Regulatory Reporting in the U.S. – Updates on a Productive Year
- VERMEG North America has successfully implemented the revision to the FR 2052a, the Complex Institution Liquidity Monitoring Report.
The Board of Governors of the Federal Reserve System (Board) has extended for three years, with revision, effective May 1, 2022, FR 2052a reporting requirements for banking organizations subject to Category I standards and October 1, 2022, for banking organizations subject to Category II-IV standards. 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.
Despite the size and complexity of the revisions VERMEG delivered the changes well in advance of the deadline to enable early client deployment and testing.
- VERMEG North America has successfully implemented the revisions to FR 2420, Report of Selected Money Market Rates.
The revisions were designed to enable closer monitoring of the transition away from the London Interbank Offered Rate (LIBOR); strengthen the reference rate production process; and ensure the integrity of reported data. In addition, the day-count convention used for all interest rates reported on the FR 2420 reporting form has been introduced.
Implementing the changes for FR 2420 is a significant undertaking, not only as a result of the development effort and associated testing and quality analysis, but also, and more importantly, the revisions impact a large number of banking entities, existing clients and prospects alike.
- VERMEG North America has already completed the revisions to Form SLT (Aggregate Holdings, Purchases and Sales, and Fair Value Changes of Long-Term Securities by U.S. and Foreign Residents) in anticipation of the report’s effective date in November 2022.
The changes in short entail 1) SLT for the first time aims to collect the data pertaining to ‘‘changes in fair value’’ for the TIC securities data; and 2) SLT now incorporates purchase and sale activities of long-term securities along with custody activities. Achieving these changes was a collaborative effort, because, among other challenges, the data modifications needed to be effectively communicated to clients so that they could provide the required updates to the input data.
- VERMEG North America is considering creating a reporting solution for compliance with FR 2956 “Treasury Securities and Agency Debt and Mortgage-Backed Securities Reporting Requirements.
The Board has adopted a proposal to implement the FR 2956 with the first reporting under this collection beginning on September 1, 2022.
The FR 2956 collects detailed data on depository institutions’ daily transactions of marketable U.S. Treasury securities and of the debt and MBS issued by U.S. Federal government agencies including government-sponsored enterprises (agencies). The report will have two parts: Part 1 will collect data on transactions in U.S. Treasury securities, and Part 2 will collect transactions in debt and MBS issued by agencies. Depository institutions subject to this report will include every national bank, state member bank, state non-member bank, savings association, or U.S. branch and agency of a foreign bank with average daily transaction volumes of over $100 million for U.S. Treasury securities, or over $50 million for agency-issued debt and MBS, during the prior fiscal year. The Board is adopting an implementation timeline for first reporting of September 1, 2022.
FR 2956 is a granular data report (“GDR”) and as such, adheres to a consistent trend in regulatory reporting, i.e., regulators are increasingly interested in collecting the data used in a report rather than the report alone. Implementing the report such as FR 2956 would mean applying the suite of tools readily available for GDR and enable VERMEG to be in the forefront of the trend.
If your institution is subject to this report and would be interested in utilizing our solution, please get in touch with us at Info@vermeg.com .
The U. S. regulators are, with good reason, careful to achieve a balance between regulatory burden and capital needs and have been reticent with respect to new rules. Recently however, the Board indicated that the Fundamental Review of the Trading Book (“FRTB”) and standardized approach for operational risk were the most important rules to be proposed.
Given the Board’s indication, we expect changes will be coming in this area. VERMEG is ready to address those changes and continue to provide the industry with the highest standards in regulatory solutions.