include variation margin related to customer transactions to which the reporting entity is acting
as either principal or agent. Use the [Sub-Product 2] field to distinguish variation margin posted
where the reporting entity is acting as agent and does not guarantee the performance of the
counterparty to its customer from all other variation margin posted on behalf of customers.
S.DC.10: 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. Exclude variation margin received on outstanding contracts in the form of
settlement payments, which must be reported under S.DC.4. Use the [Netting Eligible] field to
identify the value of collateral that meets the criteria referenced in section 107(f)(1) of the LRM
Standards.
S.DC.11: Derivative CCP Default Fund Contribution
Refers to the reporting entity’s contributions to a central counterparty’s mutualized loss sharing
arrangement, where the reporting entity’s clearing activity with the central counterparty
includes derivative transactions. Report the fair value of assets contributed, regardless of
whether the contribution is included on the reporting entity’s balance sheet.
S.DC.12: Other CCP Pledges and Contributions
Refers to the reporting entity’s asset pledges (e.g., in the form of initial margin) and
contributions to a central counterparty’s mutualized loss sharing arrangement, where the
reporting entity’s clearing and/or settlement activity with the central counterparty does not
include derivative transactions. Report the fair value of assets contributed, regardless of
whether the contribution is included on the reporting entity’s balance sheet.
S.DC.13: 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

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distinct disputes over the previous year for products S.DC.13 and S.DC.14 is less than $500
million, the reporting firm need not report this product.
S.DC.14: 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.DC.13 and S.DC.14 is less than $500 million, the
reporting firm need not report this product.
S.DC.15: Sleeper Collateral Deliverables
Refers to 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.
S.DC.16: Required Collateral Deliverables
Refers to 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.DC.17: 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 with average weighted short-term wholesale funding of less
than $75 billion; U.S. firms that are identified as Category IV banking organizations; FBOs that
are identified as Category III foreign banking organizations with average weighted short-term
wholesale funding of less than $75 billion; and FBOs that are identified as Category IV foreign
banking organizations have the option of not reporting this product.
S.DC.18: 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
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 LRM Standards.

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S.DC.19: 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 LRM
Standards. U.S. firms that are identified as Category III banking organizations with average
weighted short-term wholesale funding of less than $75 billion; U.S. firms that are identified as
Category IV banking organizations; FBOs that are identified as Category III foreign banking
organizations with average weighted short-term wholesale funding of less than $75 billion; and
FBOs that are identified as Category IV foreign banking organizations have the option of not
reporting this product.
S.DC.20: Other Collateral Substitution Risk
Refers to the potential funding risk arising from the reporting entity’s counterparties of nonderivative 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 LRM Standards.
S.DC.21: 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 nonderivative transaction with collateral of lower liquidity value. In calculating substitution
capacity, include in scope only settled funding transactions (i.e., excluding forward-starting
transactions) that have a residual maturity of greater than 30 days where the reporting entity
has the contractual right to substitute assets pledged. The value reported should also be limited
based upon the value of collateral a reporting entity currently holds and could substitute into
the transaction on the reporting date. Specifically, a reporting entity must use the “Open” (day
0) maturity bucket to designate the value of substitution capacity limited by assets eligible for
substitution that are currently owned outright and held unencumbered (i.e., the assets would
be reported in I.A.1 or I.A.2). Additionally, a reporting entity must disclose capacity based upon
assets eligible for substitution that are owned outright and currently encumbered, but will
become unencumbered on the first good business day following the current reporting date.
This additional capacity should be reported using the maturity bucket that corresponds to the
calendar day when the assets eligible for substitution would become unencumbered. Report

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only values in USD, 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 LRM Standards. U.S. firms that are identified as Category III banking organizations with
average weighted short-term wholesale funding of less than $75 billion; U.S. firms that are
identified as Category IV banking organizations; FBOs that are identified as Category III foreign
banking organizations with average weighted short-term wholesale funding of less than $75
billion; and FBOs that are identified as Category IV foreign banking organizations have the
option of not reporting this product.

S.L: Supplemental-Liquidity Risk Measurement (LRM)

U.S. firms that are identified as Category IV banking organizations with average weighted shortterm wholesale funding of less than $50 billion and FBOs that do not have an intermediate
holding company that is subject to the LRM Standards have the option of not reporting
products in this table.
Liquidity Coverage Ratio (LCR) Supplemental Products
S.L.1: Subsidiary Liquidity That Cannot Be Transferred
Refers to the amount of assets of each reporting entity’s consolidated subsidiaries that is in
excess of the net outflows, calculated pursuant to the LRM Standards, 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 lowest-level
subsidiary entity from which the assets cannot be transferred; however do not flag this product
as [Internal] = “Y”. The [Currency] and [Collateral Class] fields must also accurately reflect the
characteristics of the assets that are trapped in the subsidiary reporting entity.
S.L.2: Subsidiary Liquidity Available for Transfer
Refers to the amount of excess eligible HQLA that is held at a subsidiary of the consolidated
reporting entity that is determined as transferrable as per sections 22(b)(3)(i)(B), 22(b)(3)(ii)(B)
or 22(b)(4)(ii) of the LRM Standards. Do not include eligible HQLA that is determined as
transferrable based on the subsidiary’s own net cash outflows (i.e., as per 22(b)(3)(i)(A),
22(b)(3)(ii)(B) or 22(b)(4)(i)).
Use the [Internal Counterparty] field to indicate the subsidiary entity that holds the assets;
however do not flag this product as [Internal] = “Y”.

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S.L.3: 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 LRM Standards, reported in the Inflows-Assets table. Use
the Collateral Class field to indicate the type of unencumbered asset associated with the hedge.
S.L.4: Non-Structured Debt Maturing in Greater than 30-days – Primary Market Maker
Refers to the debt security buyback outflow amount set forth in the LRM Standards for the
reporting entity’s non-structured debt issuances.
S.L.5: Structured Debt Maturing in Greater than 30-days – Primary Market Maker
Refers to the debt security buyback outflow amount set forth in the LRM Standards for the
reporting entity’s structured debt issuances.
S.L.6: Liquidity Coverage Ratio
Refers to the reporting entity’s LCR calculation, as specified in section 10(c) of the LRM
Standards. Only reporting entities that are subject to the LCR on a standalone basis per section
1 of the LRM Standards are required to report this product. Report this product as a decimal
value, with four points of precision (e.g., an LCR of 105.25% must be reported as 1.0525).

Net Stable Funding Ratio (NSFR) Supplemental Products
The following products in the Supplemental-Liquidity Risk Measurement table may be reported
at a lesser frequency and with a longer delay as compared to the general frequency and timing
of the report. U.S. firms and FBO IHCs are to report these products as-of the last business day of
each calendar month, T+15 calendar days after the as-of date.
S.L.7: Subsidiary Funding That Cannot Be Transferred
Refers to the amount of stable funding at a reporting entity’s subsidiary that is in excess of the
required stable funding amount of that subsidiary, pursuant to the LRM Standards, but cannot
be transferred to the reporting entity due to statutory, regulatory, contractual or supervisory
restrictions. Only reporting entities that are subject to the NSFR on a standalone basis per
section 1 of the LRM Standards are required to report this product.
Use the [Internal Counterparty] field to indicate the subsidiary entity from which the stable
funding cannot be transferred; however do not flag this product as [Internal] = “Y”.
S.L.8: Subsidiary Funding Available for Transfer
Refers to the amount of stable funding at a reporting entity’s subsidiary that is in excess of the
required stable funding amount of that subsidiary, pursuant to the LRM Standards, that is

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determined as transferrable as per section 108(a)(2) of the LRM Standards. Do not include
stable funding that is determined transferrable based on the subsidiary’s own requirement (i.e.,
as per section 108(a)(1) of the LRM Standards). Only reporting entities that are subject to the
NSFR on a standalone basis per section 1 of the LRM Standards are required to report this
product.
Use the [Internal Counterparty] field to indicate the subsidiary entity in which the stable
funding is located; however do not flag this product as [Internal] = “Y”.
S.L.9: Additional Funding Requirement for Off-Balance Sheet Rehypothecated Assets
Refers to a reporting entity’s required stable funding amount under section 106(d)(3) of the
LRM Standards. Use the [Collateral Class] field to indicate the type of asset that has been
rehypothecated. Only reporting entities that are subject to the NSFR on a standalone basis per
section 1 of the LRM Standards are required to report this product.
S.L.10: Net Stable Funding Ratio
Refers to the reporting entity’s NSFR calculation, as specified in section 100(b) of the LRM
Standards. Only reporting entities that are subject to the NSFR on a standalone basis per
section 1 of the LRM Standards are required to report this product. Report this product as a
decimal value, with four points of precision (e.g., an NSFR of 105.25% must be reported as
1.0525).

S.B: Supplemental-Balance Sheet
General Guidance: Products S.B.1 through 6 represent data elements that are necessary, in
tandem with other FR 2052a balance sheet products, to construct an accounting balance sheet.
This table may be reported at a lesser frequency and with a longer delay as compared to the
general frequency and timing of the report, with the exception of S.B.5 for Category I firms.
•

•

U.S. firms identified as Category I, II, or III banking organizations, U.S. firms
identified as Category IV banking organizations with $50 billion or more of average
weighted short-term wholesale funding, FBOs that are identified as Category II or III
foreign banking organizations, and FBOs identified as Category IV foreign banking
organizations with $50 billion or more of average weighted short-term wholesale
funding must report as-of the last business day of each calendar month, T+15
calendar days after the as-of date.
U.S. firms identified as Category IV banking organizations that have less than $50
billion of average weighted short-term wholesale funding and FBOs identified as
Category IV foreign banking organizations that have less than $50 billion of average

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weighted short-term wholesale funding must report as-of last business day of each
calendar quarter, T+15 calendar days after the as-of date.
S.B.1: Regulatory Capital Element
Refers to the carrying value of regulatory capital, as defined in section 3 of the LRM Standards,
excluding capital instruments already reported in the O.W table.
S.B.2: Other Liabilities
Refers to all other liabilities not otherwise captured under other FR 2052a balance sheet
products, including intangible liabilities.
S.B.3: Non-Performing Assets
Refers to assets that are past due by more than 90 days or non-accrual.
S.B.4: Other Assets
Refers to all other assets not otherwise captured under other FR 2052a balance sheet products,
including intangible, life insurance and deferred tax assets.
S.B.5: Counterparty Netting
Refers to the value of offsetting of payables and receivables with a single counterparty
permissible under section 102 of the LRM Standards that are otherwise reported on a gross
basis for the purpose of the FR 2052a. This offsetting value must be represented as a negative
number and reported twice to reflect the adjustments to both asset and liability values. For
Category I firms, this product must be reported for each as-of date according to the Frequency
and Timing of Data Submission section of the General Instructions.
S.B.6: Carrying Value Adjustment
Refers to all other adjustments to the value of FR 2052a balance sheet products necessary to
arrive at the carrying value consistent with section 102 of the LRM Standards. These
adjustments may be represented as positive or negative numbers depending on whether they
correspond to increases (positive) or decreases (negative) to the asset or liability balance sheet
product values represented elsewhere in the Inflows, Outflows or Supplemental sections of the
FR 2052a report. Carrying value adjustments may include cases:
•
•

where the amount reported under an FR 2052a balance sheet product represents
the undiscounted cash value, but the carrying value should reflect the fair value of
the exposure;
where the amount reported under an FR 2052a balance sheet product represents
the fair or market value, but the carrying value should reflect the historical book or
amortized cost value;

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•

where the scope of exposures reportable for an FR 2052a balance sheet product
exceeds the scope of exposures applicable under section 102 of the LRM Standards.

S.I: Supplemental-Informational
S.I.1: 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).
S.I.2: 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.3: 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). Include transfers of both cash and securities. Use the [Collateral Class] field
to differentiate between asset categories.
S.I.4: 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). Include transfers of both cash and securities. Use the [Collateral Class] field to
differentiate between asset categories.
S.I.5: FRB 23A Capacity
Report the entity’s FRB 23A eligible unused 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
unused 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.6: Subsidiary Liquidity Not Transferrable
For U.S. firms that are identified as Category IV banking organizations and FBOs that are
identified as Category IV foreign banking organizations, report the amount of highly liquid
assets of each reporting entity’s consolidated subsidiaries that are in excess of the subsidiary’s
modeled net outflows over a 30-day planning horizon and would not be freely transferrable to
the parent company 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 lowest-level
subsidiary entity from which the assets cannot be transferred; however do not flag this product
as [Internal] = “Y”. The [Currency] and [Collateral Class] fields must also accurately reflect the
characteristics of the assets that are trapped in the subsidiary reporting entity.

S.FX: Supplemental-Foreign Exchange
General Guidance:
U.S. firms that are identified as Category III banking organizations with average weighted shortterm wholesale funding of less than $75 billion; U.S. firms that are identified as Category IV
banking organizations; FBOs that are identified as Category III foreign banking organizations
with average weighted short-term wholesale funding of less than $75 billion; and FBOs that are
identified as Category IV foreign banking organizations 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 crosscurrency swaps using I.O.1: Derivatives Receivables for contractual unsecured interest

Page 75 of 106

FR 2052a Instructions

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
periodic interest payments in the FX table. Additionally, margin collateral flows related to nondeliverable 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 [Currency 1] field, and the currency payable upon
final maturity of the transaction in the [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 [Maturity Amount Currency 1] field and [Forward Start Amount Currency 1]
field must both correspond with the S.FX.[Currency 1] field; therefore the
[Forward Start Amount Currency 1] will reflect the payable amount on the near
leg of swap transactions, while [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 [Converted] field equal to “True”.
Centrally settled transactions: Use the [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
Page 76 of 106

FR 2052a Instructions

contractual structure, and indicate the type of option bought or sold in the Foreign Exchange
Option Direction field.
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 [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 [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 [Forward Start Maturity Bucket] and
[Maturity Bucket] fields. For European-style swaptions, report the exercise date using the
[Forward Start Maturity Bucket] field and report the final maturity of the swap using the
[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 [Maturity Amount Currency 1] value of €1mm, a [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 [Maturity Amount Currency 1] value of €1mm, a [Maturity
Amount Currency 2] value of $1.34mm).

Page 77 of 106

FR 2052a Instructions

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.


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 [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., [Forward Start Amount Currency 1], [Forward Start Amount Currency
2] and [Forward Start Maturity Bucket]) to report the near leg of the transaction, and the
“Maturity Amount” fields (i.e., [Maturity Amount Currency 1], [Maturity Amount Currency 2]
and [Maturity Bucket]) to report the far leg of the transaction.

Page 78 of 106

FR 2052a Instructions

When reporting transactions for which the near leg has already settled, do not report a value in
the [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., Americanstyle or Bermuda-style), indicate the earliest possible exercise date in the [Forward Start
Maturity Bucket] field, and report the final maturity in the [Maturity Bucket] field assuming the
option is exercised at the earliest possible date.

Page 79 of 106

FR 2052a Instructions

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 13 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

Derivatives & Collateral
Liquidity Risk Measurement

Unsecured

Wholesale

Secured

Secured

Balance Sheet
Informational
Foreign exchange

Other inflows

Other outflows

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)15. 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.

15

Appendix I details the structure of each table.

Page 80 of 106

FR 2052a Instructions

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, sterlingdenominated 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 GBPdenominated liabilities are issued in London, and all three issuances qualify as TLAC. 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

•

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

Page 81 of 106

FR 2052a Instructions

This document uses a standard syntax to refer to specific tables, fields and products in the FR
2052a data hierarchy.
•

•

•

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 exceptions of derivatives & collateral and
foreign exchange, which are referenced as “DC” and “FX”, respectively).
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.
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)
W (Wholesale)
O
.
(Outflows)
S (Secured)
O (Other)
DC (Derivatives & Collateral)
L (Liquidity Risk Measurement)
S
. B (Balance Sheet)
(Supplemental)
I (Informational Items)
FX (Foreign Exchange)

Page 82 of 106

.

Product #

.

#

.

#

.

#

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 [SubProduct] designation.
 Table 4 below depicts a sample data element reporting FHLB capacity
of $100mm against category L-3 collateral, with market value of
$150mm and a residual maturity of > 5 years.
o Refer to Appendix II for a full listing of product/sub-product combinations.
Table 4 – Example: required versus dependent fields

Page 83 of 106

FR 2052a Instructions

Data Tables 16
Inflows
Assets
Reporting Entity
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type
Internal Counterparty
Business Line

text
text
text
numeric
numeric
text
numeric
text
text
text
text
text
text
text
text

Unsecured
Reporting Entity
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

text
text
text
text
numeric
text
text
text
text
numeric
text
text
text
percent
text

text
text
text
text
numeric
text
text
text
numeric
text
text
text
text
text
text

Wholesale
Reporting Entity
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

text
text
text
text
numeric
text
text
text
numeric
numeric
text
text
text
text
text

Secured
Reporting Entity
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

text
text
text
numeric
text
text
text
text
numeric
text
text
numeric
text
text
text
text
percent
text
text
text
text

Secured
Reporting Entity
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB

text
text
text
numeric
text
text
numeric
text
text
numeric
text
text
text
text
text
text
text
text

Other
Reporting Entity
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Counterparty
G-SIB
Internal
Internal Counterparty
Business Line

text
text
numeric
text
numeric
text
text
numeric
text
text
text
text
text
text

Other
Reporting Entity
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

text
text
text
text
numeric
text
numeric
text
text
numeric
text
text
text

Outflows
Deposits
Reporting Entity
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

Note that the Currency and Converted attributes are required for each value field in accordance with the Field
Definitions. These fields have been omitted from this figure to simplify the illustration of the FR 2052a data
structure.
16

Page 84 of 106

FR 2052a Instructions

Supplemental
Informational
Reporting Entity
text
Product
text
Market Value
numeric
Collateral Class
text
Internal
text
Internal Counterparty
text
Business Line
text

Balance Sheet
Reporting Entity
Collection Reference
Product
Product Reference
Sub-Product Reference
Collateral Class
Maturity Bucket
Effective Maturity Bucket
Encumbrance Type
Market Value
Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight
Internal
Internal Counterparty

text
text
text
text
text
text
text
text
text
numeric
numeric
numeric
text
text
percent
text
text

Derivatives & Collateral
Reporting Entity
text
Product
text
Sub-Product
text
Sub-Product2
text
Market Value
numeric
Collateral Class
text
Collateral Level
text
Counterparty
text
G-SIB
text
Effective Maturity Bucket text
Encumbrance Type
text
Netting Eligible
text
Treasury Control
text
Internal
text
Internal Counterparty
text
Business Line
text

Foreign Exchange
Reporting Entity
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
Counterparty
G-SIB
Settlement
Business Line
Internal
Internal Counterparty

Page 85 of 106

Liquidity Risk Measurement
Reporting Entity
text
Product
text
Market Value
numeric
Collateral Class
text
Internal
text
Internal Counterparty
text

text
text
numeric
numeric
text
text
numeric
numeric
text
text
text
text
text
text
text

Comments
Reporting Entity
Collection
Product
Sub-Product
Comments

text
text
text
text
text

FR 2052a Instructions

Appendix II-a: FR 2052a Product/Sub-Product Requirements
The fol l owi ng ta bl e di s pl a ys whi ch products requi re the reporti ng of a Sub-Product or Sub-Product 2, a l ong wi th the corres pondi ng s et of a ccepta bl e va l ues .
Table
Infl ows - As s ets

PID

Product

Sub-Product

2

Ca pa ci ty

Federa l Res erve Ba nk
Swi s s Na ti ona l Ba nk
Ba nk of Engl a nd
Europea n Centra l Ba nk
Ba nk of Ja pa n
Res erve Ba nk of Aus tra l i a
Ba nk of Ca na da
Other Centra l Ba nk
Federa l Home Loa n Ba nk
Other Government Spons ored Enti ty

Infl ows - As s ets

3

Unres tri cted Res erve Ba l a nces

Federa l Res erve Ba nk

4

Res tri cted Res erve Ba l a nces

Swi s s Na ti ona l Ba nk
Ba nk of Engl a nd
Europea n Centra l Ba nk
Ba nk of Ja pa n
Res erve Ba nk of Aus tra l i a
Ba nk of Ca na da
Other Centra l Ba nk
Currency a nd Coi n

Infl ows - Secured

4

Col l a tera l Swa ps

Level 1 Pl edged
Level 2a Pl edged
Level 2b Pl edged
Non-HQLA Pl edged
No Col l a tera l Pl edged

Outfl ows - Secured

4

Col l a tera l Swa ps

Level 1 Recei ved
Level 2a Recei ved
Level 2b Recei ved
Non-HQLA Recei ved

Outfl ows - Secured

6

Excepti ona l Centra l Ba nk Opera ti ons

No Col l a tera l Recei ved
Federa l Res erve Ba nk
Swi s s Na ti ona l Ba nk
Ba nk of Engl a nd
Europea n Centra l Ba nk
Ba nk of Ja pa n
Res erve Ba nk of Aus tra l i a
Ba nk of Ca na da
Other Centra l Ba nk
Covered Federa l Res erve Fa ci l i ty Fundi ng

Page 86 of 106

Sub-Product 2

FR 2052a Instructions

Table

PID

Outfl ows - Secured

7

Product
Cus tomer Shorts

Sub-Product
Externa l Ca s h Tra ns a cti ons

8

Fi rm Shorts

Externa l Non-Ca s h Tra ns a cti ons

Sub-Product 2

Fi rm Longs
Cus tomer Longs
Uns ettl ed - Regul a r Wa y
Uns ettl ed - Forwa rd
Outfl ows - Secured

9

Syntheti c Cus tomer Shorts

Fi rm Short

10

Syntheti c Fi rm Fi na nci ng

Syntheti c Cus tomer Long
Syntheti c Fi rm Sourci ng
Futures
Other
Unhedged

Infl ows - Secured

9

Syntheti c Cus tomer Longs

Phys i ca l Long Pos i ti on

10

Syntheti c Fi rm Sourci ng

Syntheti c Cus tomer Short
Syntheti c Fi rm Fi na nci ng
Futures
Other
Unhedged

Suppl ementa l Deri va ti ves & Col l a tera l

1

Gros s Deri va ti ve As s et Va l ues

Rehypotheca tea bl e Col l a tera l Unencumbered

OTC - Bi l a tera l

2

Gros s Deri va ti ve Li a bi l i ty Va l ues

Rehypotheca tea bl e Col l a tera l Encumbered

OTC - Centra l i zed (Pri nci pa l )

3

Deri va ti ve Settl ement Pa yments Del i vered

Non-Rehypotheca tea bl e Col l a tera l

OTC - Centra l i zed (Agent)

4

Deri va ti ve Settl ement Pa yments Recei ved

Segrega ted Ca s h

Excha nge-tra ded (Pri nci pa l )

5

Ini ti a l Ma rgi n Pos ted - Hous e

Non-Segrega ted Ca s h

Excha nge-tra ded (Agent)

6

Ini ti a l Ma rgi n Pos ted - Cus tomer

7

Ini ti a l Ma rgi n Recei ved

8

Va ri a ti on Ma rgi n Pos ted - Hous e

9

Va ri a ti on Ma rgi n Pos ted - Cus tomer

10

Va ri a ti on Ma rgi n Recei ved

Page 87 of 106

FR 2052a Instructions

Appendix II-b: FR 2052a Counterparty Requirements

The following table displays which products require the reporting of the Counterparty field. Although not displayed below, the product S.B.6: Carrying Value Adjustment would
require the reporting of a Counterparty to the extent the adjustment is applied to a product that also requires a counterparty designation.
In addition, the table provides guidance on which specific counterparty field selections are generally 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
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing Special Purpose Entity
Non-Regulated Fund
Municipalities for VRDN Structures
Other

Inflows - Unsecured

5
6

Outstanding Draws on Unsecured Revolving Facilities
Other Loans

Inflows - Secured

5
6
7
8

Margin Loans
Other Secured Loans - Rehypothecatable
Outstanding Draws on Secured Revolving Facilities
Other Secured Loans - Non-Rehypothecatable

Outflows - Deposits

7
8
9
10
11
12
13
14
15

Operational Escrow Accounts
Non-Reciprocal Brokered Deposits
Stable Affiliated Sweep Account Balances
Less Stable Affiliated Sweep Account Balances
Non-Affiliated Sweep Accounts
Other Product Sweep Accounts
Reciprocal Accounts
Other Third-Party Deposits
Other Accounts

Outflows - Secured

7

Customer Shorts

Retail
Municipalities for VRDN Structures
Small Business
Non-Financial Corporate
Sovereign
Central Bank
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing Special Purpose Entity
Non-Regulated Fund
Other

Outflows - Wholesale

18

Free Credits

Outflows - Other

4

Credit Facilities

Supplemental - D&C

1
2
5
6
7
8
9
10

Gross Derivative Asset Values
Gross Derivative Liability Values
Initial Margin Posted - House
Initial Margin Posted - Customer
Initial Margin Received
Variation Margin Posted - House
Variation Margin Posted - Customer
Variation Margin Received

Supplemental - Balance Sheet

5

Counterparty Netting

Page 88 of 106

Not Applicable Counterparty Values

FR 2052a Instructions

Applicable Counterparty Values

Not Applicable Counterparty Values

Table

PID Product

Inflows - Secured

1
2
3
4
9
10

Reverse Repo
Securities Borrowing
Dollar Rolls
Collateral Swaps
Synthetic Customer Longs
Synthetic Firm Sourcing

Inflows - Unsecured

1
2
3
4
7
8

Onshore Placements
Offshore Placements
Required Operational Balances
Excess Operational Balances
Cash Items in the Process of Collection
Short-Term Investments

Outflows - Deposits

4
5
6

Operational Account Balances
Excess Balances in Operational Accounts
Non-Operational Account Balances

Outflows - Secured

1
2
3
4
9
10
11

Repo
Securities Lending
Dollar Rolls
Collateral Swaps
Synthetic Customer Shorts
Synthetic Firm Financing
Other Secured Financing Transactions

Outflows - Wholesale

9
10

Onshore Borrowing
Offshore Borrowing

Supplemental-FX

1
2
3

Spot
Forwards and Futures
Swaps

Outflows - Deposits

1
2
3

Transactional Accounts
Non-Transactional Relationship Accounts
Non-Transactional Non-Relationship Accounts

Retail
Small Business

Debt Issuing Special Purpose Entity
Municipalities for VRDN Structures
Non-Financial Corporate
Sovereign
Central Bank
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Non-Regulated Fund
Other

Outflows - Secured

5

FHLB Advances

Government Sponsored Entity

Retail
Small Business
Non-Financial Corporate
Sovereign
Central Bank
Public Sector Entity
Multilateral Development Bank
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing Special Purpose Entity
Non-Regulated Fund
Municipalities for VRDN Structures
Other

Retail
Non-Financial Corporate
Sovereign
Small Business
Central Bank
Municipalities for VRDN Structures
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing Special Purpose Entity
Non-Regulated Fund
Other

Page 89 of 106

FR 2052a Instructions

Table

PID Product

Applicable Counterparty Values

Not Applicable Counterparty Values

Outflows - Secured

6

Central Bank

Retail
Small Business
Non-Financial Corporate
Sovereign
Government Sponsored Entity
Public Sector Entity
Multilateral Development Bank
Other Supranational
Pension Fund
Bank
Broker-Dealer
Investment Company or Advisor
Financial Market Utility
Other Supervised Non-Bank Financial Entity
Debt Issuing Special Purpose Entity
Non-Regulated Fund
Municipalities for VRDN Structures
Other

Exceptional Central Bank Operations

Page 90 of 106

FR 2052a Instructions

Appendix II-c: FR 2052a Collateral Class Requirements

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
I.A.7
Encumbered Assets
Inflows - Unsecured
I.U.1
Onshore Placements
I.U.2
Offshore Placements
I.U.3
Required Operational Balances
I.U.4
Excess Operational Balances
I.U.5
Outstanding Draws on Unsecured Revolving Facilities
I.U.6
Other Loans
I.U.7
Cash Items in the Process of Collection
I.U.8
Short-Term Investments
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
Outstanding Draws on Secured Revolving Facilities
I.S.8
Other Secured Loans - Non-Rehypothecatable
I.S.9
Synthetic Customer Longs
I.S.10
Synthetic Firm Sourcing
Inflows - Other
I.O.1
Derivative Receivables
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 Receivable on Unencumbered Investment Securities
I.O.9
Other Cash Inflows

Page 91 of 106

Required

Dependent

Not Applicable

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FR 2052a Instructions

PID
Product
Outflows - 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
Outflows - 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
Synthetic Customer Shorts
O.S.10 Synthetic Firm Financing
O.S.11 Other Secured Financing Transactions
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 Account Balances
O.D.5 Excess Balances in Operational Accounts
O.D.6 Non-Operational Account Balances
O.D.7 Operational Escrow Accounts
O.D.8 Non-Reciprocal Brokered Deposits
O.D.9 Stable Affiliated Sweep Account Balances
O.D.10 Less Stable Affiliated Sweep Account Balances
O.D.11 Non-Affiliated Sweep Accounts
O.D.12 Other Product Sweep Accounts
O.D.13 Reciprocal Accounts
O.D.14 Other Third-Party Deposits
O.D.15 Other Accounts

Required

Dependent

Not Applicable

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Page 92 of 106

FR 2052a Instructions

PID
Product
Outflows - Other
O.O.1 Derivative 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 - Derivatives & Collateral
S.DC.1 Gross Derivative Asset Values
S.DC.2 Gross Derivative Liability Values
S.DC.3 Derivative Settlement Payments Delivered
S.DC.4 Derivative Settlement Payments Received
S.DC.5 Initial Margin Posted - House
S.DC.6 Initial Margin Posted - Customer
S.DC.7 Initial Margin Received
S.DC.8 Variation Margin Posted - House
S.DC.9 Variation Margin Posted - Customer
S.DC.10 Variation Margin Received
S.DC.11 Derivative CCP Default Fund Contribution
S.DC.12 Other CCP Pledges and Contributions
S.DC.13 Collateral Disputes Deliverables
S.DC.14 Collateral Disputes Receivables
S.DC.15 Sleeper Collateral Deliverables
S.DC.16 Required Collateral Deliverables
S.DC.17 Sleeper Collateral Receivables
S.DC.18 Derivative Collateral Substitution Risk
S.DC.19 Derivative Collateral Substitution Capacity
S.DC.20 Other Collateral Substitution Risk
S.DC.21 Other Collateral Substitution Capacity

Page 93 of 106

Required

Dependent

Not Applicable

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FR 2052a Instructions

PID
Product
Supplemental - Liquidity Risk Measurement
Subsidiary Liquidity That Cannot be Transferred
S.L.1
S.L.2
Subsidiary Liquidity Available for Transfer
S.L.3
Unencumbered Asset Hedges - Early Termination Outflows
S.L.4
Non-Structured Debt Maturing in Greater than 30-days - Primary Market Maker
S.L.5
Structured Debt Maturing in Greater than 30-days - Primary Market Maker
Liquidity Coverage Ratio
S.L.6
Subsidiary Funding That Cannot be Transferred
S.L.7
S.L.8
Subsidiary Funding Available for Transfer
Additional Funding Requirement for Off-Balance Sheet Rehypothecated Assets
S.L.9
S.L.10 Net Stable Funding Ratio
Supplemental - Balance Sheet
S.B.1
Regulatory Capital Element
S.B.2
Other Liabilities
S.B.3
Non-Performing Assets
S.B.4
Other Assets
Counterparty Netting
S.B.5
S.B.6
Carrying Value Adjustment
Supplemental - Informational
S.I.1
Long Market Value Client Assets
Short Market Value Client Assets
S.I.2
S.I.3
Gross Client Wires Received
S.I.4
Gross Client Wires Paid
FRB 23A Capacity
S.I.5
S.I.6
Subsidiary Liquidity Not Transferrable
Supplemental-Foreign Exchange
S.FX.1 Spot
S.FX.2 Forwards and Futures
S.FX.3 Swaps

Page 94 of 106

Required

Dependent

Not Applicable

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FR 2052a Instructions

Appendix II-d: FR 2052a Forward Start Exclusions

The following products should not be assigned a [Forward Start Bucket] or [Forward Start Amount] value.

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.7
Encumbered Assets
Inflows - Unsecured
I.U.3
Required Operational Balances
I.U.4
Excess Operational Balances
I.U.7
Cash Items in the Process of Collection
I.U.8
Short-Term Investments
Inflows - Other
I.O.1
Derivative Receivables
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 Receivable on Unencumbered Investment Securities
I.O.9
Other Cash Inflows
Outflows - Wholesale
O.W.18 Free Credits
Outflows - Deposits (forward start fields not provided)
O.D.1 Transactional Accounts
O.D.2 Non-Transactional Relationship Accounts
O.D.3 Non-Transactional Non-Relationship Accounts
O.D.4 Operational Account Balances
O.D.5 Excess Balances in Operational Accounts
O.D.6 Non-Operational Account Balances
O.D.7 Operational Escrow Accounts
O.D.8 Non-Reciprocal Brokered Deposits
O.D.9 Stable Affiliated Sweep Account Balances
O.D.10 Less Stable Affiliated Sweep Account Balances
O.D.11 Non-Affiliated Sweep Accounts
O.D.12 Other Product Sweep Accounts
O.D.13 Reciprocal Accounts
O.D.14 Other Third-Party Deposits
O.D.15 Other Accounts

Page 95 of 106

FR 2052a Instructions

PID
Product
Outflows - Other
O.O.1 Derivative 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 - Derivatives & Collateral
S.DC.1 Gross Derivative Asset Values
S.DC.2 Gross Derivative Liability Values
S.DC.3 Derivative Settlement Payments Delivered
S.DC.4 Derivative Settlement Payments Received
S.DC.5 Initial Margin Posted - House
S.DC.6 Initial Margin Posted - Customer
S.DC.7 Initial Margin Received
S.DC.8 Variation Margin Posted - House
S.DC.9 Variation Margin Posted - Customer
S.DC.10 Variation Margin Received
S.DC.11 Derivative CCP Default Fund Contribution
S.DC.12 Other CCP Pledges and Contributions
S.DC.13 Collateral Disputes Deliverables
S.DC.14 Collateral Disputes Receivables
S.DC.15 Sleeper Collateral Deliverables
S.DC.16 Required Collateral Deliverables
S.DC.17 Sleeper Collateral Receivables
S.DC.18 Derivative Collateral Substitution Risk
S.DC.19 Derivative Collateral Substitution Capacity
S.DC.20 Other Collateral Substitution Risk
S.DC.21 Other Collateral Substitution Capacity

Page 96 of 106

FR 2052a Instructions

PID
Product
Supplemental - Liquidity Risk Measurement
S.L.1
Subsidiary Liquidity That Cannot be Transferred
S.L.2
Subsidiary Liquidity Available for Transfer
S.L.3
Unencumbered Asset Hedges - Early Termination Outflows
S.L.4
Non-Structured Debt Maturing in Greater than 30-days - Primary Market Maker
S.L.5
Structured Debt Maturing in Greater than 30-days - Primary Market Maker
S.L.6
Liquidity Coverage Ratio
S.L.7
Subsidiary Funding That Cannot be Transferred
S.L.8
Subsidiary Funding Available for Transfer
S.L.9
Additional Funding Requirement for Off-Balance Sheet Rehypothecated Assets
S.L.10 Net Stable Funding Ratio
Supplemental - Informational
S.B.1
Regulatory Capital Element
S.B.2
Other Liabilities
S.B.3
Non-Performing Assets
S.B.4
Other Assets
S.B.5
Counterparty Netting
S.B.6
Carrying Value Adjustment
Supplemental - Informational
S.I.1
Long Market Value Client Assets
S.I.2
Short Market Value Client Assets
S.I.3
Gross Client Wires Received
S.I.4
Gross Client Wires Paid
S.I.5
FRB 23A Capacity
S.I.6
Subsidiary Liquidity Not Transferrable

Page 97 of 106

FR 2052a Instructions

Appendix III: FR 2052a Asset Category Table

Note: the "-Q" suffix indicates that assets meet all the asset-specific tests detailed in section 20 of Regulation WW (e.g., risk profile
and market-based characteristics)
Asset Category
HQLA Level 1
A-0-Q
A-1-Q
A-2-Q
A-3-Q
A-4-Q
A-5-Q
S-1-Q
S-2-Q
S-3-Q
S-4-Q

CB-1-Q
CB-2-Q

HQLA Level 2a
G-1-Q
G-2-Q
G-3-Q
S-5-Q
S-6-Q
S-7-Q

Asset Category Description
Cash
Debt issued by the U.S. Treasury
U.S. Government Agency-issued debt (excluding the US Treasury) with a US Government guarantee
Vanilla debt (including pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S. Government
Agency has a full U.S. Government guarantee
Structured debt (excluding pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S.
Government Agency has a full U.S. Government guarantee
Other debt with a U.S. Government guarantee
Debt issued by non-U.S. Sovereigns (excluding central banks) with a 0% RW
Debt issued by multilateral development banks or other supranationals with a 0% RW
Debt with a non-U.S. sovereign (excluding central banks) or multilateral development bank or other
supranational guarantee, where guaranteeing entity has a 0% RW
Debt issued or guaranteed by a non-U.S. Sovereign (excluding central banks) that does not have a 0% RW, but
supports outflows that are in the same jurisdiction of the sovereign and are denominated in the home currency
of the sovereign
Securities issued or guaranteed by a central bank with a 0% RW
Securities issued or guaranteed by a non-U.S. central bank that does not have a 0% RW, but supports outflows
that are in the same jurisdiction of the central bank and are denominated in the home currrency of the central
bank
Senior to preferred debt issued by a U.S. Government Sponsored Entity (GSE)
Vanilla debt (including pass-through MBS) guaranteed by a U.S. GSE
Structured debt (excluding pass-through MBS) guaranteed by a U.S. GSE
Debt issued by non-U.S. Sovereigns (excluding central banks) 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-U.S. sovereign (excluding central banks) or multilateral development bank or other
supranational guarantee, where guaranteeing entity has a 20% RW, not otherwise included
Securities issued or guaranteed by a non-U.S. central bank with a 20% RW, not otherwise included

CB-3-Q
HQLA Level 2b
E-1-Q
U.S. equities - Russell 1000
E-2-Q
Non-U.S. Equities listed on a foreign index designated to by the local supervisor as qualifying for the LCR, and
denominated in USD or the currency of outflows that the foreign entity is supporting
IG-1-Q
Investment grade corporate debt
IG-2-Q
Investment grade municipal obligations

Page 98 of 106

FR 2052a Instructions

Asset Category Asset Category Description
Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW
A-2
U.S. Government Agency-issued debt (excluding the US Treasury) with a US Government guarantee
A-3
Vanilla debt (including pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S. Government
Agency has a full U.S. Government guarantee
A-4
Structured debt (excluding pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S.
Government Agency has a full U.S. Government guarantee
A-5
Other debt with a U.S. Government guarantee
S-1
Debt issued by non-U.S. Sovereigns (excluding central banks) with a 0% RW
Debt issued by multilateral development banks or other supranationals with a 0% RW
S-2
S-3
Debt with a non-U.S. sovereign (excluding central banks) or multilateral development bank or other
supranational guarantee, where guaranteeing entity has a 0% RW
Debt issued or guaranteed by a non-U.S. Sovereign (excluding central banks) that does not have a 0% RW, but
S-4
supports outflows that are in the same jurisdiction of the sovereign and are denominated in the home currency
of the sovereign
CB-1
Securities issued or guaranteed by a central bank with a 0% RW
CB-2
Securities issued or guaranteed by a non-U.S. central bank that does not have a 0% RW, but supports outflows
that are in the same jurisdiction of the central bank and are denominated in the home currrency of the central
bank
G-1
G-2
G-3
S-5
S-6

Senior to preferred debt issued by a U.S. Government Sponsored Entity (GSE)
Vanilla debt (including pass-through MBS) guaranteed by a U.S. GSE
Structured debt (excluding pass-through MBS) guaranteed by a U.S. GSE
Debt issued by Non-U.S. Sovereigns with a 20% RW, not otherwise included
Debt issued by multilateral development banks or other supranationals with a 20% RW, not otherwise included

S-7

Debt with a non-U.S. sovereign or multilateral development bank or other supranational guarantee, where
guaranteeing entity has a 20% RW, not otherwise included
Securities issued or guaranteed by a non-U.S. central bank with a 20% RW, not otherwise included

CB-3
E-1
E-2
IG-1
IG-2

U.S. equities - Russell 1000
Non-U.S. Equities listed on a foreign index designated to by the local supervisor as qualifying for the LCR, and
denominated in USD or the currency of outflows that the foreign entity is supporting
Investment grade corporate debt
Investment grade U.S. municipal general obligations

Page 99 of 106

FR 2052a Instructions

Asset Category Asset Category Description
Non-HQLA Assets other
All other debt issued by sovereigns (excluding central banks) and supranational entities, not otherwise included
S-8
CB-4
G-4
E-3
E-4
E-5
E-6
E-7
E-8
E-9
E-10
IG-3
IG-4
IG-5
IG-6
IG-7
IG-8
N-1
N-2
N-3
N-4
N-5
N-6
N-7
N-8
L-1
L-2
L-3
L-4
L-5
L-6
L-7
L-8
L-9
L-10
L-11
L-12
Y-1
Y-2
Y-3
Y-4
C-1
P-1
P-2
LC-1
LC-2
Z-1

All other securities issued by central banks, not otherwise included
Debt, other than senior or preferred, issued by a U.S. GSE
All other U.S.-listed common equity securities
All other non-US-listed common equity securities
ETFs listed on US exchanges
ETFs listed on non-US exchanges
US mutual fund shares
Non-US mutual fund shares
All other US equity investments (including preferred shares, warrants and options)
All other non-US equity investments (including preferred shares, warrants and options)
Investment grade Vanilla ABS
Investment grade Structured ABS
Investment grade Private label Pass-thru CMBS/RMBS
Investment grade Private label Structured CMBS/RMBS
Investment grade covered bonds
Investment grade obligations of municipals/PSEs (excluding U.S. general obligations)
Non-investment grade general obligations issued by U.S. municipals/PSEs
Non-investment grade corporate debt
Non-investment grade Vanilla ABS
Non-investment grade structured ABS
Non-investment grade Private label Pass-thru CMBS/RMBS
Non-investment grade Private label Structured CMBS/RMBS
Non-investment grade covered bonds
Non-investment grade obligations of municipals/PSEs (excluding U.S. general obligations)
GSE-eligible conforming residential mortgages
Other GSE-eligible loans
Other 1-4 family residential mortgages
Other multi family residential mortgages
Home equity loans
Credit card loans
Auto loans and leases
Other consumer loans and leases
Commercial real estate loans
Commercial and industrial loans
All other loans, except loans guaranteed by U.S. government agencies
Loans guaranteed by U.S. government agencies
Debt issued by reporting firm - parent
Debt issued by reporting firm - bank
Debt issued by reporting firm - all other (incl. conduits)
Equity investment in affiliates
Commodities
Residential property
All other physical property
Letters of credit issued by a GSE
All other letters of credit, including bankers' acceptances
All other assets

Page 100 of 106

FR 2052a Instructions

Appendix IV-a: FR 2052a Maturity Bucket Value List
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
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
91 - 120 Days
121 - 150 Days
151 - 179 Days
180 - 270 Days
271 - 364 Days
>= 1 Yr <= 2 Yr
>2 Yr <= 3 Yr
>3 Yr <= 4 Yr
>4 Yr <= 5 Yr
>5 Yr
Perpetual

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FR 2052a Instructions

Appendix IV-b: FR 2052a Maturity Bucket Tailoring

(1) U.S. firms that are identified as Category I or Category II banking organizations; FBOs identified as Category II foreign banking organizations.
(a) All products should be reported using the following 76 maturity buckets:
Open

Day 1

Daily

Day 60

Weekly* Buckets
Day 61
Day 90

30-Day Buckets
Day 91
Day 179

90-Day Buckets
Day 180
Day 364

Yearly Buckets
Day 365
Year 5

4 buckets

3 buckets

2 buckets

4 buckets

60 buckets

> 5 Years Perpetual

(2) U.S. firms that are identified as Category III or Category IV banking organizations with wSTWF>$50B; FBOs that are identified as Category III or Category IV
foreign banking organizations with wSTWF>$50B.
(a) All outflow and supplemental products with maturities within 1 year should be reported using the 70 applicable maturity buckets,
while these products with non-perpetual contractual maturities 1 year and beyond 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

30-Day Buckets
Day 91
Day 179

90-Day Buckets
Day 180
Day 364

4 buckets

3 buckets

2 buckets

60 buckets

All cash flows maturing in ≥ 1 year
Perpetual
> 1 Year and ≤ 2 Years
1 bucket

(b) All inflow products with maturities within 1 year should be reported using the 70 applicable maturity buckets,
while these products with non-perpetual contractual maturities 1 year and beyond may be reported in aggregate in the > 5 Year bucket.
Open

Day 1

Daily

Day 60

Weekly* Buckets
Day 61
Day 90

30-Day Buckets
Day 91
Day 179

90-Day Buckets
Day 180
Day 364

4 buckets

3 buckets

2 buckets

60 buckets

All cash flows maturing in ≥ 1 year
Perpetual
> 5 Years
1 bucket

(3) U.S. firms that are identified as Category IV banking organizations with wSTWF <$50B; FBOs that are identified as Category IV foreign banking
organizations with wSTWF <$50B.
(a) Balances for products I.A.1, I.A.2 and I.A.7 may be reported under the maturity bucket "Open" if the residual maturity of the instrument is < 6 months,
under the "271 - 364 Days" maturity bucket if the residual maturity of the instrument is ≥ 6 months but < 1 year, and under the "> 5 Years" maturity
bucket if the residual maturity of the intrument is ≥ 1 Year. Perpetual instruments must be reported under the "Perpetual" maturity bucket.
Residual maturity < 6 months
Open

Residual maturity ≥ 6 months < 1 Year
271 - 364 Days

Residual maturity ≥ 1 Year
> 5 Years

1 bucket

1 bucket

1 bucket

Perpetual

(b) Loan cash flows reported under products I.U.6 and I.S.7 may be split into the following 2 maturity buckets:
All cash flows due in > 30 days
> 5 Years

All cash flows due in ≤ 30 days
Day 30
1 bucket

1 bucket

(c) All other inflow products with maturities within 1 year should be reported using the 70 applicable maturity buckets, while these products with
non-perpetual contractual maturities beyond 1 year may be reported in aggregate in the > 5 Year bucket.
Open

Day 1

Daily

Day 60

60 buckets

Weekly* Buckets
Day 61
Day 90

30-Day Buckets
Day 91
Day 179

90-Day Buckets
Day 180
Day 364

4 buckets

3 buckets

2 buckets

All cash flows maturing in ≥ 1 year
Perpetual
> 5 Years
1 bucket

(d) All outflow and supplemental products with maturities within 1 year should be reported using the 70 applicable maturity buckets, while these products
with non-perpetual 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

30-Day Buckets
Day 179
Day 91

90-Day Buckets
Day 180
Day 364

4 buckets

3 buckets

2 buckets

All cash flows maturing in ≥ 1 year
Perpetual
≥ 1 Year and ≤ 2 Years

*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)

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1 bucket

FR 2052a Instructions

Appendix V: FR 2052a Double Counting of Certain 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. This appendix provides indicative guidance on cases where doublecounting is generally appropriate and expected. The items listed below may not be exhaustive, and may
have exceptions. Consult with the applicable supervisory and regulatory reporting teams for additional
guidance on potential exceptions.

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. Loans and leases, as these must be reported in the Inflows-Unsecured or InflowsSecured tables by counterparty as well as in the appropriate product in the I.A table
according to their market value.
5. Assets that are encumbered to financing transactions and derivatives, as these must
be reported under I.A.7: Encumbered Assets and the value of these positions must also
be reported under the product to which they are encumbered in the O.W, O.S or S.DC
tables (i.e., using the [Collateral Value] or [Market Value] fields).
6. 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.
7. 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.

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FR 2052a Instructions

8. 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.
9. 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 Derivative Payables.
10. 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.L.4: Non-Structured Debt Maturing in Greater
than 30-days – Primary Market Maker or S.L.5: Structured Debt Maturing in Greater
than 30-days – Primary Market Maker.
11. 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

12. 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

13.

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.DC.7: Initial Margin Received or S.DC.10: Variation Margin Received.

14.

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.DC.5: Initial Margin Posted- House or S.DC.6: Initial Margin Posted –

Page 104 of 106

FR 2052a Instructions

Customer or S.DC.8: Variation Margin Posted – House or S.DC.9: Variation Margin
Posted - Customer.
15. S.DC.14: Collateral Disputes Receivables and I.O.2: Collateral Called for Receipt, since
an amount in dispute should be reflected in both products.
16. S.DC.13: Collateral Disputes Deliverables and O.O.2: Collateral Called for Delivery,
since an amount in dispute should be reflected in both products.
17. S.DC.17: 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.DC.5: Initial Margin Posted –
House, S.DC.6: Initial Margin Posted – Customer, S.DC.8: Variation Margin Posted –
House or S.DC.9: Variation Margin Posted - Customer.
18. S.DC.15: 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.DC.7: Initial Margin Received or S.DC.10: Variation Margin Received.
19. S.L.1: Subsidiary Liquidity That Cannot Be Transferred, S.L.2: Subsidiary Liquidity
Available for Transfer, S.L.7: Subsidiary Funding That Cannot Be Transferred, S.L.8:
Subsidiary Funding Available for Transfer and S.I.6: Subsidiary Liquidity Not
Transferrable should correspond to asset and liability amounts reported elsewhere on
the FR 2052A submission.
20. O.D.12: 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.12.
21. I.O.8: Principal Payments on Unencumbered Investment Securities, as the market
value of these securities must also be reported in the I.A.1: Unencumbered Assets or
I.A.2: Capacity products.

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FR 2052a Instructions

Appendix VI: LRM: LCR to FR 2052a Mapping
[Enclosure]

Appendix VII: wSTWF to FR 2052a Mapping
[Enclosure]

Appendix VIII: LRM: NSFR to FR 2052a Mapping
[Enclosure]

Page 106 of 106

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 Rule 1) 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 Calculation 2
𝐿𝐿𝐿𝐿𝐿𝐿 =

𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎

𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑁𝑁𝑁𝑁𝑁𝑁 𝐶𝐶𝐶𝐶𝐶𝐶ℎ 𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂

𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = (𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
+ .85(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
+ .5(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
- 𝑀𝑀𝑀𝑀𝑀𝑀[ 𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻, 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 ]
𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 = 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 + 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎

𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝑀𝑀X[ 0,

.85(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
+ .5(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑎𝑎𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
-.6667(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣) ]

𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝑀𝑀X[ 0,

.5(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
-𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
-.1765( (𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑒𝑒𝑒𝑒)
+ .85(𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣) ) ]

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
= 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
-𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐
-𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑓𝑓𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎

Refer to LCR Rule as defined as specified in section 10 (c) of the LRM standards.
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.

1
2

1

+ 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐
+ 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑎𝑎𝑎𝑎𝑎𝑎𝑢𝑢𝑛𝑛𝑛𝑛𝑛𝑛 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠
-𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
= 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐
+ 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑎𝑎𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐
+ 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠
-𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑎𝑎𝑙𝑙 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
= 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐
+ 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐
+ 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑢𝑢𝑢𝑢𝑤𝑤𝑤𝑤𝑤𝑤𝑤𝑤 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠
-𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑤𝑤𝑤𝑤𝑤𝑤ℎ 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 = 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 +
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝑀𝑀X[ 0,

.85(𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
+ .5(𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
-.6667(𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣) ]

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐵𝐵 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝑀𝑀X[ 0,

.5(𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 - 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
-𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2 𝑐𝑐𝑐𝑐𝑐𝑐 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
-.1765( (𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 1 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣)
+ .85(𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
-𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣) ) ]

𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑁𝑁𝑁𝑁𝑁𝑁 𝐶𝐶𝐶𝐶𝐶𝐶ℎ 𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂
= 𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 𝐴𝐴𝐴𝐴𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗𝑗 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃 ∗ [ 𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
∗ 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟
-𝑀𝑀𝑀𝑀𝑀𝑀 [ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣
∗ 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟, .75(𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂𝑂 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 ∗ 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑒𝑒 𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟) ]
+ 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ 𝑎𝑎𝑎𝑎𝑎𝑎 𝑜𝑜𝑜𝑜 ]

𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ 𝑎𝑎𝑎𝑎𝑎𝑎 𝑜𝑜𝑜𝑜
= 𝑀𝑀𝑀𝑀𝑀𝑀 [ 0, 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿 𝑛𝑛𝑛𝑛𝑛𝑛 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 ]
-𝑀𝑀𝑀𝑀𝑀𝑀 [ 0, 𝑁𝑁𝑁𝑁𝑁𝑁 𝑑𝑑𝑑𝑑𝑑𝑑 30 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 ]
2

3

Outflow Adjustment Percentage Example
Banking organizations subject to LCR requirements should determine their category of standards under the
LCR rule and apply the appropriate outflow adjustment percentage.
Outflow adjustment percentage
Global systemically important BHC or GSIB depository institution

100
percent

Category II Board‐regulated institution

100
percent

Category III Board‐regulated institution with $75 billion or more in average weighted short‐
term wholesale funding and any Category III Board‐regulated institution that is a
consolidated subsidiary of such a Category III Board‐regulated institution

100
percent

Category III Board‐regulated institution with less than $75 billion in average weighted short‐
term wholesale funding and any Category III Board‐regulated institution that is a
consolidated subsidiary of such a Category III Board‐regulated institution

85
percent

Category IV Board‐regulated institution with $50 billion or more in average weighted short‐
term wholesale funding

70
percent

Throughout the mapping tables on the following pages, “HQLA”, “Non-HQLA”, and “Other” collateral
classes are defined as follows:
HQLA refers to all asset classes listed in Appendix III with a “-Q” suffix.
Non-HQLA refers to all asset classes listed in Appendix III that are not included in “Other” or HQLA. .
Other includes the following collateral classes only: C-1, P-1, P-2, LC-1, LC-2 and Z-1.

4

HQLA Amount Values
HQLA Additive Values
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
Accounting Designation
Encumbrance Type
Internal Counterparty

(1) High-Quality Liquid Assets (Subpart C, §.20-.22)
Value
LCR Firm
I.A.1, 2, and 3
Matches PID
Not Currency and Coin
*
#
Open for I.A.3, # otherwise
NULL
NULL
HQLA (except A-0-Q for I.A.2)
Y
#
NULL
#

(2) Rehypothecatable Collateral (Subpart C, §.20-.22)
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 4, 5, and 6
Product
Matches PID
Sub-Product
#
Maturity Amount
#
Maturity Bucket
#
Maturity Optionality
#
Effective Maturity Bucket
NULL
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
HQLA securities (not A-0-Q)
Collateral Value
*
Unencumbered
Y
Treasury Control
Y
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
5

(3) Rehypothecatable Collateral (Subpart C, §.20-.22)
Field
Value
Reporting Entity
LCR Firm
PID
S.DC. 7 and 10
Product
Matches PID
Sub-Product
Rehypothecatable - Unencumbered
Treasury Control
Y
Sub-Product2
#
Market Value
*
Collateral Class
HQLA securities (not A-0-Q)
Collateral Level
#
Counterparty
#
G-SIB
#
Effective Maturity Bucket
#
Encumbrance Type
#
Netting Eligible
#
Internal
#
Internal Counterparty
#
Business Line
#

HQLA Subtractive Values
Field
Reporting Entity
PID
Product
Market Value
Collateral Class
Internal
Internal Counterparty

(4) Excluded Sub HQLA (§.22(b)(3)and(4))
Value
LCR Firm
S.L.1
Matches PID
*
HQLA
#
#

Field
Reporting Entity
PID
Product
Market Value
Collateral Class
Internal
Internal Counterparty

(5) Early Hedge Termination Outflows (§.22(a)(3))
Value
LCR Firm
S.L.3
Matches PID
*
HQLA
#
#

Field
Reporting Entity
PID
Product

(6) Excess Collateral (§.22(b)(5))
Value
LCR Firm
S.DC.15
Matches PID
6

Sub-Product
Treasury Control
SID2
Sub-Product2
Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Internal
Internal Counterparty
Business Line

#
Y
#
#
*
HQLA
#
#
#
#
#
#
#
#
#

Unwind Transactions
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

(7) Secured Lending Unwind (Subpart C, §.21)
Value
LCR Firm
I.S.1, 2, 3, 5, and 6
Matches PID
#
*
<= 30 calendar days
#
NULL or <= 30 calendar days, but not Open
#
NULL
NULL
HQLA
*
Y if Effective Maturity Bucket is NULL, otherwise
#
Y
#
#
#
#
#
#
#

7

Field
Reporting Entity
PID
Product
SID
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

(8) Secured Funding Unwind (Subpart C, §.21)
Value
LCR Firm
O.S.1, 2, 3, 5, 6, 7 and 11
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
#
#
#
#
#
#
#
(9) Asset Exchange Unwind (Subpart C, §.21)
Value
LCR Firm
I.S.4
#
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
#
#
#
#
#
8

Counterparty
G-SIB

#
#

OUTFLOW VALUES
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(10) Stable Retail Deposits (§.32(a)(1))
Value
LCR Firm
O.D.1 and 2
Matches PID
Retail or Small Business
#
*
#
#
#
#
FDIC
#
#
#
#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(11) Other Retail Deposits (§.32(a)(2))
Value
LCR Firm
O.D.1, 2, and 3
Matches PID
Retail or Small Business
#
*
#
#
#
#
Not FDIC for PID = 1 and 2, and # for PID = 3
#
#
#
#
#

9

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(12) Insured Placed Retail Deposits (§.32(a)(3))
Value
LCR Firm
O.D.14
Matches PID
Retail or Small Business
#
*
#
#
#
#
FDIC
#
#
#
#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(13) Non-Insured Placed Retail Deposits (§.32(a)(4))
Value
LCR Firm
O.D.14
Matches PID
Retail or Small Business
#
*
#
#
#
#
Not FDIC
#
#
#
#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

(14) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
O.D.15
Matches PID
Retail or Small Business
#
*
#
10

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

#
#
#
#
#
#
#
#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

(15) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
O.O.22
Matches PID
Retail or Small Business
#
*
#
NULL
NULL
#
#
#
#
#

Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated

(16) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
O.S.1, 2, 7 and 11
Matches PID
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
#
#
NULL
NULL
#
#
#
#
#
#
#
#
11

Counterparty
G-SIB
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

Retail or Small Business
#
(17) Other Retail Funding (§.32(a)(5))
Value
LCR Firm
O.W.18
Matches PID
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
PID
O.O.21 (adds the incremental amount)
Product
Matches PID
Counterparty
#
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
#
Collateral Value
#
Internal
#
Internal Counterparty
#
Business Line
#
Field
Reporting Entity
PID
Product
Counterparty

(19) Net Derivatives Cash Outflow Amount (§.32(c))
Value
LCR Firm
O.O.20
Matches PID
#
12

G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

#
*
≤ 30 calendar days
#
#
#
#
#
#
#

(20) Mortgage Commitment Outflow Amount (§.32(d))
Field
Value
Reporting Entity
LCR Firm
PID
O.O.6
Product
Matches PID
Counterparty
#
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
#
Collateral Value
#
Internal
#
Internal Counterparty
#
Business Line
#
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

(21) Affiliated DI Commitments (§.32(e)(1)(i))
Value
LCR Firm that is a depository institution
O.O.4 and 5
Matches PID
Bank
#
*
<= 30 calendar days
#
#
*3
*4

For the purpose of all tables mapped to commitment outflow amounts in section .32(e), the Collateral Class field
should be used to identify commitment exposures that are secured by Level 1 or Level 2A HQLA, in accordance with
sections .32(e)(2) and (3).
4
For the purpose of all tables mapped to commitment outflow amounts in section .32(e), the Collateral Value field
should be used to identify the amount of Level 1 or Level 2A HQLA securing the commitment exposure in accordance
with sections .32(e)(2) and (3).
3

13

Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

Y
Bank from the U.S. subject to the LCR
#
(22) Retail Commitments (§.32(e)(1)(ii))
Value
LCR Firm
O.O.4, 5 and 18
Matches PID
Retail or Small Business
#
*
<= 30 calendar days for O.O.4, O.O.5; # for
O.O.18
#
#
*
*
#
#
#

(23) Non-Financial Corporate Credit Facilities (§.32(e)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
PID
O.O.4
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
*
Collateral Value
*
Internal
#
Internal Counterparty
#
Business Line
#
Field
Reporting Entity
PID
Product

(24) Non-Financial Corporate Liquidity Facilities (§.32(e)(1)(iv))
Value
LCR Firm
O.O.5 and 18
Matches PID

14

Non-Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational,
Municipalities for VRDN Structures
#
*
<= 30 calendar days for O.O.5; # for O.O.18
#
#
*
*
#
#
#

Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal

(25) Bank Commitments (§.32(e)(1)(v))
Value
LCR Firm
O.O.4, 5 and 18
Matches PID
Bank
#
*
<= 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
#
(26) Bank Commitments (§.32(e)(1)(v))
Value
LCR Firm
O.O.4, 5 and 18
Matches PID
Bank
#
*
<= 30 calendar days for O.O.4, O.O.5; # for
O.O.18
#
#
*
*
N
15

Internal Counterparty
Business Line

NULL
#

(27) Non-Bank and Non-SPE Financial Sector Entity Credit Facilities (§.32(e)(1)(vi))
Field
Value
Reporting Entity
LCR Firm
PID
O.O.4
Product
Matches PID
Pension Fund, Broker-Dealer, Investment
Counterparty
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity,
Non-Regulated Fund
G-SIB

#

Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

*
<= 30 calendar days
#
#
*
*
#
#
#

(28) Non-Bank and Non-SPE Financial Sector Entity Liquidity Facilities (§.32(e)(1)(vii))
Field
Value
Reporting Entity
LCR Firm
PID
O.O.5 and 18
Product
Matches PID
Pension Fund, Broker-Dealer, Investment
Counterparty
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
G-SIB
#
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
#
Business Line
#

16

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class

(29) Debt Issuing SPE Commitments (§.32(e)(1)(viii))
Value
LCR Firm
O.O.4, 5 and 18
Matches PID
Debt Issuing SPE
#
*
<= 30 calendar days for O.O.4, O.O.5; # for
O.O.18
#
#
*
*
#
#
#
(30) Other Commitments (§.32(e)(1)(ix))
Value
LCR Firm
O.O.4, 5 and 18
Matches PID
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
#
#
*
#
#
#
#
17

Collateral Value
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

#
#
#
#
(32) Changes in Financial Condition (§.32(f)(1))
Value
LCR Firm
O.O.12
Matches PID
#
#
*
#
#
#
#
#
#
#
#

(33) Derivative Collateral Potential Valuation Changes (§.32(f)(2))
Value
LCR Firm
S.DC.5, 6, 8, and 9
Matches PID
#
Not OTC – Centralized (Agent) or Exchangetraded (Agent)
Market Value
*
Collateral Class
Not level 1 HQLA
Collateral Level
#
Counterparty
#
G-SIB
#
Effective Maturity Bucket
#
Encumbrance Type
#
Netting Eligible
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#
Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2

18

(34) Potential Derivative Valuation Changes (§.32(f)(3))
Field
Value
Reporting Entity
LCR Firm
PID
O.O.8
Product
Matches PID
Counterparty
#
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
#
Collateral Value
#
Internal
#
Internal Counterparty
#
Business Line
#
(35) Collateral Deliverables (§.32(f)(4))
Field
Value
Reporting Entity
LCR Firm
PID
S.DC.15
Product
Matches PID
Sub-Product
#
Sub-Product2
#
Market Value
*
Collateral Class
Non-HQLA or Other
Collateral Level
#
Counterparty
#
G-SIB
#
Effective Maturity Bucket
#
Encumbrance Type
#
Netting Eligible
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#
Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2
Market Value
Collateral Class
Collateral Level

(36) Collateral Deliverables (§.32(f)(4))
Value
LCR Firm
S.DC.15
Matches PID
#
#
*
HQLA
#
19

Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2
Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2
Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control
Internal

#
#
#
#
#
N
#
#
#
(37) Collateral Deliverables (§.32(f)(5))
Value
LCR Firm
S.DC.16
Matches PID
#
#
*
#
#
#
#
#
#
#
#
#
#
#
(38) Collateral Substitution (§.32(f)(6))
Value
LCR Firm
S.DC.18 and 20
Matches PID
#
#
*
#
#
#
#
#
#
#
#
#
20

Internal Counterparty
Business Line

#
#

(39) Other Brokered Retail Deposits Maturing within 30 days (§.32(g)(1))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.8
Product
Matches PID
Counterparty
Retail or Small Business
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days (but not open)
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Business Line
#
Internal
#
Internal Counterparty
#
(40) Other Brokered Retail Deposits Maturing later than 30 days (§.32(g)(2))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.8
Product
Matches PID
Counterparty
Retail or Small Business
G-SIB
#
Maturity Amount
*
Maturity Bucket
> 30 calendar days
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Business Line
#
Internal
#
Internal Counterparty
#
(41) Insured Other Brokered Retail Deposits with No Maturity(§.32(g)(3))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.8
Product
Matches PID
Counterparty
Retail or Small Business
21

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

#
*
Open
#
#
#
FDIC
#
#
#
#
#

(42) Not Fully Insured Other Brokered Retail Deposits with No Maturity (§.32(g)(4))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.8
Product
Matches PID
Counterparty
Retail or Small Business
G-SIB
#
Maturity Amount
*
Maturity Bucket
Open
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
Not FDIC
Trigger
#
Rehypothecated
#
Business Line
#
Internal
#
Internal Counterparty
#
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated

(43) Insured Reciprocal (§.32(g)(5))
Value
LCR Firm
O.D.13
Matches PID
Retail or Small Business
#
*
#
#
#
#
FDIC
#
#
22

Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product

#
#
#
(44) Not Fully Insured Reciprocal (§.32(g)(6))
Value
LCR Firm
O.D.13
Matches PID
Retail or Small Business
#
*
#
#
#
#
Not FDIC
#
#
#
#
(45) Insured Affiliated Sweeps (§.32(g)(7))
Value
LCR Firm
O.D.9 and 10
Matches PID
Retail or Small Business
#
*
#
#
#
#
FDIC
#
#
#
#
#
(46) Insured Non-Affiliated Sweeps (§.32(g)(8))
Value
LCR Firm
O.D.11
Matches PID
23

Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

Retail or Small Business
#
*
#
#
#
#
FDIC
#
#
#
#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(47) Sweeps that are not Fully Insured (§.32(g)(9))
Value
LCR Firm
O.D.9, 10 and 11
Matches PID
Retail or Small Business
#
*
#
#
#
#
Not FDIC
#
#
#
#
#

(48) Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(i))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.5 and 6
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, Central
Bank,
GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Collateral Class
NULL or Other
24

Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

NULL
FDIC
#
#
#
#
#

(49) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(ii)(A))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.5 and 6
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Collateral Class
NULL or Other
Collateral Value
NULL
Insured
Not FDIC
Trigger
#
Rehypothecated
#
Business Line
#
Internal
#
Internal Counterparty
#
(50) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(ii)(A))
Field
Value
Reporting Entity
LCR Firm
PID
O.W.9, 10, 17, 18
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
G-SIB
#
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty

*
<= 30 calendar days
#
#
#
NULL
NULL
#
#
25

Loss Absorbency
Business Line

#
#

(51) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(ii)(A))
Field
Value
Reporting Entity
LCR Firm
PID
O.S.1, 2, 3, 5, 6, 7, 11
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
G-SIB
#
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

*
<= 30 calendar days
#
Other
#
NULL
NULL
#
#
#
#

(52) Unsecured Wholesale Brokered Deposit Non-Operational Non-Financial (§.32(h)(1)(ii)(B))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.8 – 11, 13
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Collateral Class
NULL or Other
Collateral Value
NULL
Insured
#
Trigger
#
Rehypothecated
#
Business Line
#
Internal
#
Internal Counterparty
#

26

Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Business Line

(53) Financial Non-Operational (§.32(h)(2))
Value
LCR Firm
O.D.5, 6, 8-11 and 13
Matches PID
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
#
*
<= 30 calendar days
#
NULL or Other
NULL
#
#
#
#
#
#
(54) Financial Non-Operational (§.32(h)(2))
Value
LCR Firm
O.W.9, 10, 17, and 18
Matches PID
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
#
*
<= 30 calendar days
#
#
#
NULL
NULL
#
#
#

27

Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Business Line

(55) Financial Non-Operational (§.32(h)(2))
Value
LCR Firm
O.S.1, 2, 3, 7, 11
Matches PID
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
#
*
<= 30 calendar days
#
Other
#
NULL
NULL
#
#
#

(56) Issued Debt Securities Maturing within 30 Days (§.32(h)(2))
Field
Value
Reporting Entity
LCR Firm
PID
O.W.8, 11-16
Product
Matches PID
Counterparty
#
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Collateral Class
*
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Loss Absorbency
#
Business Line
#
Field
Reporting Entity
PID
Product
Counterparty
G-SIB

(57) Insured Operational Deposits (§.32(h)(3))
Value
LCR Firm
O.D.4
Matches PID
Not Retail or Small Business
#
28

Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

*
<= 30 calendar days
#
NULL or Other
#
FDIC
#
#
#
#
#
(58) Not Fully Insured Operational Deposits (§.32(h)(4))
Value
LCR Firm
O.D.4
Matches PID
All except Retail or Small Business
#
*
<= 30 calendar days
#
NULL or Other
#
Not FDIC
#
#
#
#
#

(59) Not Fully Insured Operational Deposits (§.32(h)(4))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.7
Product
Matches PID
#
Counterparty
#
G-SIB
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Collateral Class
NULL or Other
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Business Line
#
29

Internal
Internal Counterparty

#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(60) Other Unsecured Wholesale (§.32(h)(5))
Value
LCR Firm
O.D.14 and 15
Matches PID
Not Retail or Small Business
#
*
<= 30 calendar days
#
NULL or Other
#
#
#
#
#
#
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency

(61) Other Unsecured Wholesale (§.32(h)(5))
Value
LCR Firm
O.W.19
Matches PID
Not Retail or Small Business
#
*
<= 30 calendar days
#
#
#
NULL
NULL
#
#
#

Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount

(62) Other Unsecured Wholesale (§.32(h)(5))
Value
LCR Firm
I.S.4
Matches PID
No Collateral Pledged
#
30

Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Counterparty
G-SIB

<= 30 calendar days
#
#
NULL
NULL
#
*
#
#
#
#
#
#
#
#

(63) Issued Not Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker
(§.32(i)(1))
Field
Value
Reporting Entity
LCR Firm
PID
S.L.4
Product
Matches PID
Market Value
*
Collateral Class
#
Internal
#
Internal Counterparty
#
(64) Issued Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker
(§.32(i)(2))
Field
Value
Reporting Entity
LCR Firm
PID
S.L.5
Product
Matches PID
Market Value
*
Collateral Class
#
Internal
#
Internal Counterparty
#
*Footnotes appearing in the Secured Funding L1 tables regarding central bank secured funding apply to
all other secured funding tables.

Field
Reporting Entity
PID
Product
Counterparty

(65) Secured Funding L1 (§.32(j)(1)(i))
Value
LCR Firm
O.D.4, 5, 6 and 7
Matches PID
Non-Financial Corporate, Sovereign, Central Bank
31

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

Treasury Control

(FRB and other central banks where the sovereign
has not established its own outflow rate) 5, GSE,
PSE, MDB, Other Supranational, Pension Fund,
Bank, Broker-Dealer, Investment Company or
Advisor, Financial Market Utility, Other Supervised
Non-Bank Financial Entity, Non-Regulated Fund,
Debt Issuing SPE, 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
wholesale funding under .32(h)
#
#
#
#
#
#
(66) 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 11
Matches PID
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), For O.S.6, cannot be Covered
Federal Reserve Facility Funding, # 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)
#

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.
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.
5

32

Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty

G-SIB

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line
Field
Reporting Entity
PID
Product
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, Pension Fund,
Bank, Broker-Dealer, Investment Company or
Advisor, Financial Market Utility, Other Supervised
Non-Bank Financial Entity, Non-Regulated Fund,
Debt Issuing SPE, Other
#
(67) 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
#
#
#
#
(68) Secured Funding L2A (§.32(j)(1)(ii))
Value
LCR Firm
O.D.4 (not FDIC insured), 5, 6 and 7
Matches PID
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, Pension Fund,
Bank, Broker-Dealer, Investment Company or
Advisor, Financial Market Utility, Other Supervised
33

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty

Non-Bank Financial Entity, Non-Regulated Fund,
Debt Issuing SPE, 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 #
#
#
#
#
#
(69) 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 11
Matches PID
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), For O.S.6, cannot be Covered
Federal Reserve Facility Funding, # 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)
#
#
#
#
#
#
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, Pension Fund,
34

G-SIB
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

Bank, Broker-Dealer, Investment Company or
Advisor, Financial Market Utility, Other Supervised
Non-Bank Financial Entity, Non-Regulated Fund,
Debt Issuing SPE, Other
#
(70) Secured Funding L2A (§.32(j)(1)(ii))
Value
LCR Firm
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
#
#
#
#

(71) Secured Funding from Governmental Entities not L1 or L2A (§.32(j)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
PID
O.D.4, 5 and 6 (if not FDIC insured) and 7
Product
Matches PID
Counterparty
Sovereign, Central Bank (FRB and other central
banks where the sovereign has not established its
own outflow rate), GSE, or MDB
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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.4-6, # for O.D.7
Trigger
#
Rehypothecated
#
35

Business Line
Internal
Internal Counterparty

#
#
#

(72) Secured Funding from Governmental Entities not L1 or L2A (§.32(j)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
O.S.1, 2, 3, 5, 6 (FRB and other central banks
PID
where the sovereign has not established an LCR
outflow rate), 7 and 11
Product
Matches PID
Sub-Product
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), For O.S.6, cannot be Covered
Federal Reserve Facility Funding unless the
Collateral Class is Y-1, Y-2 or Y-3, # otherwise
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Level 2B HQLA or Non-HQLA
Collateral Class
Collateral Value

Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB
Field
Reporting Entity
PID
Product

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)
#
#
#
#
#
#
Sovereign, Central Bank (FRB and other central
banks where the sovereign has not established
its own outflow rate), GSE, or MDB
#
(73) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
O.D.4 and 7 (only collateralized deposits) 77
Matches PID

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.7 (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 or O.D.6.

7

36

Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Insured
Trigger
Rehypothecated

Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, Broker-Dealer,
Investment Company or Advisor, Financial Market
Utility, Other Supervised Non-Bank Financial
Entity, Non-Regulated Fund, Debt Issuing SPE,
Other
#
*
<= 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
#
#
#
(74) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
O.D.5 and 6
Matches PID
Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor,
Financial Market Utility, Other Supervised NonBank Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other,
#
*
<= 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, Debt Issuing SPE, Other; # for
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, Non37

Regulated Fund

Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated

CID
Counterparty

G-SIB

#
#
#
(75) Secured Funding L2B (§.32(j)(1)(iv))
Value
LCR Firm
O.S.1, 2, 3, 7 and 11
Matches PID
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, Debt Issuing SPE, Other; # for
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
Matches Counterparty
Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor,
Financial Market Utility, Other Supervised NonBank Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other
#

38

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

(76) 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
NULL
#
#
#
#

(77) Customer Shorts Funded by Non-HQLA Customer Longs (§.32(j)(1)(v))
Field
Value
Reporting Entity
LCR Firm
PID
O.S.7
Product
Matches PID
Sub-Product
Customer Long
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non-HQLA
Collateral Value
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#
Settlement
#
Rehypothecated
#
Non-Financial Corporate, PSE, Other
Counterparty
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor,
Financial Market Utility, Other Supervised NonBank Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other
39

G-SIB
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class

#
(78) Secured Funding Non-HQLA (§.32(j)(1)(vi))
Value
LCR Firm
O.D.4 and 7 (only collateralized deposits)
Matches PID
Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor, Financial
Market Utility, Other Supervised Non-Bank
Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other
#
*
<= 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
#
#
#
(79) Secured Funding Non-HQLA (§.32(j)(1)(vi))
Value
LCR Firm
O.D.5 and 6
Matches PID
Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor,
Financial Market Utility, Other Supervised NonBank Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other
#
*
<= 30 calendar days
#
Non-HQLA

40

Collateral Value

Insured
Trigger
Rehypothecated

Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated

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, Debt Issuing SPE, Other; # for
Pension Fund, Bank, Broker-Dealer,
Investment Company or Advisor, Financial
Market Utility, Other Supervised Non-Bank
Financial Entity, Non-Regulated Fund
#
#
#
(80) Secured Funding Non-HQLA (§.32(j)(1)(vi))
Value
LCR Firm
O.S.1, 2, 3, 7 and 11
Matches PID
For O.S.7, cannot be Customer Long, Unsettled
(Regular Way) or Unsettled (Forward); #otherwise
*
<= 30 calendar days
#
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 funding under .32(h)
#
#
#
#
#
Y for Non-Financial Corporate, PSE, Other
Supranational, Debt Issuing SPE, Other; # for
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund

41

Counterparty

G-SIB

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line

Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor,
Financial Market Utility, Other Supervised NonBank Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other
#
(81) 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
the Collateral Value amount as unsecured
wholesale funding under .32(h)
NULL
NULL
#
#
#
#
(82) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
O.D.5 and 6
Matches PID
Non-Financial Corporate, PSE, Other
Supranational, Debt Issuing SPE, Other
#
*
<= 30 calendar days
#
Level 2B HQLA or Non-HQLA
#
*
#
N
#
42

Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value

#
#
(83) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
O.S.1, 2, 3, 5, 7 and 11
Matches PID
For O.S.7 must be firm long, otherwise #
*
<= 30 calendar days
#
NULL
NULL
Level 2B HQLA or Non-HQLA
#
#
#
#
#
#
N
Non-Financial Corporate, PSE, Other
Supranational, Debt Issuing SPE, Other
#
(84) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
O.D.4 (only collateralized deposits)
Matches PID
Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerDealer, Investment Company or Advisor, Financial
Market Utility, Other Supervised Non-Bank
Financial Entity, Non-Regulated Fund, Debt
Issuing SPE, Other; 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
#
If FDIC insured: Not Level 1; if not FDIC insured:
Level 2B or Non-HQLA
#
43

Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

*
#
N
#
#
#
(85) Secured but Lower Unsecured Rate (§.32(j)(2))
Value
LCR Firm
O.D.7 (only collateralized deposits)
Matches PID
Non-Financial Corporate, PSE, Other
Supranational, Pension Fund, Bank, Broker-Dealer,
Investment Company or Advisor, Financial Market
Utility, Other Supervised Non-Bank Financial
Entity, Non-Regulated Fund, Debt Issuing SPE,
Other
#
*
<= 30 calendar days
#
Level 2B or Non-HQLA
#
#
#
N
#
#
#

(86) Asset Exchange Post L1 Receive L1 (§.32(j)(3)(i))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 1 HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
44

Internal Counterparty
Business Line
Settlement
CID
Counterparty
G-SIB

#
#
#
#
#
#

(87) Asset Exchange Post L1 Receive L2A (§.32(j)(3)(ii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2A HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
CID
#
Counterparty
#
G-SIB
#
(88) Asset Exchange Post L1 Receive L2B (§.32(j)(3)(iii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2B HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
45

Internal
Internal Counterparty
Business Line
Settlement
Counterparty
G-SIB

#
#
#
#
#
#

(89) Asset Exchange Post L1 Receive Non-HQLA (§.32(j)(3)(iv))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Non-HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(90) Asset Exchange Post L2A Receive L1 or L2A (§.32(j)(3)(v))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 1 HQLA or level 2A HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
46

Internal Counterparty
Business Line
Settlement
Counterparty
G-SIB

#
#
#
#
#

(91) Asset Exchange Post L2A Receive L2B (§.32(j)(3)(vi))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2B HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(92) Asset Exchange Post L2A Receive Non-HQLA (§.32(j)(3)(vii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Non-HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
47

Business Line
Settlement
Counterparty
G-SIB

#
#
#

(93) Asset Exchange Post L2B Receive L1, L2A or L2B (§.32(j)(3)(viii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(94) Asset Exchange Post L2B Receive Non-HQLA (§.32(j)(3)(ix))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Non-HQLA
Maturity Amount
#
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
48

Settlement
Counterparty
G-SIB

#
#
#

(95) Asset Exchange Post Rehypothecated Assets >30 days Receive L1 (§.32(j)(3)(x))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
(96) Asset Exchange Post Rehypothecated Assets >30 days Receive L2A (§.32(j)(3)(xi))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2A HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
49

Counterparty
G-SIB

#

(97) Asset Exchange Post Rehypothecated Assets >30 days Receive L2B (§.32(j)(3)(xii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2B HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(98) Asset Exchange Post Rehypothecated Assets >30 days Receive Non-HQLA (§.32(j)(3)(xiii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Non-HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
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
#
Business Line
#
Settlement
#
Counterparty
#
50

G-SIB
Field
Reporting Entity
PID

Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID

Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty

#
(99) Foreign Central Banking Borrowing (§.32(k))
Value
LCR Firm
O.D.4, 5, 6, 7 (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
Central Bank
#
*
<= 30 calendar days
#
Not NULL or Other
*
#
#
#
#
#
#
(100) 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
Not Other
*
#
#
#
51

Business Line
Settlement
Rehypothecated
Counterparty
G-SIB
Field
Reporting Entity
PID

Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal

#
#
#
Central Bank
#
(101) 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
Specific central bank
*
<= 30 calendar days
#
NULL
NULL
Not Other
*
#
#
#
#
#
#
Central Bank
(102) Other Contractual Outflows (§.32(l))
Value
LCR Firm
O.O.19
Matches PID
#
#
*
<= 30 calendar days
#
#
#
#
#
52

Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Internal
Internal Counterparty
Business Line

#
#
(103) Other Contractual Outflows (§.32(l))
Value
LCR Firm
O.O.22
Matches PID
Not Retail or Small Business
#
*
<= 30 calendar days
NULL
NULL
#
#
#
#
#

INFLOW VALUES
Field
Reporting Entity
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Counterparty
G-SIB
Internal
Internal Counterparty
Business Line

Field
Reporting Entity
PID
Product
Counterparty

(104) Net Derivatives Cash Inflow Amount (§.33(b))
Value
LCR Firm
I.O.7
Matches PID
*
≤ 30 calendar days
#
#
#
#
#
#
#
#
#
#
(105) Retail Cash Inflow Amount (§.33(c))
Value
LCR Firm
I.U.5 and 6
Matches PID
Retail or Small Business
53

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

#
*
<= 30 calendar days but not Open
#
#
Not Covered Federal Reserve Facility Funding
NULL
NULL
#
#
#
#

Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

(106) Retail Cash Inflow Amount (§.33(c))
Value
LCR Firm
I.S.1, 2, 5, 6, 7 and 8
Matches PID
#
*
<= 30 calendar days but not Open
#
#
Not Covered Federal Reserve Facility Funding
NULL
NULL
#
#
#
#
#
#
#
#
#
Retail or Small Business
#

Field
Reporting Entity
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket

(107) Retail Cash Inflow Amount (§.33(c))
Value
LCR Firm
I.O.6
Matches PID
*
<= 30 calendar days but not Open
NULL
NULL
54

Collateral Class
Collateral Value
Treasury Control
Counterparty
G-SIB
Internal
Internal Counterparty
Business Line

Non-HQLA loans, Other
#
#
Retail or Small Business
#
#
#
#

(108) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
PID
I.U.1, 2, 4, 5, 6 and 8
Product
Matches PID
Pension Fund, Bank, Broker-Dealer, Investment
Counterparty
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund, Central Bank
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
#
Encumbrance Type
Not Segregated for Customer Protection or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
(109) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
PID
I.A.3
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
<= 30 calendar days but not Open
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
A-0-Q
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
#
55

Encumbrance Type
Internal Counterparty

#
#

(110) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
#
Encumbrance Type
Not Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Other
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Pension Fund, Bank, Broker-Dealer, Investment
Counterparty
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund, Central Bank
#
G-SIB
(111) Financial and Central Bank Cash Inflow Amount (§.33(d)(1))
Field
Value
Reporting Entity
LCR Firm
PID
I.O.6
Product
Matches PID
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non-HQLA loans, Other
Collateral Value
#
Treasury Control
#
Counterparty
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund, Central Bank
G-SIB
#
56

Internal
Internal Counterparty
Business Line

#
#
#

(112) Non-Financial Wholesale Cash Inflow Amount (§.33(d)(2))
Field
Value
Reporting Entity
LCR Firm
PID
I.U.1, 2, and 6
Product
Matches PID
Counterparty
Non-Financial Corporate, Sovereign, GSE, PSE,
MDB, Other Supranational, Debt Issuing SPE,
Other
G-SIB
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
#
Encumbrance Type
Not Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
(113) Non-Financial Wholesale Cash Inflow Amount (§.33(d)(2))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
#
Encumbrance Type
Not Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Other
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
57

Counterparty
G-SIB

Non-Financial Corporate, Sovereign, GSE, PSE,
MDB, Other Supranational, Debt Issuing SPE,
Other
#

(114) Non-Financial Wholesale Cash Inflow Amount (§.33(d)(2))
Field
Value
Reporting Entity
LCR Firm
PID
I.O.6
Product
Matches PID
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non-HQLA loans, Other
Collateral Value
#
Treasury Control
#
Counterparty
Non-Financial Corporate, Sovereign, GSE, PSE,
MDB, Other Supranational, Debt Issuing SPE,
Other
G-SIB
#
Internal
#
Internal Counterparty
#
Business Line
#

Field
Reporting Entity
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Counterparty
G-SIB
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID

(115) 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
Non-HQLA securities
#
#
#
#
#
#
#
(116) Securities Cash Inflow Amount (§.33(e))
Value
LCR Firm
I.O.6 and I.O.8
58

Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Counterparty
G-SIB
Internal
Internal Counterparty
Business Line

Matches PID
*
<= 30 calendar days but not Open
NULL
NULL
HQLA
#
N
#
#
#
#
#

(117) Secured Lending when Asset Rehypothecated not returned within 30 days (§.33(f)(1)(i))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, and 6
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
> 30 calendar days or Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
#
Collateral Value
#
Unencumbered
N
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#
Settlement
#
Counterparty
Not Retail or Small Business
G-SIB
#
(118) Secured Lending when Asset Available for Return (§.33(f)(1)(ii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
59

Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

NULL
#
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
#

(119) Secured Lending when Asset Available for Return (§.33(f)(1)(ii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
NULL
Encumbrance Type
#
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
N
Treasury Control
Y
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
Not Retail or Small Business
G-SIB
#
60

(120) Secured Lending when Asset Available for Return (§.33(f)(1)(ii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
NULL
Encumbrance Type
#
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
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
Not Retail or Small Business
G-SIB
#
(121) Secured Lending with L1 HQLA (§.33(f)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days but not Open
Encumbrance Type
#
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
#
61

Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

#
#
#
#
#
#
Not Retail or Small Business
#

(122) Secured Lending with L1 HQLA (§.33(f)(1)(iii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
NULL
Encumbrance Type
#
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
Y
Treasury Control
Y
Internal
#
Internal Counterparty
#
Risk Weight
Business Line
Settlement
Counterparty
G-SIB
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality

#
#
#
Not Retail or Small Business
#
(123) Secured Lending with L2A HQLA (§.33(f)(1)(iv))
Value
LCR Firm
I.S.1, 2, 3, 5, 6, 7 and 8
Matches PID
#
*
<= 30 calendar days
#
62

Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value

Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

<= 30 calendar days but not Open
#
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 lending under .33(d)
#
#
#
#
#
#
#
Not Retail or Small Business
#

(124) Secured Lending with L2A HQLA (§.33(f)(1)(iv))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
NULL
Encumbrance Type
#
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
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
Not Retail or Small Business
G-SIB
#
63

(125) Secured Lending with L2B HQLA (§.33(f)(1)(v))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days but not Open
Encumbrance Type
#
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
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
Not Retail or Small Business
G-SIB
#
(126) Secured Lending with L2B HQLA (§.33(f)(1)(v))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 5, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
NULL
Encumbrance Type
#
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
64

Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

Y
#
#
#
#
#
Not Retail or Small Business
#

(127) Secured Lending with Non-HQLA (§.33(f)(1)(vi))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.1, 2, 3, 6, 7 and 8
Product
Matches PID
Sub-Product
#
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days but not Open
Encumbrance Type
#
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
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
Not Retail or Small Business
G-SIB
#
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket

(128) 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
65

Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

#
NULL
NULL
Non-HQLA
#
#
#
#
#
#
#
#
Not Retail or Small Business
#

(129) Asset Exchange Collateral Rehypothecated and Not Returning within 30 days (§.33(f)(2)(i))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
*
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
> 30 calendar days or Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
#
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
Field
Reporting Entity
PID
Product
Sub-Product
Maturity Amount

(130) Asset Exchange Post L1 Receive L1 (§.33(f)(2)(ii))
Value
LCR Firm
I.S.4
Matches PID
Level 1 HQLA
*
66

Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

<= 30 calendar days
#
<= 30 calendar days or NULL but not Open
#
NULL
NULL
Level 1 HQLA
#
#
#
#
#
#
#
#
#
#

(131) Asset Exchange Post L2A Receive L1 (§.33(f)(2)(iii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#

67

(132) Asset Exchange Post L2B Receive L1 (§.33(f)(2)(iv))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(133) Asset Exchange Post Non-HQLA Receive L1 (§.33(f)(2)(v))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 1 HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non-HQLA or Other
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
68

Counterparty
G-SIB

#
#

(134) Asset Exchange Post L2A Receive L2A (§.33(f)(2)(vi))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2A HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2A HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(135) Asset Exchange Post L2B Receive L2A (§.33(f)(2)(vii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2A HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
69

Risk Weight
Business Line
Settlement
Counterparty
G-SIB

#
#
#
#
#

(136) Asset Exchange Post Non-HQLA Receive L2A (§.33(f)(2)(viii))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2A HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non-HQLA or Other
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(137) Asset Exchange Post L2B Receive L2B (§.33(f)(2)(ix))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2B HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Level 2B HQLA
Collateral Value
#
Unencumbered
#
70

Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

#
#
#
#
#
#
#
#

(138) Asset Exchange Post Non-HQLA Receive L2B (§.33(f)(2)(x))
Field
Value
Reporting Entity
LCR Firm
PID
I.S.4
Product
Matches PID
Sub-Product
Level 2B HQLA
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Maturity Optionality
#
Effective Maturity Bucket
<= 30 calendar days or NULL but not Open
Encumbrance Type
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
Non-HQLA or Other
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
Counterparty
#
G-SIB
#
(139) Broker-Dealer Segregated Account Inflow Amount (§.33(g))
Field
Value
Reporting Entity
LCR Firm
PID
I.O.5
Product
Matches PID
Maturity Amount
*
Maturity Bucket
<= 30 calendar days
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
#
Collateral Value
#
Treasury Control
#
Counterparty
#
71

G-SIB
Internal
Internal Counterparty
Business Line
Field
Reporting Entity
PID
Product
Maturity Amount
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Counterparty
G-SIB
Internal
Internal Counterparty
Business Line

#
#
#
#
(140) Other Cash Inflow Amount (§.33(h))
Value
LCR Firm
I.O.9
Matches PID
*
<= 30 calendar days but not Open
NULL
NULL
#
#
#
#
#
#
#
#

72

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 or N (STWF Indicator) of the FR Y‐15 (Banking
Organization Systemic Risk Report) in mapping the specific line items on Schedule G or N 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 or N of the FR Y‐15

#

Values not relevant to Schedule G or N of the FR Y‐15

NULL

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
PID
Product
Counterparty

(1) O.D. PIDs for item 1.a
Value
FR Y‐15 Firm
O.D.5, 6, 8, 9, 10, 11, 13, 14 ,15
Matches PID
Not 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
#
Level 1 HQLA
#
#
#
#
#
#
#

G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
1

Field
Reporting Entity
PID
Product
Sub‐product
Maturity Amount
Maturity Bucket

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Rehypothecated
Counterparty

(2) O.S. PIDs for item 1.a
Value
FR Y‐15 Firm
O.S.1, 2, 3, 5, 6, 7 and 11
Matches PID
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
#
#
#
#
#
#
#
#
Not Retail or Small Business

G-SIB
Field
Reporting Entity
Currency
Converted
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value

#
(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
#
2

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

NULL
NULL
#
#
#
#

Item 1.b: Retail brokered deposits and sweeps (table 4)
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

(4) O.D. PIDs for item 1.b
Value
FR Y‐15 Firm
O.D.8, 9, 10, 11 and 13
Matches PID
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
#
#
#
#
#
#
#
#
#

Item 1.c: Unsecured wholesale funding obtained outside of the financial sector (sum of
tables 5 and 6)
Field
Reporting Entity
PID
Product
CID
Counterparty
Maturity Amount

(5) O.D. PIDs for item 1.c
Value
FR Y‐15 Firm
O.D.5, 6, 8, 9, 10, 11, 13, 14, 15
Matches PID
Matches Counterparty
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
*

3

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 Other
#
#
#
#
#
#
#
#

Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Loss Absorbency
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
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
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, 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 Other
NULL

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line
Field
Reporting Entity
PID
Product
Sub‐product
Maturity Amount

NULL
NULL
#
#
#
#
(7) O.S. PIDs for item 1.c
Value
FR Y‐15 Firm
O.S.1, 2, 3, 5, 6, 7 and 11
Matches PID
For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise
*
4

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
Other
#
#
#
#
#
#
#
#
Non‐Financial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
#

Maturity Bucket

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB

Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty

(8) I.S. PIDs for item 1.c
Value
FR Y‐15 Firm
I.S.4
Matches PID
No Collateral Pledged
#
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
#
*
#
#
#
#
#
#
#
Non‐Financial Corporate, Sovereign, Central
5

Bank, GSE, PSE, MDB, Other Supranational, Debt
Issuing SPE, Other
#

G-SIB

Item 1.d: Firm short positions involving level 2B liquid assets or non‐HQLA (table 7)
Field
Reporting Entity
Currency
Converted
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

(9) O.S. PIDs for item 1.d
Value
FR Y‐15 Firm
*
#
O.S.8
Matches PID
External Cash Transaction, External Non-Cash
Transaction, Customer Longs
*
#

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Collateral Currency
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty

#
#
#
Level 2B HQLA or Non-HQLA
#
#
#
#
#
#
#
#
#

G-SIB

#

Item 2.a: Funding secured by level 2A liquid assets (sum of tables 8‐10)
Field
Reporting Entity
PID
Product
Counterparty
G-SIB

(10) O.D. PIDs for item 2.a
Value
FR Y‐15 Firm
O.D.5, 6, 8, 9, 10, 11, 13, 14, 15
Matches PID
Not Retail or Small Business
#
6

Maturity Amount
Maturity Bucket

*
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
#
#
#
#
#
#
#

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty

(11) O.S. PIDs for item 2.a
Value
FR Y‐15 Firm
O.S.1, 2, 3, 5, 6, 7 and 11
Matches PID
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
#
#
#
#
#
#
#
Not Retail or Small Business

G-SIB

#

7

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

(12) 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
#
#
#
#

Item 2.b: Covered asset exchanges (level 1 to level 2A) (table 11)
Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated

(13) O.S. PIDs for item 2.b
Value
FR Y‐15 Firm
O.S.4
Matches PID
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
#
#
#
#
#
#
#
#
8

Counterparty
G-SIB

#
#

Item 3.a: Funding secured by level 2B liquid assets (sum of tables 12‐14)
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty

(14) O.D. PIDs for item 3.a
Value
FR Y‐15 Firm
O.D.5, 6, 8, 9, 10, 11, 13, 14 and 15
Matches PID
Not 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
#
Level 2B HQLA
#
#
#
#
#
#
#
(15) O.S. PIDs for item 3.a
Value
FR Y‐15 Firm
O.S.1, 2, 3, 5, 6, 7 and 11
Matches PID
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
#
#
#
#
9

Business Line
Settlement
Rehypothecated
Counterparty

#
#
#
Not Retail or Small Business

G-SIB

#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

(16) 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
#
#
#
#

Item 3.b: Other covered asset exchanges (table 15)
Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

(17) I.S. PIDs for item 3.b
Value
FR Y‐15 Firm
I.S.4
Matches PID
Level 2b Pledged, Non-HQLA Pledged
#
Column A: <=30 days
Column B: 31 to 90 days
Column C: 91 to 180 days
Column D: 181 days to 1 yr
#
#
#
10

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty
G-SIB

NULL
NULL
For Sub-Product value of Level 2b Pledged: Level 1
or Level 2A HQLA; For Sub-Product values of NonHQLA Pledged: all HQLA
*
#
#
#
#
#
#
#
#
#

Item 3.c: Unsecured wholesale funding obtained within the financial sector (sum of tables
16 and 17)
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty
Field
Reporting Entity
PID

(18) O.D. PIDs for item 3.c
Value
FR Y‐15 Firm
O.D.5, 6, 8, 9, 10, 11, 13, 14, 15
Matches PID
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
#
*
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 Other
#
#
#
#
#
#
#
(19) O.W. PIDs for item 3.c
Value
FR Y‐15 Firm
O.W.1‐19
11

Product
Counterparty

G-SIB
Maturity Amount
Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line
Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty

Matches PID
For O.W.1 - 8, 11 ‐ 16: #; For O.W.9, 10, 17, 18, 19:
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity,
Non-Regulated Fund, 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 or Other
#
NULL
NULL
#
#
#
#
(20) O.S. PIDs for item 3.c
Value
FR Y‐15 Firm
O.S.1, 2, 3, 7 and 11
Matches PID
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
Other
#
#
#
#
#
#
#
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, Non12

Regulated Fund
#

G-SIB

Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement
Counterparty

G-SIB

(21) I.S. PIDs for item 3.c
Value
FR Y‐15 Firm
I.S.4
Matches PID
No Collateral Pledged
#
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
#
*
#
#
#
#
#
#
#
Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility,
Other Supervised Non-Bank Financial Entity, NonRegulated Fund
#

Item 4: All other components of short‐term wholesale funding (sum of tables 18‐20)
Field
Reporting Entity
PID
Product
Counterparty

G-SIB
Maturity Amount

(22) O.D. PIDs for item 4
Value
FR Y‐15 Firm
O.D.5, 6, 8, 9, 10, 11, 13, 14, 15
Matches PID
Not Retail or Small Business

13

#
*

Maturity Bucket

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

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Business Line
Internal
Internal Counterparty

#
#
#
#
#
#

Maturity Optionality
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Treasury Control
Internal
Internal Counterparty
Business Line
Settlement
Rehypothecated
Counterparty
G-SIB

(23) O.S. PIDs for item 4
Value
FR Y‐15 Firm
O.S.1, 2, 5, 6, 7 and 11
Matches PID
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
Non-HQLA
#
#
#
#
#
#
#
Not Retail or Small Business
#

Field
Reporting Entity
PID
Product
Counterparty
Maturity Amount

(24) O.W. PIDs for item 4
Value
FR Y‐15 Firm
O.W.1‐7
Matches PID
#
*

Field
Reporting Entity
PID
Product
Sub‐Product
Maturity Amount
Maturity Bucket

14

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
#
NULL
NULL
#
#
#
#

Maturity Bucket

Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

15

APPENDIX VIII: NSFR 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 Risk Measurement Standards (LRM standards) 1 in
mapping the provisions applicable to the Net Stable Funding Ratio (NSFR) to the unique data
identifiers reported on FR 2052a. This mapping document is not a part of the LRM Standards 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.
Reference Key
Reference

Meaning

*

Values relevant to the NSFR (e.g., value field aggregated to determine ASF
or RSF amount)

#

Values not relevant to the NSFR

NULL

Should not have an associated value

Level 1 HQLA

[Collateral Class] values of: A-0-Q, A-1-Q, A-2-Q, A-3-Q, A-4-Q, A-5-Q, S-1-Q,
S-2-Q, S-3-Q, S-4-Q, CB-1-Q, CB-2-Q

Level 2A HQLA

[Collateral Class] values of: G-1-Q, G-2-Q, G-3-Q, S-5-Q, S-6-Q, S-7-Q, CB-3-Q

Level 2B HQLA

[Collateral Class] values of: E-1-Q, E-2-Q, IG-1-Q, IG-2-Q

HQLA

[Collateral Class] values listed in Level 1, Level 2A and Level 2B HQLA above

Financial Sector Entity

[Counterparty] values of: Pension Fund, Bank, Broker-Dealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised Non-Bank
Financial Entity, Non-Regulated Fund

Non-Financial
Wholesale Entity

[Counterparty] values of: Non-Financial Corporate, Sovereign, Government
Sponsored Entity, Public Sector Entity, Multilateral Development Bank,
Other Supranational, Debt Issuing SPE, Other

NSFR Calculation
𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁 =

𝐴𝐴𝐴𝐴𝐴𝐴 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎

𝐴𝐴𝐴𝐴𝐴𝐴 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = � 𝐴𝐴𝐴𝐴𝐴𝐴 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑉𝑉𝑉𝑉𝑉𝑉𝑢𝑢𝑢𝑢𝑢𝑢𝑎𝑎 ∗ 𝐴𝐴𝐴𝐴𝐴𝐴 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑎𝑎

− 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑜𝑜𝑜𝑜 𝑛𝑛𝑛𝑛𝑛𝑛 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓 (§. 109)

Where “a” corresponds to each mapping table ID in the ASF Amount Values below
𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑁𝑁𝑁𝑁𝑁𝑁 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 + 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
1

Refer to LRM Standards as defined in the FR 2052a instructions.

1

𝑁𝑁𝑁𝑁𝑁𝑁 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = � 𝑅𝑅𝑅𝑅𝑅𝑅 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑟𝑟 ∗ 𝑅𝑅𝑅𝑅𝑅𝑅 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑟𝑟

Where “r” corresponds to each mapping table ID in the RSF Amount Values section below, excluding the
subsection “Calculation of NSFR derivatives amounts (§.107)”.
𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
= 𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜 ∗ 1 + 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑐𝑐ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 ∗ 0.05
+ (𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑡𝑡𝑡𝑡 𝐶𝐶𝐶𝐶𝐶𝐶 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑠𝑠ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎
+ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝) ∗ 0.85
+ 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑛𝑛𝑛𝑛𝑛𝑛 𝑅𝑅𝑅𝑅𝑅𝑅 𝑓𝑓𝑓𝑓𝑓𝑓 100% 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑓𝑓𝑓𝑓𝑓𝑓 𝐼𝐼𝐼𝐼 𝑎𝑎𝑎𝑎𝑎𝑎 𝐷𝐷𝐷𝐷𝐷𝐷 ∗ 0.15

𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝑀𝑀𝑀𝑀[0, (𝑖𝑖110 − 𝑖𝑖111 ) − (𝑖𝑖112 − 𝑖𝑖113 )]
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑐𝑐ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑖𝑖102 + 𝑖𝑖103

𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑡𝑡𝑡𝑡 𝐶𝐶𝐶𝐶𝐶𝐶 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑠𝑠ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 + 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝
= 𝑖𝑖104 + 𝑖𝑖105
109

𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑅𝑅𝑅𝑅𝑅𝑅 𝑓𝑓𝑓𝑓𝑓𝑓 100% 𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑓𝑓𝑓𝑓𝑟𝑟 𝐼𝐼𝐼𝐼 𝑎𝑎𝑎𝑎𝑎𝑎 𝐷𝐷𝐷𝐷𝐷𝐷 = � 𝑖𝑖𝑑𝑑
𝑑𝑑=106

Where “i” refers to a mapping table ID below corresponding to the specific subscript

Rules of construction (§.102)

To conform to the accounting balance sheet and accommodate the netting of certain transactions
permissible under §.102(b), the FR 2052a includes two products that should be used to adjust the gross
balances mapped to the ASF and RSF tables in this document.
• For securities financing transactions, negative [Maturity Amount] values should be reported
using product S.B.5: Counterparty Netting to reduce the ASF and RSF tables below
corresponding to secured funding and lending transactions where the criteria referenced in
§.102(b) are met.
• For all other components of the balance sheet, positive or negative [Market Value] or [Maturity
Amount] values should be reported using product S.B.6: Carrying Value Adjustment to increase
or decrease the cumulative values otherwise reported under FR 2052a products such that the
cumulative total including these adjustments aligns with the balance sheet carrying value.
Examples could include: adjustments to the [Market Value] of securities to align with the book
value (e.g., for positions booked as held-to-maturity); adjustments to reduce the [Maturity
Amount] of interest and dividend payable and receivable amounts to align with accrued interest
accounts represented on the balance sheet; and adjustments to the [Maturity Amount] of loans
that are accounted for at fair value.
In both cases, the additional fields in the S.B table structure should be used to appropriately map these
adjustments to each respective ASF and RSF element identified in the mapping tables below.

2

ASF Amount Values
NSFR regulatory capital elements and NSFR liabilities assigned a 100 percent ASF factor
(§.104(a))
Field
Reporting Entity
Collection Reference
PID
Product
Sub-Product
Product Reference
Sub-Product Reference
Collateral Class
Maturity Bucket
Effective Maturity Bucket
Encumbrance Type
Market Value
Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight
Internal
Internal Counterparty

(1) NSFR regulatory capital element (§.104(a)(1))
Value
NSFR Entity
#
S.B.1
Matches PID
#
#
#
#
#
#
#
#
*
#
#
#
#
#
#

(2) Subordinated debt qualifying as an NSFR regulatory capital element (§.104(a)(1))
Field
Value
Reporting Entity
NSFR Entity
PID
O.W.11, 12
Product
Matches PID
#
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Loss Absorbency
Capital
Business Line
#
3

(3) Wholesale debt instruments maturing in ≥ 1 year, excluding deposits and securities financing
transactions (§.104(a)(2))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

Value
NSFR Entity
O.W.1 – 13, 16, 17, 19
Matches PID
Not Retail or Small Business
#
*
≥ 1 Year
#
#
#
NULL
NULL
#
#
Not Capital
#

(4) Wholesale deposits maturing in ≥ 1 year (§.104(a)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.5, 6, 8, 10, 11, 13, 14, 15
Product
Matches PID
Not Retail or Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#

4

(5) Wholesale securities financing transactions maturing in ≥ 1 year (§.104(a)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
O.S.1, 2, 3, 5, 6, 11
Product
Matches PID
Not FRFF
Sub-Product
Not Retail or Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Treasury Control
#
Internal
#
Internal Counterparty
#
Settlement
#
Rehypothecated
#
Business Line
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Business Line

Field
Reporting Entity
Collection Reference
PID

(6) Wholesale interest payable in ≥ 1 year (§.104(a)(2))
Value
NSFR Entity
O.O.19
Matches PID
Not Retail or Small Business
#
*
≥ 1 Year
#
#
NULL
NULL
#
#
#
(7) Other liabilities maturing in ≥ 1 year (§.104(a)(2))
Value
NSFR Entity
#
S.B.2
5

Product
Sub-Product
Product Reference
Sub-Product Reference
Collateral Class
Maturity Bucket
Effective Maturity Bucket
Encumbrance Type
Market Value
Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight
Internal
Internal Counterparty

Matches PID
#
#
#
#
≥ 1 Year
#
#
#
*
#
Not Retail or Small Business
#
#
#
#

NSFR liabilities assigned a 95 percent ASF factor (§.104(b))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

Field
Reporting Entity
PID
Product
Counterparty

(8) Stable retail deposits, excluding sweeps (§.104(b)(1))
Value
NSFR Entity
O.D.1, 2
Matches PID
Retail, Small Business
#
*
#
#
#
#
FDIC
#
#
#
#
#

(9) Insured stable affiliated retail sweep deposits (§.104(b)(2))
Value
NSFR Entity
O.D.9
Matches PID
Retail, Small Business
6

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

#
*
#
#
#
#
FDIC
#
#
#
#
#

NSFR liabilities assigned a 90 percent ASF factor (§.104(c))
(10) Not FDIC insured transactional and non-relationship retail deposits, excluding sweeps and
brokered deposits (§.104(c)(1))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

Value
NSFR Entity
O.D.1, 2
Matches PID
Retail, Small Business
#
*
#
#
#
#
Not FDIC
#
#
#
#
#

(11) Non-relationship retail deposits, excluding sweeps and brokered deposits (§.104(c)(1))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.3, O.D.14
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
7

Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

#
#
#
#
#
#
#
#
#

(12) Insured reciprocal brokered deposits (§.104(c)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.13
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
FDIC
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#
(13) Not FDIC insured affiliated relationship sweep deposits (§.104(c)(3))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.9
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
Not FDIC
Trigger
#
Rehypothecated
#
8

Internal
Internal Counterparty
Business Line

#
#
#

(14) Less stable affiliated retail sweep deposits (§.104(c)(3))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.10
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#
(15) Non-reciprocal brokered deposits maturing in ≥ 1 year (§.104(c)(4))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.8
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#

9

NSFR liabilities assigned a 50 percent ASF factor (§.104(d))
(16) Unsecured wholesale non-deposit funding from non-financials maturing in < 1 year
(§.104(d)(1))
Field
Value
Reporting Entity
NSFR Entity
PID
O.W.9, 10, 17, 18, 19
Product
Matches PID
Non-Financial Wholesale Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 1 Year 2
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Loss Absorbency
#
Business Line
#
(17) Unsecured wholesale deposit funding from non-financials maturing in < 1 year
(§.104(d)(1))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.5, 6, 8, 10, 11, 13, 14, 15
Product
Matches PID
Non-Financial Wholesale Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 1 Year
Maturity Optionality
#
Collateral Class
NULL
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#

In general, a Maturity Bucket condition of “less than” a certain time horizon without an explicit lower bound
includes the “Open” maturity bucket unless stated otherwise (i.e., with the exclusion “but not Open”).

2

10

(18) Securities financing transactions with non-financials maturing in < 1 year (§.104(d)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
O.S.1, 2, 3, 5, 7, 11
Product
Matches PID
#
Sub-Product
Non-Financial Wholesale Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 1 Year
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Treasury Control
#
Internal
#
Internal Counterparty
#
Settlement
#
Rehypothecated
#
Business Line
#
(19) Collateralized deposits from non-financials maturing in < 1 year (§.104(d)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.5, 6, 8, 10, 11, 13, 14, 15
Product
Matches PID
Non-Financial Wholesale Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 1 Year
Maturity Optionality
#
Collateral Class
Not NULL
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#

11

(20) Unsecured wholesale non-deposit funding from financials and central banks maturing in ≥ 6
months, but < 1 year (§.104(d)(3))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

Value
NSFR Entity
O.W.9, 10, 17, 18, 19
Matches PID
Financial Sector Entity, Central Bank
#
*
≥ 6 Months, < 1 Year
#
#
#
NULL
NULL
#
#
#
#

(21) Unsecured wholesale deposit funding from financials and central banks maturing in ≥ 6 months,
but < 1 year (§.104(d)(3))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

Value
NSFR Entity
O.D.5, 6, 8, 10, 11, 13, 14, 15
Matches PID
Financial Sector Entity, Central Bank
#
*
≥ 6 Months, < 1 Year
#
NULL
#
#
#
#
#
#
#

12

(22) Securities financing transactions with financials and central banks maturing in ≥ 6 months,
but < 1 year (§.104(d)(4))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Treasury Control
Internal
Internal Counterparty
Settlement
Rehypothecated
Business Line

Value
NSFR Entity
O.S.1, 2, 3, 6, 11
Matches PID
Not FRFF
Financial Sector Entity, Central Bank
#
*
≥ 6 Months, < 1 Year
#
#
#
NULL
NULL
#
#
#
#
#
#

(23) Secured wholesale deposit funding from financials and central banks maturing in ≥ 6 months, but
< 1 year (§.104(d)(4))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

Value
NSFR Entity
O.D.5, 6, 8, 10, 11, 13, 14, 15
Matches PID
Financial Sector Entity, Central Bank
#
*
≥ 6 Months, < 1 Year
#
Not NULL
#
#
#
#
#
#
#

13

(24) Securities issued maturing in ≥ 6 months, but < 1 year (§.104(d)(5))
Field
Value
Reporting Entity
NSFR Entity
PID
O.W.1 – 8, 11 – 16
Product
Matches PID
#
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 6 Months, < 1 Year
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Loss Absorbency
#
Business Line
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

(25) Operational deposits (§.104(d)(6))
Value
NSFR Entity
O.D.4, 7
Matches PID
#
#
*
#
#
#
#
#
#
#
#
#
#

(26) Non-reciprocal brokered retail deposits in transactional accounts and non-reciprocal brokered
retail deposits maturing in ≥ 6 months, but < 1 year (§.104(d)(7))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.8
Product
Matches PID
14

Retail, Small Business
#
*
Open or ≥ 6 Months, < 1 Year
#
#
#
#
#
#
#
#
#

Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Insured
Trigger
Rehypothecated
Internal
Internal Counterparty
Business Line

(27) Non-affiliated retail sweep deposits (§.104(d)(8))
Value
NSFR Entity
O.D.11
Matches PID
Retail, Small Business
#
*
#
#
#
#
#
#
#
#
#
#

(28) Other unsecured funding from retail customers (§.104(d)(9))
Field
Value
Reporting Entity
NSFR Entity
PID
O.W.18, 19
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
15

Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

#
NULL
NULL
#
#
#
#

(29) Other secured funding from retail customers (§.104(d)(9))
Field
Value
Reporting Entity
NSFR Entity
PID
O.S.1, 2, 3, 7, 11
Product
Matches PID
#
Sub-Product
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Treasury Control
#
Internal
#
Internal Counterparty
#
Settlement
#
Rehypothecated
#
Business Line
#

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal

(30) Interest payable to retail customers (§.104(d)(9))
Value
NSFR Entity
O.O.19
Matches PID
Retail, Small Business
#
*
#
#
#
NULL
NULL
#
16

Internal Counterparty
Business Line

#
#

(31) Other liabilities to retail customers (§.104(d)(9))
Field
Value
Reporting Entity
NSFR Entity
Collection Reference
#
PID
S.B.2
Product
Matches PID
Sub-Product
#
Product Reference
#
#
Sub-Product Reference
Collateral Class
#
Maturity Bucket
#
Effective Maturity Bucket
#
Encumbrance Type
#
Market Value
#
Maturity Amount
*
Collateral Value
#
Counterparty
Retail, Small Business
G-SIB
#
Risk Weight
#
Internal
#
Internal Counterparty
#
(32) Interest payable to wholesale entities in ≥ 6 months, but < 1 year (§.104(d)(10))
Field
Value
Reporting Entity
NSFR Entity
PID
O.O.19
Product
Matches PID
Not Retail or Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 6 Months, < 1 Year
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Business Line
#

17

(33) Other liabilities to wholesale entities maturing in ≥ 6 months, but < 1 year (§.104(d)(10))
Field
Value
Reporting Entity
NSFR Entity
Collection Reference
#
PID
S.B.2
Product
Matches PID
Sub-Product
#
Product Reference
#
#
Sub-Product Reference
Collateral Class
#
Maturity Bucket
≥ 6 Months, < 1 Year
Effective Maturity Bucket
#
Encumbrance Type
#
Market Value
#
Maturity Amount
*
Collateral Value
#
Counterparty
Not Retail or Small Business
G-SIB
#
Risk Weight
#
Internal
#
Internal Counterparty
#

NSFR liabilities assigned a zero percent ASF factor (§.104(e))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type
Internal Counterparty

(34) Trade date payables (§.104(e)(1))
Value
NSFR Entity
I.A.5
Matches PID
#
#
#
#
*
#
#
#
#
#
#
#

18

(35) Non-reciprocal brokered retail deposits maturing in < 6 months (§.104(e)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.8
Product
Matches PID
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months, but not Open
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#
(36) Securities issued maturing in < 6 months (§.104(e)(3))
Field
Value
Reporting Entity
NSFR Entity
PID
O.W.1 – 8, 11 – 16
Product
Matches PID
#
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Loss Absorbency
#
Business Line
#
(37) Unsecured wholesale non-deposit funding from financials and central banks maturing in
< 6 months (§.104(e)(4))
Field
Value
Reporting Entity
NSFR Entity
PID
O.W.9, 10, 17, 18, 19
Product
Matches PID
19

Financial Sector Entity, Central Bank
#
*
< 6 Months
#
#
#
NULL
NULL
#
#
#
#

Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Loss Absorbency
Business Line

(38) Unsecured wholesale deposit funding from financials and central banks maturing in
< 6 months (§.104(e)(4))
Field
Value
Reporting Entity
NSFR Entity
PID
O.D.5, 6, 8, 10, 11, 13, 14, 15
Product
Matches PID
Financial Sector Entity, Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Insured
#
Trigger
#
Rehypothecated
#
Internal
#
Internal Counterparty
#
Business Line
#
(39) Securities financing transactions with financials and central banks maturing in
< 6 months (§.104(e)(4))
Field
Value
Reporting Entity
NSFR Entity
PID
O.S.1, 2, 3, 6, 7, 11
Product
Matches PID
Not FRFF
Sub-Product
Financial Sector Entity, Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
20

Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Treasury Control
Internal
Internal Counterparty
Settlement
Rehypothecated
Business Line

< 6 Months
#
#
#
NULL
NULL
#
#
#
#
#
#

(40) Interest payable to financials and central banks in < 6 months (§.104(e)(4))
Field
Value
Reporting Entity
NSFR Entity
PID
O.O.19
Product
Matches PID
Financial Sector Entity, Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Business Line
#
(41) Other liabilities to financials and central banks maturing in < 6 months (§.104(e)(4))
Field
Value
Reporting Entity
NSFR Entity
Collection Reference
#
PID
S.B.2
Product
Matches PID
Sub-Product
#
Product Reference
#
#
Sub-Product Reference
Collateral Class
#
Maturity Bucket
< 6 Months
Effective Maturity Bucket
#
Encumbrance Type
#
Market Value
#
21

Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight
Internal
Internal Counterparty

Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Treasury Control
Internal
Internal Counterparty
Settlement
Rehypothecated
Business Line

*
#
Financial Sector Entity, Central Bank
#
#
#
#
(42) Firm short positions (§.104(e)(5))
Value
NSFR Entity
O.S.8
Matches PID
Not Unsettled (Forward)
#
#
*
< 6 Months
#
#
#
NULL
NULL
#
#
#
#
#
#

(43) Interest payable to non-financial wholesale entities in < 6 months (§.104(e)(5))
Field
Value
Reporting Entity
NSFR Entity
PID
O.O.19
Product
Matches PID
Non-Financial Wholesale Entity or NULL
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
22

Internal Counterparty
Business Line

#
#

(44) Other liabilities maturing in < 6 months (§.104(e)(5))
Field
Value
Reporting Entity
NSFR Entity
Collection Reference
#
PID
S.B.2
Product
Matches PID
Sub-Product
#
Product Reference
#
#
Sub-Product Reference
Collateral Class
#
Maturity Bucket
< 6 Months
Effective Maturity Bucket
#
Encumbrance Type
#
Market Value
#
Maturity Amount
*
Collateral Value
#
Counterparty
Non-Financial Wholesale Entity or NULL
G-SIB
#
Risk Weight
#
Internal
#
Internal Counterparty
#

RSF Amount Values
Unencumbered assets assigned a zero percent RSF factor (§.106(a)(1))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
Accounting Designation
Effective Maturity Bucket

(45) Currency and coin (§.106(a)(1)(i))
Value
NSFR Entity
I.A.3, 4
Matches PID
Currency and Coin
*
#
#
#
#
A-0-Q
#
#
#
23

Encumbrance Type
Internal Counterparty

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

#
#
(46) Cash items in process (§.106(a)(1)(ii))
Value
NSFR Entity
I.U.7
Matches PID
#
#
*
#
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
NULL
NULL
#
#
#
#

(47) Central bank reserve balances (§.106(a)(1)(iii) & (iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.3, 4
Product
Matches PID
Sub-Product
Not Currency and Coin
Market Value
*
Lendable Value
#
Maturity Bucket
< 6 Months
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
A-0-Q
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
#
Encumbrance Type
#
Internal Counterparty
#

24

(48) Central bank debt securities maturing in < 6 months (§.106(a)(1)(iii) & (iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 3, 4, 5, 7
Product
Matches PID
Sub-Product
For I.A.3 and 4, Not Currency and Coin
Market Value
*
Lendable Value
#
Maturity Bucket
< 6 Months
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
CB-1-Q, CB-2-Q, CB-3-Q, CB-1, CB-2, CB-3, CB-4
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty

#

(49) Unsecured lending to central banks maturing in < 6 months (§.106(a)(1)(iii) & (iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1 – 6, 8
Product
Matches PID
Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Maturity Optionality
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#

25

(50) Secured lending to central banks maturing in < 6 months
(§.106(a)(1)(iii) & (iv))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.1, 2, 3, 5 – 8
Matches PID
#
Central Bank
#
*
< 6 Months
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
#
#
#

(51) Interest receivable from central banks in < 6 months (§.106(a)(1)(iii) & (iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.O.6
Product
Matches PID
Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#
26

(52) Level 1 HQLA central bank securities (§.106(a)(1)(iii) & (iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 3, 4, 5, 7
Product
Matches PID
Sub-Product
For I.A.3 and 4, Not Currency and Coin
Market Value
*
Lendable Value
#
Maturity Bucket
≥ 6 Months
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
CB-1-Q, CB-2-Q
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty

#

(53) Trade date receivables that are expected to settle (§.106(a)(1)(v))
Field
Value
Reporting Entity
NSFR Entity
PID
O.S.8
Product
Matches PID
Unsettled (Regular Way)
Sub-Product
#
Counterparty
G-SIB
#
Maturity Amount
#
Maturity Bucket
#
Maturity Optionality
#
Collateral Class
#
Collateral Value
#
Forward Start Amount
*
Forward Start Bucket
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Settlement
#
Rehypothecated
#
Business Line
#

27

(54) Other level 1 HQLA securities (§.106(a)(1)(vi))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 5, 7
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
#
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
A-1-Q, A-2-Q, A-3-Q, A-4-Q, A-5-Q, S-1-Q, S-2-Q, S3-Q, S-4-Q
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty

#

(55) Lending to financials secured by rehypothecatable level 1 HQLA
(§.106(a)(1)(vii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.1, 2, 3, 5, 6
Product
Matches PID
Sub-Product
#
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Maturity Optionality
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight

NULL
NULL
Level 1 HQLA
#
#
#
#
#
#
28

Business Line
Settlement

#
#

Unencumbered assets and commitments assigned a 5 percent RSF factor (§.106(a)(2))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Collateral Class
Collateral Value
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Business Line

(56) Undrawn commitments (§.106(a)(2))
Value
NSFR Entity
O.O.4, 5, 6
Matches PID
#
#
*
< 1 Year
#
#
NULL
NULL
#
#
#

Unencumbered assets assigned a 15 percent RSF factor (§.106(a)(3))
(57) Level 2A HQLA central bank securities (§.106(a)(3)(i))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 3, 4, 5, 7
Product
Matches PID
Sub-Product
For I.A.3 and 4, Not Currency and Coin
Market Value
*
Lendable Value
#
Maturity Bucket
≥ 6 Months
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
CB-3-Q
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty
#

29

Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class

(58) Other level 2A HQLA securities (§.106(a)(3)(i))
Value
NSFR Entity
I.A.1, 2, 5, 7
Matches PID
#
*
#
#
#
#
Level 2A HQLA, but Not CB-3-Q

Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type

#
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
#

Internal Counterparty

(59) Lending to financials secured by rehypothecatable non-level 1 HQLA collateral
maturing in < 6 months (§.106(a)(3)(ii))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.1, 2, 3, 5, 6
Matches PID
#
Financial Sector Entity
#
*
< 6 Months
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight

NULL
NULL
Not Level 1 HQLA
#
#
#
#
#
#
30

Business Line
Settlement

#
#

(60) Other secured lending to financials maturing in < 6 months (§.106(a)(3)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.7, 8
Product
Matches PID
Sub-Product
#
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Maturity Optionality
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
#
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
(61) Unsecured lending to financials maturing in < 6 months (§.106(a)(3)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 4, 5, 6, 8
Product
Matches PID
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 6 Months
Maturity Optionality
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
31

Internal
Internal Counterparty
Risk Weight
Business Line

#
#
#
#

Unencumbered assets assigned a 50 percent RSF factor (§.106(a)(4))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class

(62) Level 2B HQLA securities (§.106(a)(4)(i))
Value
NSFR Entity
I.A.1, 2, 5, 7
Matches PID
#
*
#
#
#
#
Level 2B HQLA

Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type

#
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Internal Counterparty

#

(63) Secured lending to financials and central banks, maturing in
≥ 6 months, but < 1 year (§.106(a)(4)(ii))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.1, 2, 3, 5, 6, 7, 8
Matches PID
#
Financial Sector Entity, Central Bank
#
*
≥ 6 Months, < 1 Year
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount

NULL
32

Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
#
#
#
#
#
#
#
#
#

(64) Unsecured lending to financials and central banks, maturing in
≥ 6 months, but < 1 year (§.106(a)(4)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 4, 5, 6, 8
Product
Matches PID
Financial Sector Entity, Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 6 Months, < 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket

NULL
NULL
#
#
#
#
(65) Operational deposits placed (§.106(a)(4)(iii))
Value
NSFR Entity
I.U.3
Matches PID
Financial Sector Entity
#
*
#
#
< 6 Months or NULL
33

Encumbrance Type

Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
NULL
NULL
#
#
#
#

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

(66) Secured lending to non-financials maturing in < 1 year (§.106(a)(4)(iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.1, 2, 3, 5, 6, 7, 8
Product
Matches PID
Sub-Product
#
Retail, Small Business, Non-Financial Wholesale
Counterparty
Entity
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

#
*
< 1 Year
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
#
#
#

(67) Unsecured lending to non-financials maturing in < 1 year (§.106(a)(4)(iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 5, 6
Product
Matches PID
Retail, Small Business, Non-Financial Wholesale
Counterparty
Entity
34

G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

#
*
< 1 Year
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

NULL
NULL
#
#
#
#

(68) Interest receivable from central banks in ≥ 6 months, but < 1 year (§.106(a)(4)(iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.O.6
Product
Matches PID
Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 6 Months, < 1 Year
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#
(69) Non-HQLA central bank debt securities maturing in ≥ 6 months, but < 1 year
(§.106(a)(4)(iv))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket

Value
NSFR Entity
I.A.1, 2, 3, 4, 5, 7
Matches PID
For I.A.3 and 4, Not Currency and Coin
*
#
≥ 6 Months, < 1 Year
#
#
35

Collateral Class
Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type

CB-1, CB-2, CB-3, CB-4
#
#
< 6 Months or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Internal Counterparty

#

(70) Other unencumbered non-HQLA securities maturing in < 1 year (§.106(a)(4)(iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 5, 7
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
< 1 Year
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, G-1, G-2, G-3,
S-5, S-6, S-7, IG-1, IG-2, S-8, G-4, E-5, E-6, E-7, E-8,
E-9, E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1,
N-2, N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 6 Months or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty
#
(71) Other interest receivable in < 1 year (§.106(a)(4)(iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.O.6
Product
Matches PID
Not Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
< 1 Year
Collateral Class
#
Collateral Value
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Treasury Control
#
36

Internal
Internal Counterparty
Business Line

#
#
#

Unencumbered assets assigned a 65 percent RSF factor (§.106(a)(5))
(72) Retail mortgages with ≤ 50% risk weight maturing in ≥ 1 year (§.106(a)(5)(i))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.8
Product
Matches PID
Sub-Product
#
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
P-1
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
≤ 0.5
Business Line
#
Settlement
#
(73) Other secured retail loans with ≤ 20% risk weight maturing in ≥ 1 year (§.106(a)(5)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.8
Product
Matches PID
Sub-Product
#
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
37

Encumbrance Type

Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
Not P-1
#
#
#
#
#
≤ 0.2
#
#

(74) Secured non-financial wholesale and central bank loans with ≤ 20% risk weight maturing in
≥ 1 year (§.106(a)(5)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.8
Product
Matches PID
Sub-Product
#
Non-Financial Wholesale Entity, Central Bank
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
≤ 0.2
#
#

38

(75) Securities financing transactions assigned ≤ 20% risk weight provided to non-financial customers
and maturing in ≥ 1 year (§.106(a)(5)(ii))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.1, 2, 3, 5, 6, 7
Matches PID
#
Not Financial Sector Entity
#
*
≥ 1 Year
#
< 1 Year or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
≤ 0.2
#
#

(76) Unsecured loans assigned ≤ 20% risk weight provided to non-financial customers and
maturing in ≥ 1 year (§.106(a)(5)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 5, 6
Product
Matches PID
Not Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Internal

NULL
NULL
#
39

Internal Counterparty
Risk Weight
Business Line

#
≤ 0.2
#

Unencumbered assets assigned an 85 percent RSF factor (§.106(a)(6))
(77) Retail mortgages with > 50% risk weight maturing in ≥ 1 year (§.106(a)(6)(i))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.8
Product
Matches PID
Sub-Product
#
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
P-1
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
> 0.5
Business Line
#
Settlement
#
(78) Other secured retail loans with > 20% risk weight maturing in ≥ 1 year (§.106(a)(6)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.8
Product
Matches PID
Sub-Product
#
Retail, Small Business
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
40

Encumbrance Type

Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
NULL
NULL
Not P-1
#
#
#
#
#
> 0.2
#
#

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

(79) Secured non-financial wholesale and central bank loans with > 20% risk weight maturing in
≥ 1 year (§.106(a)(6)(ii))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.8
Matches PID
#
Non-Financial Wholesale Entity, Central Bank
#
*
≥ 1 Year
#
< 1 Year or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
> 0.2
#
#

41

(80) Securities financing transactions assigned > 20% risk weight provided to non-financial customers
and maturing in ≥ 1 year (§.106(a)(6)(ii))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.1, 2, 3, 5, 6, 7
Matches PID
#
Not Financial Sector Entity
#
*
≥ 1 Year
#
< 1 Year or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
> 0.2
#
#

(81) Unsecured loans assigned > 20% risk weight provided to non-financial customers and
maturing in ≥ 1 year (§.106(a)(6)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 5, 6
Product
Matches PID
Not Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Internal

NULL
NULL
#
42

Internal Counterparty
Risk Weight
Business Line

#
> 0.2
#

(82) Non-HQLA common equity shares (§.106(a)(6)(iii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 5, 7
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
#
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
E-1, E-2, E-3, E-4
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty

#

(83) Other non-HQLA securities maturing in ≥ 1 year (§.106(a)(6)(iv))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 3, 4, 5, 7
Product
Matches PID
Sub-Product
For I.A.3 and 4, Not Currency and Coin
Market Value
*
Lendable Value
#
Maturity Bucket
≥ 1 Year
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, CB-1, CB-2,
G-1, G-2, G-3, S-5, S-6, S-7, CB-3, IG-1, IG-2, S-8,
CB-4, G-4, E-5, E-6, E-7, E-8, E-9, E-10, IG-3, IG-4,
IG-5, IG-6, IG-7, IG-8, N-1, N-2, N-3, N-4, N-5, N-6,
N-7, N-8, Y-1, Y-2, Y-3, Y-4
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
43

Internal Counterparty

Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type

#
(84) Commodities (§.106(a)(6)(v))
Value
NSFR Entity
I.A.1, 2, 5, 7
Matches PID
#
*
#
#
#
#
C-1
#
#
< 1 Year or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Internal Counterparty

#

Unencumbered assets assigned a 100 percent RSF factor (§.106(a)(7))
(85) Secured lending to financial sector entities maturing in ≥ 1 year (§.106(a)(7))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.1, 2, 3, 5, 6, 7, 8
Product
Matches PID
Sub-Product
#
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
#
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
44

Internal Counterparty
Risk Weight
Business Line
Settlement

#
#
#
#

(86) Unsecured lending to financial sector entities maturing in ≥ 1 year (§.106(a)(7))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 4, 5, 6, 8
Product
Matches PID
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

NULL
NULL
#
#
#
#

(87) Physical property and other assets (§.106(a)(7))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 5, 7
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
#
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
P-1, P-2, Z-1
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
< 1 Year or NULL
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty
#
45

(88) Other assets (§.106(a)(7))
Value
NSFR Entity
#
S.B.4
Matches PID
#
#
#
#
#
< 1 Year or NULL
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Field
Reporting Entity
Collection Reference
PID
Product
Sub-Product
Product Reference
Sub-Product Reference
Collateral Class
Maturity Bucket
Effective Maturity Bucket
Encumbrance Type
Market Value
Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight
Internal
Internal Counterparty

#
*
#
#
#
#
#
#

Nonperforming assets (§.106(b))
Field
Reporting Entity
Collection Reference
PID
Product
Sub-Product
Product Reference
Sub-Product Reference
Collateral Class
Maturity Bucket
Effective Maturity Bucket
Encumbrance Type
Market Value
Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight

(89) Nonperforming assets (§.106(b))
Value
NSFR Entity
#
S.B.3
Matches PID
#
#
#
#
#
#
#
#
*
#
#
#
#
46

Internal
Internal Counterparty

#
#

Encumbered assets with six months or more, but less than one year, remaining in the
encumbrance period (§.106(c)(1)(ii)) 3
(90) HQLA encumbered for ≥ 6 Months, but < 1 Year (§.106(c)(1)(ii) & §.106(d)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.7
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
#
Forward Start Amount
#
Forward Start Bucket
#
Collateral Class
HQLA
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
≥ 6 Months, < 1 Year
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Internal Counterparty

#

(91) Non-HQLA central bank securities maturing in < 1 Year, encumbered for ≥ 6 Months, but < 1 Year
(§.106(c)(1)(ii) & §.106(d)(2))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class
Treasury Control
Accounting Designation

Value
NSFR Entity
I.A.7
Matches PID
#
*
#
< 1 Year
NULL
NULL
CB-1, CB-2, CB-3, CB-4
#
#

The tables in this section include only assets with an RSF of 50 percent or less, and thus are assigned an
equivalent or higher RSF based on the remaining encumbrance period (see: §.106(c)(1)(ii)(A)). Assets with an RSF
higher than 50 percent are included in the tables for unencumbered assets (see: §.106(c)(1)(ii)(B))

3

47

Effective Maturity Bucket
Encumbrance Type

≥ 6 Months, < 1 Year
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Internal Counterparty

#

(92) Cash items in process encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.7
Product
Matches PID
#
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Effective Maturity Bucket
≥ 6 Months, < 1 Year
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
(93) Unsecured lending maturing in < 1 year, encumbered for ≥ 6 months, but < 1 year
(§.106(c)(1)(ii))
Field
Reporting Entity
PID
Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.U.1, 2, 4, 5, 6, 8
Matches PID
#
#
*
< 1 Year
#
≥ 6 Months, < 1 Year
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
NULL
NULL
#
#

Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
48

Risk Weight
Business Line

#
#

(94) Operational deposits placed, encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.3
Product
Matches PID
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Effective Maturity Bucket
≥ 6 Months, < 1 Year
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
(95) Secured lending maturing in < 1 year, encumbered for ≥ 6 months, but < 1 year
(§.106(c)(1)(ii) & §.106(d)(1))
Field
Reporting Entity
PID
Product
Sub-Product
Counterparty
G-SIB
Maturity Amount
Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

Value
NSFR Entity
I.S.1, 2, 3, 5 – 8
Matches PID
#
#
#
*
< 1 Year
#
≥ 6 Months, < 1 Year
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
NULL
NULL
#
#
#

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
49

Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

#
#
#
#
#
#

(96) Non-HQLA securities maturing in < 1 year, encumbered for ≥ 6 months, but < 1 year
(§.106(c)(1)(ii) & §.106(d)(2))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket
Forward Start Amount
Forward Start Bucket
Collateral Class

Value
NSFR Entity
I.A.7
Matches PID
#
*
#
< 1 Year
NULL
NULL
A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, G-1, G-2, G-3,
S-5, S-6, S-7, IG-1, IG-2, S-8, G-4, E-5, E-6, E-7, E-8,
E-9, E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1,
N-2, N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3
#
#
≥ 6 Months, < 1 Year
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type
Internal Counterparty

#

Encumbered assets with one year or more remaining in the encumbrance period
(§.106(c)(1)(iii))
(97) HQLA, non-HQLA and other assets, excluding loans, encumbered for ≥ 1 year
(§.106(c)(1)(iii), §.106(d)(2))
Field
Reporting Entity
PID
Product
Sub-Product
Market Value
Lendable Value
Maturity Bucket

Value
NSFR Entity
I.A.7
Matches PID
#
*
#
#
50

Forward Start Amount
Forward Start Bucket
Collateral Class

#
#
HQLA, A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, CB-1,
CB-2, G-1, G-2, G-3, S-5, S-6, S-7, CB-3, E-1, E-2,
IG-1, IG-2, S-8, CB-4, E-3, E-4, E-5, E-6, E-7, E-8, E-9,
E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1, N-2,
N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3, C-1, P-1,
P-2, Z-1
#
#
≥ 1 Year
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Treasury Control
Accounting Designation
Effective Maturity Bucket
Encumbrance Type
Internal Counterparty

#

(98) Unsecured loans and other cash items encumbered for ≥ 1 year (§.106(c)(1)(iii))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1 – 8
Product
Matches PID
#
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
#
Maturity Optionality
#
Effective Maturity Bucket
≥ 1 Year
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Forward Start Amount
Forward Start Bucket
Internal
Internal Counterparty
Risk Weight
Business Line

NULL
NULL
#
#
#
#

(99) Secured lending transactions encumbered for ≥ 1 year (§.106(c)(1)(iii) & §.106(d)(1))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.1, 2, 3, 5 – 8
Product
Matches PID
Sub-Product
#
#
Counterparty
G-SIB
#
Maturity Amount
*
51

Maturity Bucket
Maturity Optionality
Effective Maturity Bucket
Encumbrance Type

#
#
≥ 1 Year
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding

Forward Start Amount
Forward Start Bucket
Collateral Class
Collateral Value
Unencumbered
Treasury Control
Internal
Internal Counterparty
Risk Weight
Business Line
Settlement

NULL
NULL
#
#
#
#
#
#
#
#
#

(100) Other assets encumbered for ≥ 1 year (§.106(c)(1)(iii))
Field
Value
Reporting Entity
NSFR Entity
Collection Reference
#
PID
S.B.4
Product
Matches PID
Sub-Product
#
#
Product Reference
#
Sub-Product Reference
Collateral Class
#
Maturity Bucket
#
Effective Maturity Bucket
≥ 1 Year
Encumbrance Type
Not Derivative VM, Derivative IM and DFC or
Covered Federal Reserve Facility Funding
Market Value
Maturity Amount
Collateral Value
Counterparty
G-SIB
Risk Weight
Internal
Internal Counterparty

#
*
#
#
#
#
#
#

(101) Additional RSF associated with off-balance sheet rehypothecated assets (§.106(d)(3))
Field
Value
Reporting Entity
NSFR Entity
PID
S.L.9
52

Product
Collateral Class
Market Value
Internal
Internal Counterparty

Matches PID
#
*
#
#

Calculation of NSFR derivatives amounts (§.107)
Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2

(102) Gross NSFR derivative liability amount (§.107(b)(5))
Value
NSFR Entity
S.DC.2
Matches PID
#
Not OTC – Centralized (Agent) or Exchange-traded
(Agent)

Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control
Internal
Internal Counterparty
Business Line

Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2

*
#
#
#
#
#
#
#
#
#
#
#

(103) Gross settlement payments delivered (§.107(b)(5))
Value
NSFR Entity
S.DC.3
Matches PID
#
Not OTC – Centralized (Agent) or Exchange-traded
(Agent)

Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket

*
#
#
#
#
#
53

Encumbrance Type
Netting Eligible
Treasury Control
Internal
Internal Counterparty
Business Line

#
#
#
#
#
#

(104) Central counterparty mutualized loss sharing arrangements (§.107(b)(6))
Field
Value
Reporting Entity
NSFR Entity
PID
S.DC.11
Product
Matches PID
Sub-Product
#
Sub-Product2
#
Market Value
*
Collateral Class
#
Collateral Level
#
Counterparty
#
G-SIB
#
Effective Maturity Bucket
#
Encumbrance Type
#
Netting Eligible
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Business Line
#

Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2
Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control

(105) Initial margin provided (§.107(b)(7))
Value
NSFR Entity
S.DC.5, 6
Matches PID
#
Not OTC – Centralized (Agent) or Exchange-traded
(Agent)
*
#
#
#
#
#
#
#
#
54

Internal
Internal Counterparty
Business Line

#
#
#

(106) Additional RSF for IM and DFC pledged – secured lending (§.107(b)(6) & (7))
Field
Value
Reporting Entity
NSFR Entity
PID
I.S.1, 2, 3, 5, 6, 7, 8
Product
Matches PID
Sub-Product
#
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
#
Encumbrance Type
Derivative IM and DFC
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
#
Collateral Value
#
Unencumbered
#
Treasury Control
#
Internal
#
Internal Counterparty
#
Risk Weight
#
Business Line
#
Settlement
#
(107) Additional RSF for IM and DFC pledged – unsecured lending (§.107(b)(6) & (7))
Field
Value
Reporting Entity
NSFR Entity
PID
I.U.1, 2, 4, 5, 6, 8
Product
Matches PID
Financial Sector Entity
Counterparty
G-SIB
#
Maturity Amount
*
Maturity Bucket
≥ 1 Year
Maturity Optionality
#
Effective Maturity Bucket
#
Encumbrance Type
Derivative IM and DFC
Forward Start Amount
NULL
Forward Start Bucket
NULL
Internal
#
55

Internal Counterparty
Risk Weight
Business Line

#
#
#

(108) Additional RSF for IM and DFC pledged – physical and other (§.107(b)(6) & (7))
Field
Value
Reporting Entity
NSFR Entity
PID
I.A.1, 2, 5, 7
Product
Matches PID
Sub-Product
#
Market Value
*
Lendable Value
#
Maturity Bucket
#
Forward Start Amount
NULL
Forward Start Bucket
NULL
Collateral Class
P-1, P-2, Z-1
Treasury Control
#
Accounting Designation
#
Effective Maturity Bucket
#
Encumbrance Type
Derivative IM and DFC
Internal Counterparty

#

(109) Additional RSF for IM and DFC pledged – other assets (§.107(b)(6) & (7))
Field
Value
Reporting Entity
NSFR Entity
Collection Reference
#
PID
S.B.4
Product
Matches PID
Sub-Product
#
#
Product Reference
#
Sub-Product Reference
Collateral Class
#
Maturity Bucket
#
Effective Maturity Bucket
#
Encumbrance Type
Derivative IM and DFC
Market Value
#
Maturity Amount
*
Collateral Value
#
Counterparty
#
G-SIB
#
Risk Weight
#
Internal
#
Internal Counterparty
#
56

Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2

(110) Gross NSFR derivative asset amount (§.107(f)(1))
Value
NSFR Entity
S.DC.1
Matches PID
#
Not OTC – Centralized (Agent) or Exchange-traded
(Agent)

Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control
Internal
Internal Counterparty
Business Line

*
#
#
#
#
#
#
#
#
#
#
#

(111) Variation margin received eligible for netting (§.107(f)(1)(i))
Field
Value
Reporting Entity
NSFR Entity
PID
S.DC.10
Product
Matches PID
Sub-Product
Rehypothecatable – Unencumbered,
Rehypothecatable – Encumbered,
Non-Segregated Cash
Sub-Product2

Not OTC – Centralized (Agent) or Exchange-traded
(Agent)

Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control

*
Level 1 HQLA
Not Overcollateralized 4
#
#
#
#
Y
#

“Overcollateralized” should designate only the portion of variation margin received that exceeds the current
asset value of a netting set.

4

57

Internal
Internal Counterparty
Business Line

Field
Reporting Entity
PID
Product
Sub-Product
Sub-Product2

#
#
#
(112) NSFR derivative liability amount (§.107(f)(2))
Value
NSFR Entity
S.DC.2
Matches PID
#
Not OTC – Centralized (Agent) or Exchange-traded
(Agent)

Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible
Treasury Control
Internal
Internal Counterparty
Business Line

*
#
#
#
#
#
#
#
#
#
#
#

(113) Variation margin provided, excluding overcollateralized portion (§.107(f)(2))
Field
Value
Reporting Entity
NSFR Entity
PID
S.DC.8 and 9
Product
Matches PID
Sub-Product
#
Sub-Product2
Not OTC – Centralized (Agent) or Exchange-traded
(Agent)
Market Value
Collateral Class
Collateral Level
Counterparty
G-SIB
Effective Maturity Bucket
Encumbrance Type
Netting Eligible

*
#
Not Overcollateralized 5
#
#
#
#
#

Overcollateralized should designate only the portion of variation margin pledged that exceeds the current liability
value of a netting set.

5

58

Treasury Control
Internal
Internal Counterparty
Business Line

#
#
#
#

Rules for consolidation (§.109)
(114) Deduction of non-transferrable excess subsidiary stable funding (§.109)
Field
Value
Reporting Entity
NSFR Entity
PID
S.L.7
Product
Matches PID
Collateral Class
#
Market Value
*
Internal
#
Internal Counterparty
#

59