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pdfFR 2052a Instructions
GENERAL INSTRUCTIONS
DRAFT
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 ........................................................................................................ 11
Rules of Consolidation ........................................................................................................................ 11
Frequency and Timing of Data Submission ......................................................................................... 12
What Must Be Reported ..................................................................................................................... 15
Field Definitions .......................................................................................................................................... 16
Reporting entity .................................................................................................................................. 16
Currency .............................................................................................................................................. 16
Converted ............................................................................................................................................ 17
Product ................................................................................................................................................ 17
Sub‐Product ........................................................................................................................................ 17
Counterparty ....................................................................................................................................... 17
Collateral Class .................................................................................................................................... 23
Collateral Value ................................................................................................................................... 23
Maturity Bucket .................................................................................................................................. 23
Effective Maturity Bucket ................................................................................................................... 25
Maturity Amount ................................................................................................................................ 26
Forward Start Bucket .......................................................................................................................... 27
Forward Start Amount ........................................................................................................................ 27
Internal ................................................................................................................................................ 27
Internal Counterparty ......................................................................................................................... 27
Treasury Control ................................................................................................................................. 27
Market Value ....................................................................................................................................... 28
FR 2052a Instructions
Lendable Value .................................................................................................................................... 28
Business Line ....................................................................................................................................... 28
Settlement .......................................................................................................................................... 29
Rehypothecated .................................................................................................................................. 29
Unencumbered ................................................................................................................................... 29
Insured ................................................................................................................................................ 30
Trigger ................................................................................................................................................. 30
Risk Weight ......................................................................................................................................... 31
Collection Reference ........................................................................................................................... 31
Product Reference .............................................................................................................................. 32
Sub‐Product Reference ....................................................................................................................... 32
Netting Eligible .................................................................................................................................... 32
Encumbrance Type .............................................................................................................................. 32
Collateral Level .................................................................................................................................... 33
Accounting Designation ...................................................................................................................... 34
Loss Absorbency .................................................................................................................................. 34
G‐SIB .................................................................................................................................................... 35
Maturity Optionality ........................................................................................................................... 35
Product Definitions ..................................................................................................................................... 37
I.A: Inflows‐Assets ....................................................................................................................................... 37
I.A.1: Unencumbered Assets ............................................................................................................... 37
I.A.2: Capacity ..................................................................................................................................... 37
I.A.3: Unrestricted Reserve Balances .................................................................................................. 38
I.A.4: Restricted Reserve Balances ...................................................................................................... 39
I.A.5: Unsettled Asset Purchases ........................................................................................................ 40
I.A.6: Forward Asset Purchases ........................................................................................................... 40
I.A.7: Encumbered Assets ................................................................................................................... 40
I.U: Inflows‐Unsecured ............................................................................................................................... 40
I.U.1: Onshore Placements ................................................................................................................. 42
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I.U.2: Offshore Placements ................................................................................................................. 42
I.U.3: Required Operational Balances ................................................................................................. 42
I.U.4: Excess Operational Balances ..................................................................................................... 42
I.U.5: Outstanding Draws on Unsecured Revolving Facilities ............................................................. 42
I.U.6: Other Loans ............................................................................................................................... 42
I.U.7: Cash Items in the Process of Collection .................................................................................... 43
I.U.8: Short‐Term Investments ............................................................................................................ 43
I.S: Inflows‐Secured ..................................................................................................................................... 43
I.S.1: Reverse Repo.............................................................................................................................. 44
I.S.2: Securities Borrowing .................................................................................................................. 44
I.S.3: Dollar Rolls ................................................................................................................................. 45
I.S.4: Collateral Swaps ......................................................................................................................... 45
I.S.5: Margin Loans .............................................................................................................................. 45
I.S.6: Other Secured Loans ‐ Rehypothecatable ................................................................................. 46
I.S.7: Outstanding Draws on Secured Revolving Facilities .................................................................. 46
I.S.8: Other Secured Loans ‐ Non‐Rehypothecatable ......................................................................... 46
I.S.9: Synthetic Customer Longs .......................................................................................................... 46
I.S.10: Synthetic Firm Sourcing ........................................................................................................... 47
I.O: Inflows‐Other ....................................................................................................................................... 47
I.O.1: Derivative Receivables .............................................................................................................. 48
I.O.2: Collateral Called for Receipt ...................................................................................................... 48
I.O.3: TBA Sales ................................................................................................................................... 48
I.O.4: Undrawn Committed Facilities Purchased ................................................................................ 48
I.O.5: Lock‐up Balance ......................................................................................................................... 48
I.O.6: Interest and Dividends Receivable ............................................................................................ 49
I.O.7: Net 30‐Day Derivative Receivables ........................................................................................... 49
I.O.8: Principal Payments Receivable on Unencumbered Investment Securities ............................... 49
I.O.9: Other Cash Inflows .................................................................................................................... 50
O.W: Outflows‐Wholesale .......................................................................................................................... 50
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O.W.1: Asset‐Backed Commercial Paper (ABCP) Single‐Seller ........................................................... 52
O.W.2: Asset‐Backed Commercial Paper (ABCP) Multi‐Seller ............................................................ 52
O.W.3: Collateralized Commercial Paper ............................................................................................ 52
O.W.4: Asset‐Backed Securities (ABS) ................................................................................................ 52
O.W.5: Covered Bonds ........................................................................................................................ 52
O.W.6: Tender Option Bonds .............................................................................................................. 52
O.W.7: Other Asset‐Backed Financing ................................................................................................ 52
O.W.8: Commercial Paper ................................................................................................................... 53
O.W.9: Onshore Borrowing ................................................................................................................. 53
O.W.10: Offshore Borrowing .............................................................................................................. 53
O.W.11: Unstructured Long Term Debt .............................................................................................. 54
O.W.12: Structured Long Term Debt .................................................................................................. 54
O.W.13: Government Supported Debt ............................................................................................... 54
O.W.14: Unsecured Notes .................................................................................................................. 54
O.W.15: Structured Notes ................................................................................................................... 55
O.W.16: Wholesale CDs ...................................................................................................................... 55
O.W.17: Draws on Committed Lines ................................................................................................... 55
O.W.18: Free Credits ........................................................................................................................... 55
O.W.19: Other Unsecured Financing .................................................................................................. 55
O.S: Outflows‐Secured ................................................................................................................................ 55
O.S.1: Repo .......................................................................................................................................... 56
O.S.2: Securities Lending ..................................................................................................................... 56
O.S.3: Dollar Rolls ................................................................................................................................ 56
O.S.4: Collateral Swaps ....................................................................................................................... 57
O.S.5: FHLB Advances ......................................................................................................................... 57
O.S.6: Exceptional Central Bank Operations ....................................................................................... 57
O.S.7: Customer Shorts ....................................................................................................................... 58
O.S.8: Firm Shorts ............................................................................................................................... 59
O.S.9: Synthetic Customer Shorts ....................................................................................................... 61
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O.S.10: Synthetic Firm Financing ........................................................................................................ 62
O.S.11: Other Secured Financing Transactions ................................................................................... 62
O.D: Outflows‐Deposits .............................................................................................................................. 62
O.D.1: Transactional Accounts ............................................................................................................ 64
O.D.2: Non‐Transactional Relationship Accounts ............................................................................... 65
O.D.3: Non‐Transactional Non‐Relationship Accounts ....................................................................... 65
O.D.4: Operational Account Balances ................................................................................................. 65
O.D.5: Excess Balances in Operational Accounts ................................................................................ 65
O.D.6: Non‐Operational Account Balances ......................................................................................... 66
O.D.7: Operational Escrow Accounts .................................................................................................. 66
O.D.8: Non‐Reciprocal Brokered Accounts ......................................................................................... 66
O.D.9: Stable Affiliated Sweep Account Balances ............................................................................... 66
O.D.10: Less Stable Affiliated Sweep Account Balances ..................................................................... 67
O.D.11: Non‐Affiliated Sweep Accounts ............................................................................................. 67
O.D.12: Other Product Sweep Accounts ............................................................................................. 67
O.D.13: Reciprocal Accounts ............................................................................................................... 67
O.D.14: Other Third‐Party Deposits .................................................................................................... 68
O.D.15: Other Accounts ...................................................................................................................... 68
O.O: Outflows‐Other ................................................................................................................................... 68
O.O.1: Derivative Payables .................................................................................................................. 68
O.O.2: Collateral Called for Delivery ................................................................................................... 69
O.O.3: TBA Purchases.......................................................................................................................... 69
O.O.4: Credit Facilities ........................................................................................................................ 69
O.O.5: Liquidity Facilities .................................................................................................................... 70
O.O.6: Retail Mortgage Commitments ............................................................................................... 71
O.O.7: Trade Finance Instruments ...................................................................................................... 71
O.O.8: MTM Impact on Derivative Positions .............................................................................. 717172
O.O.9: Loss of Rehypothecation Rights Due to a 1 Notch Downgrade ............................................... 72
O.O.10: Loss of Rehypothecation Rights Due to a 2 Notch Downgrade ............................................. 72
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O.O.11: Loss of Rehypothecation Rights Due to a 3 Notch Downgrade ............................................. 72
O.O.12: Loss of Rehypothecation Rights Due to a Change in Financial Condition ............................. 72
O.O.13: Total Collateral Required Due to a 1 Notch Downgrade ....................................................... 72
O.O.14: Total Collateral Required Due to a 2 Notch Downgrade ....................................................... 72
O.O.15: Total Collateral Required Due to a 3 Notch Downgrade ....................................................... 73
O.O.16: Total Collateral Required Due to a Change in Financial Condition ........................................ 73
O.O.17: Excess Margin ........................................................................................................................ 73
O.O.18: Unfunded Term Margin ......................................................................................................... 73
O.O.19: Interest & Dividends Payable ................................................................................................ 73
O.O.20: Net 30‐Day Derivative Payables ............................................................................................ 74
O.O.21: Other Outflows Related to Structured Transactions ............................................................. 74
O.O.22: Other Cash Outflows.............................................................................................................. 74
S.DC: Supplemental‐Derivatives & Collateral ............................................................................................. 74
S.DC.1: Gross Derivative Asset Values ................................................................................................ 76
S.DC.2: Gross Derivative Liability Values ............................................................................................. 76
S.DC.3: Derivative Settlement Payments Delivered ........................................................................... 76
S.DC.4: Derivative Settlement Payments Received ............................................................................ 76
S.DC.5: Initial Margin Posted ‐ House ................................................................................................. 77
S.DC.6: Initial Margin Posted ‐ Customer ............................................................................................ 77
S.DC.7: Initial Margin Received ........................................................................................................... 77
S.DC.8: Variation Margin Posted ‐ House ........................................................................................... 77
S.DC.9: Variation Margin Posted ‐ Customer ...................................................................................... 77
S.DC.10: Variation Margin Received ................................................................................................... 78
S.DC.11: Derivative CCP Default Fund Contribution ........................................................................... 78
S.DC.12: Other CCP Pledges and Contributions .................................................................................. 78
S.DC.13: Collateral Disputes Deliverables ........................................................................................... 78
S.DC.14: Collateral Disputes Receivables ............................................................................................ 78
S.DC.15: Sleeper Collateral Deliverables ............................................................................................. 79
S.DC.16: Required Collateral Deliverables .......................................................................................... 79
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S.DC.17: Sleeper Collateral Receivables .............................................................................................. 79
S.DC.18: Derivative Collateral Substitution Risk ................................................................................. 79
S.DC.19: Derivative Collateral Substitution Capacity .......................................................................... 79
S.DC.20: Other Collateral Substitution Risk ........................................................................................ 80
S.DC.21: Other Collateral Substitution Capacity ................................................................................. 80
S.L: Supplemental‐Liquidity Risk Measurement (LRM) ............................................................................... 81
S.L.1: Subsidiary Liquidity That Cannot Be Transferred ...................................................................... 81
S.L.2: Subsidiary Liquidity Available for Transfer ................................................................................ 81
S.L.3: Unencumbered Asset Hedges – Early Termination Outflows ................................................... 82
S.L.4: Non‐Structured Debt Maturing in Greater than 30‐days – Primary Market Maker ................. 82
S.L.5: Structured Debt Maturing in Greater than 30‐days – Primary Market Maker ......................... 82
S.L.6: Liquidity Coverage Ratio ............................................................................................................ 82
S.L.7: Subsidiary Funding That Cannot Be Transferred ....................................................................... 82
S.L.8: Subsidiary Funding Available for Transfer ................................................................................. 83
S.L.9: Additional Funding Requirement for Off‐Balance Sheet Rehypothecated Assets .................... 83
S.L.10: Net Stable Funding Ratio ......................................................................................................... 83
S.B: Supplemental‐Balance Sheet ............................................................................................................... 83
S.B.1: Regulatory Capital Element ...................................................................................................... 84
S.B.2: Other Liabilities ......................................................................................................................... 84
S.B.3: Non‐Performing Assets ............................................................................................................. 84
S.B.4: Other Assets .............................................................................................................................. 84
S.B.5: Counterparty Netting ................................................................................................................ 84
S.B.6: Carrying Value Adjustment ....................................................................................................... 84
S.I: Supplemental‐Informational ................................................................................................................. 85
S.I.1: Long Market Value Client Assets ................................................................................................ 85
S.I.2: Short Market Value Client Assets ............................................................................................... 85
S.I.3: Gross Client Wires Received ...................................................................................................... 85
S.I.4: Gross Client Wires Paid .............................................................................................................. 85
S.I. ....................................................................................................................................................... 85
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5: FRB 23A Capacity ............................................................................................................................ 86
S.I.6: Subsidiary Liquidity Not Transferrable ....................................................................................... 87
S.FX: Supplemental‐Foreign Exchange ........................................................................................................ 87
S.FX.1: Spot ......................................................................................................................................... 90
S.FX.2: Forwards and Futures ............................................................................................................. 90
S.FX.3: Swaps ...................................................................................................................................... 90
Appendix I: FR 2052a Data Format, Tables, and Fields ............................................................................... 92
Appendix II‐a: FR 2052a Product/Sub‐Product Requirements ................................................................. 101
Appendix II‐b: FR 2052a Counterparty Requirements .............................................................................. 103
Appendix II‐c: FR 2052a Collateral Class Requirements ........................................................................... 106
Appendix II‐d: FR 2052a Forward Start Exclusions ................................................................................... 110
Appendix III: FR 2052a Asset Category Table ............................................................................................ 113
Appendix IV‐a: FR 2052a Maturity Bucket Value List ............................................................................... 116
Appendix IV‐b: FR 2052a Maturity Bucket Tailoring ................................................................................. 117
Appendix V: FR 2052a Double Counting of Certain Exposures ................................................................. 118
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FR 2052a Instructions
General Instructions
Purpose
The FR 2052a report collects data elements that will enable the Federal Reserve to assess the
liquidity profile of reporting firms. FR 2052a data will be shared with the Office of the
Comptroller of the Currency (OCC) and the Federal Deposit Insurance Corporation (FDIC) and
will assist the agencies in monitoring compliance with the Liquidity Coverage Ratio (LCR) Rule
for applicable banking organizations.).
Confidentiality
The data collected on the FR 2052a report receives confidential treatment. Information for
which confidential treatment is provided may subsequently be released in accordance with the
terms of 12 CFR 261.16 or as otherwise provided by law. Information that has been shared
with the OCC or the FDIC may be released in accordance with the terms of 12 CFR 260.20(g).
LCR Rule
Liquidity Risk Measurement (LRM) Standards
For purposes of these instructions, the LCR Rule meansLRM 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.
Undefined Terms
Any undefined term used herein has the meaning set forth in the LCR Rule.
Categories of Banking Organizations
Categories of banking organizations are identified pursuant to 12 CFR 252.5 and 12 CFR 238.10.
A global systemically important bank holding company is identified as such pursuant to 12 CFR
217.402.
Average weighted short‐‐term wholesale funding is defined atin 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:
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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
Regulation LL, organized under the laws of the United States and excludes any savings and loan
holding company that is a subsidiary of an FBO.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 Foreign Banking Organizations (FBOs)::
For the purposes of the FR 2052a report, foreign banking organization (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 shouldbased 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 U.S.United States. For FBOs that own U.S.
entities subject to the LCR RuleLRM Standards, material entities include at least those entities
subject to the LCR RuleLRM Standards. Consult your supervisory teams to determine other
material entities that should also be reported.
Material Entity:
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A material entity is each consolidated bank, branch or non‐‐bank entity that is a material
contributor to thea firm’s funding and liquidity operations, based on factors including size,
complexity, business activities, and overall risk profile.
Scope of the Consolidated Entity
For purposes of reporting the consolidated entity, the firm should consolidate its subsidiaries
on the same basis as U.S. Generally Accepted Accounting Principles (GAAP).
Any material conduits or special purpose entities (SPEs) that are not consolidated under GAAP
should be discussed with the supervisory team to ensure that the liquidity risk of those entities
is properly addressed.
Rules of Consolidation
For purposes of this report, the consolidated entity will report all offices (e.g., branches,
subsidiaries, affiliates, variable interest entities (VIEs), and international banking facilities (IBFs))
that are within the scope of the consolidated firm as described above., 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 specified1, 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
1
Generally the “Parent Company” will be requested as a separate reporting entity and should be reported on a
stand‐‐alone basis, including only due‐‐to and due‐‐from exposures with subsidiaries and direct 3rd party
exposures.
2
For example, assets that are owned outright at a subsidiary of the reporting entity, but have been pledged to
secure a repo with another subsidiary of the reporting entity, should still be reported as unencumbered under
product I.A.1: Unencumbered Assets for the consolidated reporting entity. However, if the subsidiary entities are
also designated reporting entities, the position should be considered as encumbered at the subsidiary that owns
the assets outright, and reported under product I.S.1: Reverse Repo with the [Unencumbered] flag set to “Yes” at
the subsidiary that has received the assets as collateral in connection with the internal secured transaction.
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FR 2052a Instructions
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 and havewith
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 as (i) Category III banking organizations and have average
weighted short‐term wholesale funding of less than $75 billion, or (ii) Category IV banking
organizationsabove must submit a report monthly.
For FBOs:
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 as (i) Category III foreign banking organizations with average weighted short‐
term wholesale funding of less than $75 billion, or (ii) Category IV banking organizationsnot
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
IVI, II or III banking organizations and FBOs that are Category IVII or III foreign banking
organizations must submit data by day T+10. Allon or before T+2 business days. Unless
otherwise stated, all other U.S. firms and FBOs must submit data by day T+2.on or before T+10
calendar days.
Holidays
For U.S. bank holidays3 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
3
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
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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 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.
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Submission Summary
Frequency4
Reporter Description
U.S. firms that are identified as (i) Global
systemically important bank holding companies;
(ii) Category II banking organizations; or (iii)
Category III banking organizations and havewith
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.
U.S. firms identified as Category III banking
organizations and havewith 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 that are identified as Category IV
banking organizations.
FBOs identified as Category IV foreign banking
organizations.
Timing of
Submission
Each Business Day
T+2
5
Monthly
T+2
Monthly6
T+10
4
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.
5
Consistent with current supervisory authority and processes, during periods of stress the Federal Reserve may
temporarily requestrequire 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 requestrequire 2052a liquidity data on a more frequent basis.
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FR 2052a Instructions
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, but do not otherwise meet the
definition of inflows or outflows.including derivatives and collateral exposures, foreign
exchange positions, informational data elements, and elements necessary to calculate
and monitor a reporting firm’s LRM Standards.
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Field Definitions
Reporting entity
Report in this field the relevant entity name. The list of reportable entities is specific to each
reporting firm (see Who Must Report). Coordinate entity naming conventions with the
supervisory team.
For products or exposures that span multiple reporting entities, allocate balances to
each reporting entity in a manner consistent with internal risk management and
reporting practices. For example, consolidated exposures, such as unfunded
commitments to multinational entities, that are not normally attributed to a specific
reporting entity may be allocated pro‐‐rata to multiple reporting entities, provided that
the allocation better represents the reporting firm’s contingent funding profile and is
consistent with internal risk management practices. Discuss with the supervisory team
as necessary.
Currency
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 and havewith
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 and havewith average weighted short‐term wholesale funding of less
than $75 billion; and FBOs that are identified as Category IV foreign banking organizations may
report all assets, liabilities, and other informational data elements in USD millions.
For all other firms, each numerical field (e.g., [Market Value], [Maturity Amount], etc.) has an
associated currency attribute, which should be used to identify the currency denomination of
all assets, liabilities, and other informational data elements. All currency‐‐denominated values
should be reported in millions (e.g., U.S. dollar‐‐denominated transactions in USD millions,
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FR 2052a Instructions
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.
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 Inflows‐Secured, Inflows‐
Unsecured, Outflows‐Secured, Outflows‐Deposits, Outflows‐WholesaleInflow‐Assets,
Supplemental‐Informational, and Outflows‐OtherComment tables.8 The definitions for these
types should be applied consistently across all tables where applicable, except 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
casedefinitions of athe Debt Issuing SPE, which is treated differently in the Outflows‐Other
table for certain products and Bank counterparty types.
7
U.S. Dollar (USD); Euro (EUR); Australian Dollar (AUD); Canadian Dollar (CAD); Swiss Franc (CHF); Pound Sterling
(GBP); Japanese Yen (JPY).
8
This listing does not include “Municipalities for VRDNs”, which is applicable only to O.O.5: Liquidity Facilities and
is defined in that section.
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Retail
Refers to a counterparty who is a natural person. Retail includes a living or testamentary
trust that is solely for the benefit of natural persons, does not have a corporate trustee,
and terminates within 21 years and 10 months after the death of grantors or
beneficiaries of the trust living on the effective date of the trust or within 25 years, if
applicable under state law. Retail does not include other legal entities, sole
proprietorships, or partnerships. Other legal entities, proprietorships and partnerships
should be reported, as appropriate, in one of the sub‐‐products as defined below.
Small Business
Refers to entities managed as retail exposures that exhibit the same liquidity risk
characteristics as retail customers. The total aggregate funding raised from these
entities should not exceed $1.5 million from the perspective of the consolidated
reporting entity. Under circumstances where small business entities are affiliated, the
$1.5 million threshold should be assessed against the aggregate funding or lending
exposures of the affiliated group.
Non‐‐Financial Corporate
Refers to commercial entities that are not owned by central governments, local governments or
local authorities with revenue‐‐raising powers, and that are non‐ ‐financial in nature (i.e., do not
meet the definition of Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial
Market Utility, Other Supervised Non‐‐Bank Financial Entity, or Other Financial EntityNon‐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
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explicitly guaranteed by the full faith and credit of the United States government.
Public Sector Entity (PSE)
Refers to a state, local authority, or other governmental subdivision below the sovereign
level.
Multilateral Development Bank (MDB)
Refers to the International Bank for Reconstruction and Development, the Multilateral
Investment Guarantee Agency, the International Finance Corporation, the Inter‐‐
American Development Bank, the Asian Development Bank, the African Development
Bank, the European Bank for Reconstruction and Development, the European
Investment Bank, the European Investment Fund, the Nordic Investment Bank, the
Caribbean Development Bank, the Islamic Development Bank, the Council of Europe
Development Bank, and any other entity that provides financing for national or regional
development in which the U.S. government is a shareholder or contributing member or
which the appropriate Federal banking agency determines poses comparable risk.
Other Supranational
International or regional organizations or subordinate or affiliated agencies
thereof, created by treaty or convention between sovereign states that are not
multilateral development banks, including the International Monetary Fund, the Bank
for International Settlements, and the United Nations.
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
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Refers to a depository institution; bank holding company or savings and loan holding
company; foreign bank; credit union; industrial loan company, industrial bank, or other
similar institution described in section 2 of the Bank Holding Company Act of 1956, as
amended (12 U.S.C. 1841 et seq.); national bank, state member bank, or state non‐‐
member bank that is not a depository institution. This term does not include non‐‐bank
financial entities that have an affiliated banking entity, bridge financial companies as
definedexcept for exposures reported 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).
Supervised Non‐Bank Financial Entity
(1) A company that the Financial Stability Oversight Council has determinedOutflows‐
Other table 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 Systemproducts O.O.4:
Credit Facilities and for which such determination is still in effect;
(2)
AO.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).provided that
the top‐tier depository institution holding company is subject to a minimum liquidity standard
under 12 CFR part 249;
(3) An insurance company;
(4)
ABroker‐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); or 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 supervised
and regulated in a manner similar to these entities.
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AInvestment 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.).
(5)
Financial Market Utility
Refers to a designated financial market utility, as defined in section 803 of the Dodd‐‐
Frank 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.
(6) An investment advisor, registered with the SEC as an investment advisor under the
Investment Advisers Act of 1940 (15 U.S.C. 80b‐1 et seq.); and
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
(7)(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 (63) of this definition (e.g., a non‐bank subsidiary of a foreign
banking organization, foreign insurance company, foreign securities broker or dealer or
foreign financial market utility).etc.).
(8)(5) A supervised non‐‐bank financial entity does not include:
(i)a.
U.S. government‐‐sponsored enterprises;
(ii) Small business investment companies, as defined in section 102 of the Small
Business Investment Act of 1958 (15 U.S.C. 661 et seq.);
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FR 2052a Instructions
(iii)b.
Entities designated as Community Development Financial Institutions
(CDFIs) under 12 U.S.C. 4701 et seq. and 12 CFR part 1805; or
(iv)c.
Central banks, the Bank for International Settlements, the International
Monetary Fund, or multilateral development banks.
Debt Issuing Special Purpose Entity (SPE
)
Refers to an SPE9 that issues or has issued commercial paper or securities (other than equity
securities issued to a company of which the SPE is a consolidated subsidiary) to finance its
purchases or operations. This counterparty type should only be used to identify stand‐‐alone
SPEs that issue debt and are not consolidated on an affiliated entity’s balance sheet for
purposes of financial reporting, except for exposures reported in the Outflows‐‐Other table
under products O.O.4: Credit Facilities and O.O.5: Liquidity Facilities. All debt issuing SPEs should
be identified as Debt Issuing SPEs for products O.O.4 and O.O.5, regardless of whether they are
consolidated by an affiliate for financial reporting.
Other Financial Entity
Refers to a person or company registered with the SEC under the Investment Company
Act of 1940 (15 U.S.C. 80a‐1 et seq.) orNon‐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
9
An SPE refers to a company organized for a specific purpose, the activities of which are significantly limited to
those appropriate to accomplish a specific purpose, and the structure of which is intended to isolate the credit risk
of the SPE.
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FR 2052a Instructions
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 derived for the reportingspecified under subpart D of
Basel III risk‐based capital.Regulation Q (12 CFR part 217).
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 non‐maturity transactions and balances (e.g., retailthat do not have a contractual
maturity, but could be contractually realized on demand (e.g., demand deposits) as “Open”.
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FR 2052a Instructions
•
•
Outflows with embedded options that are exercisable at the investor’s discretion should
be reported at the earliest date the funds can be withdrawn by the investor.
InflowsReport 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.
For transactions and balances with embedded options that are exercisable at the
borrower’s discretion should be reported at the latest date the funds can be paid by the
borrower (internal and/or external).
Outflows with embedded options that are exercisable at the optionality that are
executed between affiliated reporting entity’s discretion should be reported at the
earliest date the funds can be paid by the entities, where neither reporting entity.
However, if the reporting entity has a call option on an outflow instrument described in
section 31(a)(1)(iii) of the LCR Rule, then the original maturity can be used to determine
the proper maturity bucket.
Inflows with embedded options that are exercisable at the reporting entity’s discretion
should be reported at is subject to the latest dateLRM Standards on a standalone basis,
report the funds can be received by the reporting entity.
o For outflows with embedded options, if the option is subject to a contractually defined
notice period, the reporting entity must determinematurity according to the earliest
possible contractual maturity date regardless of the notice period. For inflows with
embedded options, if the option is subject to a contractually defined notice period, the
reporting entity must determine the latest possible contractual maturity date based on
the borrower using the entire notice perioddate 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
arrives. Do not report the record with a [Maturity Bucket] value of “Open” until the
forward starting leg actually settles.
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• 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, Inflows‐
Secured table., 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. With respect to a transaction reported in the
Inflows‐Secured table, to the extent the transaction is secured by collateral that has
been pledged in connection with either a secured funding to secure another transaction
or collateral swap exchange, the effective maturity date is the later, in accordance with
section 106(d)(2) of the statedLRM Standards, the effective maturity date of the secured
lendingon‐balance 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, or the maturity date of the secured funding transaction or
collateral swap 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
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FR 2052a Instructions
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).
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
O.D fields:
Reporting
Entity
Currency Converted PID
Product
SID
Sub‐Product
Maturity Maturity Collateral Collateral
Amount Bucket
Class
Value
Insured
Trigger Rehyp'd Internal
Sample 1:
BANK
USD
No
4
Operational
3
Non‐financial corporate
1,000
Open
FDIC
N
N
Sample 2:
BANK
USD
No
5
Non‐operational
3
Non‐financial corporate
500
Open
Uninsured
N
N
Sample 3:
BANK
USD
No
5
Non‐operational
3
Non‐financial corporate
750
Day 5
Uninsured
N
N
Internal
Counterparty
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Forward Start Bucket
This field is only relevant for data elements with a forward‐‐starting leg (i.e., the trade settles at
a future date). Report the appropriate maturity bucket for the forward‐‐starting settlement
date of each applicable data element, based on the maturity buckets provided in Appendix IV.
See the Supplemental‐‐Foreign Exchange table guidance in the product definitions section for
further instruction on how to report forward‐‐starting foreign exchange transactions.
Forward Start Amount
This field is only relevant for data elements with a forward‐‐starting leg. In conjunction with the
forward start bucket, report the notional amount due to be paid or received on the opening
trade settlement date of forward starting transactions. See the Supplemental‐‐Foreign
Exchange table guidance in the product definitions section for further instruction on how to
report forward‐‐starting foreign exchange transactions.
Internal
This field is only relevant for data elements reporting transactions between FR 2052a reporting
entities and designated internal counterparties (i.e., affiliated transactions). Flag all data
elements representing these transactions with a “Yes” in this field. Affiliated transactions are
defined as all transactions between the reporting entity and any other entity external to the
reporting entity that falls under the “Scope of the Consolidated Entity” as defined in these
instructions (e.g., branches, subsidiaries, affiliates, VIEs, and IBFs).
Internal Counterparty
This field is only relevant for data elements reporting affiliated transactions. Report the internal
counterparty for affiliated transactions referenced above in this field.
Treasury Control
This field is only applicable to the Inflows‐Assets, Inflows‐Secured, Inflows‐Other, Outflows‐
Secured and Inflows‐Other tables (however, the concept is also implicated for certain
Supplemental Information products).‐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 LCR RuleLRM Standards other than the requirement to be unencumbered,
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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 Items tables.
Report the fair value under GAAP for each applicable data element.
ReportIn 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.
Prime Brokerage
Business Line
This field is applicable to all tables except the Secured, Unsecured, Other, Wholesale,
Informational Items,Supplemental‐LRM and Foreign Exchange tables. Comments tables. U.S.
firms that are identified as Category I banking organizations are required to report this field.
Use this field to flag (“Yes”) all data elements that relate specifically todesignate the prime
brokerage or prime services business line responsible for or associated with all applicable
exposures. Coordinate with the supervisory team to determine the appropriate representative
values for this field.
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Prime brokerage refers to a package of services offered by an entity whereby the entity,
among other services, executes, clears, settles, and finances transactions entered into
by the customer or a third‐party entity on behalf of the customer (such as an executing
broker), and where the entity has a right to use or rehypothecate assets provided by the
customer, including in connection with the extension of margin and other similar
financing of the customer.
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 TRIPARTYFICC: 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 OTHEROther: 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 BILATERALBilateral: secured financing transactions settled bilaterally (excludes
transactions that are initiated bilaterally, but subsequently cleared (e.g., FICC delivery‐
vs‐payment transactions)
Products in the foreign exchange table should be classified using the following flags:
o CLS: FX transactions centrally cleared via CLS
o OTHEROther: FX transactions settled via other (non‐‐CLS) central clearinghouses
o BILATERALBilateral: 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
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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 non‐ ‐US
local‐‐jurisdiction government deposit insurance.
Trigger
This field is only applicable to the Outflows‐‐Deposits table. Use this field to flag (“Yes”)
deposit accounts that include a provision requiring the deposit to be segregated or
withdrawn in the event of a specific change or “trigger”, such as a change in a reporting
entity’s credit rating.
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Risk Weight
This field is only applicable to the Inflows‐Unsecured, Inflows‐Secured and Supplemental‐
Balance Sheet tables.
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 are not required to report on this field.
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.
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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
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
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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.4 through 6) 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
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
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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 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 are not required to report on this field.
Use this field to identify the extent to which instruments reported in the Outflows‐
Wholesale 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:
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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.
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.
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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
I.A.1: Unencumbered Assets
Refers to assets that are purchasedowned outright that are (i) free of legal, regulatory,
contractual, or other restrictions on the ability of the reporting entity to monetize the assets;
and (ii) not pledged, explicitly or implicitly, to secure or to provide credit enhancement to any
transaction. Exclude all unencumbered assets that are pledged to a central bank or a U.S.
government‐ ‐sponsored enterprise that meet the specifications of, and should be reported
under, product I.A.2: Capacity. Exclude transactions involving the purchase of securities that
have been executed, but not yet settled as those transactions should be reported in lines I.A.5:
Unsettled Asset Purchases or I.A.6: Forward Asset Purchases, depending on the timing of
settlement. If unencumbered assets have associated hedges (e.g., interest rate hedges), report
the amounts payable by or receivable to the reporting institution if the hedge were to be
terminated by close of business on the as‐of date (T) in lines S.I.21: Unencumbered Asset
Hedges – Early Termination Outflows or S.I.22: Unencumbered Asset Hedges – Early
Termination Inflows, respectively. Any amounts due to the reporting institution with respect to
theAny 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 held
as available‐for‐sale or for trading purposes,and leases even though these loans and leases
must also be reported under the appropriate Inflows‐‐Unsecured 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
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should be reported net of any advances that have already been drawn upon or other forms of
encumbrance (e.g., FHLB LOCs). The [Market Value] field should indicate the market value of
collateral pledged, while the [Lendable Value] field should indicate the residual capacity
available to draw against this collateral. For the purpose of reporting available capacity and
encumbrance, under circumstances where draws are not assessed against specific individual
assets, but rather the entire pool of collateral generally, assume that the lowest quality assets
are encumbered first followed by higher quality assets (quality in terms of high‐‐quality liquid
asset categories under the LCR RuleLRM Standards). Include unencumbered loans, even though
these loans must also be reported under the appropriate Inflows‐‐Unsecured and Inflows‐
Secured products.
Use the [Sub‐‐Product] field to identify the specific source of the capacity according to the
following choices:
FRB (Federal Reserve Bank)
SNB (Swiss National Bank)
BOE (Bank of England)
ECB (European Central Bank)
BOJ (Bank of Japan)
RBA (Reserve Bank of Australia)
BOC (Bank of Canada)
OCB (Other Central Bank)
FHLB (FHLB System)
Other GSE
I.A.3: Unrestricted Reserve Balances
Refers to reserve bank balances maintained at a Federal Reserve Bank, less the reserve balance
requirement as defined in section 204.5(a)(1) of Regulation D (12 CFR 204.5(a)(1)), foreign
withdrawable reserves maintained at other central banks, and Federal Reserve term deposits
that are not held to satisfy reserve requirements.
Reserve Bank balances has the meaning set forth in the LCR Rule.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 LCR RuleLRM Standards.
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Use the [Sub‐‐Product] field to further identify the specific central bank account according to
the following choices, or “other cashCurrency 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)
Other CashCurrency and Coin10
I.A.4: Restricted Reserve Balances
Refers to balances held at central banks that are not immediately withdrawable and currency
and banknotes, including the reserve balances and term deposits that are held to satisfy
reserve requirements.
Use the [Sub‐‐Product] field to further identify the specific central bank account according to
the following choices, or “other cashCurrency 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)
Other Cash
Currency and Coin8
The sub‐product "Other Cash" should capture any cash items, such as vault cash in the US, which
qualify to offset the reporting entity's reserve requirement, but are not reflected in the reporting
entity's account balance at the relevant central bank. Report U.S. and foreign currency and coin owned and
10
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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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
[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 and interest 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
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overdrafts as well as instruments classified as loans based on GAAP in this section. Exclude assets
that secure Covered Federal Reserve Facility Funding.
For all products, use the [Counterparty] field to further identify the type of borrower as one of
the following:
Retail
Small Business
Small Business
Non‐‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
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
Other Financial Entity
Non‐Regulated Fund
Other
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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 NostroOperational 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 NostroOperational Balances
Refers to balances placed at other financial counterparties in excess of what is necessary to
maintain ongoing operational activities.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 NostroOperational Balances.
I.U.5: Outstanding Draws on Unsecured Revolving Facilities
Refers to the existing loan arising from the drawn portion of aany 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. See:
http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html for definition.
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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 and interest payments to be received.
Exclude non‐performing 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). Exclude assets that secure Covered
Federal Reserve Facility Funding.
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).
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For all products, use the [Counterparty] field to further identify the type of borrower as one of
the following:
Retail
Small Business
Small Business
Non‐‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
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 Financial Entity
Other
The following is a list of products to be reported in the Inflows‐‐Secured table:
I.S.1: Reverse Repo
Refers to all reverse repurchase agreements (including under Master Repurchase Agreement or
Global Master Repurchase Agreements).
I.S.2: Securities Borrowing
Refers to all securities borrowing transactions (including under Master Securities Loan
Agreements).
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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 inception12 of the transaction, or a non‐‐cash asset is
borrowed and no collateral is posted (i.e., an unsecured borrowing of collateral), and the assets
will be returned at a future date.
For collateral swaps where there is an exchange of non‐‐cash assets, split the collateral swap
into two separate borrowing and lending transactions and report in both the Inflows‐‐Secured
and Outflows‐‐Secured tables. I.S.4 should reflect the borrowing leg of the transaction. Report
the [Collateral Class] according to the assets received. Report the fair value under GAAP of the
assets received in the [Collateral Value] field. Report the fair value under GAAP of the assets
pledged in the [Maturity Amount] field. Use the [Sub‐‐Product] field to identify the type of
collateral pledged based on the asset categories defined in the LCR RuleLRM 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.
12
Collateral swap transactions that are remargined with cash payments should continue to be reported under this
product.
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I.S.6: Other Secured Loans (‐ Rehypothecatable)
Refers to all other secured lending that does not otherwise meet the definitions of the Inflows‐ ‐Secured
products listed above 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.
I.S.8: Other Secured Loans (‐ Non‐‐Rehypothecatable)
Refers to all other secured lending that does not otherwise meet the definitions of the Inflows‐
‐Secured products listed above, for which the collateral received is not contractually
rehypothecatable. 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
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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.
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
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I.O.1: DerivativesDerivative Receivables
Refers to the maturing incoming cash flows related to uncollateralized derivatives (e.g.,
interest rate, equity, commodity, and option premiums). Report contractually known
receivables for fixed and floating rate payables. If a floating rate has not been set, report the
undiscounted anticipated cash flow by maturity. Do not include brokerage commission fees,
exchange fees, or cash flows from unexercised in‐‐the‐‐money options. Netting receivables and
payables by counterparty and maturity date is allowed if a valid netting agreement is in place,
allowing for the net settlement of contractual flows. Do not include receivables related to the
exchange of principal amounts for foreign exchange transactions, as these should be reported
in the Supplemental‐‐Foreign Exchange table under products S.FX.1 through S.FX.3.
I.O.2: Collateral Called for Receipt
Refers to the fair value under GAAP of collateral due to the reporting entity as of date T (the
collateral flow). This product does not represent the entire stock of collateral held, which should
be reported in S.I.2: Initial Margin Received or S.I.4: Variation Margin Received.. Collateral calls should
be related to outstanding collateralized contracts which include but are not limited to
derivative transactions with bilateral counterparties, central counterparties, or exchanges. Use
the Maturity Bucket field to identify the expected settlement date. For collateral calls with
same‐‐day settlement (i.e., the collateral is both called and received on date T), report using the
“Open” value in the Maturity Bucket field. If the settlement date or [Maturity Bucket] is
unknown, then exclude the transaction from the data collection. If the [Currency] or [Collateral
Class] is unknown then default to [Currency] =”USD” and [Collateral Class] = “Z‐1” (i.e., the
asset category for “all other assets”).
I.O.3: TBA Sales
Refers to all sales of TBA contracts for market making or liquidity providing. Do not include TBA
sales which are part of a Dollar Roll, as defined under products I.S.3 or O.S.3.
I.O.4: Undrawn Committed Facilities Purchased
Refers to legally binding agreements that provide the reporting entity with the ability to draw
funds at a future date. Report only facilities that are committed, as defined in the LCR Rule.LRM
Standards.
I.O.5: Lock‐‐up Balance
Refers to inflows related to broker‐‐dealer segregated accounts, as set forth in the LCR RuleLRM
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
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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, except for amortizing products for which the principal and
interest amounts cannot be readily separated.. Do not include receivables related to unsecured
derivative transactions, which should be reported under product I.O.1: Derivatives Receivables
and included in the calculation of I.O.7: Net 30‐‐day Derivative Receivables. Do not include
interest receivable on loans, which should be aggregated and reported under the appropriate I.U or I.S
product. Use the [Treasury Control] field to identify payments receivable related to securities
that are similarly flagged in the Inflows‐‐Assets table. For all interest and dividend payments
reported, indicate the corresponding collateral class in the [Collateral Class] field. 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. an
indexed., 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 LCR Rule.LRM Standards.
I.O.8: Principal Payments Receivable on Unencumbered Investment Securities
Refers to contractual principal payments receivable on reporting entity‐‐owned investment
securities. For amortizing products for which the principal and interest amounts cannot be
readily separated, report aggregated principal and interest cash inflows, and do not report the
interest under I.O.6: Interest and Dividends Receivable. For other products, report the
contractual principal cash payment to be received, excluding interest payments, which should
be reported under product I.O.6: Interest and Dividends Receivable. Do not include principal
payments receivable on loans held as investmentsand leases, which should be reported
separately under the appropriate product in the Inflows‐‐Unsecured tableor 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
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structured note, where the payout has not yet been determined), forecast receivables for a
minimum of 30 calendar days beyond the as‐‐of date (T).
I.O.9: Other Cash Inflows
Refers to other contractual cash inflows that do not adhere to the definitions of the products
outlined above. Contact the supervisory team to determine if the associated cash flow should
be reported. 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. Do not recordUse the book or[Collateral Class] and [Collateral Value] fields to identify
the types and fair value of the assets inasset(s) underlying the conduitissuance. For debt
instruments issued at a discount, report the final maturity obligation under the [Maturity
Amount] field, which will effectively include interest accrued over the term of the instrument.
Report 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.
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
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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.
If the reporting entity issues a new product that makes use of a conduit which is not defined
below, please notify the supervisory team and report the balances as O.W.7: Other Asset‐
Backed Financing in the Outflows‐Wholesale table.
The following list outlines the products that typically make use of conduits or SPVs to be
reported in the Outflows‐‐Wholesale table:
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O.W.1: Asset‐‐Backed Commercial Paper (ABCP) Single‐‐Seller
O.W.2: Asset‐‐Backed Commercial Paper (ABCP) Multi‐‐Seller
O.W.3: Collateralized Commercial Paper
O.W.4: Asset‐‐Backed Securities (ABS)
O.W.5: Covered Bonds
O.W.6: Tender Option Bonds
O.W.7: Other Asset‐‐Backed Financing
Refers to (i) all other asset‐‐backed financing arrangements that make use of conduits; and (ii)
all other issuances backed by a lien on an underlying asset or pool of collateral where rights of
rehypothecation over the collateral are not conferred to the investor or counterparty.
Unsecured Funding
General Guidance: For products that generate unsecured funding, report the contractual
liabilities based on the remaining maturity of the issuance. Do not record book/fair value. To
the extent that the interest payable on structured instruments is realized through increases or
decreases in the principal balance, this interest/return should be aggregated with the principal
maturity amount of the associated product. For debt instruments issued at a discount (e.g.,
commercial paper),, report the final maturity obligation under the [Maturity Amount] field, which
will effectively include interest accrued over the term of the instrument. Reportand 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.
If the reporting entity issues a new unsecured product to generate funding that is not outlined in
the list below, please notify the supervisory team and report the balances in O.W.19: Other
Unsecured Financing.
The following list outlines the unsecured products to be reported in the Outflows‐‐Wholesale
table:
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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 funds13 purchased,
domestic sterling purchased, domestic euro, domestic yen).
Onshore borrowing must satisfy the following criteria: (1) the currency denomination of the
transaction is matched with the jurisdiction in which the transaction is booked; and (2) the
transacting entities (i.e., the legal entities party to the transaction) are both domiciled in the
same jurisdiction.
Use the O.W.[Counterparty] field to further identify the type of lender according to the
following choices:
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
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).
Use the O.W.[Counterparty] field to further identify the type of lender according to the
13
For FRBNY definition, see:
http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.htmlhttp://www.newyorkfed.org/aboutthefed/fedpoint
/fed15.html
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following choices:
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
O.W.11: Unstructured Long Term Debt
Refers to debt issuances with original maturity greater than one year, including plain vanilla
floating rate notes linked to standard interest rate indexes like LIBOR or Fed Funds Effective and
plain vanilla benchmark issuances with standard embedded options (i.e., call/put). Include
instruments classified as long‐‐term debt under GAAP. Include subordinated debt issued to
affiliates that fall outside the reporting entity’s scope of consolidation. Do not include perpetual
preferred stock.
O.W.12: Structured Long Term Debt
Refers to debt instruments with original maturity greater than one year whose principal or
interest payments are linked to an underlying asset (e.g., commodity linked notes, equity linked
notes, reverse convertible notes, currency linked notes). Include instruments classified as long
term debt under GAAP accounting rules that also meet the structured description set forth in
this product. Do not include perpetual preferred stock.
O.W.13: Government Supported Debt
Refers to debt issuances with an explicit guarantee from a sovereign entity or central bank (e.g.,
TLGP).
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.
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O.W.15: Structured Notes
Refers to debt instruments with original maturity less than one year whose principal or interest
payments are linked to an underlying asset (e.g., commodity linked notes, equity linked notes,
reverse convertible notes, currency linked notes).
O.W.16: Wholesale CDs
Refers to certificates of deposits greater than $250,000 issued to counterparties that are not
Retail or Small Business where the certificatecertificates of depositsdeposit 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.
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Use the O.S.[[Counterparty] field to indicate the type of counterparty for each data element:
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
Debt Issuing SPE
Other Financial Entity
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.
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O.S.4: Collateral Swaps
Refers to transactions where non‐‐cash assets are exchanged (e.g., collateral
upgrade/downgrade trades) at the inception14 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
Inflows‐‐Secured tables. O.S.4 should be reported based on the collateral pledged. Report the
[Collateral Class] according to the assets pledged. Report the fair value of these assets pledged
in the [Collateral Value] field. Report the fair value of assets received in the [Maturity Amount]
field. Use the [Sub‐‐Product] field to identify the type of collateral received based on the asset
categories defined in the LCR RuleLRM 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]
14
Collateral swap transactions that are remargined with cash payments should continue to be reported under this
product.
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field set to “Central Bank”. The amount borrowed and the fair value of collateral pledged to
secure the borrowing should not be included under product I.A.2: Capacity.
Use the O.S.[[Sub‐‐Product] field to further identify the specific source of secured funding
provided according to the following groupings:
FRB (Federal Reserve Bank) 15
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)
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 O.S.[[Sub‐‐Product] field to further identify the appropriate source for delivery into the
sale according to the following categories:
External Cash TransactionTransactions
Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
External Non‐‐Cash TransactionTransactions
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.
15
Excludes Covered Federal Reserve Facility Funding.
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Customer Longs
Refers to securities sourced internally from collateral held in customer
accounts at the reporting entity.
FirmCustomer Longs with an Associated Derivative
Refers to transactions that generate funding for collateral owned by the
reporting entity through a short sale coinciding with a performance‐based swap
derivative. The short sale is the effective source of funds for the firm long, which
serves as a hedge against the underlying market exposure of the performance‐
based swap derivative. Report the maturity date of the associated derivative in
the [Maturity Bucket] field.
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
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
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scope of consolidation for the reporting entity. Internal refers to securities sourced from within
the scope of consolidation of the reporting entity.
Use the O.S.[[Sub‐‐Product] field to further identify the appropriate source for delivery into the
sale according to the following categories:
External Cash TransactionTransactions
Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
Refers to securities sourced through a securities borrowing, reverse repo, or
like transaction in exchange for cash collateral.
External Non‐‐Cash TransactionTransactions
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.
Customer Longs
Refers to securities sourced internally from collateral held in customer accounts
at the reporting entity.
Firm Longs with an Associated Derivative
Refers to transactions to generate funding for collateral owned by the reporting
entity with a short sale coinciding with a performance‐based swap derivative.
The short sale is the effective source of funds and the derivative enables the
reporting entity to retain the underlying market exposure. Report the maturity
date of the associated derivative in the [Maturity Bucket] field.
Unsettled (‐ Regular Way)
Refers to sales that meet the definition of regular‐‐way securities trades
under GAAP, that have been executed, but not yet settled and therefore
have not been covered. 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”.
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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 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.
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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.
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 LCR Rule.LRM Standards.
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For collateralized deposits, report the type of collateral using the O.D.[[Collateral Class] field
using the asset categories listed in the Asset Category Table (Appendix III). Report the fair value
of collateral held against these deposits using the O.D.[[Collateral Value] field.
Insured Deposits: Use the O.D.[[Insured] field to distinguish between balances that are FDIC‐ ‐
insured, foreign deposits insured by a non‐‐US local‐‐jurisdiction government insurance system,
and uninsured deposits as described in the field definitions section.
FDIC
Other
Other
Uninsured
Instructions on reporting by counterparty: Deposit products must be reported by the type of
counterparty that made the deposit. Certain deposit products apply only to a subset of
counterparty types. The lists of reportable counterparty types are identified by product in the
following section.
For O.D.1 transactional accounts, O.D.2 non‐transactional relationship accounts, and O.D.3 non‐
transactional non‐relationship accounts, use the O.D.[Counterparty] field to distinguish deposit
accounts according to the counterparty types below:
Retail
Small Business
Retail
Small Business
For O.D.4 operational accounts and O.D.5 non‐operational accounts use the O.D.[Counterparty]
field to distinguish deposit accounts according to the counterparty types below:
Non‐‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Pension Fund
Bank
Broker‐Dealer
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Investment Company or Advisor
Financial Market Utility
Other Supervised Non‐‐Bank Financial Entity
Debt Issuing SPE
Debt Issuing SPE
Non‐Regulated Fund
Other Financial Entity
Other
For all other deposit products, use the O.D.[Counterparty] field to distinguish deposit accounts
according to the counterparty types below:
Retail
Small Business
Non‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
MDB
Other Supranational
Bank
Supervised Non‐Bank Financial Entity
Debt Issuing SPE
Other Financial Entity
Other
The following list defines the scope of products to be reported in the Outflows‐‐Deposits table:
O.D.1: Transactional Accounts
For purposes of this report, the term "Transactional Accounts" has the same meaning includes
demand deposits as Transaction Accountsdefined 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.
Transaction accounts include:
Demand deposits
Now accounts
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ATS accounts
Telephone or preauthorized transfer accounts
Transaction accounts generally do not include savings deposits accounts. Report savings
accounts in either O.D.2 or O.D.3 depending on the characteristics of the reporting entity’s
relationship with the depositor.
Refer to Regulation D for a complete definition of transaction accounts.
O.D.2: Non‐‐Transactional Relationship Accounts
Refers to Retail and Small Business deposits in accounts that are not transactional accounts
under O.D.1, but where the underlying depositors have other established relationships with the
reporting entity such as another deposit account, a loan, bill payment services, or any similar
service or product provided to the depositor that the reporting entity has demonstrated to the
satisfaction of the supervisory team would make deposit withdrawal highly unlikely during a
liquidity stress event. Do not report brokered, sweep or reciprocal deposits using this product,
as they should be reported using products O.D.78 through O.D.1213.
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.78 through O.D.1213.
O.D.4: Operational AccountsAccount Balances
Refers to deposits from counterparties that are not Retail or Small Business customers that are
operational deposits as defined in the LCR RuleLRM Standards, except operational escrow
deposits reported under product O.D.67: Operational Escrow Accounts.
O.D.5: Non‐Excess Balances in Operational Accounts
Refers to all deposits balances from wholesalecounterparties that are not Retail or Small Business
customers which dothat 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).
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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.67: Operational Escrow Accounts
Refers to deposits from counterparties that are operational deposits as defined in the LCR
RuleLRM 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.
With respect to, e.g., mortgage escrow accounts, an "escrow account" includes any
arrangement where the servicer adds a portion of the borrower's payments to principal and
subsequently deducts from principal the disbursements for escrow account items. For purposes
of this section, the term "escrow account" excludes any account that is under the borrower's
total control.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.78: Non‐‐Reciprocal Brokered Accounts
Refers to any deposit held at the reporting entity that is obtained, directly or indirectly, from or
through the mediation or assistance of a deposit broker as that term is defined in section 29 of
the Federal Deposit Insurance Act (12 U.S.C. 1831f(g)), not including a reciprocal brokered
deposit or a sweep account. This definition does not include wholesale negotiable CDs (see
O.W.16), listing service deposits, where the only function of a deposit listing service is to
provide information on the availability and terms of accounts, unless they were obtained from
a deposit broker.
O.D.8:9: Stable Affiliated Sweep AccountsAccount Balances
Refers to astable 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
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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.9: Non‐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
governing the account from which the amount is being transferred. These accounts involve
ongoing activity, rather than one deposit transaction.
O.D.1012: 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.1113: 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.
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O.D.1214: Other Third‐‐Party Deposits
Refers to deposit accounts that are placed by a third party on behalf of counterparties that do
not otherwise meet the definitions of O.D.7 through O.D.118 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.1315: 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
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: DerivativesDerivative 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
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principal amounts for foreign exchange transactions, as these should be reported in the
Supplemental‐‐Foreign Exchange table under products S.FX.1 through S.FX.3.
O.O.2: Collateral Called for Delivery
Refers to the fair value of collateral due to the reporting entity’s counterparties that has been
called as of date T (i.e., the collateral flow). This product does not represent the entire stock of
collateral posted, which should be reported in S.I.1: Initial Margin Posted or S.I.3: Variation Margin
Posted.. Collateral called for delivery should be related to the outstanding collateralized
contracts which include, but are not limited to, derivative transactions with bilateral
counterparties, central counterparties, or exchanges. Use the Maturity Bucket field to identify
the expected settlement date. For collateral calls with same‐‐day settlement (i.e., the collateral
is both called and received on the as‐‐of date T), report using the “Open” value in the Maturity
Bucket field.
O.O.3: TBA Purchases
Refers to all purchases of TBA contracts for market making or liquidity providing. Do not include
TBA purchases which are part of a Dollar Roll, as defined under products I.S.3 or O.S.3.
O.O.4: Credit Facilities
Refers to committed credit facilities, as defined in the LCR Rule.LRM Standards. Do not include
committed liquidity facilities, as defined in the LCR RuleLRM 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.
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
Small Business
Non‐‐Financial Corporate
Sovereign
Central Bank
GSE
PSE
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MDB
Other Supranational
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
Debt Issuing SPE
Other Financial Entity
Non‐Regulated Fund
Other
O.O.5: Liquidity Facilities
Refers to committed liquidity facilities, as defined in the LCR RuleLRM 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
Small Business
Non‐‐Financial Corporate
Sovereign
Central Bank
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GSE
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
Debt Issuing SPE
o Includes TOBs
Other Financial Entity
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‐‐
to‐ ‐market collateral outflow or inflow realized during the preceding 24 months resulting from
derivative transaction valuation changes, as set forth in the LCR Rule.LRM Standards. The
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cumulative collateral outflow or inflow should be measured on a portfolio basis, which should
include both 3rd party and affiliated transactions (for subsidiary reporting entities) that are
external to the reporting entity’s scope of consolidation. However, as this product should be
measured on a portfolio basis, the [Internal] and [Internal Counterparty] flags should not be
used. The absolute amount should be determined across all currencies and reported in USD.
O.O.9: Loss of Rehypothecation Rights Due to a 1 Notch Downgrade
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a 1 notch credit rating downgrade.
O.O.10: Loss of Rehypothecation Rights Due to a 2 Notch Downgrade
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a 2 notch credit rating downgrade.
O.O.11: Loss of Rehypothecation Rights Due to a 3 Notch Downgrade
Refers to the total fair value of the collateral over which the reporting entity would lose
rehypothecation rights due to a 3 notch credit rating downgrade.
O.O.12: Loss of Rehypothecation Rights Due to Changesa 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
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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.
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
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Derivative Payables. Under circumstances where the interest and dividend payments receivable
are uncertain (e.g. an indexed., floating rate payment has not yet been set), forecast payables
for a minimum of 30 calendar days beyond the as‐‐of date (T). 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 LCR Rule.LRM Standards.
O.O.21: Other Outflows Related to Structured Transactions
Refers to any incremental potential outflows under 32(b) of the LCR RuleLRM 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.
O.O.22: Other Cash Outflows
Refers to any other material cash outflows not reported in any other line that can impact the
liquidity of the reporting entity. Do not report ‘business as usual’ expenses such as rents,
salaries, utilities and other similar payments. Include cash needs that arise out of an extra‐ ‐
ordinary situation (e.g., a significant cash flow needed to address a legal suit settlement or
pending transaction). 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.IDC: Supplemental‐Informational‐Derivatives & Collateral
General Guidance: The following list defines the scope of products to be reported in the
Supplemental‐ Informational‐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.I.1DC.3 through S.I.6DC.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 following “[Sub‐‐Product” and “Sub‐Product 2” fields] must also be reported.
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Use S.I.[Sub Product] field to distinguish the stock of collateral according to the following
categories:
Rehypothecatable – Unencumbered (and Treasury Controlled)
Rehypothecatable – Encumbered (or not Treasury Controlled)
Non‐‐Rehypothecatable
Segregated Cash
Non‐‐Segregated Cash
If the total collateral reported under Products S.I.1DC.5 through S.I.6DC.10 is less than $2 billion,
the reporting entity may use the sub‐‐product “Non‐‐Rehypothecatable” as a default for these
products.
Use
For products S.DC.1 through S.DC.10, use the S.I.[[Sub Product 2] field to further distinguish
derivative assets, liabilities and the stock of collateral according to the following categories:
OTC ‐ Bilateral
Refers to collateral posted or received in relation to derivatives activities for which
collateral payments settlethe 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)
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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.
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 settle via a centralized financial market utility (e.g., a
central counterparty).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).
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S.I.1DC.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.I.2DC.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,
where. Include initial margin related to customer transactions to which the reporting entity is
acting as aeither principal, or or agent. Use the [Sub‐Product 2] field to distinguish initial margin
posted where the reporting entity is acting as agent, but guarantees and does not guarantee the
returnperformance of the counterparty to its customer from all other initial margin posted. on
behalf of customers.
S.I.3DC.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. In cases where IM collected at the inception of a transaction is returned to a client
to offset the reporting entity’s requirement to post VM, the firm should still report the initial value in
S.I.3: Initial Margin Received; however, in the case of non‐cash collateral, the Sub Product flag should
reflect the fact that the collateral has been rehypothecatedInclude 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.
S.I.4DC.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.I.5DC.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,
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where. Include variation margin related to customer transactions to which the reporting entity
is acting as aeither principal, or or agent. Use the [Sub‐Product 2] field to distinguish variation
margin posted where the reporting entity is acting as agent, but guarantees and does not
guarantee the returnperformance of the counterparty to its customer from all other variation
margin posted. on behalf of customers.
S.I.6DC.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.I.7S.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
distinct disputes over the previous year for products S.I.7DC.13 and S.I.8DC.14 is less than $500
million, the reporting firm need not report this product.
S.I.8DC.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
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disputes over the previous year for products S.I.7DC.13 and S.I.8DC.14 is less than $500 million,
the reporting firm need not report this product.
S.I.9DC.15: Sleeper Collateral Deliverables
Refers to (1) the fair value of unsegregated collateral that the reporting entity may be required
by contract to return to a counterparty because the collateral currently held by the reporting
entity exceeds the counterparty’s current collateral requirements under the governing contract;
and (2).
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.I.10DC.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 and havewith 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 and havewith 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.I.11DC.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 LCR RuleLRM Standards.
S.I.12DC.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 LCR
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Rule.LRM Standards. U.S. firms that are identified as Category III banking organizations and
havewith 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 and havewith 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.I.13DC.20: Other Collateral Substitution Risk
Refers to the potential funding risk arising from the reporting entity’s counterparties of non‐ ‐
derivative transactions having the contractual ability to substitute collateral with higher
liquidity value currently held by the reporting entity with collateral of lower liquidity value or
collateral that the reporting entity cannot monetize either due to liquidity or operational
constraints. Report only a single value in USD per reporting entity, representing the difference
between the fair value of the collateral held and the fair value of collateral that could be
received, after applying the haircut factors prescribed in the LCR RuleLRM Standards.
S.I.14DC.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 non‐
derivative transaction with collateral of lower liquidity value. Report only a single value in USD per
reporting entity‐derivative 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 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 LCR Rule.LRM Standards. U.S. firms that are identified as
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Category III banking organizations and havewith 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 and havewith 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.I.15S.L: Supplemental‐Liquidity Risk Measurement (LRM)
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 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”.
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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
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
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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
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:
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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;
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.162: 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.173: 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.184: 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.19: Subsidiary Liquidity That Cannot be Transferred
Refers to an amount of assets of each reporting entity’s consolidated subsidiaries that is in
excess of the net outflows, calculated pursuant to the LCR Rule, of that consolidated subsidiary
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that is not freely transferrable to affiliates due to statutory, regulatory, contractual, or
supervisory restrictions (including sections 23A and 23B of the Federal Reserve Act and
Regulation W).
Use the “Internal Counterparty” (S.I.[Internal Counterparty]) field to indicate the subsidiary
entity from which the assets cannot be transferred; however do not flag this product as
[Internal] = “Y”.
S.I.205: 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.
Non‐‐bank Entities: For non‐‐bank reporting entities, FRB 23A capacity should reflect the ability
to engage in covered transactions with each affiliated depository institution. Use the
S.I.[Internal Counterparty] field to indicate the relevant affiliated depository institution entity.
S.I.21: Unencumbered Asset Hedges – Early Termination Outflows
Refers to all cash outflows that would arise from the early termination of a hedge associated with
eligible HQLA, as defined in the LCR Rule, reported in the Inflows‐Assets table. Use the Collateral Class
field to indicate the type of unencumbered asset associated with the hedge.
S.I.22: Unencumbered Asset Hedges – Early Termination Inflows
Refers to all cash inflows that would arise from the early termination of a hedge associated with
eligible HQLA, as defined in the LCR Rule, reported in the Inflows‐Assets table. Use the
Collateral Class field to indicate the type of unencumbered asset associated with the hedge.
S.I.23: Non‐Structured Debt Maturing in Greater than 30‐days – Primary Market Maker
Refers to the debt security buyback outflow amount set forth in the LCR Rule for the reporting
entity’s non‐structured debt issuances.
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S.I.24: Structured Debt Maturing in Greater than 30‐days – Primary Market
Maker
Refers to the debt security buyback outflow amount set forth in the LCR Rule for the reporting
entity’s structured debt issuances.
S.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 and havewith 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 and havewith 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
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contracts for differences). Transactions reported here should not be excluded from the
calculation of I.O.7: Net 30‐‐day Derivatives Receivables or O.O.20: Net 30‐‐day Derivatives
Payable entries. Report periodic interest payments associated with transactions such as cross‐ ‐
currency swaps using I.O.1: Derivatives Receivables for contractual unsecured interest
receivable and O.O.1: Derivatives Payables for contractual unsecured interest payable, using
the currency field to identify the currency denomination of each cash flow; do not report
periodic interest payments in the FX table. Additionally, margin collateral flows related to non‐ ‐
deliverable derivatives should be reported as collateral payable (O.O.2) and collateral
receivable (I.O.2) where appropriate. The exchange of margin collateral related to secured FX
transactions with a physical settlement should also be excluded from this section and reported
as collateral payable (O.O.2) and collateral receivable (I.O.2) where appropriate.
Date and amount fields: The FX table includes “Forward Start” and “Maturity” fields to capture
transactions that have both initial and final settlement cash flows (e.g.., FX Swaps). The
“Forward Start” fields generally refer to the “near” leg of the transaction, while the “Maturity”
fields refer to the final maturity or “far” leg of the transaction. An exception is made for the
treatment of FX options, which is described in further detail below.
Currency reporting: FX transactions require the reporting of two currencies (i.e., the receivable
currency and the payable currency). Report the currency receivable upon final maturity (i.e.,
final settlement) of the transaction in the S.FX.[[Currency 1] field, and the currency payable
upon final maturity of the transaction in the S.FX.[[Currency 2] field.
In the case of transactions for Spot FX, FX Forward (i.e.., “Forward Outright”) or currency
futures, the one‐‐time settlement is the final maturity.
In the case of FX Swaps, the final maturity refers to the settlement at the long side (or “Far leg”)
of the FX swap transaction.
The S.FX.[[Maturity Amount Currency 1] field and S.FX.[[Forward Start Amount
Currency 1] field must both correspond with the S.FX.[Currency 1] field;
therefore the S.FX.[[Forward Start Amount Currency 1] will reflect the payable
amount on the near leg of swap transactions, while S.FX.[[Maturity Amount
Currency 1] will correspond with the receivable amount upon final maturity (the
far leg).
For currencies not currently covered by the FR 2052a report, provide notional amounts
converted into USD and set the S.FX.[[Converted] field equal to “True”.
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Centrally settled transactions: Use the S.FX.[[Settlement] field to indicate if transactions are
centrally settled (e.g., through CLS) or bilaterally settled (i.e.., OTC). If transactions are centrally
settled through CLS, report “CLS”, if they are centrally settled but not through CLS, report
“Other”. If the transaction is settled bilaterally, report “Bilateral”.
FX Options: Report transactions with embedded options such as currency options, currency
swaptions or other exotic currency products using the product or products that best align with
contractual structure, and indicate the type of option bought or sold in the Foreign Exchange
Option Direction field.
Foreign Exchange Option Directions include “Sold”, which indicates that the reporting entity has
sold the option to its client (i.e., it is exercised at the client’s discretion), and “Purchased”,
which indicates that the reporting entity retains the option (i.e., it is exercised at the reporting
entity’s discretion).
Report the option expiration date in the S.FX.[[Maturity Bucket] field.
If the option cannot be exercised until a future date, report the first possible date the option
could settle (if exercised) in the S.FX.[[Forward Start Maturity Bucket] field.
For European‐‐style options on forward transactions, where the exercise date coincides with
the expiration date, report the same date using both the S.FX.[[Forward Start Maturity Bucket]
and S.FX.[[Maturity Bucket] fields. For European‐‐style swaptions, report the exercise date using
the S.FX.[[Forward Start Maturity Bucket] field and report the final maturity of the swap using
the S.FX.[[Maturity Bucket] field.
Under circumstances where the reporting entity has sold an option that carries preconditions
or limitations on either the entity’s own or its customer’s ability to exercise the optionality,
report the position ignoring these limitations, unless the option can no longer be contractually
exercised.
Example: the reporting entity has sold an American‐‐style barrier option to
exchange USD for €1mm EUR any time in the next 30 days at $1.34 per euro,
provided the spot rate does not exceed $1.40 per euro. Report the option as an
option sold with a S.FX.[[Maturity Amount Currency 1] value of €1mm, a
S.FX.[[Maturity Amount Currency 2] value of $1.34mm, an [Foreign Exchange
Option Direction] of “Sold” and a [Maturity Bucket] of Day 30, even if the existing
spot rate is in excess of $1.40 per euro.
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Report options with variable pricing for which the rate has yet to be determined using a best
estimate of what the pricing would be at the earliest possible exercise date.
Example: the reporting entity has purchased an American‐‐style average rate
currency option to exchange USD for €1mm EUR based on the average closing
price over the two weeks prior to the option being exercised. In this case, use
the average closing price over the two weeks prior to the as‐‐of date (T), as the
option could be exercised immediately (e.g., if the average rate was $1.34 per
euro, report a S.FX.[[Maturity Amount Currency 1] value of €1mm, a
S.FX.[[Maturity Amount Currency 2] value of $1.34mm).
For complex transactions that may involve multiple legs and/or resemble a combination of FR
2052a FX Products, disaggregate the transaction and report it as multiple transactions in
accordance with the available FR 2052a FX products and the underlying settlement cash flows.
Example: A swap contract for which the near leg is non‐‐optional and the far leg
is fully optional. Report this transaction as two separate forward FX transactions
and use the S.FX.[[Foreign Exchange Option Direction] field to differentiate the
optionality on the far leg of the transaction.
The following list outlines the distinct products to be reported in the Supplemental‐‐Foreign
Exchange Table:
S.FX.1: Spot
Refers to single outright transaction involving the exchange of one currency for another at an
agreed upon rate with immediate delivery according to local market convention (usually two
business days). Report both the receivable and payable sides of the transaction.
S.FX.2: Forwards and Futures
Refers to transactions involving the physical exchange of two currencies at a rate agreed upon
on the date of the contract for delivery at least two business days in the future or later. Refers
to both forward outright transactions (e.g., bespoke bilateral contracts) and standardized
futures contracts (i.e., exchange traded).
S.FX.3: Swaps
Refers to transactions involving the exchange of two currencies on a specific date at a rate
agreed at the time of the conclusion of the contract (e.g., the “near” leg), and a reverse
exchange of the same two currencies at a date further in the future at a rate (generally
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different from the rate applied to the near leg) agreed at the time of the contract (e.g., the
“far” leg). This product includes but is not limited to both FX forward swaps that involve only
the exchange of notional currency values at the near leg and far leg settlement dates, and
cross‐‐currency swaps that involve both the exchange of notional currency values and periodic
payments of interest over the life of the swap transaction.
Use the “Near” fields (i.e., S.FX.[[Forward Start Amount Currency 1], S.FX.[[Forward Start
Amount Currency 2] and S.FX.[[Forward Start Maturity Bucket]) to report the near leg of the
transaction, and the “Maturity Amount” fields (i.e., S.FX.[[Maturity Amount Currency 1],
S.FX.[[Maturity Amount Currency 2] and S.FX.[[Maturity Bucket]) to report the far leg of the
transaction.
When reporting transactions for which the near leg has already settled, do not report a value in
the S.FX.[[Forward Start Maturity Bucket] field, but continue to report the original currency
settlement values for the short leg in the “Near Amount” fields.
For swaptions where the final maturity date is dependent on the exercise date (e.g., American‐
‐style or Bermuda‐‐style), indicate the earliest possible exercise date in the S.FX.[[Forward Start
Maturity Bucket] field, and report the final maturity in the S.FX.[[Maturity Bucket] field
assuming the option is exercised at the earliest possible date.
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Appendix I: FR 2052a Data Format, Tables, and Fields
Layout of the Data Collection
The technical architecture for the data collection of the FR 2052a report subdivides the three
general categories of inflows, outflows, and supplemental items into 1013 distinct data tables
and includes a mechanism for tracking comments, as displayed in the diagram below. These
tables are designed to stratify the assets, liabilities, and supplemental components of a firm’s
liquidity risk profile based on common data structures, while still maintaining a coherent
framework for liquidity risk reporting.
Diagram 1 – FR 2052a Tables and Information Hierarchy
Inflows
Outflows
Supplemental
Assets
Deposits
Informational
Items
Unsecured
Wholesale
Secured
Secured
exchange
Other inflows
Other outflows
Comments
Foreign
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Inflows
Outflows
Assets
Deposits
Supplemental
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).)16. 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.
This instruction document uses the term data element to describe a unique combination of
non‐numeric field values in a FR 2052a table, or in other words, a unique record in one of the
FR 2052a tables. Numeric values (e.g., contractual cash flow amounts, market values, lendable
values, etc.) are expected to be aggregated across the unique combinations of all other fields in
each FR 2052a table.
All notional currency‐denominated values should be reported in millions of that
currency (e.g., U.S. dollar‐denominated transactions in USD millions, sterling‐
denominated transactions in GBP millions, etc.)
Example: The holding company has four outstanding issuances of plain vanilla long‐term
debt:
16
Appendix I details the structure of each table.
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o 500mm USD‐denominated bond maturing in 4 years and 6 months,
o 1,000mm USD‐denominated bond maturing in 5 years,
o 2,000mm GBP‐denominated bond maturing in 10 years, and
o 250mm GBP‐denominated bond maturing in 1 year and 6 months.
Assume the USD‐denominated liabilities are issued in New York, while the GBP‐
denominated liabilities are issued in London, 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
O.W fields:
Sample 1:
Sample 2:
Sample 3:
Reporting
Currency Converted PID
Entity
PARENT
PARENT
PARENT
USD
GBP
GBP
No
No
No
Product
Maturity Maturity Collateral Collateral Fwd Start Fwd Start
Internal
Prime
Internal
Bucket Amount Class
Value Amount Bucket
Counterparty Brokerage
12 LTD ‐ Non‐Structured >4Y_<=5Y 1,500
12 LTD ‐ Non‐Structured >5Y
2,000
12 LTD ‐ Non‐Structured >1Y_<=2Y 250
N
N
N
N
N
N
Note: additional examples are included in the field and product definition sections of
this document to illustrate the standard for aggregating and reporting FR 2052a data.
Naming conventions and field types
This document uses a standard syntax to refer to specific tables, fields and products in the FR
2052a data hierarchy.
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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 exceptionexceptions of derivatives & collateral
and foreign exchange, which isare 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.
Fields are referenced using the table syntax described above, with the field name
enclosed in brackets.
o Example: The “Currency” field in the Outflows‐Secured table is referenced as
O.S.[Currency]
o Example: The “Maturity Bucket” field in the Outflows‐Wholesale table is
referenced as O.W.[Maturity Bucket].
Products are referenced using the table syntax and the corresponding product number.
o Note: The [Product] field designation is omitted to simplify the reference syntax.
A number following the table designation always refers to the product number
for that table.
Table 3 below depicts the table combinations for the product syntax
structure
Example: “Unencumbered Assets” (product #1) in the “Assets” table is
referred to as I.A.1.
Table 3 ‐ Product Reference Syntax
Table 3 ‐ Product Reference Syntax
Prefix
.
Table
I
.
(Inflows)
A (Assets)
I
U (Unsecured)
.
(Inflows)
S (Secured)
S (Secured)
O (Other)
.
Product
#
.
#
. #
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O
(Outflows)
O
(Outflows)
.
.
S
.
(Supplemental)
D (Deposits)
W (Wholesale)
S (Secured)
S (Secured)
O (Other)
DC (Derivatives & Collateral)
L (Liquidity Risk Measurement)
B (Balance Sheet)
I (Informational Items)
FX (Foreign Exchange)
FX (Foreign Exchange)
.
#
. #
.
#
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 bucketStart Bucket] field is generally only
required for forward starting transactions.
o Example: the [Internal Counterparty] field is only required for intercompany
transactions.
[Sub‐Product] required for certain products.
o Example: The “Capacity” product in the Assets table (I.A.2) requires a [Sub‐
Product] designation.
Table 4 below depicts a sample data element reporting FHLB capacity
of $100mm against category CL‐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.
I.A fields:
Reporting
Sub‐
Currency Converted PID Product SID
Entity
Product
Maturity
Bucket
Market Lendable Fwd Start Fwd Start Collateral Treasury
Value
Value Amount Bucket
Class
Control
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Sample:
BANK
USD
No
2
Capacity
9
FHLB
Open
150
100
L‐3
Y
Table 4 – Example: required versus dependent fields
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Data Tables17
17
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.
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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
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
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
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
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
Page 99
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FR 2052a Instructions
Supplemental
Informational
Reporting Entity
text
Product
text
Market Value
numeric
Collateral Class
text
Internal
text
Internal Counterparty
text
Business Line
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
Liquidity Risk Measurement
Reporting Entity
text
Product
text
Market Value
numeric
Collateral Class
text
Internal
text
Internal Counterparty
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
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
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
Page 100
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FR 2052a Instructions
Appendix II‐a: FR 2052a Product/Sub‐Product Requirements
The fol lowi ng ta bl e dis pla ys whi ch products requi re the reporti ng of a Sub‐Product or Sub‐Product 2, a l ong with the corres ponding s et of a ccepta bl e va l ues .
Table
Inflows ‐ As s ets
PID
Product
Sub‐Product
2
Ca pa city
Federa l Res erve Ba nk
Sub‐Product 2
Swis s Na ti ona l Ba nk
Ba nk of Engla nd
Europea n Centra l Ba nk
Ba nk of Ja pa n
Res erve Ba nk of Aus tra li a
Ba nk of Ca na da
Other Centra l Ba nk
Federa l Home Loa n Ba nk
Other Government Spons ored Entity
Inflows ‐ As s ets
3
Unres tricted 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 Engla nd
Europea n Centra l Ba nk
Ba nk of Ja pa n
Res erve Ba nk of Aus tra li a
Ba nk of Ca na da
Other Centra l Ba nk
Currency a nd Coin
Inflows ‐ Secured
4
Col l a tera l Swa ps
Level 1 Pledged
Level 2a Pl edged
Level 2b Pl edged
Non‐HQLA Pledged
No Col l a tera l Pl edged
Outflows ‐ 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
Outflows ‐ Secured
6
Excepti ona l Centra l Ba nk Opera ti ons
No Col l a tera l Received
Federa l Res erve Ba nk
Swis s Na ti ona l Ba nk
Ba nk of Engla nd
Europea n Centra l Ba nk
Ba nk of Ja pa n
Res erve Ba nk of Aus tra li a
Ba nk of Ca na da
Other Centra l Ba nk
Covered Federa l Res erve Fa cil ity Funding
Page 101
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FR 2052a Instructions
Table
PID
Outflows ‐ Secured
7
Product
Cus tomer Shorts
Sub‐Product
Externa l Ca s h Tra ns a cti ons
8
Firm Shorts
Externa l Non‐Ca s h Tra ns a ctions
Sub‐Product 2
Fi rm Longs
Cus tomer Longs
Fi rm Long with As s oci a ted Deriva ti ve
Uns ettl ed ‐ Regul a r Wa y
Uns ettl ed ‐ Forwa rd
Outflows ‐ Secured
9
Synthetic Cus tomer Shorts
Fi rm Short
10
Synthetic Fi rm Fina ncing
Synthetic Cus tomer Long
Synthetic Fi rm Sourcing
Futures
Other
Unhedged
Inflows ‐ Secured
9
Synthetic Cus tomer Longs
Phys ica l Long Pos ition
10
Synthetic Fi rm Sourcing
Synthetic Cus tomer Short
Synthetic Fi rm Fina nci ng
Futures
Other
Unhedged
Suppl ementa l ‐
Deri va tives & Col la tera l
1
Gros s Deriva ti ve As s et Va lues
Rehypotheca tea ble Col la tera l Unencumbered
2
Gros s Deriva ti ve Li a bi l i ty Va l ues
Rehypotheca tea ble Col la tera l Encumbered
OTC ‐ Centra l ized (Principa l )
3
Deri va tive Settlement Pa yments Del ivered
Non‐Rehypotheca tea bl e Col l a tera l
OTC ‐ Centra l ized (Agent)
4
Deri va tive Settlement Pa yments Received
Segrega ted Ca s h
Excha nge‐tra ded (Principa 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
OTC ‐ Bil a tera l
Page 102
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FR 2052a Instructions
Appendix II‐b: FR 2052a Counterparty Requirements
Page 103
of 122
FR 2052a Instructions
Table
PID Product
Applicable Counterparty Values
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
Non‐Financial Corporate
Retail
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
Not Applicable Counterparty Values
Outflows ‐ Secured
1
2
3
4
9
10
11
Repo
Securities Lending
Dollar Rolls
Collateral Swaps
Synthetic Customer Shorts
Synthetic Firm Shorts
Other Secured Financing
Outflows ‐ Wholesale
9
10
Onshore Borrowing
Offshore Borrowing
Supplemental‐FX
1
2
3
Spot
Forwards
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
Federal Home Loan Bank 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
Page 104
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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 105
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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
Required
Dependent
Not Applicable
Page 106
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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
Page 107
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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
Required
Dependent
Not Applicable
Page 108
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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 ‐ Balance Sheet
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
Supplemental‐Foreign Exchange
S.FX.1 Spot
S.FX.2 Forwards and Futures
S.FX.3 Swaps
Required
Dependent
Not Applicable
Page 109
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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 110
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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 111
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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 112
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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
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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
S‐2
Debt issued by multilateral development banks or other supranationals with a 0% RW
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
S‐4
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
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
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Asset Category Asset Category Description
Non‐HQLA Assets other
S‐8
All other debt issued by sovereigns (excluding central banks) and supranational entities, not otherwise included
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
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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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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
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
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
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
> 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
Day 30
All cash flows due in > 30 days
> 5 Years
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
Daily
Day 1
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 91
Day 179
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)
1 bucket
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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 double‐
counting 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.
The following items may be double‐counted:
1. All third‐party exposures at subsidiaries that are designated reporting entities, as these will be,
at a minimum, reported for both the consolidated reporting entity and all applicable reporting
entities that comprise the consolidated firm.
2. Collateral swaps, as each transaction will be reported in both the Inflows‐Secured and Outflows‐
Secured tables (albeit from different perspectives).
3. Collateral that has been received via a secured lending transaction and pre‐positioned at a
central bank or GSE, as these assets should appear in the I.S table (note that the
[Unencumbered] flag must be set to false) and under product I.A.2: Capacity.
4. Available‐for‐sale loansLoans and loans held in a reporting firm’s trading bookleases, as these
must be reported in the Inflows‐Unsecured table or Inflows‐Secured tables by counterparty as
well as under I.A.1: Unencumbered Assets 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).
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FR 2052a Instructions
5.6. 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.
6.7. 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.
7.8. 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.
8.9. 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.
9.10.
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.I.23: L.4: Non‐Structured Debt Maturing in Greater than 30‐days –
Primary Market Maker or S.I.24L.5: Structured Debt Maturing in Greater than 30‐days – Primary
Market Maker.
10.11.
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:
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FR 2052a Instructions
Total Collateral Required Due to a:
1 Notch Downgrade 2 Notch Downgrade 3 Notch Downgrade Change in Financial Condition
11.12.
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
I.O.2: Collateral called for Receipt with a [Maturity Bucket] = “Open”, as collateral that
is both called for and received on the reporting date T should be also reported in the stock of
S.I.3DC.7: Initial Margin Received or S.I.4DC.10: Variation Margin Posted – House or S.I.5:
Variation Margin Posted – CustomerReceived.
12.13.
O.O.2: Collateral called for Delivery with a [Maturity Bucket] = “Open”, as collateral
that is both called for and posted on the reporting date T should be also be reported in the stock
of S.I.1DC.5: Initial Margin Posted‐ House or S.I.2DC.6: Initial Margin Posted – Customer or
S.I.4DC.8: Variation Margin Posted – House or S.I.5DC.9: Variation Margin Posted ‐ Customer.
13.14.
14.15.
S.I.8DC.14: Collateral Disputes Receivables and I.O.2: Collateral Called for Receipt,
since an amount in dispute should be reflected in both products.
15.16.
S.I.7DC.13: Collateral Disputes Deliverables and O.O.2: Collateral Called for Delivery,
since an amount in dispute should be reflected in both products.
16.17.
S.I.10DC.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.I.4DC.5: Initial Margin Posted –
House, S.DC.6: Initial Margin Posted – Customer, S.DC.8: Variation Margin Posted – House or
S.I.5DC.9: Variation Margin Posted –‐ Customer.
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FR 2052a Instructions
17.18.
S.I.9DC.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.I.6DC.7: Initial Margin Received or S.DC.10: Variation Margin Received.
18.19.
S.I.19L.1: Subsidiary Liquidity thatThat 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 also becorrespond to asset and liability amounts reported elsewhere on the FR 2052A
submission, such as products in the Inflows‐Assets, Inflows‐Secured, or Supplemental‐
Informational tables that count towards a firm’s HQLA.
20. O.D.1012: 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.1012.
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.
Appendix VI: LRM: LCR to FR 2052a Mapping
[Enclosure]
Appendix VII: LRM: NSFR to FR 2052a Mapping
[Enclosure]
Appendix VIII: wSTWF to FR 2052a Mapping
[Enclosure]
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| File Type | application/pdf |
| File Modified | 2022-02-27 |
| File Created | 2021-09-28 |