FR 2052a Reporting Solution For Automated Liquidity Monitoring And Compliance

Part of AxiomSL’s US liquidity risk management ecosystem, the FR 2052a reporting solution
empowers financial firms to meet the Federal Reserve’s evolving monitoring and reporting requirements and reconcile with the Basel-driven liquidity compliance measures of US NSFR and LCR.

Increased Attributes, Granularity, and Frequency

Financial institutions in the US were recently notified of significant changes needed in their processes to comply with Federal Reserve’s FR 2052a Complex Institution Liquidity Monitoring Report that cover Large Bank Holding Companies, Commercial Banks, and the US entities of Foreign Banking Organizations. There will be a massive burden to reduce cash flows to carrying values across the board and to:

  • Access data from multiple source-systems
  • Organize new required attributes and reportable values

  • Aggregate into now 13 tables vs 10
  • Convert to a new XML schema and validation checks

Data Collection/Submission Expansion

Data collection: 13 classification categories vs 10; 167 product types vs 115; 62 sub-product types vs 42; 19 counterparty types vs 14; 96 asset classes vs 72; and 75 maturity buckets.

On-demand and perpetual maturities related to derivatives, assets, liabilities, funding activities, and contingent liabilities on consolidated and material reporting entities.

Calculations and Attribution Dimensions Impacts

The change notification has far reaching impacts. Of the 90 new attributes added to the report, only ten relate to the US NSFR Rule. Changes also affect LCR compliance.

It imposes daily NSFR and LCR measures. Thus, organizations must correctly reflect these measures in the new FR 2052a report at the frequency required of each firm.

AxiomSL’s FR 2052a Reporting Solution and Unpacking the FR 2052a Change

FR 2052a Reporting Solution Ecosystem

AxiomSL’s US FR 2052a Solution

Data-Driven | Adaptive | End-to-End

Consolidates data, models, calculations, and reporting in a single SaaS-enabled solution

Targets readiness for the notified compliance start date of July 2021

Implements and maintains new asset classes, PIDs, SIDs, CTPY IDs, and dimensions

Bridges seamlessly to new US NSFR Rule calculations and reporting

Provides traceability to methods, parameters, and source data in a controlled, single platform

Global Ecosystem

Data-driven | Transparent | Fully Integrated

Solutions accommodate jurisdictional interpretations and approaches set by regulators and national authorities

AssetLiabilityView extensible data dictionary architecture powers multiple requirements

Dashboards provide insight into variance and trend analysis

Complete drilldown and data lineage facilitate transparent analysis and audit

Swiftly processes large data volumes and daily runs

Solution Features

Data Ingestion and Management

Seamlessly ingests disparate datasets into the AssetLiabilityView extensible data dictionary architecture that delivers consistent data into optimized processes and automated, transparent calculations. Leverages ControllerView’s capabilities to swiftly process large daily cash flow and position volumes.

Brings cash and collateral flows together with balance sheet measures.

Risk Management

Provides control over the entire liquidity risk management process from data sourcing to calculation results, to reporting, including XML submission.

Powerful dashboards draw information from integrated modules enabling users to perform additional levels of risk analysis and monitor key trends.

Governance and Transparency

Delivers ubiquitous drilldown and traceable, transparent data lineage that enable trusted liquidity metrics, and bolster governance.

As a best practice, accommodates change without compromising history. Enables report-level adjustment input enabling bulk uploads with roll-ups for speed and oversight ease.

Integrated Automated Modules

LCR: Delivers gross and net HQLA, cash and collateral flows per LCR reporting rules.

NSFR: Delivers gross and net ASF and RSF according to FR 2052a Appendix and NSFR rules.

LCR and NSFR Public Disclosures: Calculate averages. Produces quantitative template FR Y-15 Schedule G/N Report bridge.

Liquidity Stress Testing: Enables RegYY-compliant and user-defined.

Implementation Expertise

Shortens implementation and business acceptance via client engagement teams that prepare significant changes in the tight timeframe including:

Data gap analysis, requirements gathering, configuring additional data sources, configuring control and variance reporting, UAT support, business acceptance, and implementing FR 2052a updates and linkages to LCR, NSFR.

Requirements Evolution

The FR 2052a ecosystem reduces total cost of ownership (TCO) and increases operational efficiency because it is designed to seamlessly incorporate changing requirements, for example:

Releases before and after schema update; expansion of segment level aggregation; NSFR calculations (e.g., derivative netting); report timing and reconciliation implications (e.g., FR Y-9C).

Key Benefits

The integrated modular design optimizes clients’ liquidity data enabling them to achieve desired outcomes across FR 2052a, LCR, NSFR, LCR and NSFR Public Disclosures, and other connected requirements, and meet stress testing objectives

The FR 2052a reporting solution provides traceability and visibility into source data, methods, calculations, and parameters within a controlled, data-driven platform that strengthens compliance, auditability, and analytics

The ControllerView platform and broad suite of end-to-end solutions enables firms to seamlessly manage global risk and regulatory requirements within a flexible end-to-end SaaS ecosystem that insulates them against technology and regulatory change

Dashboards provide insight into liquidity risk monitoring, trends and appetite; access to liquidity data enables firms to leverage it for multiple risk and reporting requirements and downstream analytics

Related Insights

Important Considerations for an FR 2052a Reporting Solution

Are we confident that our data is complete and accurate such that executives, auditors, and regulators trust our liquidity measures and values?

Can we quickly apply new categories and/or different measures of liquidity when market conditions, bank policies, and regulatory rules change?

Can we access all the data that we need to calculate FR 2052a requirements promptly and accurately?

What is the adequacy of our internal liquidity measurement, monitoring, and reporting capabilities to respond to more exacting regulatory demands?

Is our platform able to accommodate different liquidity compliance rules and reporting requirements across our global jurisdictions?

Do our data and process methods provide us with controls and transparency from data source to results?

US FR 2052a Reporting Solution And Basel Liquidity Risk

Learn more about AxiomSL’s U.S. Liquidity Solution

Learn more about the Ecosystem For Basel Liquidity Risk

Connect with AxiomSL

Speak with a Sales Representative.

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