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:
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.
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.