[Federal Register Volume 80, Number 221 (Tuesday, November 17, 2015)]
[Notices]
[Pages 71795-71801]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-29348]


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FEDERAL RESERVE SYSTEM


Agency Information Collection Activities: Announcement of Board 
Approval Under Delegated Authority and Submission to OMB

AGENCY: Board of Governors of the Federal Reserve System.

SUMMARY: Notice is hereby given of the final approval of a proposed 
information collection by the Board of Governors of the Federal Reserve 
System (Board) under Office of Management and Budget (OMB) delegated 
authority. Board-approved collections of information are incorporated 
into the official OMB inventory of currently approved collections of 
information. Copies of the Paperwork Reduction Act Submission, 
supporting statement and approved collection of information instruments 
are placed into OMB's public docket files. The Federal Reserve may not 
conduct or sponsor, and the respondent is not required to respond to, 
an information collection that has been extended, revised, or 
implemented on or after October 1, 1995, unless it displays a currently 
valid OMB control number.

FOR FURTHER INFORMATION CONTACT: Federal Reserve Board Clearance 
Officer--Nuha Elmaghrabi--Office of the Chief Data Officer, Board of 
Governors of the Federal Reserve System, Washington, DC 20551 (202) 
452-3829. Telecommunications Device for the Deaf (TDD) users may 
contact (202) 263-4869, Board of Governors of the Federal Reserve 
System, Washington, DC 20551.
    OMB Desk Officer--Shagufta Ahmed--Office of Information and 
Regulatory Affairs, Office of Management and Budget, New Executive 
Office Building, Room 10235, 725 17th Street NW., Washington, DC 20503.
    Final approval under OMB delegated authority of the extension for 
three years, with revision, of the following information collection:
    Report titles: The Complex Institution Liquidity Monitoring Report 
(FR 2052a) and the Liquidity Monitoring Report (FR 2052b).
    Agency form numbers: FR 2052a and FR 2052b.
    OMB control number: 7100-0361.
    Frequency: FR 2052a: Daily or monthly; FR 2052b: quarterly.
    Respondents:
     FR 2052a: Bank holding companies and savings and loan 
holding companies subject to the liquidity coverage ratio (together, 
U.S. firms) with total assets of $700 billion or more or with $10 
trillion or more in assets under custody; U.S. firms with total assets 
of less than $700 billion and with assets under custody of less than 
$10 trillion, but total assets of $250 billion or more or foreign 
exposure of $10 billion or more; U.S. firms with total assets of $50 
billion or more but total assets of less than $250 billion and foreign 
exposure of less than $10 billion; Foreign banking organizations (FBOs) 
that are identified as LISCC firms; FBOs with U.S. assets of $250 
billion or more that are not identified as LISCC firms; and FBOs with 
U.S. assets of $50 billion or more but U.S. assets less than $250 
billion that are not identified as LISCC firms.
     FR 2052b: U.S. bank holding companies (BHCs) not 
controlled by FBOs with total consolidated assets of $10 billion or 
more but less than $50 billion
    Estimated annual reporting hours: FR 2052a: 714,480 hours; FR 
2052b: 12,480 hours.\1\
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    \1\ With the proposed revisions, the paperwork burden for 2015 
is estimated to initially decrease, then incrementally increase for 
2016, 2017, and 2018, for an annual net increase of 266,480 hours.
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    Estimated average hours per response: FR 2052a: ranges between 120 
hours and 400 hours; FR 2052b: 60 hours.
    Number of respondents: FR 2052a: 48; FR 2052b: 52.
    General description of report: These reports are authorized 
pursuant to section 5 of the Bank Holding Company Act (12 U.S.C. 1844), 
section 8 of the International Banking Act (12 U.S.C. 3106) and section 
165 of the Dodd-Frank Act (12 U.S.C. 5365) and are mandatory, with 
voluntary early reporting on FR 2052a for U.S. firms with total 
consolidated assets of $700 billion or more or with assets under 
custody of $10 trillion or more, and FBOs identified as LISCC firms. 
Section 5(c) of the Bank Holding Company Act authorizes the Board to 
require BHCs to submit reports to the Board regarding their financial 
condition. Section 8(a) of the International Banking Act subjects FBOs 
to the provisions of the Bank Holding Company Act. Section 165 of the 
Dodd-Frank Act requires the Board to establish prudential standards for 
certain BHCs and FBOs; these standards include liquidity requirements. 
The individual financial institution information provided by each 
respondent will be accorded confidential treatment under exemption 8 of 
the Freedom of Information Act (5 U.S.C. 552(b)(8)). In addition, the 
institution information provided by each respondent will not be 
otherwise available to the public and is entitled to confidential 
treatment under the authority of exemption 4 of the Freedom of 
Information Act (5 U.S.C. 552(b)(4)),

[[Page 71796]]

which protects from disclosure trade secrets and commercial or 
financial information.
    Abstract: The FR 2052 reports are used to monitor the overall 
liquidity profile of institutions supervised by the Federal Reserve. 
These data provide detailed information on the liquidity risks within 
different business lines (e.g., financing of securities positions, 
prime brokerage activities). In particular, these data serve as part of 
the Federal Reserve's supervisory surveillance program in its liquidity 
risk management area and provide timely information on firm-specific 
liquidity risks during periods of stress. Analysis of systemic and 
idiosyncratic liquidity risk issues are then used to inform the Federal 
Reserve's supervisory processes, including the preparation of 
analytical reports that detail funding vulnerabilities. Additionally, 
FR 2052a will allow the Federal Reserve to monitor compliance with the 
liquidity coverage ratio.
    Current Actions: On December 2, 2014, the Federal Reserve published 
a notice in the Federal Register (79 FR 71416) requesting public 
comment for 60 days on the extension, with revision, of the FR 2052a 
and FR 2052b. The comment period for this notice expired on February 2, 
2015. The Federal Reserve received eight comment letters on the 
proposed revisions to the FR 2052 reports: Two from trade associations, 
five from U.S. banking organizations, and one from an FBO. In addition, 
the Federal Reserve held several meetings with banks and trade 
associations. In general, the comments focused on scope of application, 
transition periods, timing of data submission, tailoring of the 
requirements to certain institutions, application to firms subject to 
the modified LCR, application to nonbank financial companies supervised 
by the Federal Reserve, availability of a template and mapping 
document, and other changes. The comments and responses are discussed 
in detail below. In addition, the Federal Reserve has revised the 
proposed reporting formats and instructions, as appropriate, in 
response to the technical comments received.

Detailed Discussion of Public Comments

Initially Proposed FR 2052a and FR 2052b Revisions

    The Federal Reserve initially proposed to revise the FR 2052a 
report by: (1) Modifying the firms that are required to respond, the 
applicable asset threshold, and frequency of reporting; (2) including a 
data structure that subdivides three general categories of inflows, 
outflows, and supplemental items into 10 distinct data tables; (3) 
requiring all U.S. firms with total assets of $250 billion or more or 
foreign exposure of $10 billion or more and all FBOs with total U.S. 
assets of $50 billion or more to report liquidity profiles by major 
currency for each material entity of the reporting institution; (4) 
collecting more detail regarding securities financing transactions, 
wholesale unsecured funding, deposits, loans, unfunded commitments, 
collateral, derivatives, and foreign exchange transactions; and (5) 
changing the structure of the collection to an XML format from a 
spreadsheet format.
    The Federal Reserve also initially proposed to revise the FR 2052b 
reporting panel by modifying the firms that are required to respond and 
the applicable threshold, and eliminating monthly reporting.

Initially Proposed Reporting Panel and Frequency of Submissions \2\
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    \2\ SLHCs not subject to the LCR would not have been subject to 
these reporting requirements. However, the initial proposal noted 
that through future rulemakings these institutions may be subject to 
some form of liquidity monitoring.
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    The scope of application, frequency, submission dates, and timing 
of submission that were initially proposed are shown in the following 
table.
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    \3\ For U.S. bank holidays and weekends, no positions would have 
been reported. For data that would have been reported by entities in 
international locations, if there were to be a local bank holiday, 
those entities would have submitted data using the data from the 
previous business day.
    \4\ U.S. firms would have included nonbank financial companies 
that the Financial Stability Oversight Council has determined under 
section 113 of the Dodd-Frank (12 U.S.C. 5323) shall be supervised 
by the Federal Reserve and for which such determination is still in 
effect, where the Federal Reserve has applied the requirements of 
the liquidity coverage ratio to such company by rule or order.
    \5\ These firms would have complied with the transitions set 
forth in the LCR, which requires an LCR calculation monthly starting 
in January 2015. However, these firms would not have needed to 
report on the FR 2052a until this reporting as-of date.
    \6\ These firms would have complied with the transitions set 
forth in the LCR, which requires an LCR calculation monthly starting 
in January 2015. However, these firms would not have needed to 
report on the FR 2052a until this reporting as-of date.
    \7\ The frequency of the FR 2052a monthly report could have been 
temporarily adjusted to daily on a case-by-case basis as market 
conditions and supervisory needs changed to carry out effective 
continuous liquidity monitoring. The Federal Reserve anticipated 
frequency adjustments to be a rare occurrence.
    \8\ These FBOs would have been required to have the ability to 
report on each business day. If the FBO were consolidating a U.S. 
firm that would independently have to report daily, then the FBO 
would have had to report daily. The Federal Reserve would have 
tested these FBOs for their ability to report daily.
    \9\ FR 2052b reporting requirements would not have changed for 
U.S. BHCs (not controlled by FBOs) with total consolidated assets of 
between $10 billion and $50 billion, so the frequency and as-of date 
would have been the same as it had been.

----------------------------------------------------------------------------------------------------------------
                             Reporter                            First as-of   First submission     Timing of
      Report No.           description          Frequency           date           date \3\         submission
----------------------------------------------------------------------------------------------------------------
FR 2052a..............  U.S. firms \4\     Monthly...........  \5\ 03/31/2015        04/02/2015             T+2
                         with total        Daily.............      07/01/2015        07/03/2015             T+2
                         assets >=$700
                         billion or with
                         assets under
                         custody of >=$10
                         trillion.
FR 2052a..............  U.S. firms with    Monthly...........  \6\ 07/31/2015        08/02/2015             T+2
                         total assets      Daily.............      07/01/2016        07/03/2016             T+2
                         <$700 billion
                         and with assets
                         under custody of
                         <$10 trillion
                         but, total
                         assets >=$250
                         billion or
                         foreign exposure
                         >=$10 billion.
FR 2052a \7\..........  U.S. firms with    Monthly...........      01/31/2016        02/02/2016             T+2
                         total assets
                         >=$50 billion
                         but, total
                         assets <$250
                         billion and
                         foreign exposure
                         <$10 billion.
FR 2052a..............  FBOs with U.S.     Monthly...........      03/31/2015        04/02/2015             T+2
                         assets >=$50      Daily.............      07/01/2015        07/03/2015             T+2
                         billion and U.S.
                         broker-dealer
                         assets >=$100
                         billion.
FR 2052a..............  FBOs with U.S.     Monthly...........      01/31/2016        02/02/2016             T+2
                         assets >=$50      Monthly \8\.......      07/31/2016        08/02/2016             T+2
                         billion and U.S.
                         broker-dealer
                         assets <$100
                         billion.
FR 2052b \9\..........  U.S. BHCs (not     Quarterly.........      12/31/2014        01/15/2015            T+15
                         controlled by
                         FBOs) with total
                         consolidated
                         assets of
                         between $10
                         billion and $50
                         billion.
----------------------------------------------------------------------------------------------------------------


[[Page 71797]]

    For purposes of the FR 2052 reports, a U.S. firm is 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 Federal Reserve's Regulation Y (12 CFR 225.2(c)), organized under 
the laws of the United States and excludes any bank holding company 
that is a subsidiary of a foreign banking organization (FBO). For the 
purposes of the FR 2052 reports, foreign banking organization has the 
same meaning as in section 211.21(o) of the Federal Reserve's 
Regulation K (12 CFR 211.21(o)) and includes any U.S. bank holding 
company that is a subsidiary of an FBO. The FR 2052b report only 
applies to U.S. BHCs with total consolidated assets of between $10 
billion and $50 billion that are not controlled by FBOs.

Scope of Application

    The Federal Reserve has modified the scope of application for the 
FR 2052a from the proposal, which is set forth in the table above. 
These changes will not add additional burden on any firm based on the 
proposed scope of application, and in some cases the changes may result 
in less burden. Regarding the changes, the Federal Reserve will accord 
U.S. firms and FBOs of similar size the same treatment because 
similarly situated firms should be treated in a similar manner. Second, 
the Federal Reserve will implement three categories of treatment for 
both U.S. firms and FBOs, according to the asset size of the firm and 
whether it has been identified as a LISCC firm.\10\ Firms in the first 
category, U.S. firms with total consolidated assets of $700 billion or 
more or with assets under custody of $10 trillion or more, and FBOs 
identified as LISCC firms, will be required to submit the FR 2052a 
daily. Firms in the second category will be U.S. firms with total 
assets less than $700 billion and assets under custody less than $10 
trillion, but total assets greater than or equal to $250 billion or 
foreign exposure greater than or equal to $10 billion, and FBOs with 
U.S. assets greater than or equal to $250 billion that have not been 
identified as LISCC firms. Firms in the second category will be 
required to submit the FR 2052a monthly. Firms in the third category 
will be U.S. firms with total assets less than $250 billion and foreign 
exposure less than $10 billion, but total assets greater than or equal 
to $50 billion, and FBOs with U.S. assets greater than or equal to $50 
billion but less than $250 billion that are not identified as LISCC 
firms. Firms in the third category will be required to submit the FR 
2052a monthly and will be granted additional time to submit the report.
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    \10\ A list of the LISCC firms can be found at  http://www.federalreserve.gov/bankinforeg/large-institution-supervision.htm.
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    As discussed further below, nonbank financial companies designated 
by the Financial Stability Oversight Council (FSOC) are not included in 
the reporting panel for the FR 2052a.
    Firms whose asset sizes or identification as a LISCC firm causes 
them to cross the threshold from the third category to the second 
category, or from the second category to the first category, will be 
required to meet the applicable reporting requirements of the new 
category within three months of crossing the threshold. A firm whose 
asset size causes it to cross the threshold to the third category will 
have to meet the applicable reporting requirements within one year of 
crossing the threshold.
    In addition to these changes, the Federal Reserve will consider 
future enhancements to the thresholds that define the applicability of 
the reporting requirements that are more sensitive to liquidity risk. 
Any future enhancements would be proposed and subject to comment, and 
if finalized, firms whose reporting requirements change based on those 
enhancements would be provided sufficient time to comply.

Transition Period

    Some commenters raised concerns about whether the proposed 
implementation schedule would allow sufficient time to implement 
reporting requirements. One commenter noted that banking organizations 
with less than $700 billion in assets and firms subject to the modified 
LCR methodology by the liquidity coverage ratio in the United States, 
finalized in September 2014 (LCR rule) \11\ should not be required to 
report monthly on the FR 2052a before July 1, 2016. According to the 
commenter, the proposed timeline would divert resources from efforts to 
ensure daily LCR compliance by July 1, 2016, and potentially put those 
efforts at risk. This commenter asserted that monthly reporting on the 
FR 2052a cannot be equated to the monthly LCR calculations starting in 
July 2015 because the FR 2052a is much more granular than is necessary 
to compute the LCR and suggested that because FR 2052a reporting is 
more akin to the daily LCR calculation, it should be on the same 
timeline. The commenter also noted that for the same reasons and due to 
their smaller size, firms subject to the modified LCR methodology 
should not be required to submit reports until July 2016.
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    \11\ 79 FR 61440 (October 10, 2014).
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    Other commenters noted that banks that were not required to report 
on the prior versions of the FR 2052a report should be provided more 
time to comply and suggested that these organizations not be required 
to comply with FR 2052a reporting until July 2016, January 2017, or 
July 2017, to allow sufficient time to enhance IT and other systems. A 
commenter pointed out that even if an extension was provided, these 
firms could continue to report on the FR 2052b in the interim.
    Similarly, one FBO commenter noted that implementing the proposed 
FR 2052a with its more granular and expanded data requirements would 
require considerable resources and operational effort to comply by 
February 2, 2016 for certain entities that were not required to report 
on the prior versions of the FR 2052a report. The commenter noted that 
G-SIBs were given a two-year lead time prior to the implementation of 
the FR 2052a reporting requirements and it would be appropriate for 
current FR 2052b filers and new FR 2052a filers to receive similar lead 
time.
    One commenter noted that the implementation schedule for FBOs with 
U.S. assets of $50 billion or greater and U.S. broker-dealer assets of 
less than $100 billion is unrealistic. The commenter noted that 
reporting challenges are magnified for FBOs that have not previously 
had the experience of filing the FR 2052a or FR 2052b. The commenter 
further noted that many of these firms are working to come into 
compliance with the Federal Reserve Board's intermediate holding 
company (IHC) requirement by July 2016. The commenter suggested that 
new FBO filers start with the FR 2052b report before moving to the FR 
2052a report, with implementation dates of July 2016 for the FR 2052b 
and July 2017 for the FR 2052a. The commenter also noted that the LCR 
rule does not apply to many of these firms and that for FR 2052b FBO 
filers, no further requirement should be applied until the IHC 
requirements are clarified and there is an LCR rule in place for FBOs.
    Another commenter requested that firms forming IHCs have a 
reasonable transition time for reporting on a consolidated basis and 
legal entity basis and that entities required to consolidate pursuant 
to the IHC requirement, effective July 2016, should not be required to 
report on the FR 2052a beforehand.
    Based on comments and analysis of the transitions and effective 
dates, the Federal Reserve has extended the

[[Page 71798]]

effective dates for firms to provide more time for them to complete the 
necessary system builds. The table below sets forth the revised 
transitions and effective dates for the FR 2052a. The effective date 
for the FR 2052b remains unchanged, which is also set forth in the 
table below. Further, for the FR 2052a filers, the Federal Reserve will 
require monthly submissions for all firms that are not U.S. firms with 
total assets of $700 billion or more or with assets under custody of 
$10 trillion or more, and FBOs identified as LISCC firms. For firms 
that submit monthly reports, consistent with current supervisory 
authority and processes, during periods of stress the Federal Reserve 
may temporarily request the FR 2052a liquidity data to be filed on a 
more frequent basis.
    In addition, for U.S. firms with total consolidated assets of $700 
billion or more or with assets under custody of $10 trillion or more, 
and FBOs identified as LISCC firms, the Federal Reserve will collect 
data as of November 30, 2015 with a request for submission on December 
2, 2015. Responses to this one-time information collection are 
voluntary.

Timing of Data Submission

    The Federal Reserve received several comments related to the amount 
of time needed to prepare reports for submission. Most commenters 
disagreed with the proposal's requirement that reporting forms be 
submitted within two days of the as-of date. One commenter noted that 
the two-day lag does not provide enough time for quality assurance 
necessary for a regulatory report. In addition, some commenters 
expressed concern that the two-day lag is practically only 1.5 days 
because the proposed submission time is noon. One commenter 
specifically requested that advanced approaches firms with $700 billion 
or more in assets be given a full two-day reporting window.
    Other commenters stated that 15 days is an appropriate time period 
for firms that would have been required to report monthly and for firms 
that are currently reporting on the FR 2052b. One commenter suggested a 
five-day lag for regional banks subject to the full LCR. Another 
commenter offered that advanced approaches firms with less than $700 
billion in assets and new FBO filers should have five days to submit 
the reports.
    As illustrated in the table below, the Federal Reserve will 
implement the following transition periods for the timing of the data 
submission. All firms subject to FR 2052a reporting requirements, 
except for U.S. firms with total assets of $700 billion or more or with 
assets under custody of $10 trillion or more, and FBOs identified as 
LISCC firms, will have a T+15 submission requirement at their first 
effective date. Subsequently, the timing of the submission will be 
reduced until it reaches the final timing of submission requirement. 
Because of the importance of timely liquidity data for the largest 
firms, the final timing of submission will remain T+2 days. However, 
for U.S. firms with total assets of $50 billion or more, but less than 
$250 billion and foreign exposure of less than $10 billion, and FBOs 
with U.S. assets of $50 billion or more and less than $250 billion that 
are not identified as LISCC firms, the final timing of submission 
requirement will be T+10 days due to these firms' smaller contributions 
to systemic risk. Additionally, for all FR 2052a filers, as set forth 
in the instructions, the Federal Reserve will change the submission 
time on the submission date to 3:00 p.m. ET, which will provide firms 
additional time to prepare the data submissions. The T+15 timing of 
submission requirement for the FR 2052b will remain unchanged.

Final Reporting Panel and Frequency of Submissions \12\
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    \12\ SLHCs that are not subject to the LCR are not subject to 
these reporting requirements; however, through future rulemakings 
these institutions may be required to participate in some form of 
liquidity monitoring. Nonbank financial companies designated for 
Federal Reserve supervision by FSOC under section 113 of the Dodd-
Frank Act (12 U.S.C. 5323), to which the Federal Reserve has applied 
the requirements of the liquidity coverage ratio by rule or order 
are not subject to these reporting requirements unless included in 
the rule or order.
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    The Federal Reserve has modified the scope of application, 
frequency, submission dates, and timing of submission as shown in the 
following table in response to public comments.
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    \13\ 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.
    \14\ These firms must comply with the transitions set forth in 
the LCR. However, these firms do not need to report on the FR 2052a 
until this reporting as-of date.
    \15\ These firms must comply with the transitions set forth in 
the LCR, which requires an LCR calculation monthly starting in 
January 2015. However, these firms do not need to report on the FR 
2052a until this reporting as-of date.
    \16\ Consistent with current supervisory authority and 
processes, during periods of stress the Federal Reserve may 
temporarily request the FR 2052a liquidity data on a more frequent 
basis.
    \17\ Consistent with current supervisory authority and 
processes, during periods of stress the Federal Reserve may 
temporarily request the FR 2052a liquidity data on a more frequent 
basis.
    \18\ The FR 2052b will not change for U.S. BHCs (not controlled 
by FBOs) with total consolidated assets of between $10 billion and 
$50 billion, so the frequency and as-of date would be the same as it 
is currently.

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                                                                                      First
       Report No.             Reporter            Frequency        First as-of     submission       Timing of
                             description                              date          date \13\       submission
----------------------------------------------------------------------------------------------------------------
FR 2052a...............   U.S.       Daily.............     \14\ 12/14/      12/16/2015             T+2
                          firms with total                                 2015
                          assets >=$700
                          billion or with
                          >=$10 trillion in
                          assets under
                          custody, and.
                          FBOs
                          identified as
                          LISCC firms.
FR 2052a...............   U.S.       Monthly...........     \15\ 01/31/      02/15/2017            T+15
                          firms with total                                 2017
                          assets <$700
                          billion and with
                          <$10 trillion in
                          assets under
                          custody, but
                          total assets
                          >=$250 billion or
                          foreign exposure
                          >=$10 billion,
                          and.
                          FBOs that  Monthly \16\......      07/31/2017      08/02/2017             T+2
                          are not
                          identified as
                          LISCC firms, but
                          with U.S. assets
                          >=$250 billion.
FR 2052a...............   U.S.       Monthly...........      07/31/2017      08/15/2017            T+15
                          firms with total
                          assets >=$50
                          billion, but
                          total assets
                          <$250 billion and
                          foreign exposure
                          <$10 billion, and.
                          FBOs that  Monthly \17\......      01/31/2018      02/10/2018            T+10
                          are not
                          identified as
                          LISCC firms and
                          with U.S. assets
                          <$250 billion,
                          but U.S. assets
                          >=$50 billion.
FR 2052b \18\..........   U.S. BHCs  Quarterly.........      12/31/2015      01/15/2016            T+15
                          (not controlled
                          by FBOs) with
                          total
                          consolidated
                          assets of between
                          $10 billion and
                          $50 billion.
----------------------------------------------------------------------------------------------------------------


[[Page 71799]]

Tailoring

    One commenter noted that less complex financial institutions that 
are not internationally active should not be held to the same reporting 
standards as larger and much more complex financial institutions. 
Financial institutions that are less complex do not present significant 
risk to the financial system. Another commenter noted that the FR 2052a 
is not tailored to take into account the risk profile of the reporting 
firms. A few commenters disagreed with the requirement to provide 
specific maturity data for five years. These commenters argued that the 
data would not provide beneficial supervisory information. One of these 
commenters suggested that only payments within one year should be 
reported.
    One commenter noted that disaggregating principal and interest 
payments would be burdensome to respondents and unhelpful for the 
Federal Reserve because this approach would not consider balance sheet 
growth or other behavioral assumptions. Two commenters commented on 
derivatives reporting. One noted that the granular derivatives details 
required by the proposal are not necessary for calculating the LCR, and 
implementing it for regional banks would be burdensome and unhelpful to 
the Federal Reserve. The other commenter noted that the granularity of 
derivative reporting for advanced approaches banking organizations with 
less than $700 billion in assets and modified LCR banking organizations 
should align with the LCR. The commenter asserted that the proposed 
requirement to segregate information about payables and receivables and 
provide the margin information in more granular detail than required by 
the LCR would impose tremendous burden on the collateral tracking 
systems of firms.
    Another commenter stated that data elements related to broker-
dealers are immaterial to regional banks and these banks should not be 
required to report them. The commenter stated that collecting that data 
would not be helpful to the Federal Reserve and would impose a burden 
on the banks.
    The Federal Reserve received two comments on reporting by currency. 
One commenter stated that reporting by major currency for regional 
banks that are subject to the full LCR is unnecessary because their 
foreign activities are limited (more akin to firms subject to the 
modified LCR) and the LCR does not require it. The commenter stated 
that because current systems only record in USD, additional 
implementation burden would be imposed. Alternatively, the commenter 
suggested establishing a threshold for reporting by major currency 
other than USD only if the percent of foreign currency liabilities to 
total liabilities exceeded, for example, 5 percent. Another commenter 
suggested that the FR 2052a should incorporate thresholds for reporting 
by major currency that align with the Basel Committee on Banking 
Supervision's LCR standard's definition of ``significant currency,'' 
which is when the aggregated liabilities in that currency exceed 5 
percent of total liabilities. The commenter explained that if this 
suggestion is followed, a firm should be required to meet the threshold 
for four quarters before being considered a significant currency to 
prevent a currency from toggling between significant and not 
significant.

    The Federal Reserve notes that the FR 2052a was not designed solely 
for monitoring compliance with the LCR; rather, it is a supervisory 
liquidity report that also allows for monitoring compliance with the 
LCR. In the context of that supervisory purpose and based on an 
analysis of the reporting firms, the FR 2052a will be better tailored 
to the size and complexity of the firms. First, and as mentioned above, 
the timing of the data submission will be extended to T+10 days for the 
smaller firms subject to FR 2052a reporting requirements. In addition, 
the FR 2052a will be revised to have tailored data elements. The 
granularity of maturity data will be modified for firms subject to the 
FR 2052a that are not U.S. firms with total assets of $700 billion or 
more or with assets under custody of $10 trillion or more or FBOs 
identified as LISCC firms, with only the residual value of products 
reported beyond one year. The residual value data will be required 
because it is necessary to have sufficient information on the liquidity 
profile of the firm. For the smaller firms subject to the FR 2052a, 
certain products, such as unencumbered assets, inflows from traditional 
loans, and interest and dividends payable, will be reported according 
to Appendix IV-b of the instructions. Consistent with the instructions, 
these firms will be permitted to report these particular products with 
less granularity, even within one year.
    The Federal Reserve views as inappropriate the elimination of 
reporting requirements related to broker-dealer activities for an 
entire segment of firms; however, where appropriate, certain products 
are tailored, as detailed in the instructions. For example, for 
derivatives collateral reporting, firms that do not meet a certain 
threshold may use a default sub-product. Additionally, the product for 
reporting interest payments may be ignored for amortizing products if 
the interest is aggregated with principal and reported in the product 
for principal amounts. Also, certain products which implicate inflows 
that are not part of the LCR calculation may be optionally ignored, 
such as sleeper collateral receivables and derivative collateral 
substitution capacity. There are also certain products that are 
specific to services provided by broker-dealers, so the FR 2052a will 
not require those specific products to be reported unless the firm has 
a significant broker-dealer.
    Lastly, firms subject to FR 2052a requirements that historically 
have less foreign currency exposure will only have to report in USD and 
will not have to report data required by the F/X table. Thus, U.S. 
firms with total assets of less than $700 billion and with assets under 
custody of less than $10 trillion, but total assets of $50 billion or 
more and FBOs with U.S. assets of less than $250 billion, but U.S. 
assets of $50 billion or more that are not identified as LISCC firms 
may report solely in USD and will not have to report data required by 
the F/X table. All other firms subject to FR 2052a requirements will 
report in the major currencies listed in the instructions and report 
data required by the F/X table. The FR 2052b will continue to be 
reported solely in USD.

Modified LCR

    The Federal Reserve received the following comments specific to 
reporting by institutions subject to the modified LCR: (1) The proposed 
FR 2052a report materially expands the required time period bucketing 
to include 60 days of daily contractual cash flows and four periods of 
weekly contractual cash flows requiring fundamental changes to data, 
systems, and processes that have already been developed to support the 
FR 2052a and LCR calculations that extract data based on monthly cash 
flows; (2) the 60-day daily period maturity buckets go beyond the 30-
day period that is necessary to compute the LCR and daily time bucket 
should only be 30 days for firms subject to the full LCR and should not 
exist for firms subject to the modified LCR; (3) maturity buckets for 
firms subject to the modified LCR should have no more granularity than 
monthly, which is what is needed for the LCR; (4) daily maturity 
buckets for days 31-60 should be

[[Page 71800]]

phased in over time because systems have already been developed for the 
LCR's 30-day window; (5) the FR 2052a does not align with the modified 
LCR, requiring a parent-only report whereas a consolidated figure is 
required for the LCR; (6) firms subject to the modified LCR should be 
required to report only on the FR 2052b or an amended FR 2052b or the 
FR 2052a should be tailored to regional banks; and (7) required 
reporting for entities should be consistent with the requirements of 
the final LCR rule for modified LCR BHCs, i.e., global consolidated 
entity only, since modifying systems to include other reporting levels 
pose a significant operational task because systems and processes were 
built to support the calculation at the global consolidated entity.
    In response to the comments on the reporting requirements for firms 
subject to the modified LCR, as mentioned above, the Federal Reserve 
notes that the FR 2052a was not designed solely for monitoring 
compliance with the LCR; rather, it is a supervisory liquidity report 
that also allows for monitoring compliance with the LCR. For that 
reason, there are products and maturity buckets beyond what is 
necessary for an LCR calculation. All of the products and maturity 
buckets are required to appropriately monitor liquidity risk within a 
firm subject to the FR 2052a reporting requirement. For example, to 
understand a firm's liquidity risk profile, it is necessary to have 
information beyond the LCR's 30-day time horizon and on a parent-only 
basis, in addition to the consolidated holding company. However, as 
described above, for the smaller firms subject to the FR 2052a, the 
Federal Reserve will allow less granular maturity bucketing for certain 
products where receiving less maturity information is appropriate, such 
as unencumbered assets, inflows from traditional loans, and interest 
and dividends. Furthermore, as noted above, the Federal Reserve will 
extend the transitions and effective dates to provide sufficient time 
for system enhancements to meet the increased data requirements.

Nonbank Financial Companies

    One commenter noted that nonbank financial companies designated by 
FSOC for supervision by the Board are implicated as covered in the FR 
2052a update notice. The commenter requested that these companies have 
an opportunity to comment on the FR 2052a after being designated but 
before imposition of the LCR requirement and filing on the FR 2052a.
    Non-bank financial companies designated by FSOC for supervision by 
the Federal Reserve will not be automatically subject to FR 2052a 
reporting requirements based on being subject to the LCR. Because these 
companies may become subject to the LCR by rule or order, the Federal 
Reserve believes it is appropriate to subject them to supervisory 
reporting requirements also by rule or order to ensure that such 
requirements are appropriate for the specific nonbank financial 
company.

Availability of Template or Mapping Document

    The Federal Reserve proposed to require the data in XML format. Two 
commenters requested that the Federal Reserve make available an Excel 
template to facilitate internal review of the data submission.
    In addition, the Federal Reserve requested comment on whether it 
should publish a description of how the FR 2052a data will be used to 
monitor LCR compliance. Several commenters agreed that the Federal 
Reserve should publish a description and specifically requested that 
the Federal Reserve should provide a reporting template that would 
illustrate how to calculate the reporting entity's LCR.
    In response to comments, the Federal Reserve has revised the FR 
2052a instructions to include an appendix that maps the provisions of 
the LCR to the unique data identifiers that can be used to calculate an 
LCR. The Federal Reserve will not provide an Excel or other template, 
as firms subject to FR 2052a reporting requirements may, based on the 
description of data tables in the instructions and the appendix 
describing an LCR calculation, develop their own MIS to analyze FR 
2052a data. This mapping document is not a part of the LCR rule or a 
component of the FR 2052a report. Firms may use this mapping document 
solely at their discretion.

Other Changes

    One commenter provided an appendix describing certain technical 
issues with the calculation of the LCR using FR 2052a data. The Federal 
Reserve has resolved these issues through the appendix to the 
instructions that describes an LCR calculation by mapping the LCR 
provisions to the FR 2052a data. Another commenter noted that 
``material legal entity'' should be defined more clearly, as entities 
falling under the definition would be an additional reporting entity. 
The Federal Reserve revised the instructions to provide additional 
information about what constitutes a material entity. In addition, the 
Federal Reserve will implement a supervisory process to determine which 
entities are deemed material. As described in the instructions, the 
Federal Reserve will consider characteristics of the entity, such as 
size, complexity, business activities, and overall risk profile.
    Another commenter noted that collateral value and collateral class 
fields should be better explained, in particular with respect to non-
investment securities collateral, cross collateralization, and when 
collateral is all business assets. The Federal Reserve finalized as 
initially proposed because Appendix III to the instructions includes 
all collateral classes that are relevant for this report.
    The proposal would have required firms submitting the FR 2052a 
report to retain data for six months. The Federal Reserve will require 
firms to retain that data for one year after it is submitted because 
the Federal Reserve believes that one year is an appropriate amount of 
data in the event a firm needs to review previously submitted data.

Paperwork Reduction Act

    In accordance with section 3512 of the Paperwork Reduction Act of 
1995 (44 U.S.C. 3501-3521), the Board may not conduct or sponsor, and a 
respondent is not required to respond to, an information collection 
unless it displays a currently valid OMB control number. The OMB 
control number is 7100-0361. The Board reviewed the proposed 
information collection under authority delegated to the Board by OMB.
    The FR 2052 reporting forms are a part of the Federal Reserve's 
supervisory surveillance program in liquidity risk management. The 
information collected on the FR 2052 reporting forms will provide 
timely information on firm-specific liquidity risks during periods of 
stress and will be used to monitor the overall liquidity profile of 
institutions supervised by the Federal Reserve. These data provide 
detailed information on the liquidity risks within different business 
lines of these firms. In addition the information collected on the FR 
2052a will be used to monitor compliance with the LCR by firms subject 
to the rule. The Federal Reserve will use this data to identify and 
analyze systemic and idiosyncratic liquidity risk issues at reporting 
firms and across the financial system and will also prepare analytical 
reports that detail funding vulnerabilities at reporting firms.
    The Board's collection of information on forms FR 2052a and FR 
2052b is

[[Page 71801]]

mandatory, with voluntary early reporting on FR 2052a for U.S. firms 
with total consolidated assets of $700 billion or more or with assets 
under custody of $10 trillion or more, and FBOs identified as LISCC 
firms, and is authorized pursuant to section 5 of the Bank Holding 
Company Act (12 U.S.C. 1844), which authorizes the Federal Reserve to 
conduct information collections with regard to the supervision of BHCs, 
section 8 of the International Banking Act (12 U.S.C. 3106), which 
subjects FBOs to the provision of the Bank Holding Company Act, and 
section 165 of the Dodd-Frank Act (12 U.S.C. 5365), which requires the 
Federal Reserve to ensure that certain BHCs and nonbank financial 
companies supervised by the Federal Reserve are subject to enhanced 
liquidity requirements. As these data are collected as part of the 
supervisory process, they are subject to confidential treatment under 
exemption 8 of the Freedom of Information Act (5 U.S.C. 552(b)(8)). In 
addition, the institution information provided by each respondent will 
not be otherwise available to the public and is entitled to 
confidential treatment under the authority of exemption 4 of the 
Freedom of Information Act (5 U.S.C. 552(b)(4)), which protects from 
disclosure trade secrets and commercial or financial information.
    The Board estimates that the burden of reporting on the revised FR 
2052a will be between 120 and 400 hours per response for each reporting 
form. The Board estimates that the one-time implementation burden will 
be approximately 400 hours, which includes both the building of systems 
necessary to gather and report the data, as well as training of 
responsible staff. For firms that are required to report daily, the 
Board estimates that the burden for each response will be approximately 
220 hours, while firms that required to report monthly will spend 
approximately 120 hours to prepare each response. The Board estimates 
that the burden of reporting on the revised FR 2052b will be 
approximately 60 hours per response for each reporting firm.

Regulatory Flexibility Act

    The Board has considered the potential impact of the final rule on 
small companies in accordance with the Regulatory Flexibility Act (RFA) 
(5 U.S.C. 601 et seq.). Based on its analysis and for the reasons 
stated below, the Board believes that the final rule will not have a 
significant economic impact on a substantial number of small entities. 
Nevertheless, the Board is providing a final regulatory flexibility 
analysis with respect to the FR 2052 reporting forms.
    Under regulations issued by the Small Business Administration, a 
small entity includes a depository institution, bank holding company, 
or savings and loan holding company with total assets of $550 million 
or less (a small banking organization). As discussed above, the 
information collected on the FR 2052 reporting forms will be used to 
monitor the overall liquidity profile of large banking organizations 
supervised by the Board. These forms would collect information on the 
liquidity risks within different lines of business of these 
organizations. Firms would be required to report either daily, monthly, 
or quarterly depending on their size and complexity. The Board did not 
receive any comments on the proposed information collection notice 
regarding its impact on small banking organizations.
    The FR 2052 reporting forms will apply to BHCs with total 
consolidated assets of $10 billion or more and to FBOs with U.S. assets 
of $50 billion or more. The FR 2052 reporting forms do not apply to 
small banking organizations, so there would be no projected compliance 
requirements for small banking organizations.
    The Board believes that the final information collection will not 
have a significant impact on small banking organizations supervised by 
the Board and therefore believes that there are no significant 
alternatives that would reduce the economic impact on small banking 
organizations supervised by the Board.

    Board of Governors of the Federal Reserve System, November 12, 
2015.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2015-29348 Filed 11-16-15; 8:45 am]
BILLING CODE 6210-01-P