[Federal Register Volume 86, Number 228 (Wednesday, December 1, 2021)]
[Notices]
[Pages 68254-68260]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-26103]


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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: The Board of Governors of the Federal Reserve System (Board) 
is adopting a proposal to extend for three years, with revision, the 
Complex Institution Liquidity Monitoring Report (FR 2052a; OMB No. 
7100-0361).

DATES: 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.

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.
    Office of Management and Budget (OMB) Desk Officer for the Federal 
Reserve Board, Office of Information and Regulatory Affairs, Office of 
Management and Budget, New Executive Office Building, Room 10235, 725 
17th Street NW, Washington, DC 20503, or by fax to (202) 395-6974.

SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board 
authority under the Paperwork Reduction Act (PRA) to approve and assign 
OMB control numbers to collections of information conducted or 
sponsored by the Board. Board-approved collections of information are 
incorporated into the official OMB inventory of currently approved 
collections of information. The OMB inventory, as well as copies of the 
PRA Submission, supporting statements, and approved collection of 
information instrument(s) are available at https://www.reginfo.gov/public/do/PRAMain. These documents are also available on the Federal 
Reserve Board's public website at https://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested from the agency clearance 
officer, whose name appears above.

Final Approval Under OMB Delegated Authority of the Extension for Three 
Years, With Revision, of the Following Information Collection

    Report title: Complex Institution Liquidity Monitoring Report.
    Agency form number: FR 2052a.
    OMB control number: 7100-0361.
    Effective date: May 1, 2022, for banking organizations subject to 
Category I standards and October 1, 2022, for banking organizations 
subject to Category II-IV standards.
    Frequency: Monthly, daily.
    Respondents: Certain U.S. bank holding companies (BHCs), top-tier 
savings and loan holding companies (SLHCs), U.S. global systemically 
important BHCs, and foreign banking organizations (FBOs).
    Estimated number of respondents: Monthly (ongoing): 26, monthly 
(one-time): 26; daily (ongoing): 15, daily (one-time): 15.
    Estimated average hours per response: Monthly (ongoing): 121, 
monthly (one-time): 140; daily (ongoing): 221, daily (one-time): 238.
    Estimated annual burden hours: Monthly (ongoing): 37,752; monthly 
(one-time): 3,640; daily (ongoing): 828,750; daily (one-time): 3,570.
    General description of report: 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 supervised by the Board on 
a consolidated basis. The Board uses this information to monitor the 
liquidity profile of these banking organizations.
    Legal authorization and confidentiality: The information collection 
under the FR 2052a is authorized by section 5 of the Bank Holding 
Company Act (BHCA),\1\ section 8 of the International Banking Act 
(IBA),\2\ section 10 of the Home Owners' Loan Act (HOLA),\3\ and 
section 165 of the Dodd-Frank Wall Street Reform and Consumer 
Protection Act (Dodd Frank Act).\4\ Section 5(c) of the BHCA authorizes 
the Board to require BHCs to submit reports to the Board regarding 
their financial condition. Section 8(a) of the IBA subjects FBOs to the 
provisions of the BHCA. Section 10 of the HOLA authorizes the Board to 
require reports and examine SLHCs. Section 165 of the Dodd Frank Act 
requires the Board to establish prudential standards for certain BHCs 
and FBOs; these standards include liquidity requirements.
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    \1\ 12 U.S.C. 1844.
    \2\ 12 U.S.C. 3106.
    \3\ 12 U.S.C. 1467a.
    \4\ 12 U.S.C. 5365.
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    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\ Additionally, 
to the extent a respondent submits nonpublic commercial or financial 
information, which is both customarily and actually treated as private 
by the respondent, in connection with the FR 2052a, the respondent may 
request confidential treatment pursuant to exemption 4 of the FOIA.\6\
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    \5\ 5 U.S.C. 552(b)(8).
    \6\ 5 U.S.C. 552(b)(4).
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    Current actions: On March 29, 2021, the Board published a notice in 
the Federal Register (86 FR 16365) requesting public comment for 60 
days on the extension, with revision, of the Complex Institution 
Liquidity Monitoring Report. The Board proposed revisions to the 
reporting form and instructions of the FR 2052a to accurately reflect 
the net stable funding ratio (NSFR) final rule \7\ and to capture other 
data elements necessary to monitor banking organizations' liquidity 
positions and compliance with Liquidity Risk Measurement (LRM) 
Standards. 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.
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    \7\ 86 FR 9120 (February 11, 2021).
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Detailed Discussion of Public Comments

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.\8\ Other commenters

[[Page 68255]]

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.
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    \8\ 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.
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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 (i) how 
the Board plans to use the FR 2052a to monitor NSFR rule compliance, 
(ii) which FR 2052a data elements should be used to fulfill NSFR rule 
public disclosure requirements, and (iii) the reporting approach for FR 
2052a data elements on a monthly or quarterly submission cycle. 
Specifically, commenters 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 month-end 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 VIII \9\ 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.
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    \9\ Appendix VIII maps FR 2052a data elements to the NSFR rule 
requirements.
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    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.

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

[[Page 68256]]

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 product \10\ 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).
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    \10\ 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: Inflows-Assets.''
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    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 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 
``global systematically important Bank (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 are 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 liquidity from high-quality liquid 
assets (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

[[Page 68257]]

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 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,\11\ 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.
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    \11\ See 12 CFR 249.3.
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    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 FBOs, 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 FBOs 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 FBO's U.S. 
intermediate holding company (IHC)). In this case, commenters argued 
that FBOs should 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 an FBO'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 FBOs, 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

[[Page 68258]]

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 an FBO'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, an FBO'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, an FBO 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 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-2-Q'' 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 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

[[Page 68259]]

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) 
amount \12\ 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.
---------------------------------------------------------------------------

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

    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 (i) not otherwise reported in other FR 2052a 
data elements, (ii) reportable under U.S. GAAP, and (iii) 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: Inflows-Unsecured'' 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 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 factors \13\ 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.\14\
---------------------------------------------------------------------------

    \13\ RSF factors are assigned in 12 CFR 249.106.
    \14\ 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.
---------------------------------------------------------------------------

    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

[[Page 68260]]

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.

    Board of Governors of the Federal Reserve System, November 24, 
2021.
Michele Taylor Fennell,
Deputy Associate Secretary of the Board.
[FR Doc. 2021-26103 Filed 11-30-21; 8:45 am]
BILLING CODE 6210-01-P