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GENERAL INSTRUCTIONS
Purpose
The FR 2052b report collects data elements that will enable the Federal Reserve to assess the ability of firms to meet their liquidity needs.
Who Must Report
Bank Holding Companies (BHCs) with total consolidated assets of greater than $10 billion^1 should submit this report on an ongoing basis as part of the supervisory monitoring process.
Basis of reporting
- Domestic firm submissions (including firms affiliated with foreign firms) should cover all material bank, broker- dealer and non-bank entities contributing to the firm's funding and liquidity operations. Each firm should submit a consolidated firm schedule, a parent company schedule, and a contingencies/pricing item schedule, if applicable.
- Depending on the operations and business activities of the firm, not all data fields or schedules are applicable. For example, if the firm is not involved in the REPO secured funding markets, Section 6 “Repurchase Transactions” in the consolidated schedule will not apply.
Where to Submit Reports
All FR 2052b respondents should submit their completed report via the Federal Reserve
(^1) Excluding Global Systematically Important Banks (G-SIBs) and affiliates of Foreign Banking Organization (FBOs) with less than $50 billion in total consolidated assets
System's Reporting Central Application. http://www.frbservices.org/centralbank/reportin gcentral by 8 pm (Central Time) on the 15th of the month following the data as-of date. If the 15 th^ of the month falls on a Saturday, Sunday, or holiday, the report would be submitted on the previous business day.
Frequency of Reporting
U.S. BHC with total consolidated assets >$ billion Institutions with total consolidated assets greater than $50 billion (including institutions affiliated with foreign firms) should report monthly. Under adverse market or firm conditions, supervisors may request submissions of liquidity data on a more frequent basis up to daily through examination process. Supervisors will also assess whether non-G-SIB, based on their complexity and risks, should use form FR 2052a or provide more frequent submissions. Changes to the above reporting requirements would be discussed with firms by their supervisors and adequate time would be provided to move from FR 2052b to 2052a, or to increase frequency of submissions.
U.S. BHC with total consolidated assets $ billion -$50 billion Institutions with total consolidated assets between $10 billion and $50 billion (excluding institutions affiliated with foreign firms) should report quarterly. Under adverse market or firm conditions supervisors may request submissions of their liquidity data on a more frequent basis up to daily if the situation warrants.
Shifts in Reporting Status A top-tier holding company that reaches $ billion or more in total consolidated assets at quarter end must begin reporting on form FR 2052b the next quarter. If a top-tier holding company reaches $50 billion or more in total consolidated assets at quarter end, then the holding company must begin reporting on the FR 2052b on monthly basis following the quarter end. In general, once a holding company reaches or exceeds $10 billion in total consolidated assets and begins filing the FR 2052b, it should continue to file FR 2052b going forward. If a holding company’s total consolidated assets should subsequently fall to less than $10 billion for four consecutive quarters, then the holding company may not be required to file the FR 2052b.
When to Submit Reports Please submit their completed report via the Federal Reserve System's Reporting Central Application by the 15th day of the month by 8 pm (Central Time). If the 15th day of the month falls on a Saturday, Sunday, or holiday, the report should be submitted on the previous business day.
How to Prepare Reports
Completing the report
- The report consists of three schedules:
- Consolidated
- Parent Only
- Contingency-Pricing
Please ensure that all schedules are filled out, as applicable.
- Exempted Line Items
Firms are not required to fill out Section 10 “Deposit Balances”, 10.1, 10.2, 10. and Section 12 “Undrawn Commitments and Contingent Liquidity Needs”, 12.1, 12.2, 12.3, 12.4, and 12.5. Please note that line 10.4 "Brokered CDs / NMDs” is not exempted.
- Reporting “0” versus leaving the cell blank.
If the firm operates in a particular business (e.g., Prime Brokerage) or product (e.g., ABCP) but has no balance to report on reporting date, or no amount maturing in given maturity column, enter ‘0’. If the reporting item is not applicable based on your firm's business activities leave the reporting item blank.
- Do not insert invalid characters or text into cells meant for numerical data only:
Specifically, please do not enter:
- ‘N/A’, ‘NA’, etc. (If a cell is not applicable, please leave it blank)
- Dashes, hyphens (except to indicate negative values, where applicable)
- Spaces, symbols, letters, or any other characters in cells meant for numerical data only.
- Rounding.
Enter all values on the Consolidated and Parent schedules in USD million. Amounts should be rounded to the nearest ten thousand. Report all balances in absolute (positive) values with the exception of the Estimated Core Funding Gap section, Net Loan
Commitments’) should include all outstanding balances or facilities on the reported “as of” date.
- The total column represents the total for that specific sub-line and is automatically calculated. Therefore, there is no need to supply data for the total column.
- Notes column: The Notes column should be used to provide additional or explanatory detail. For example:
- Details on material/important transactions occurring or balance changes relative to that line item. (Include a brief summary in the notes column when significant material variances occur from prior submission).
- Explanations of data items included in “Other” line items
- Other notes or additional information about supplied data values
DATA DEFINITIONS
- GENERAL INSTRUCTIONS
- Purpose..........................................................................................................................................................
- Who Must Report..........................................................................................................................................
- Where to Submit Reports
- Frequency of Reporting
- U.S. BHC with total consolidated assets >$50 billion
- U.S. BHC with total consolidated assets $10 billion -$50 billion
- Shifts in Reporting Status
- How to Prepare Reports
- Completing the report
- Total Consolidated Assets
- Total Bank Assets
- Section 1: Cash & Equivalents
- 1.1 Cash & Coins
- 1.2 Excess Reserves at Central Banks
- 1.3 Fed Funds, Eurodollars Sold and Placements at Other Banking Institutions
- 1.4 Other
- Section 2: Reverse Repos (by assets employed)
- Section 3: Investment Securities...................................................................................................................
- Unencumbered Assets
- FHLB Capacity............................................................................................................................................
- Central Bank (DW) Capacity
- Secured Deposits
- Other Secured Financing
- Investment Securities Types Definitions
- Section 4: Loans and Leases
- Available for Sale, Securitization, and/or Repo
- FHLB Capacity..........................................................................................................................................
- Central Bank (DW) Capacity
- Secured Deposits
- Other Secured Financing
- Loans and Leases Type Definitions
- Section 5: Secured Funding Sources Outstanding
- 5.1 FHLB Borrowing.................................................................................................................................
- 5.2 Federal Reserve (Central Bank) Borrowing
- 5.3 Secured Deposits...............................................................................................................................
- 5.4 Other Secured Financing
- Section 6: Repurchase Transactions (by security asset class).....................................................................
- Section 7: Unsecured Financing
- 7.1 Commercial Paper
- 7.2 Fed Funds and Eurodollars Purchased
- 7.3 Long-Term Debt – Structured, Not Structured, Govt. Supported.....................................................
- 7.4 Draws on Committed Lines from External Entities
- 7.5 Wholesale CDs and Bank Notes
- 7.6 Other Unsecured Financing
- Section 8: Estimated Core Funding Gap......................................................................................................
- 8.1 Net Loan Growth/Attrition
- 8.2 Net Retail Deposit Growth/Attrition
- Section 9: Contractual Loan Inflows and Committed Inflow
- 9.1 Loans (maturing cash inflows)
- 9.2 Undrawn Portion of Liquidity and Credit Facilities
- Section 10: Deposit Funding
- Section 11: ABCP Exposure
- 11.1 ABCP- Single Seller
- 11.2 ABCP- Multi Seller
- Section 12: Undrawn Commitments and Contingent Liquidity Needs
- Section 13: Liquid Assets.............................................................................................................................
- 13.1 Cash Deposit at Holding Company Bank & Non Bank Subsidiaries
- 13.2 Cash/Deposit Held Externally..........................................................................................................
- 13.3 Unencumbered Assets-Market Value
- 13.4 Other Assets
- Section 14: Forecasted Parent Company Only Cash Inflows
- 14.1 Dividends from Banking Subsidiary
- 14.2 Dividends from Non-Banking Subsidiary
- 14.3 Operating Cash Inflows
- 14.4 Other Cash Inflows
- Section 15: Unsecured Financing
- 15.1 Commercial Paper
- 15.2 Long-Term Debt – Structured, Not Structured, Govt. Supported...................................................
- 15.3 Draws on Committed Lines
- 15.4 Other Unsecured Financing
- Section 16: Expected Cash Outflows...........................................................................................................
- 16.1 Common Dividends
- 16.2 Operating Expenses
- 16.3 Debt Service Payments
- 16.4 Bank Subsidiary Support
- 16.5 Non-Bank Subsidiary Support
- 16.6 Other Cash Outflows
- Section 17: Committed Facilities Provided to Banks
- 17.1 Committed & Undrawn Liquidity Facilities Provided to Banks
- 17.2 Committed & Unfunded Credit Facilities Provided to Banks:
- Section 18: Auxiliary Cash Flow Information
- 18.1 Restricted Liquidity (Funds that have Legal Ring Fencing constraints)...........................................
- Section 19: CDS Spread
- Section 20: Unsecured Funding Pricing
- 20.1 Unsecured Bank Funding Curve
- 20.2 Unsecured Holding Company Funding Curve
- Acronyms:
- Glossary:......................................................................................................................................................
C ONSOLIDATED R EPORTING S CHEDULE
Total Consolidated Assets
Report total consolidated assets of the top tier BHC.
Total Bank Assets
Report total consolidated assets of the lead bank.
Section 1: Cash & Equivalents
Liquid assets are defined as cash and equivalents. Report contractually due cash flows in each sub-line item across the appropriate maturity columns. Operational cash flows, such as check float, should be excluded.
1.1 Cash & Coins
Report all cash (coins and bank notes) held by the bank that is immediately available to meet obligations.
1.2 Excess Reserves at Central
Banks
Report cash balances, in excess of reserve requirements, maintained at the Federal Reserve and/or at central banks other than the Federal Reserve. If the firm is depositing cash with a term, report it in the appropriate maturity column.
1.3 Fed Funds, Eurodollars Sold and
Placements at Other Banking
Institutions
Report maturities of ‘Fed funds’, ‘Eurodollars’ sold, and placements held at other banking
institutions, which will contractually result in a cash inflow. Do not include deposits at other held at other financial institutions for operational purposes such as clearing, custody and cash management.
1.4 Other
Report all other cash and equivalent assets not counted above, including, but not limited to, cash to forward settlements, receivables from derivatives, collateral called for receipt, etc. Do not include derivative receivables or collateral cash flows related to netted investment securities and debt securities as described in their respective sections. If using this line item, please comment on the type/nature of the items included in this section in the “Notes” column to the right.
Section 2: Reverse Repos (by
assets employed)
Report gross contractual maturity cash flows of Reverse Repo transactions in the appropriate line item and column. Report the cash value of the transaction and not the face value of securities repurchased. For securities that have multiple ratings, report the transaction or asset based on the lowest rating.
values as of close of business on the reporting date.
Unencumbered Assets
Market Value Lendable Value Report the market value of the unencumbered assets by type.
Report the lendable value of the unencumbered assets by type. Lendable value is the value that the firm could obtain for the assets reported in the same category, which incorporate ‘haircuts’ considering factors such as liquidity, credit and markets risks.
FHLB Capacity
Report securities pledged to the FHLB system by category regardless of whether funds have been drawn against the pledged securities.
FHLB Capacity............................................................................................................................................
Market Value Borrowing Capacity Value Report the market value of the securities by type that belong to this category.
Report the borrowing capacity value of the securities by type that belong to this category. Borrowing capacity value is the amount that the firm could obtain for the assets reported in the same category, which incorporate ‘haircuts’ considering factors such as liquidity, credit and markets risks.
Central Bank (DW) Capacity
Report securities pledged to the Federal Reserve’s discount window facility where such pledged collateral has been pre-approved as eligible collateral to secure borrowings.
Central Bank (DW) Capacity
Market Value Borrowing Capacity Value Report the market value of the securities by type that belong to this category.
Report the borrowing capacity value of the securities by type that belong to this category. Borrowing capacity value is the amount that the firm could obtain for the assets reported in the same category, which incorporate ‘haircuts’ considering factors such as liquidity, credit and markets risks. Report the capacity as reported to the firm by the Fed Discount Window.
Secured Deposits
Report securities pledged to secure deposits, for example securities pledged to collateralize public deposits.
Secured Deposits
Market Value Collateral Capacity Value Report the market value of the securities by type that belong to this category.
Report the borrowing capacity value of the securities by type that belong to this category. Collateral capacity value is the amount that the firm could obtain for the assets reported in the same category, which incorporate ‘haircuts’ considering factors such as liquidity, credit and markets risks.
Other Secured Financing
Report investments securities that are pledged to third parties. Examples include ABS trust, ABCP conduits, secured borrowing commitments in which assets have been pledged to the facilities.
Other Secured Financing
Market Value Borrowing Capacity Value Report the market value of the securities by type that belong to this category.
Report the borrowing capacity value of the securities by type that belong to this category. Borrowing capacity value is the amount that the firm could obtain for the assets reported in the same category, which incorporate ‘haircuts’ considering factors such as liquidity, credit and markets risks.
Investment Securities Types Definitions
The following table contains a description of the investment securities types. For securities that have multiple ratings, report the transaction or asset based on the lowest rating:
Item Investment Securities
Description
3.7 Municipal Securities with greater than 20% Risk Weight
Report securities issued by state and political subdivisions in the United States subject to greater than 20% risk weight for risk- based capital calculations. State and political subdivisions include the fifty States of the United States and the District of Columbia and their counties, municipalities, school districts, irrigation districts, and drainage and sewer districts and the governments of Puerto Rico and of the U.S. territories and possessions and their political subdivisions. Securities can include general obligations, revenue obligations and industrial development and similar obligations. If an investment is split rated, defer to the lowest rating. 3.8 Private Label RMBS, CMBS and ABS with greater than 20% Risk Weight
Report all Private Label RMBS, CMBS and ABS subject to greater than 20% risk weight for risk-based capital calculations.
- Private Label RMBS: CMOs, REMICs, CMO and REMIC residuals, stripped mortgage-backed securities and commercial paper backed by loans secured by 1-4 family residential properties that are not backed by a US government agency or US government sponsored entity.
- CMBS: In general, a commercial mortgage-backed security represents an interest in a pool of loans secured by properties other than 1-4 family residential properties.
- ABS: Asset-backed securities (other than mortgage-backed securities) include asset-backed commercial paper. 3.9 Other Securities Report all other investment securities not listed above. If using this line item, please comment on the type/nature of the items included in this section in the “Notes” column to the right.
Loans and Leases Type Definitions
Loans and Leases are divided into 5 sections: Available for Sale, Securitization, and Repo; FHLB Capacity; Central Bank (DW) Capacity; Secured Deposits and Other Secured Financing. Report loans and leases in one of the categories based on the category description and loan types described below.
Available for Sale, Securitization, and/or Repo
Available for Sale, Securitization, and/or Repo
The input value should include liquid loans, by product type, that could be repoed, sold, or securitized in a reasonable amount of time (3 months or less). To avoid double counting, the balances provided should not include loans already pledged to secure FHLB, Discount Window, and any 3 rd^ party counterparty capacity or seller’s interest not available to pledge. The input value should be the market value of loans for sale, securitization and/ or Repo. The market value can be interpreted as the book value less a haircut for the sale. The haircut applied to loans and leases can be based on readily available market-based metrics for the general asset type. For example, publically available loan and lease haircuts provided by the FHLB or Discount Window could be used as a benchmark as a reasonable estimate.
FHLB Capacity
FHLB Capacity..........................................................................................................................................
Book Value Borrowing Capacity Value Report the book value of the loans pledged to the FHLB system by product type.
Borrowing capacity should reflect the available amount based on collateral posted and haircuts applied. Also report capacity values net of any pledged sellers interest, required over- collateralization, and credit risk retention requirement. The input value should include total capacity, i.e., capacity securing both outstanding borrowings and remaining capacity. If additional FHLB stock purchase is required to realize full borrowing capacity please make a comment in the note section regarding additional purchase requirement.
Central Bank (DW) Capacity
Central Bank (DW) Capacity
Book Value Borrowing Capacity Value Report the book value of the loans pledged to the Federal Reserve Discount Window by product type.
Report available capacities created by the existence of pledged loan collateral, by product type, at the Federal Reserve’s discount window facility where such pledged collateral has been pre-approved as eligible collateral to secure borrowings. Available capacity should reflect the immediately available amount based on collateral posted and ‘haircuts’ applied. Report the capacity as reported to the firm by the Discount Window.
Secured Deposits
Secured Deposits
Book Value Collateral Capacity Value Report the book value of the loans pledged that belong to this category.
Report the borrowing capacity value of the loans that belong to this category. Borrowing capacity value is the amount that the firm could obtain for the assets reported in the same category, which incorporate ‘haircuts’ considering factors such as liquidity, credit and markets risks.
Item Loans and Leases Description include loans secured by nonfarm nonresidential property where the primary source of repayment is derived from rental income associated with the property 4.8 Commercial and Industrial
Loans and Leases for commercial and industrial purposes to sole proprietorships, partnerships, corporations, and other business enterprises, which are secured (other than by real estate) or unsecured, single-payment, or installment. 4.9 Other Loans and Leases Report any additional extension of credit balance not already captured in the categories above (i.e., agricultural loans). If using this line item, please comment on the type/nature of the items included in this section in the “Notes” column to the right.
Section 5: Secured Funding
Sources Outstanding
This section is used to report outstanding secured funding sources.
5.1 FHLB Borrowing
Report the amount of borrowing outstanding and letters of credit sourced from the FHLB system in the respective maturity columns based on remaining contractual maturity. An advance containing an option that grants the FHLB the right to cancel the advance at some specified future date, should be reported as if on the first call date.
5.2 Federal Reserve (Central Bank)
Borrowing
Report all direct borrowings from the Federal Reserve System. Include balances in the respective maturity columns based on remaining contractual maturity. List program name, amount and remaining contractual maturity of each program utilized in the “Notes” column to the right.
5.3 Secured Deposits
Report only the portion of deposits that are secured by any type of collateral. For example,
report public deposits that are secured by collateral. If a portion of a deposit account is covered by FDIC insurance, and thus not secured by collateral, institutions should not include that portion of the deposit in Secured Deposits. The secured deposit maturity should be in accordance with its contractual maturity.
5.4 Other Secured Financing
Report the outstanding amount of other forms of secured financing issued by the reporting firm, based on remaining contractual maturity in the appropriate maturity columns. Examples include term and revolving securitization, secured revolving lines of credit and securitizations conduits and covered bonds. When using this line, report the type of the transaction in the “Notes” column to the right.
Section 6: Repurchase
Transactions (by security asset
class)
Report gross contractual maturity cash flows of secured funding transactions (bilateral and tri- party) in the appropriate sub line item and column. (See Glossary for definitions of transactions reported in this section.) Report the
contractual cash payment to be paid, including principal and interest. Do not report the fair market value of the pledged securities, unless otherwise noted. Report on a gross basis. ASC 210-20-45 (formerly FIN 41) netting does not apply for this report.
Report repo transactions in section line items based on underlying collateral categories as listed in the table below. For transactions that allow for collateral agreement amendments, report the transaction based on the collateral utilized as of the reporting date. Include transactions that utilize both firm and re- hypothecated client owned assets.
- Report open (no specified maturity date) repos in the Day 1 maturity column, similar to overnight repos - Transactions with embedded optionality or structured features should be reported in the earliest exercisable maturity column - Report evergreen or extendible repos in the appropriate maturity column based on the remaining contractual maturity, without making assumptions about future extensions. - Report collateral upgrade transactions, including non-cash transactions, with external counterparties as two distinct transactions in the appropriate asset categorization class - Exclude intercompany repo transactions
Item Repurchase Transaction (by security asset class)
Description
6.1 US Treasury and 0% Risk Weight US Agency Debt, Sovereign Debt and Other 0% Securities
Report all bills, certificates of indebtedness, notes and bonds issued or explicitly guaranteed by the US Treasury or a US Agency subject to a 0% risk weight for risk-based capital calculations. Also report sovereign debt and all other securities subject to a 0% risk weight for risk-based capital calculations. 6.2 US Agency Debt 20% Risk Weight
Report all debt securities issued or explicitly guaranteed by US government agencies or US Government-sponsored agencies subject to a 20% risk weight for risk-based capital calculations. 6.3 AA- or better Non- Financial Corporate Debt with 20% Risk Weight
Report all Non-Financial Corporate Debt that is rated AA- or better and subject to a 20% risk weight for risk based capital calculations. If the debt is split rated, use the lowest rating available. 6.4 Other Securities with 20% Risk Weight
Report all other securities subject to a 20% risk weight for risk- based capital calculations. 6.5 Other Report all other securities that are not included in the categories listed above. If using this line item, please comment on the type/nature of the items included in this section in the “Notes” column to the right.
Exclude brokered CDs that are reported on Line 10.4 (Brokered CDs/NMDs).
7.6 Other Unsecured Financing
Report any other unsecured financing activities not already covered in this section. If using this line item, please comment on the type/nature of the items included in this section in the “Notes” column to the right.
Section 8: Estimated Core Funding Gap
The Net Loan Growth/Attrition and Net Retail Deposit Growth/Attrition line items are intended to capture the forecasted (best estimate) change in loan and deposits, representing net inflows/outflows in the stated time buckets. These estimates should be obtained from the institution's internal reports for a normal environment (i.e. no extraordinary stress applied) such as a liquidity gap report, budget projections, ALM base case forecast, etc. Essentially, the entity should estimate the net funding inflows/outflows attributed to the bank’s core loan and deposit activities. For example, if loans outstanding are currently $70,000, and projected to be $65,000 30 days out, the input value should be - $5,000 in the ‘>1 day <=1 month’ column.
8.1 Net Loan Growth/Attrition
Report the net funding inflows/outflows resulting from the expected change in the reporting entities core lending activities in the corresponding maturity columns. Positive and negative numbers are allowed in this section.
8.2 Net Retail Deposit Growth/Attrition
Report the net funding inflows/outflows resulting from the expected change in the reporting entities retail deposit activities in the corresponding maturity columns. Positive and negative numbers are allowed in this section.
Section 9: Contractual Loan Inflows and Committed Inflow
9.1 Loans (maturing cash inflows)
Report the contractual inflows of all maturing and fully performing loans in the corresponding maturity columns. This line item differs from the Net Loan Growth/Attrition line item in that the entity is only reporting total contractual loan maturities. Do not make assumptions about amortizations and prepayments. Contractual loan maturities should not be netted against total estimated loan growth.
9.2 Undrawn Portion of Liquidity and Credit Facilities
Report undrawn liquidity and credit commitment that the firm has access to.
Section 10: Deposit Funding
Report deposit funding obtained by the reporting entity from external counterparties in the appropriate sub item with the corresponding maturity columns. For products with non-maturing characteristics, (e.g. demand deposits) report the balances in the Day 1 maturity bucket. Firms are exempt from reporting this section except for 10.4.
10.4 Brokered CDs/NMDs
Report all insured and uninsured deposits originated through financial advisory or broker sales force. This should include deposits sourced from deposit gatherers. Brokered deposits represent funds which the reporting bank obtains, directly or indirectly, by or through any deposit broker for deposit into one or more deposit accounts. Thus, brokered deposits include both those in which the entire beneficial interest in a given bank deposit account or instrument is held by a single depositor and those in which the deposit broker sells participations in a given bank deposit account or instrument to one or more investors.
Section 11: ABCP Exposure
11.1 ABCP- Single Seller
Report the outstanding ABCP issued from single seller programs sponsored by the reporting firm based on remaining contractual maturity in the appropriate maturity columns.
11.2 ABCP- Multi Seller
Report the outstanding ABCP issued from multi-seller ABCP conduits sponsored by the reporting firm based on remaining contractual maturity in the appropriate maturity columns.
Section 12: Undrawn Commitments and Contingent Liquidity Needs
This section refers to all liquidity and credit facilities provided to other financial and non-financial entities. Firms are exempt from reporting this section.
