FR2052a_20220228_omb

Supporting Statement for the
Complex Institution Liquidity Monitoring Report
(FR 2052a; OMB No. 7100-0361)
Summary
The Board of Governors of the Federal Reserve System (Board), under authority
delegated by the Office of Management and Budget (OMB), has extended for three years, with
revision, the Complex Institution Liquidity Monitoring Report (FR 2052a; OMB No.
7100-0361). The FR 2052a collects quantitative information on select assets, liabilities, funding
activities, and contingent liabilities of certain large banking organizations with $100 billion or
more in total consolidated assets that are supervised by the Board on a consolidated basis,
defined as banking organizations subject to Category I, II, III, or IV standards under the Board’s
Regulation YY - Enhanced Prudential Standards (12 CFR Part 252) and under the Board’s
Regulation LL - Savings and Loan Holding Companies (12 CFR Part 238).1 The Board uses this
information to monitor the liquidity profile of these banking organizations.
The Board revised the FR 2052a by changing the definition of the term “transactional
accounts” to include a subset of transaction accounts recently added to the definition of
“transaction accounts” under the Board’s Regulation D - Reserve Requirements of Depository
Institutions (12 CFR Part 204). In addition, the Board revised the FR 2052a to collect
information and data related to the requirements of the Net Stable Funding Ratio (NSFR) final
rule (NSFR rule) by (1) adding certain new data field definitions, (2) adding clarifying language
to parts of the instructions, (3) adding certain new data categories, (4) reclassifying certain
existing data categories, and (5) streamlining certain existing language in the instructions. In
addition, the Board adopted other minor clarifications and conforming edits to the form and
instructions to address industry inquiries. The revisions will be effective May 1, 2022, for
banking organizations subject to Category I standards and October 1, 2022, for banking
organizations subject to Category II-IV standards.
The current estimated total annual burden for the FR 2052a is 862,440 hours, and would
increase to 873,712 hours. The revisions would result in an increase of 11,272 hours. The form
and instructions are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/default.aspx.
Background and Justification
The FR 2052a provides timely data to identify and monitor liquidity risks at large U.S.
banking organizations and foreign banking organizations with a significant U.S. presence and in
aggregate across the financial system, especially with respect to intra-company flows and
exposures within a consolidated banking organization. The FR 2052a gathers data disaggregated
by material legal entity (e.g., parent company, broker/dealer entities, and bank entities) in a
manner that provides meaningful insight into a banking organization’s liquidity profile.
The data collected by the FR 2052a provide detailed information about the liquidity risks
1

12 CFR 252.2; 12 CFR 238.10.

within different business lines (e.g., financing of securities positions or prime brokerage
activities) of certain large banking organizations supervised by the Board. The Board’s
supervisory surveillance program relies on this data, which provide timely information about
banking organization-specific liquidity risks during periods of stress. The Board uses analyses of
liquidity risk to inform its supervisory processes, including the preparation of analytical reports
that detail funding vulnerabilities. FR 2052a data also contribute to the Board’s supervisory
monitoring efforts by identifying potential impediments to the movement of liquidity across legal
entities. In addition, the FR 2052a provides detailed information that the Board uses to monitor
compliance with its Liquidity Coverage Ratio (LCR) and NSFR rules. The information collected
through the FR 2052a is not available from other sources.
Description of Information Collection
The FR 2052a collects data regarding inflows, outflows, and supplemental items,
subdivided into 10 distinct data categories. These categories are designed to stratify the assets,
liabilities, and supplemental components of a banking organization’s liquid ity risk profile based
on products that can be described with common data structures while maintaining a coherent
framework for liquidity risk reporting.
The FR 2052a data categories also cover broad funding classifications by product,
outstanding balance, and purpose, each segmented by maturity date. Generally, the data
categories are classified as follows:
• Inflows-Assets: Banking organizations report assets such as unencumbered assets,
borrowing capacity from central banks or Federal Home Loan Banks (FHLBs),
unrestricted reserve balances at central banks, restricted reserve balances at central
banks, unsettled asset purchases, and forward asset purchases.
• Inflows-Unsecured: Banking organizations report unsecured inflow transactions such
as onshore placements, offshore placements, required operational balances, excess
operational balances, outstanding draws on revolving facilities, and other unsecured
loans.
• Inflows-Secured: Banking organizations report secured inflow transactions such as
reverse repurchase agreements, securities borrowing transactions, dollar rolls,
collateral swaps, margin loans, other secured loans where the collateral is
rehypothecable, and other secured loans where the collateral is not rehypothecable.
• Inflows-Other: Banking organizations report other inflow transactions such as
derivatives receivables, collateral called for receipt, sales in the to-be-announced
market, undrawn committed facilities purchased, lock-up balances, interest and
dividends receivables, a net 30-day derivatives receivables measure, principal
payments receivable on unencumbered investment securities, and other inflow
transactions.
• Outflows-Wholesale: Banking organizations report wholesale outflow transactions
such as asset-backed commercial paper single-seller outflows, asset-back commercial
paper multi-seller outflows, collateralized commercial paper, asset-backed securities,
covered bonds, tender option bonds, other asset-backed financing, commercial paper,
onshore borrowing, offshore borrowing, unstructured long-term debt, structured longterm debt, government supported debt, unsecured notes, structured notes, wholesale

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•

•

•

•

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certificates of deposit, draws on committed facilities, free credits, and other unsecured
wholesale outflow transactions.
Outflows-Secured: Banking organizations report secured outflow transactions such as
repurchase agreements, securities lending transactions, dollar rolls, collateral swaps,
FHLB advances, outstanding secured funding from facilities at central banks,
customer short transactions, firm short transactions, and other secured outflow
transactions.
Outflows-Deposits: Banking organizations report deposit outflow transactions such as
transactional accounts, non-transactional relationship accounts, non-transactional nonrelationship accounts, operational accounts, non-operational accounts, operational
escrow accounts, non-reciprocal brokered accounts, affiliated sweep accounts, nonaffiliated sweep accounts, other product sweep accounts, reciprocal accounts, other
third-party deposits, and other deposit accounts.
Outflows-Other: Banking organizations report other outflow transactions such as
derivatives payables, collateral called for delivery, purchases in the to -be-announced
market, credit facilities, liquidity facilities, retail mortgage commitments, trade
finance instruments, potential derivative valuation changes, loss of rehypothecation
rights and collateral required due to changes in financial condition, excess customer
margin, commitments to lend on margin to customers, interest and dividends
payables, a net 30-day derivatives payables measure, other outflows related to
structured transactions, and other cash outflow transactions.
Supplemental-Informational: Banking organizations report supplemental information
such as initial margin posted and received, variation margin posted and received,
collateral dispute receivables and deliverables, collateral that may need to be
delivered, collateral that the banking organization could request to be received,
collateral that could be substituted by the banking organization or a counterparty, long
and short market value of client assets, gross client wires received and paid,
subsidiary liquidity that cannot be transferred, Federal Reserve Act section 23A
capacity,2 outflows or inflows from closing out hedges early, and potential outflows
from non-structured or structured debt maturing beyond 30 days where the banking
organization is the primary market maker in that debt.
Supplemental-Foreign Exchange: Banking organizations report foreign exchange
information such as foreign exchange spot, forwards and futures, and swap
transactions.
Respondent Panel

The FR 2052a is filed by banking organizations subject to Category I, II, III, or IV
standards under the Board’s Regulation YY and Regulation LL. This includes (1) any top-tier
U.S. bank holding company with $100 billion or more in total consolidated assets that is not a
subsidiary of a foreign banking organization, (2) any top-tier U.S. savings and loan holding
company with $100 billion or more in total consolidated assets that is a covered depository
institution holding company as defined by the LCR and NSFR rules and is not a subsidiary of a
foreign banking organization, and (3) any foreign banking organization, as defined by the
2

See 12 U.S.C. § 371c (limiting the aggregate amount of covered transactions between an insured depository
institution and its affiliates).

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Board’s Regulation YY, with combined U.S. assets of $100 billion or more.
Revisions to the FR 2052a
In April 2020, the Board issued an interim final rule that amended the Board’s
Regulation D.3 The Regulation D amendment expanded the Regulation D definition of
transaction accounts to permit the inclusion of accounts that were formerly subject to transfer
limit requirements. For purposes of the FR 2052a, the Board changed the term “transactional
accounts” to include a subset of transaction accounts as defined under Regulation D, where the
depositor is not required by the deposit contract to give written notice of an intended withdrawal.
Specifically, the Board updated the definition for the FR 2052a data element field “O.D.1:
Transactional Accounts,” to reflect this change.
In June 2016, the Board, Federal Deposit Insurance Corporation (FDIC), and Office of
the Comptroller of the Currency (OCC) (collectively, the agencies) proposed the NSFR rule to
implement a stable funding requirement4 for certain large banking organizations that were
subject to the LCR rule 5 at that time. The proposed NSFR rule would have introduced a
quantitative metric to measure a banking organization’s funding stability over a one-year time
horizon. The agencies issued two proposals subsequent to the issuance of the proposed NSFR
rule to revise the criteria for determining the scope of application of the NSFR requirement
(tailoring proposals). 6 The Board finalized the tailoring proposals in October 2019 (tailoring final
rules).7 The agencies issued an NSFR final rule on October 20, 2020, that is generally similar to
the proposed NSFR rule, with certain adjustments.8 The FR 2052a revisions, discussed in detail
below, are consistent with the requirements of the NSFR rule.
The Board adopted the following revisions to the reporting form and instructions of the
FR 2052a to accurately reflect the NSFR rule and to capture other data elements necessary to
monitor banking organizations’ liquidity positions and compliance with Liquidity Risk
Measurement (LRM) Standards. Specifically, the Board added:
1. The definition of Liquidity Risk Measurement Standards and other clarifications
under “General Instructions.”
2. Clarifications and regulation references under “Field Definitions.”
3. The following Counterparty types under “Field Definitions”: Pension Fund; BrokerDealer; Investment Company or Advisor; Financial Market Utility; Other Supervised
Non-Bank Financial Entity; and Non-Regulated Fund, and removed Supervised NonBank Financial Entity and Other Financial Entity.
3

85 FR 23445 (April 28, 2020).
81 FR 35124 (June 1, 2016).
5
12 CFR Part 50 (OCC); 12 CFR Part 249 (Board); 12 CFR Part 329 (FDIC).
6
See Proposed Changes to Applicability Thresholds for Regulatory Capital and Liquidity Requirements, 83 FR
66024 (December 21, 2018) (domestic tailoring proposal); Changes to Applicability Thresholds for R egulatory
Capital Requirements for Certain U.S. Subsidiaries of Foreign Banking Organizations and Application of Liquidity
Requirements to Foreign Banking Organizations, Certain U.S. Depository Institution Holding Companies, and
Certain Depository Institution Subsidiaries, 84 FR 24296 (May 24, 2019) (FBO tailoring proposal). The agencies
indicated that comments regarding the proposed NSFR rule would be addressed in the context of a final rule to adopt
a NSFR requirement for large U.S. banking organizations and foreign banking organizations.
7
84 FR 59230 and 84 FR 59032 (November 1, 2019).
8
86 FR 9120 (February 11, 2021).
4

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4. The following fields under “Field Definitions”: Business Line; Risk Weight;
Collection Reference; Product Reference; Sub-product Reference; Netting Eligible;
Encumbrance Type; Collateral Level; Accounting Designation; Loss Absorbency; GSIB; Maturity Optionality; and removed Prime Brokerage.
5. A sentence to the description of “flags” under the field “Settlement”: “FICC: secured
financing transactions that are cleared and novated to the Fixed Income Clearing
Corporation (FICC).”
6. The following language to the “Triparty” flag under the field “Settlement”:
“excluding transactions that originate on the tri-party platform, but are novated to
FICC (e.g., the General Collateral Finance repo service).”
7. The following language to the “Bilateral” flag under the field “Settlement”:
“(excludes transactions that are initiated bilaterally, but subsequently cleared (e.g.,
FICC delivery-vs-payment transactions).”
8. Clarifications to the general guidance, names, and definitions of products under “I.A:
Inflows-Assets”; “I.U: Inflows-Unsecured”; “I.S: Inflows-Secured”; “I.O: InflowsOther”; “O.W: Outflows-Wholesale”; “O.S: Outflows-Secured”; “O.D: OutflowsDeposits”; “O.O: Outflows-Other”; and “S.FX: Supplemental-Foreign Exchange”.
9. I.A.7: Encumbered Assets, which 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.
10. I.U.7: Cash Items in the Process of Collection, which refers to certain items that are
customarily cleared or collected as cash items by depository institutions in the country
where the reporting entity’s office that is clearing or collecting the item is located.
11. I.U.8: Short-Term Investments, which 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 Board’s Consolidated Financial Statements for Holding Companies (FR Y-9C;
OMB No. 7100-0128)) at external financial counterparties.
12. I.S.7: Outstanding Draws on Secured Revolving Facilities, which 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.
13. I.S.8: Other Secured Loans (Non-Rehypothecable), which refers to all other secured
lending that does not otherwise meet the definitions of the other Inflows-Secured
products, for which the collateral received is not contractually rehypothecable.
14. I.S.9: Synthetic Customer Longs, which 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.
15. I.S.10: Synthetic Firm Sourcing, which 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.
16. O.S.9: Synthetic Customer Shorts, which 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.
17. O.S.10: Synthetic Firm Financing, which refers to total return swaps that are not
booked in client accounts, where the reporting entity is economically long the

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underlying reference asset and the counterparty is economically short.
18. O.D.5: Excess Balances in Operational Accounts, which refers to deposits from
counterparties that are not Retail or Small Business customers that are excluded from
the reporting entity’s operational deposit amount based on the reporting entity’s
methodology for identifying excess balances pursuant to 12 CFR 249.4(b)(5).
19. O.D.9: Stable Affiliated Sweep Account Balances, which refers to stable deposit
balances held at the reporting entity by a customer or counterparty through a
contractual feature that automatically transfers to the reporting entity from an
affiliated financial company at the close of each business day the amounts identified
under the agreement governing the account from which the amount is being
transferred.
20. O.D.10: Less Stable Affiliated Sweep Account Balances, which 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 the amounts
identified under the agreement governing the account from which the amount is being
transferred.
21. S.DC: Supplemental-Derivatives and Collateral table and the associated elements
below.
22. S.DC General Guidance, which defines the scope of products to be reported in the
Supplemental-Derivatives and Collateral table.
23. S.DC.1: Gross Derivative Asset Values, which 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.
24. S.DC.2: Gross Derivative Liability Values, which 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.
25. S.DC.3: Derivative Settlement Payments Delivered, which 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).
26. S.DC.4: Derivative Settlement Payments Received, which refers to the cumulative
value of payments received as variation margin on outstanding derivative contracts
for the purpose of settling a change in the market value of the contract (e.g., “settledto-market” derivatives).
27. S.DC.11: Derivative CCP Default Fund Contribution, which 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.
28. S.DC.12: Other CCP Pledges and Contributions, which 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

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derivative transactions.
29. S.L: Supplemental LRM table and the associated elements below.
30. S.L.2: Subsidiary Liquidity Available for Transfer, which refers to the amount of
excess eligible high-quality liquid assets (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.
31. S.L.6: Liquidity Coverage Ratio, which 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.
32. S.L.7: Subsidiary Funding That Cannot be Transferred, which 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.
33. S.L.8: Subsidiary Funding Available for Transfer, which 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.
34. S.L.9: Additional Funding Requirement for Off-Balance Sheet Rehypothecated
Assets, which 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.
35. S.L.10: Net Stable Funding Ratio, which 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.
36. S.B: Supplemental-Balance Sheet table and the associated elements below.
37. S.B: General Guidance, which explains that the products S.B.1 through S.B.6
represent data elements that are necessary, in tandem with other FR 2052a balance
sheet products, to construct an accounting balance sheet.
38. S.B.1: Regulatory Capital Element, which 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.
39. S.B.2: Other Liabilities, which refers to all other liabilities not otherwise captured
under other FR 2052a balance sheet products, including intangible liabilities.
40. S.B.3: Non-Performing Assets, which refers to assets that are past due by more than
90 days or non-accrual.

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41. S.B.4: Other Assets, which refers to all other assets not otherwise captured under
other FR 2052a balance sheet products, including intangible, life insurance and
deferred tax assets.
42. S.B.5: Counterparty Netting, which 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.
43. S.B.6: Carrying Value Adjustment, which 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.
44. The following language to the description of “S.I.3: Gross Client Wires Received,”:
“Include transfers of both cash and securities. Use the [Collateral Class] field to
differentiate between asset categories.”
45. The following language to the description of “S.I.4: Gross Client Wires Paid,”:
“Include transfers of both cash and securities. Use the [Collateral Class] field to
differentiate between asset categories.”
46. S.I.6: Subsidiary Liquidity Not Transferrable, which refers to, for U.S. banking
organizations that are identified as Category IV banking organizations and foreign
banking organizations that are identified as Category IV foreign banking
organizations, a report of 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 the Board’s
Regulation W - Transactions Between Member Banks and Their Affiliates (12 CFR
Part 223)).
Additionally, the Board reclassified the following from the Supplemental Information
table to the new Supplemental-Derivatives and Collateral and LRM tables:
1. S.DC.5: Initial Margin Posted - House, which 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.
2. S.DC.6: Initial Margin Posted - Customer, which 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.
3. S.DC.7: Initial Margin Received, which 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.
4. S.DC.8: Variation Margin Posted - House, which 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.
5. S.DC.9: Variation Margin Posted - Customer, which 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.
6. S.DC.10: Variation Margin Received, which refers to the fair value of collateral that
the reporting entity has received (total stock by applicable [Collateral Class]) from its

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counterparties as variation margin against both house and customer positions.
7. S.DC.13: Collateral Disputes Deliverables, which 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.
8. S.DC.14: Collateral Disputes Receivables, which 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.
9. S.DC.15: Sleeper Collateral Deliverables, which refers to the fair value of
unsegregated collateral that the reporting entity may be required by contract to return
to a counterparty because the collateral currently held by the reporting entity exceeds
the counterparty’s current collateral requirements under the governing contract.
10. S.DC.16: Required Collateral Deliverables, which 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.
11. S.DC.17: Sleeper Collateral Receivables, which 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.
12. S.DC.18: Derivative Collateral Substitution Risk, which 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.
13. S.DC.19: Derivative Collateral Substitution Capacity, which 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.
14. S.DC.20: Other Collateral Substitution Risk, which 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.
15. S.DC.21: Other Collateral Substitution Capacity, which 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.
16. S.L.1: Subsidiary Liquidity That Cannot be Transferred, which 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).
17. S.L.3: Unencumbered Asset Hedges - Early Termination Outflows, which refers to all
cash outflows that would arise from the early termination of a hedge associated with

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eligible HQLA, as defined in the LRM Standards, reported in the Inflows-Assets
table.
18. S.L.4: Non-Structured Debt Maturing in Greater than 30-days - Primary Market
Maker, which refers to the debt security buyback outflow amount set forth in the
LRM Standards for the reporting entity’s non-structured debt issuances.
19. S.L.5: Structured Debt Maturing in Greater than 30-days - Primary Market Maker,
which refers to the debt security buyback outflow amount set forth in the LRM
Standards for the reporting entity’s structured debt issuances.
Lastly, the Board removed the following sentence from the instructions due to the
addition of a data element for the NSFR rule:
1. In the “General Guidance” paragraphs under the I.U: Inflows-Unsecured and I.S:
Inflows-Secured headings: “Exclude assets that secure Covered Federal Reserve
Facility Funding.”
The Board determined that these revisions to the FR 2052a should be implemented with
an effective date of May 1, 2022, for banking organizations subject to Category I standards and
October 1, 2022, for banking organizations subject to Category II-IV standards, which would
provide banking organizations with sufficient time to update their internal reporting processes
and systems.
Time Schedule for Information Collection
For U.S. Banking Organizations:
U.S. banking organizations that are identified as (1) global systemically important bank
holding companies, (2) banking organizations subject to Category II standards, or (3) banking
organizations subject to Category III standards with average weighted short-term wholesale
funding of $75 billion or more must submit a report on each business day.
U.S. banking organizations that are identified as (1) banking organizations subject to
Category III standards with average weighted short-term wholesale funding of less than $75
billion, or (2) banking organizations subject to Category IV standards must submit a report
monthly.
For Foreign Banking Organizations:
Foreign banking organizations identified as (1) foreign banking organizations subject to
Category II standards, or (2) foreign banking organizations subject to Category III standards
with average weighted short-term wholesale funding of $75 billion or more must submit a
report on each business day.
Foreign banking organizations identified as (1) foreign banking organizations subject to
Category III standards with average weighted short-term wholesale funding of less than $75
billion, or (2) foreign banking organizations subject to Category IV standards must submit a
report monthly.
The revisions will not affect the time schedule of the FR 2052a. Consistent with current

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supervisory authority and processes, the Board, during periods of stress, may temporarily
require FR 2052a liquidity data from monthly filers on a more frequent basis.
Public Availability of Data
In general, data from the FR 2052a are confidential and are not publicly available. In
limited circumstances, aggregate data for multiple respondents, which do not reveal the identity
of any individual respondent, may be released.
Legal Status
The information collection under the FR 2052a is authorized by section 5 of the Bank
Holding Company Act of 1956 (BHC Act) (12 U.S.C. § 1844), section 8 of the International
Banking Act of 1978 (IBA) (12 U.S.C. § 3106), section 10 of the Home Owners’ Loan Act
(HOLA) (12 U.S.C. § 1467a), and section 165 of the Dodd-Frank Wall Street Reform and
Consumer Protection Act (Dodd-Frank Act) (12 U.S.C. § 5365). Section 5(c) of the BHC Act
authorizes the Board to require bank holding companies to submit reports to the Board regarding
their financial condition. Section 8(a) of the IBA subjects foreign banking organizations to the
provisions of the BHC Act. Section 10 of the HOLA authorizes the Board to require reports and
examine savings and loan holding companies. Section 165 of the Dodd-Frank Act requires the
Board to establish prudential standards for certain bank holding companies and foreign banking
organizations; these standards include liquidity requirements. The FR 2052a is mandatory.
The information collected on the FR 2052a is collected as part of the Board’s supervisory
process. Therefore, such information is entitled to confidential treatment under exemption 8 of
the Freedom of Information Act (FOIA) (5 U.S.C. § 552(b)(8)). Additionally, to the extent a
respondent submits nonpublic commercial or financial information in connection with the
FR 2052a, which is both customarily and actually treated as private by the respondent, the
respondent may request confidential treatment pursuant to exemption 4 of the FOIA (5 U.S.C. §
552(b)(4)).
Consultation Outside the Agency
The Board consulted with the FDIC and OCC in development of the NSFR rule, which
included corresponding revisions to the FR 2052a.
Public Comments
On March 29, 2021, the Board published an initial notice in the Federal Register (86 FR
16365) requesting public comment for 60 days on the extension, with revision, of the FR 2052a.
The comment period for this notice expired on May 28, 2021. The Board received six comments:
three from trade associations, one from a group of banking organizations, and two from
individual banking organizations. Board staff also conducted two follow-up calls, one with a
trade association and another with the trade association along with banking organizations, to
better understand their concerns and recommendations.

11

Comments Related to Effective Date
Several commenters requested an extension of the proposed effective date of July 1,
2021. Some of these commenters suggested a phased-in approach that would require the
reporting of FR 2052a data elements related to the NSFR rule earlier than FR 2052a data
elements not related to the NSFR rule.9 Other commenters requested a later effective date for
banking organizations that are not subject to the NSFR rule. The Board is finalizing the effective
date of the revised FR 2052a as May 1, 2022, for banking organizations subject to Category I
standards and October 1, 2022, for banking organizations subject to Category II-IV standards.
These effective dates are tailored to the risks of large banking organizations, with an earlier
effective date applying to the largest and most complex banking organizations and a later
effective date applying to banking organizations with less risk. In addition, these effective dates
will provide banking organizations with sufficient time to update their internal reporting
processes and systems and facilitate the monitoring and accurate collection of FR 2052a data
elements by the Board.
Comments Related to Submission Timing
Commenters raised concerns that the different submission cycles for various proposed
FR 2052a data elements would increase burden and cause confusion, as banking organizations
would be required to submit different FR 2052a data elements either daily, monthly, or quarterly
and with different time lags (for example, T+2 business days, T+10 calendar days, or T+15
calendar days) based on criteria specified in the FR 2052a. One commenter also argued that the
FR 2052a data elements required to be submitted on a monthly and quarterly submission cycle
should be reported based on business days rather than calendar days.
The Board is finalizing the submission timing for the FR 2052a data elements as
proposed. The timeliness of data is critical to effective liquidity monitoring and basing the
submission of monthly and quarterly FR 2052a data elements on a business day cadence would
impede the Board’s ability to effectively monitor the liquidity risks of banking organizations.
Moreover, the approach the Board is taking is consistent with the current requirement for
monthly filers of the FR 2052a to report data on a calendar day cadence. In addition, the Board
has the authority to require banking organizations to report FR 2052a data elements more
frequently or with less delay when necessary (for example, during periods of market stress).
Banking organizations that build reporting processes based on a rigid and lengthy data
production cycle may struggle to provide data more frequently or with less delay in these
scenarios. Thus, to mitigate burden, the final FR 2052a instructions clarify that data elements
that are reported based on calendar days are due on the next good business day if the calendar
day submission deadline falls on a weekend or holiday.
Additionally, commenters requested clarification regarding (1) how the Board plans to
use the FR 2052a to monitor NSFR rule compliance, (2) which FR 2052a data elements should
be used to fulfill NSFR rule public disclosure requirements, and (3) the reporting approach for
FR 2052a data elements on a monthly or quarterly submission cycle. Specifically, commenters
9

For example, commenters suggested April 1, 2022, for revisions to the FR 2052a related to the NSFR rule and
October 1, 2022, for all other revisions.

12

asked whether banking organizations that submit FR 2052a data elements daily would need to
submit static monthly FR 2052a data elements each business day using data from the previous
month end, prior to the required monthly refresh of these data elements. Commenters also asked
whether banking organizations should update previously submitted balances of daily FR 2052a
data elements with the same as of date when filing their monthly FR 2052a data elements, and
whether these monthly FR 2052a data elements should be based on the final or estimated monthend balance sheet. Commenters further noted that some required FR 2052a data elements may
not be available at the submission frequency required by the proposed FR 2052a. In particular,
commenters observed that the risk weights that are needed for reporting certain FR 2052a data
elements are generally reported on a quarterly basis for purposes of existing regulatory reports.
The Board will use the FR 2052a to calculate a banking organization’s NSFR in
accordance with Appendix VIII10 and may conduct sensitivity analyses on an ongoing basis to
estimate the banking organization’s compliance with the NSFR rule requirements. Data collected
via the FR 2052a also inform the Board’s supervisory assessment of a banking organization’s
liquidity position and funding stability. Although there may be challenges associated with
providing certain FR 2052a data elements daily, a banking organization must follow the
FR 2052a and NSFR rule public disclosure requirements to ensure supervisors have sufficient
information to monitor and assess funding risks and to ensure the accuracy of information
disclosed to the public, where applicable.
Further, the NSFR rule public disclosure requirements, which are based on daily
averages, are independent of and not modified by the FR 2052a. The Board is allowing banking
organizations to report certain FR 2052a data elements less frequently than daily, as banking
organizations have less time to compile, validate, and submit these data elements compared to
the NSFR rule public disclosures, which are reported publicly on a semi-annual basis and
disclosed with a longer delay. Nonetheless, banking organizations can choose to align the
submission cycles of FR 2052a data elements by submitting the T+10 or T+15 FR 2052a data
elements prior to their submission deadlines, provided that they have the capability to accurately
produce the data.
With respect to the FR 2052a data elements that are submitted less frequently (that is,
monthly for daily filers or quarterly for certain monthly filers) and with a T+15 time lag, the
Board is requiring banking organizations to report the information as of the end of the
submission cycle, and not for each business day. The Board is not requiring banking
organizations to re-submit FR 2052a data elements that must be submitted daily or with less
delay in tandem with FR 2052a data elements that are submitted less frequently and with longer
delay. However, the Board is requiring banking organizations to re-submit previously submitted
FR 2052a data elements that contain material errors. In addition, the Board is requiring banking
organizations to report FR 2052a data elements in accordance with the submission cycles
required by the FR 2052a and NSFR rule public disclosure requirements, even if related data are
currently reported less frequently and with less granularity on other regulatory reports (for
example, the risk weights of a banking organization’s exposures are reported quarterly). In the
case of risk weights that are needed for daily or monthly FR 2052a data elements, the Board does
not anticipate material variation on an intra-quarter basis since these are standardized parameters.
10

Appendix VIII maps FR 2052a data elements to the NSFR rule requirements.

13

Comments Related to Balance Sheet Reconciliation and Validation Checks
Some commenters expressed concern with the lack of alignment between the reporting of
FR 2052a data elements and the balance sheet under U.S. generally accepted accounting
principles (U.S. GAAP), and asserted that the proposed FR 2052a approach (that is, through
FR 2052a data element field “S.B.6: Carrying Value Adjustment”) to align the two would be
overly burdensome. Commenters noted that banking organizations would incur significant
additional burden due to the complexity and granularity required to tie FR 2052a data elements
to the U.S GAAP balance sheet. One commenter proposed an alternative approach that would
add a field for carrying value for each table in the FR 2052a.
Relatedly, commenters requested guidance on how banking organizations are expected to
reconcile their U.S. GAAP balance sheet with the FR 2052a. These commenters requested a
comprehensive list of FR 2052a data elements and how those elements map to the U.S. GAAP
balance sheet. Commenters also requested clarification regarding how banking organizations
should report reconciliations between settlement date positions, on which the FR 2052a is
primarily based, and trade date positions, on which parts of the U.S. GAAP balance sheet are
based. In addition, to assist with reconciling the FR 2052a with U.S. GAAP balance sheet
reporting, commenters recommended that the Board provide a list of validation checks and
checks with other regulatory reports to ensure the accuracy and reasonableness of data
submissions. One commenter also requested that the Board provide a new list of edit checks.
The Board is finalizing the FR 2052a data elements designed to align the FR 2052a with
a U.S. GAAP balance sheet (that is, through FR 2052a data element field “S.B.6: Carrying Value
Adjustment”) as proposed. The Board clarifies that the FR 2052a does not require a banking
organization to report carrying value adjustments at the transaction level. Instead, these carrying
value adjustments may be aggregated and reported at a level sufficient for the Board to monitor
and assess the adequacy of a banking organization’s asset liquidity and funding stability. Hence,
banking organizations may generally apply these carrying value adjustments at the FR 2052a
product11 and counterparty level. However, banking organizations that are subject to the NSFR
rule must apply these carrying value adjustments at a level sufficient to align these adjustments
with the applicable NSFR rule provisions, as mapped in Appendix VIII. Banking organizations
should adopt reasonable assumptions and methodologies to facilitate alignment of these
adjustments with the associated underlying FR 2052a data elements. The Board is not adopting
the approach recommended by a commenter to add a carrying value field to each applicable
FR 2052a table, as this approach would be more burdensome than the approach the Board is
adopting (for example, by explicitly requiring banking organizations to report carrying values at
a transaction level).
Further, the FR 2052a does not require banking organizations to wholly reconcile
FR 2052a data elements to the details reported on a U.S. GAAP balance sheet. Rather, the
FR 2052a requires banking organizations to report data that conceptually cover the entirety of
their balance sheet exposures and certain off-balance sheet exposures in a manner sufficient to
11

The FR 2052a uses product definitions to provide guidance on the classification of inflows, outflows, and
supplemental items. An example of a product is “I.A.1: Unencumbered Assets” under the category “I.A: InflowsAssets.”

14

measure funding stability and asset liquidity. Banking organizations subject to the NSFR rule
should refer to Appendix VIII, which reflects the level at which the Board requires the FR 2052a
to align with a U.S. GAAP balance sheet and includes methods to reconcile between trade date
and settlement date accounting. Board staff will coordinate with each banking organization not
subject to the NSFR rule to determine the appropriate level to reconcile the FR 2052a reporting
requirements with U.S. GAAP balance sheet reporting requirements, commensurate with each
banking organization’s size, complexity, and risk profile.
Additionally, FR 2052a validation checks have historically been implemented following
the finalization of changes to the FR 2052a, as developing new validation checks benefits from
interactions with banking organizations on technical issues. Moreover, the Board expects
banking organizations to independently develop appropriate validation checks and controls to
ensure the quality and integrity of submitted data.
Comments on Data Fields Unrelated to LRM Standards
One commenter argued that certain FR 2052a data fields that are unrelated to liquidity
risk management should be removed, including the “G-SIB” field, “Fixed Income Clearing
Corporation (FICC)” settlement specification, “Collateral Level” field, identification of total loss
absorbing capacity (TLAC) instruments in the “Loss Absorbency” field, “Accounting
Designation” field, and “Business Line” field. Similarly, commenters asserted that the Board
should not adopt the proposed expansions of certain FR 2052a data fields, such as the
counterparty and collateral class data fields, as these expansions are not necessary to implement
the NSFR and LCR rules.
The Board is finalizing these aspects of the FR 2052a as proposed. The Board uses the
FR 2052a to collect data in support of its supervisory mandates, including monitoring the
microprudential and financial stability risks associated with large banking organizations’ asset
and liability profiles. These new FR 2052a data fields play an important role in the Board’s
monitoring of these risks.
For example, the “G-SIB” field, which identifies data elements where the underlying
counterparty is a G-SIB, captures necessary information for monitoring potential
interdependencies between G-SIBs that could be a channel for the transmission of systemic
funding risks. It also provides visibility into interdependencies with non-U.S. G-SIBs, including
exposures in the U.S. capital markets that are booked through non-U.S. affiliates or otherwise
less transparent to the Board. The Board notes that there is significant precedent for the
collection of counterparty data in regulatory reports and through supervisory monitoring.
The “FICC” settlement specification identifies repurchase and reverse repurchase
transactions (repo-style transactions) cleared and novated to the FICC. These transactions
represent a material and critical segment of the repo-style transactions market, and accordingly
the FICC settlement specification provides substantial insight into banking organization-specific
and banking system-wide liquidity risks in this market segment. Understanding a banking
organization’s repo-style transactions cleared through FICC could have significant implications
for the Board’s supervisory assessments of the banking organization’s strategies to obtain

15

liquidity from HQLA and any associated financial stability implications. In addition, an
understanding of how a banking organization’s repo-style transactions are settled, including
through FICC, would help the Board to assess the risks of a banking organization’s repo-style
transactions and access to funding markets. Further, reporting a banking organization’s
relationship with a central counterparty such as FICC by name is less sensitive compared to
reporting a banking organization’s relationship with a commercial counterparty by name.
Finally, introducing the FICC settlement specification addresses ambiguities in the current
FR 2052a instructions regarding the classification of repo-style transactions that may be cleared
and net settled with FICC, but may individually originate through both bilateral and triparty
settlement mechanisms.
The “Collateral Level” field is used to differentiate the derivative asset and liability
values and the balances of variation margin posted and received for all derivative contracts. This
field is required for banking organizations to determine the extent to which variation margin
posted and received is eligible for netting under the NSFR rule. This field is referenced in
Appendix VIII, which maps the FR 2052a to the applicable NSFR rule provisions.
The information collected in the “Loss Absorbency” field is required to distinguish
between tier 2 capital instruments and other long-term liabilities. The TLAC indicator is a
natural extension of the “Loss Absorbency” field and distinguishes TLAC instruments from
other long-term liabilities. This indicator also provides insight into the composition of a banking
organization’s capital markets debt issuances that is critical to monitoring the execution of its
funding strategy. Moreover, TLAC instruments are typically issued with early call options that
are not deemed to be exercised when determining the maturity of these instruments for purposes
of the LCR and NSFR rules. These call options could introduce sudden and unexpected liquidity
needs during a period of stress. An indicator that clearly identifies TLAC instruments enables
supervisory monitoring of risks associated with these potential liquidity needs, as the call dates
of TLAC instruments are relatively standardized.
The “Accounting Designation” field differentiates a banking organization’s
unencumbered inventory based on its designated treatment for accounting purposes. The data
collected in the “Accounting Designation” field provide information about potential constraints
to a banking organization’s liquidity buffer management strategies. Classification of assets as
Held-to-Maturity has significant implications on a banking organization’s possible channels for
obtaining liquidity from those assets. This field also facilitates reconciliation to other regulatory
reports.
The “Business Line” field designates the business line responsible for or associated with
all applicable exposures reported on the FR 2052a. The information collected in the “Business
Line” field helps the Board in conducting reviews of banking organizations’ internal liquidity
stress tests (ILSTs) required under the Board’s Regulation YY and Regulation LL, since a key
factor in a banking organization’s own assessment of its liquidity risk for certain transactions can
be the line of business in which these transactions are managed. Appropriately, this field only
applies to the largest and most complex banking organizations, where distinguishing transactions
by business lines is particularly important given the breadth and complexity of their operations.
This information also enhances supervisory coordination with banking organizations, as it will

16

provide a mechanism to align certain data collected in regulatory reports with the banking
organization’s ILST results and other internal management information systems. Further, the
current FR 2052a instructions already capture limited business line information by requiring a
banking organization to differentiate between exposures that are associated with its prime
brokerage operations versus other exposures. Therefore, the “Business Line” field is an
expansion of the current reporting requirement for banking organizations subject to Category I
standards and not a new reporting requirement. Moreover, the Board is providing relief to
banking organizations subject to Category II-IV standards by removing the reporting
requirement to designate transactions associated with prime brokerage business lines.
Additionally, banking organizations should not incur significant burden in implementing this
field, as the “Business Line” field only requires banking organizations to designate the existing
business lines in which a particular transaction is managed and does not create new regulatory
categories.
The Board is adding more granular counterparty types to the counterparty class data field
because the current definitions do not provide for mutually exclusive categories of financial
counterparties. These changes fully align with the financial counterparty types specified in
Regulation WW - Liquidity Risk Measurement Standards (12 CFR Part 249),12 and do not create
counterparty types beyond these existing defined terms. More granular knowledge of the types of
financial counterparties facing a banking organization would assist the Board in understanding a
banking organization’s liquidity risks, as different types of financial counterparties may exhibit
meaningfully different behavioral responses to a liquidity stress event or have different
implications on a banking organization’s decision-making around franchise and reputational
risks.
The expansion of the collateral class data field, which identifies the types of collateral for
relevant FR 2052a data elements, recognizes that the liquidity characteristics of exchange traded
funds (ETFs) and mutual funds can be different from the individual securities or assets that
underlie the ETF or mutual fund. ETFs can also play a significant role in the funding strategies
of banking organizations that engage in dealing activities, such as providing financing to and
acting as an intermediary for the trading activities of their clients. Additionally, the Board is
expanding the collateral class data field to include equity investments in subsidiaries because
information about these equity investments is required to construct an accurate view of a banking
organization’s balance sheet and can be necessary to calculate the NSFR.
Comments Related to Banking Organizations not Subject to the NSFR Rule
Several commenters argued that certain banking organizations, including foreign banking
organizations, should not be required to report FR 2052a data elements that are related to the
NSFR rule (NSFR-related FR 2052a data elements) for a material entity if the material entity is
not subject to the NSFR rule. Some commenters argued that foreign banking organizations
should not be required to report NSFR-related FR 2052a data elements for material entities that
are part of its combined U.S. operations but not subject to the NSFR rule (such as a U.S. branch
that is not required to be held under a foreign banking organization’s U.S. intermediate holding
company (IHC)). In this case, commenters argued that foreign banking organizations should
12

See 12 CFR 249.3.

17

report the NSFR-related FR 2052a data elements only for their IHCs. Additionally, one
commenter requested the Board to differentiate between the category of standards applicable to a
foreign banking organization’s IHC and its combined U.S. operations under Regulation YY to
avoid misinterpretation of requirements for reporting NSFR-related FR 2052a data elements and
to align the FR 2052a instructions with the tailoring final rules.
The Board is clarifying that certain banking organizations, including foreign banking
organizations, may provide certain NSFR-related FR 2052a data elements (for example,
FR 2052a data element field “S.L.10: Net Stable Funding Ratio”) exclusively at the level of the
material entity that is subject to the NSFR rule. Other NSFR-related FR 2052a data elements (for
example, FR 2052a data element field “S.B.1 Regulatory Capital Element”) would be required to
be reported by a banking organization for material entities not subject to the NSFR rule to assist
the Board in assessing the banking organization’s funding risks under a range of market
conditions, as an adequate assessment requires an understanding of these risks at a legal entity
level. However, after considering the commenter’s request to differentiate on the basis of the
category of standards applicable to a foreign banking organization’s IHC and its combined U.S.
operations under Regulation YY, the Board is amending the FR 2052a instructions to base the
reporting of certain NSFR-related FR 2052a data elements on the scope of application of the
Board’s LRM Standards. Therefore, a foreign banking organization’s requirements with respect
to these NSFR-related FR 2052a data elements would be based on its IHC’s category of
standards under Regulation YY, where applicable. As an example, a foreign banking
organization would not need to provide the NSFR-related FR 2052a data elements in the “S.L:
Supplemental-Liquidity Risk Measurement (LRM)” table for its U.S. branches.
Comments Related to Leveraging Existing Regulatory Reports
One commenter recommended that the Board should leverage existing regulatory reports,
when possible, to collect NSFR-related FR 2052a data elements. This commenter pointed out
several comparable data elements in the FR 2052a and FR Y-9C reports as examples. The Board
has leveraged existing data from other regulatory reports to the extent possible, but the data
provided in other regulatory reports do not consistently align with the FR 2052a data elements
and would not provide the same granularity as the NSFR-related FR 2052a data elements.
Although the FR Y-9C data elements and related FR 2052a data elements cited by the
commenter share some characteristics, the FR 2052a data elements have unique features and
greater granularity requirements to provide the Board with the necessary insight into a banking
organization’s balance sheet funding risks.
Other Comments Received
Commenters also raised a number of requests for technical clarifications and
recommendations pertaining to the FR 2052a instructions, as listed below.
One commenter asked whether resubmissions of a FR 2052a report that was filed prior to
the effective date of the revised FR 2052a would be based on FR 2052a requirements as of the
filing date, or whether such resubmissions would need to incorporate changes made in the
revised FR 2052a. The Board is clarifying that resubmissions of the FR 2052a must be based on

18

the FR 2052a requirements as of the original filing date. However, the Board will only require
banking organizations to resubmit data using the FR 2052a requirements as of a filing date prior
to the effective date of the revised FR 2052a for up to 180 days after this effective date.
The same commenter requested clarification regarding how banking organizations should
map the proposed FR 2052a maturity time buckets to the NSFR rule’s standardized maturity
buckets used for the application of certain NSFR parameters. The Board is amending the
proposed FR 2052a maturity time buckets to match the NSFR rule’s standardized maturity
buckets. The commenter also asked how the proposed FR 2052a effective maturity buckets are to
be applied to tables other than the “I.S: Inflows-Secured” table. Effective maturity buckets must
be used to designate the period of encumbrance for assets that have been pledged to secure other
assets. These assets include unsecured loans reported in the “I.U: Inflows-Unsecured” table or
securities reported in the “I.A: Inflows-Assets” table. The commenter also asked how banking
organizations should treat products that have both evergreen and extendable features (for
example, a contract with an option to extend its maturity that also requires a minimum number of
days’ notice before the contract can mature). Banking organizations should use the “Evergreen”
maturity optionality designation for products with both evergreen and extendable features. The
commenter also asked for an example of an asset that would fall within the “Not Accelerated”
maturity optionality designation. Examples include where a banking organization holds an option
to accelerate the maturity of an asset, or where the banking organization holds an option to
accelerate the maturity of a liability with an original maturity of more than one year but the
option is not exercisable for the first six months.
The same commenter also asked the Board to clarify the distinction between the “IG-2Q” collateral class, which refers to investment grade municipal obligations, and the “IG-2”
collateral class, which refers to investment grade U.S. municipal general obligations. The Board
is clarifying that the “IG-2” collateral class includes only general obligations and the “IG-8”
collateral class includes all other municipal obligations. The “IG-2-Q” collateral class includes
investment grade municipal obligations that are liquid and readily marketable and that qualify as
level 2B HQLA.
One commenter asked the Board to allow banking organizations to provide general
descriptions of the “Other” FR 2052a data element fields monthly as opposed to daily. After
considering the commenter’s request regarding the frequency of reporting general descriptions of
the “Other” FR 2052a data element fields, the Board is amending the instructions to require
monthly reporting of these general descriptions.
The commenter also asked for examples of assets that should be reported in the FR 2052a
data element field “I.A.7: Encumbered Assets.” Examples of assets that should be reported in the
FR 2052a data element field “I.A.7: Encumbered Assets” include, without limitation, securities
owned by a banking organization that are pledged to a repo-style transaction, loan, or derivative
transaction. The commenter further requested clarification on the types of assets in the “S.DC:
Supplemental-Derivatives & Collateral” table that require the reporting of an encumbrance type.
The Board is clarifying that the encumbrance type field is only required in circumstances where
assets held or received by the banking organization have been encumbered to other transactions
or exposures. On this basis, the FR 2052a data element fields “S.DC.1: Gross Derivative Asset

19

Values,” “S.DC.7: Initial Margin Received,” and “S.DC.10: Variation Margin Received” can
require the assignment of an encumbrance type.
The commenter asked whether the collateral class designation of “Y-4,” which refers to
equity investment in affiliates, for the FR 2052a data element field “O.O.19: Interest &
Dividends Payable” would apply to only inter-affiliate dividends or all dividends. The Board is
clarifying that the designation applies to all dividends. A question was also asked regarding how
banking organizations should report the maturity amount of a secured financing transaction
where they have elected the fair value option for accounting purposes. The Board is clarifying
that the maturity amount must reflect the cash settlement obligation of the secured financing
transaction. Banking organizations must also use the FR 2052a data element field “S.B.6:
Carrying Value Adjustment” to align the maturity amount with the balance sheet carrying value
based on the fair value option election.
The commenter also asked questions related to a banking organization’s capacity to
engage in collateral substitution for purposes of the FR 2052a data element field “S.DC.21:
Other Collateral Substitution Capacity.” The commenter asked whether banking organizations
could include encumbered assets that would become unencumbered after the first good business
day. In response, the Board is clarifying that banking organizations may disclose additional
collateral substitution capacity based on assets that will become unencumbered following the
first good business day if they specify the exact date upon which the assets will become
unencumbered. The commenter also asked whether banking organizations could disclose
capacity based on the ability to borrow assets from affiliates if the standalone reporting entity did
not have assets to substitute. The Board is clarifying that a standalone reporting entity may
disclose capacity to the extent that the assets are held by the standalone reporting entity or its
subsidiaries. Therefore, while a consolidated standalone reporting entity may consider the ability
to transfer assets among its consolidated subsidiaries for purposes of the “S.DC.21: Other
Collateral Substitution Capacity” FR 2052a data element field, it should not consider the ability
to transfer assets between affiliates that are not its consolidated subsidiaries. The commenter also
asked for an example on quantifying collateral substitution capacity, taking into account the LCR
rule haircuts between assets received and assets pledged. As an example, if a banking
organization has posted $25 of U.S. Treasury securities and could substitute those U.S. Treasury
securities with sufficient non-HQLA to fully collateralize the liability to which the U.S. Treasury
securities were pledged, the reportable value would be $25. If, alternatively, the liability would
require $30 of level 2B HQLA, the capacity would be calculated as: $25 (U.S. Treasury
securities) * 100% - $30 (level 2B HQLA) * 50% = $25 - $15 = $10.
The commenter further requested clarification on whether banking organizations could
exclude from their required stable funding (RSF) amount13 subsidiary liquidity that cannot be
transferred under the LCR rule. The Board is clarifying that banking organizations cannot
exclude such subsidiary liquidity. As the FR 2052a data element field “S.L.1: Subsidiary
Liquidity That Cannot Be Transferred” refers to the LCR rule, it does not factor into NSFR
calculations.

13

See 12 CFR 249.105 for the calculation of the RSF amount.

20

In addition, the commenter asked whether non-cash items should be included in the
FR 2052a data element fields “S.B.2: Other Liabilities” and “S.B.4: Other Assets.” The Board is
clarifying that these two FR 2052a data element fields should reflect all other assets and
liabilities that are (1) not otherwise reported in other FR 2052a data elements, (2) reportable
under U.S. GAAP, and (3) within the scope of the NSFR rule, regardless of whether these assets
or liabilities are cash or non-cash items.
The commenter also requested clarification with respect to the FR 2052a data element
field “S.B.5: Counterparty Netting.” Specifically, the commenter asked whether banking
organizations should follow U.S. GAAP or the NSFR rule. The Board is clarifying that banking
organizations are required to follow the NSFR rule. The Board believes that requiring banking
organizations to follow the NSFR rule when filing the FR 2052a is appropriate, as the Board will
use information collected through the FR 2052a to monitor compliance with the NSFR rule in
addition to evaluating the liquidity and funding risks of banking organizations. The commenter
also asked whether amounts reported under the FR 2052a data element field “S.B.5:
Counterparty Netting” could be excluded from the FR 2052a data element field “S.B.6: Carrying
Value Adjustment.” The Board is clarifying that the FR 2052a data element fields “S.B.5:
Counterparty Netting” and “S.B.6: Carrying Value Adjustment” are mutually exclusive;
therefore, amounts reported under the FR 2052a data element field “S.B.5: Counterparty
Netting” must be excluded from amounts reported under FR 2052a data element field “S.B.6:
Carrying Value Adjustment.”
The commenter also asked the Board to confirm that currency is not a required field in
“Appendix I: FR 2052a Data Format, Tables, and Fields.” The Board is confirming that currency
is a required field. The currency and converted fields are not displayed for each value field in this
appendix to simplify its visual representation of the FR 2052a data structure.
The Board is also revising the FR 2052a instructions to correct typographical errors, align
the FR 2052a with previously issued FAQs, or remove certain FR 2052a data elements as the
Board no longer considers those items to be critical to monitoring the liquidity and funding risks
of banking organizations and across the entire banking system by:
• Removing interest receivable from the products reportable in the “I.U: InflowsUnsecured” table,
• Changing “I.O.6: Interest and Dividends Receivable” so that the counterparty to be
reported is the payor of the interest,
• Changing the definition of an operational escrow account, found in “O.D.7: Operational
Escrow Accounts,” to match the definition provided in Question 5 of the FR 2052a FAQ
Volume 12,
• Updating the “other cash” reference in “I.A.3: Unrestricted Reserve Balances” to refer to
“Currency and Coin,”
• Removing “I.U.8: Unposted Debits,” and
• Completing the instructions to “S.L.9: Additional Funding Requirement for Off-Balance
Sheet Rehypothecated Assets” by adding the phrase “has been rehypothecated.”
A commenter requested clarification with respect to the reporting of certain secured
financing transactions, including the process of netting in cases where the collateral value

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exceeds the netted on-balance sheet cash leg and the collateral potentially consists of more than
one instrument. Relatedly, the commenter asked how banking organizations should allocate the
RSF factors14 to a netting set of secured financing transactions where the netting set includes
reverse repurchase transactions and the collateral received consists of assets that have different
RSF factors. Additionally, the commenter asked the Board to confirm a “look-through” approach
for the reporting of an asset exchange transaction where the asset sourced through the asset
exchange transaction is used as initial margin in a derivatives transaction. Under the
commenter’s proposed “look-through” approach, a banking organization would not be required
to reflect an RSF requirement for both the asset pledged in the asset exchange transaction and the
initial margin. The commenter also asked how the FR 2052a encumbrance type designation
should apply to off-balance sheet collateral that is not used in a transaction that results in an
NSFR liability.15
The Board notes that the FR 2052a provides clear instructions regarding the reporting of
secured financing transactions, asset exchange transactions, and the encumbrance type
designation. Additionally, the information collected through the FR 2052a regarding these types
of transactions and the encumbrance type designation provides the Board with important insights
into banking organization-specific and banking system-wide liquidity and funding risks.
Therefore, these aspects of the FR 2052a instructions remain unchanged. Additionally, the
commenter’s requests for clarification involve, in part, interpretations of the NSFR rule. The
Board typically responds to interpretative questions concerning its regulations in another forum
and questions regarding interpretations of the NSFR rule should be emailed to [email protected].
The Board received several comments related to the mapping appendices associated with
the FR 2052a. The Board will respond to these inquiries in a different forum, as the mapping
appendices do not represent FR 2052a instructions.
On December 1, 2021, the Board published a final notice in the Federal Register (86 FR
68254).
Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FR 2052a is
862,440 hours, and would increase to 873,712 hours with the revisions. The increase in
estimated annual burden hours is primarily driven by one-time implementation costs of the
proposed items. After implementation, estimated total annual burden will be 866,502 hours.
These reporting requirements represent approximately 11.5 percent of the Board’s total
paperwork burden.

14

RSF factors are assigned in 12 CFR 249.106.
An NSFR liability generally includes liabilities that are reported on a banking organization’s balance sheet that are
not excluded from the banking organization’s regulatory capital. See 12 CFR 249.3.
15

22

Estimated
Estimated
Estimated
Annual
number of
average hours annual burden
frequency
respondents16
per response
hours

FR 2052a
Current
Monthly
Daily

26
15

12
250

120
220

37,440
825,000
862,440

26
26
15
15

12
1
250
1

121
140
221
238

37,752
3,640
828,750
3,570
873,712

Current Total
Proposed
Monthly
Monthly (One-time)
Daily
Daily (One-time)
Proposed Total
Change

11,272

The estimated total annual cost to the public for the FR 2052a is $51,013,326, and would
increase to $51,680,065 with the revisions.17
Sensitive Questions
These collections of information contain no questions of a sensitive nature, as defined
by OMB guidelines.
Estimate of Cost to the Federal Reserve System
The estimated cost to the Federal Reserve System for collecting and processing th is
report is $532,800.

16

Of these respondents, none are considered small entities as defined by the Small Business Administration (i.e.,
entities with less than $600 million in total assets), https://www.sba.gov/document/support--table-size-standards.
17
Total cost to the public was estimated using the following formula: percent of staff time, multiplied by annual
burden hours, multiplied by hourly rates (30% Office & Administrative Support at $20, 45% Financial Managers at
$73, 15% Lawyers at $72, and 10% Chief Executives at $95). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages
May 2020, published March 31, 2021, https://www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined
using the BLS Standard Occupational Classification System, https://www.bls.gov/soc/.

23