Regulatory Practice Letter #15-01 | January 13, 2015

Regulatory Practice Letter #15-01 | January 13, 2015

Federal Reserve Requests Comment on Liquidity Monitoring Reporting Proposal

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Executive Summary

On November 26, 2014, the Federal Reserve Board (“Federal Reserve”) issued an information collection proposal to extend for three years, with revision, the Complex Institution Liquidity Monitoring Report (“FR 2052a”) and the Liquidity Monitoring Report (“FR 2052b”), which would be effective beginning on March 31, 2015. The FR 2052 reports are used to monitor the overall liquidity profile of institutions supervised by the Federal Reserve. 

The Federal Reserve proposes to revise the FR 2052a report (“proposed FR 2052a”) by modifying the: (1) respondent panel threshold, (2) frequency of reporting, (3) reporting platform structure, and (4) data item granularity. Key modifications to the FR 2052a would include: 

Clarification of certain liquidity coverage ratio (“LCR”)1 terms. For example, “transactional account” would have the same meaning as “transaction account” and “liquidity facilities” would be delineated from “credit facilities.”

Frequency of reporting revisions, whereby certain BHCs currently filing the monthly FR 2052b would be required to move to the proposed FR 2052a monthly and daily reporting panel.

Increased granularity, including: (1) counterparty types, along with number of products requiring the counterparty to be reported, (2) daily maturity buckets for the first sixty days, (3) liquidity profile reporting by currency for each material legal entity, and (4) additional details regarding securities financing transactions, wholesale unsecured funding, deposits, loans, unfunded commitments, collateral, derivatives, and foreign exchange transactions. 

Reporting platform changes, whereby the structure of the data collection would move from a spreadsheet-based format to an Extensible Markup Language (“XML”) format to both accommodate the increased granularity and adhere to leading data industry practices. 

Defined table revisions, including the introduction of a new hierarchy that subdivides the three general categories of inflows, outflows, and supplemental items into ten distinct data tables designed to stratify the assets, liabilities, and supplemental components of a firm’s liquidity risk profile. 

Revisions to the FR 2052b report (“proposed FR 2052b”) would include the elimination of the current monthly reporting frequency requirement for U.S. bank holding companies (“BHCs”) not designated by the Financial Stability Board (“FSB”) as Global Systemically Important Banks (“G-SIBs”) with at least $50 billion in total consolidated assets including foreign banking organization (“FBO”) subsidiaries. These entities would be required to report monthly and/or daily under the proposed FR 2052a. 

Comments on the proposed information collection activities must be submitted to the Federal Reserve by February 2, 2015.

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