Agency Information Collection Activities: Announcement of Board Approval Under Delegated Authority and Submission to OMB, 68254-68260 [2021-26103]
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Federal Register / Vol. 86, No. 228 / Wednesday, December 1, 2021 / Notices
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Dated: November 24, 2021.
Steven Neugeboren,
Associate General Counsel.
[FR Doc. 2021–26085 Filed 11–30–21; 8:45 am]
BILLING CODE 6560–50–P
FEDERAL RESERVE SYSTEM
Agency Information Collection
Activities: Announcement of Board
Approval Under Delegated Authority
and Submission to OMB
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.
AGENCY:
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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. Boardapproved 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
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the Federal Reserve Board’s public
website at https://www.federal
reserve.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 (onetime): 26; daily (ongoing): 15, daily
(one-time): 15.
Estimated average hours per response:
Monthly (ongoing): 121, monthly (onetime): 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.
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
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 followup calls, one with a trade association
and another with the trade association
along with banking organizations, to
better understand their concerns and
recommendations.
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
55
U.S.C. 552(b)(8).
U.S.C. 552(b)(4).
7 86 FR 9120 (February 11, 2021).
8 For example, commenters suggested April 1,
2022, for revisions to the FR 2052a related to the
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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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.
Further, the NSFR rule public
disclosure requirements, which are
NSFR rule and October 1, 2022, for all other
revisions.
9 Appendix VIII maps FR 2052a data elements to
the NSFR rule requirements.
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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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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 resubmit 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 intraquarter 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
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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
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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field to each applicable FR 2052a table,
as this approach would be more
burdensome than the approach the
Board is adopting (for example, by
explicitly requiring banking
organizations to report carrying values
at a transaction level).
Further, the FR 2052a does not
require banking organizations to wholly
reconcile FR 2052a data elements to the
details reported on a U.S. GAAP balance
sheet. Rather, the FR 2052a requires
banking organizations to report data that
conceptually cover the entirety of their
balance sheet exposures and certain offbalance 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.
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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 organizationspecific 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
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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-toMaturity 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
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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.
The expansion of the collateral class
data field, which identifies the types of
collateral for relevant FR 2052a data
elements, recognizes that the liquidity
11 See
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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 NSFRrelated 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
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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 NSFRrelated FR 2052a data elements in the
‘‘S.L: Supplemental-Liquidity Risk
Measurement (LRM)’’ table for its U.S.
branches.
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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
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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: InflowsSecured’’ 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: InflowsUnsecured’’ 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
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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 interaffiliate 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
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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.
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
12 See 12 CFR 249.105 for the calculation of the
RSF amount.
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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;
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68259
• 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 ‘‘lookthrough’’ 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 ‘‘lookthrough’’ 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
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
13 RSF
factors are assigned in 12 CFR 249.106.
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.
14 An
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Federal Register / Vol. 86, No. 228 / Wednesday, December 1, 2021 / Notices
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
LCR-NSFR.INFO@occ.treas.gov.
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
DEPARTMENT OF HEALTH AND
HUMAN SERVICES
Centers for Medicare & Medicaid
Services
Notice of Hearing: Reconsideration of
Disapproval South Carolina Medicaid
State Plan Amendment (SPA) 19–0004–
A
Centers for Medicare &
Medicaid Services, HHS.
ACTION: Notice of hearing:
reconsideration of disapproval.
AGENCY:
This notice announces an
administrative hearing to be held on
January 12, 2022, at the Department of
Health and Human Services, Division of
Medicaid Field Operations, South,
Centers for Medicare & Medicaid
Services, Division of Medicaid and
Children’s Health Operations, 61
Forsyth St., Suite 4T20, Atlanta, Georgia
30303–8909 to reconsider CMS’
decision to disapprove South Carolina’s
Medicaid SPA 19–0004–A.
DATES:
Closing Date: Requests to participate
in the hearing as a party must be
received by the presiding officer by
December 16, 2021.
FOR FURTHER INFORMATION CONTACT:
Benjamin R. Cohen, Presiding Officer,
CMS, 7500 Security Blvd., MS B1–01–
31, Baltimore MD 21244–1850,
Telephone: (410) 786–3169.
SUPPLEMENTARY INFORMATION: This
notice announces an administrative
hearing to reconsider CMS’s decision to
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SUMMARY:
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disapprove South Carolina’s Medicaid
state plan amendment (SPA) 19–0004–
A, which was submitted to the Centers
for Medicare & Medicaid Services (CMS)
on June 28, 2019 and disapproved on
May 21, 2021. This SPA requested CMS
approval to update annual supplemental
teaching physician (STP) payment
program using the Average Commercial
Rate (ACR) methodology effective April
1, 2019. This SPA included Greenville
Memorial Hospital, and Palmetto
Health, Richland/USC.
The issues to be considered at the
hearing are whether South Carolina SPA
19–0004–A is inconsistent with the
requirements of:
• Section 1902(a)(2) of the Social
Security Act (the Act), providing that
the state plan must assure adequate
funding for the non-federal share of
expenditures from state or local sources,
such that the lack of adequate funds
from local sources will not result in
lowering the amount, duration, scope,
or quality of care and services available
under the plan.
• Sections 1903(a) and 1905(b) of the
Act, providing that states receive a
statutorily determined Federal Medicaid
Assistance Percentage (FMAP) for
allowable state expenditures on medical
assistance.
• Section 1903(w)(1)(A)(i)(I) of the
Act, providing that, notwithstanding the
previous provisions of section 1903, for
purposes of determining the amount to
be paid to a State (as defined in
paragraph (7)(D)) under subsection (a)(1)
for quarters in any fiscal year, the total
amount expended during such fiscal
year as medical assistance under the
State plan (as determined without
regard to section 1903(w)) shall be
reduced, inter alia, by the sum of any
revenues received by the State (or by a
unit of local government in the State)
during the fiscal year from providerrelated donations other than bona fide
provider-related donations, as defined
in section 1903(w)(2)(B).
• Section 1903(w)(2)(A) of the Act,
providing that, in section 1903(w),
except as provided in section
1903(w)(6), the term ‘‘provider-related
donation’’ means any donation or other
voluntary payment (whether in cash or
in kind) made (directly or indirectly) to
a State or unit of local government by—
(i) a health care provider (as defined in
section 1903(w)(7)(B)), (ii) an entity
related to a health care provider (as
defined in section 1903(w)(7)(C)), or (iii)
an entity providing goods or services
under the State plan for which payment
is made to the State under paragraph (2),
(3), (4), (6), or (7) of section 1903(a).
• Section 1903(w)(2)(B) of the Act,
providing that, for purposes of section
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1903(w)(1)(A)(i)(I), the term ‘‘bona fide
provider-related donation’’ means a
provider-related donation that has no
direct or indirect relationship (as
determined by the Secretary) to
payments made under title XIX to that
provider, to providers furnishing the
same class of items and services as that
provider, or to any related entity, as
established by the State to the
satisfaction of the Secretary. The
Secretary may by regulation specify
types of provider-related donations
described in the previous sentence that
will be considered to be bona fide
provider-related donations.
• Section 1903(w)(6)(A) of the Act,
providing that, notwithstanding the
provisions of section 1903(w), the
Secretary may not restrict States’’ use of
funds where such funds are derived
from State or local taxes (or funds
appropriated to State university
teaching hospitals) transferred from or
certified by units of government within
a State as the non-Federal share of
expenditures under title XIX, regardless
of whether the unit of government is
also a health care provider, except as
provided in section 1902(a)(2), unless
the transferred funds are derived by the
unit of government from donations or
taxes that would not otherwise be
recognized as the non-Federal share
under section 1903.
• 42 CFR 433.54(b), (c)(2), and (c)(3),
providing that provider-related
donations will be determined to have no
direct or indirect relationship to
Medicaid payments if those donations
are not returned to the individual
provider, the provider class, or related
entity under a hold harmless provision
or practice, as described in 42 CFR
433.54(c). A hold harmless practice
exists if, inter alia, all or any portion of
the Medicaid payment to the donor,
provider class, or related entity, varies
based only on the amount of the
donation, including where Medicaid
payment is conditional on receipt of the
donation; or if the State (or other unit
of government) receiving the donation
provides for any direct or indirect
payment, offset, or waiver such that the
provision of that payment, offset, or
waiver directly or indirectly guarantees
to return any portion of the donation to
the provider (or other parties
responsible for the donation).
Section 1116 of the Act and federal
regulations at 42 CFR part 430 establish
Department procedures that provide an
administrative hearing for
reconsideration of a disapproval of a
state plan or plan amendment. CMS is
required to publish in the Federal
Register a copy of the notice to a state
Medicaid agency that informs the
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]]>Agencies
[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.
---------------------------------------------------------------------------
\1\ 12 U.S.C. 1844.
\2\ 12 U.S.C. 3106.
\3\ 12 U.S.C. 1467a.
\4\ 12 U.S.C. 5365.
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\5\ 5 U.S.C. 552(b)(8).
\6\ 5 U.S.C. 552(b)(4).
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\7\ 86 FR 9120 (February 11, 2021).
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
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.''
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\11\ See 12 CFR 249.3.
---------------------------------------------------------------------------
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.
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\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\
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\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.
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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
