[Federal Register Volume 77, Number 161 (Monday, August 20, 2012)]
[Notices]
[Pages 50102-50106]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-20325]


=======================================================================
-----------------------------------------------------------------------

FEDERAL RESERVE SYSTEM


Proposed Agency Information Collection Activities; Comment 
Request

AGENCY: Board of Governors of the Federal Reserve System.

SUMMARY: On June 15, 1984, the Office of Management and Budget (OMB)

[[Page 50103]]

delegated to the Board of Governors of the Federal Reserve System 
(Board) its approval authority under the Paperwork Reduction Act (PRA), 
pursuant to 5 CFR 1320.16, to approve of and assign OMB control numbers 
to collection of information requests and requirements conducted or 
sponsored by the Board under conditions set forth in 5 CFR part 1320 
Appendix A.1. Board-approved collections of information are 
incorporated into the official OMB inventory of currently approved 
collections of information. Copies of the Paperwork Reduction Act 
Submission, supporting statements and approved collection of 
information instruments are placed into OMB's public docket files. The 
Federal Reserve may not conduct or sponsor, and the respondent is not 
required to respond to, an information collection that has been 
extended, revised, or implemented on or after October 1, 1995, unless 
it displays a currently valid OMB control number.

DATES: Comments must be submitted on or before October 19, 2012.

ADDRESSES: You may submit comments, identified by FR 2004 or FR Y-15, 
by any of the following methods:
     Agency Web Site: http://www.federalreserve.gov. Follow the 
instructions for submitting comments at http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
     Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
     Email: [email protected]. Include OMB 
number in the subject line of the message.
     Fax: (202) 452-3819 or (202) 452-3102.
     Mail: Robert deV. Frierson, Secretary, Board of Governors 
of the Federal Reserve System, 20th Street and Constitution Avenue NW., 
Washington, DC 20551.
    All public comments are available from the Board's Web site at 
www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as submitted, 
unless modified for technical reasons. Accordingly, your comments will 
not be edited to remove any identifying or contact information. Public 
comments may also be viewed electronically or in paper form in Room MP-
500 of the Board's Martin Building (20th and C Streets NW.) between 9 
a.m. and 5 p.m. on weekdays.
    Additionally, commenters may send a copy of their comments to the 
OMB Desk Officer--Shagufta Ahmed--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.

FOR FURTHER INFORMATION CONTACT: A copy of the PRA OMB submission, 
including the proposed reporting form and instructions, supporting 
statement, and other documentation will be placed into OMB's public 
docket files, once approved. These documents will also be made 
available on the Federal Reserve Board's public Web site at: http://www.federalreserve.gov/boarddocs/reportforms/review.cfm or may be 
requested from the agency clearance officer, whose name appears below.
    Federal Reserve Board Clearance Officer--Cynthia Ayouch--Division 
of Research and Statistics, Board of Governors of the Federal Reserve 
System, Washington, DC 20551, (202) 452-3829. Telecommunications Device 
for the Deaf (TDD) users may contact (202) 263-4869, Board of Governors 
of the Federal Reserve System, Washington, DC 20551.

SUPPLEMENTARY INFORMATION:

Request for Comment on Information Collection Proposals

    The following information collections, which are being handled 
under this delegated authority, have received initial Board approval 
and are hereby published for comment. At the end of the comment period, 
the proposed information collections, along with an analysis of 
comments and recommendations received, will be submitted to the Board 
for final approval under OMB delegated authority. Comments are invited 
on the following:
    a. Whether the proposed collection of information is necessary for 
the proper performance of the Federal Reserve's functions; including 
whether the information has practical utility;
    b. The accuracy of the Federal Reserve's estimate of the burden of 
the proposed information collection, including the validity of the 
methodology and assumptions used;
    c. Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    d. Ways to minimize the burden of information collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    e. Estimates of capital or start up costs and costs of operation, 
maintenance, and purchase of services to provide information.

Proposal To Approve Under OMB Delegated Authority the Extension for 
Three Years, With Revision, of the Following Report

    Report title: The Government Securities Dealers Reports: Weekly 
Report of Dealer Positions (FR 2004A), Weekly Report of Cumulative 
Dealer Transactions (FR 2004B), Weekly Report of Dealer Financing and 
Fails (FR 2004C), Weekly Report of Specific Issues (FR 2004SI), Daily 
Report of Specific Issues (FR 2004SD), Supplement to the Daily Report 
of Specific Issues (FR 2004SD ad hoc), and Daily Report of Dealer 
Activity in Treasury Financing (FR 2004WI).
    Agency form number: FR 2004.
    OMB control number: 7100-0003.
    Frequency: Weekly, daily.
    Reporters: Dealers in the U.S. government securities market.
    Estimated annual reporting hours: FR 2004A, 3,058 hours; FR 2004B, 
3,822 hours; FR 2004C, 3,276 hours; FR 2004SI, 2,293 hours; FR 2004SD, 
1,103 hours; FR 2004SD ad hoc, 1,092 hours; FR 2004WI, 3,360 hours.
    Estimated average hours per response: FR 2004A, 2.8 hours; FR 
2004B, 3.5 hours; FR 2004C, 3.0 hours; FR 2004SI, 2.1 hours; FR 2004SD, 
2.1 hours; FR 2004SD ad hoc, 2.0 hours; FR 2004WI, 1.0 hour.
    Number of respondents: 21.
    General description of report: This information collection is 
authorized by sections 2A, 12A(c), 14, and 15 of the Federal Reserve 
Act (12 U.S.C. 225a, 263c, 353-359, and 391) and is required to obtain 
or retain the benefit of dealer status. Individual respondent data are 
regarded as confidential under the Freedom of Information Act (5 U.S.C. 
552(b)(4) and (b)(8)).
    Abstract: The FR 2004A collects weekly data on dealers' outright 
positions in Treasury and other marketable debt securities. The FR 
2004B collects cumulative weekly data on the volume of transactions 
made by dealers in the same instruments for which positions are 
reported on the FR 2004A. The FR 2004C collects weekly data on the 
amounts of dealer financing and fails. The FR 2004SI collects weekly 
data on position, transaction, financing, and fails for the most 
recently issued on-the-run Treasury securities (the most recently 
issued Treasury securities for each maturity class). When unusual 
trading practices occur for a specific security, this information can 
be collected on a daily basis on the FR 2004SD for either on-the-run 
Treasury securities or off-the-run Treasury securities. The FR 2004SD 
ad hoc collects up to 10 ad hoc data items

[[Page 50104]]

when critical information is required for additional market 
surveillance. The FR 2004WI collects daily data on positions in to-be-
issued Treasury coupon securities, mainly the trading on a when-issued 
delivery basis.
    Current Actions: Provided below is a list of the proposed revisions 
to each reporting form followed by a more detailed discussion of the 
justification for each of the proposed revisions, effective March 31, 
2013.

FR 2004A and B

    1. Include new maturity breakdowns for Treasury coupon securities 
and Treasury inflation-protected securities (TIPS).
    2. Consolidate maturity breakdowns for agency and government 
sponsored enterprise (GSE) debentures.
    3. Expand MBS reporting to include separate reporting of agency and 
non agency mortgage-backed securities (MBS) as well as separate 
reporting of residential pass-through, non pass-through, and commercial 
mortgage-backed securities (CMBS).
    4. Expand reporting of corporate securities data with separate 
reporting of commercial paper and investment grade/non-investment grade 
debt securities.
    5. Include new asset classes for state and municipal government 
obligations and asset-backed securities.

FR 2004C

    1. Split securities financing data into repurchase agreements/
reverse repurchase agreements and other financing activity-securities 
lent/borrowed.
    2. Expand the asset classes for securities financing into U.S. 
Treasury coupons, TIPS, agency and GSE debentures, agency MBS, 
corporate debt, equities, and other.
    3. Expand financing terms to overnight/continuing, less than 30 
days, and 30 days or greater.
    4. Expand securities settlement fails granularity to U.S. Treasury 
coupons, TIPS, agency and GSE debentures, agency and GSE MBS, other 
MBS, and corporate debt securities.

FR 2004SI and FR 2004SD

    Split outright transactions for Treasury securities into two 
counterparty types, with interdealer brokers and with others.
Expanded Granularity on MBS Products
    Expanding the granularity of MBS data reported on the FR 2004A, B, 
and C is proposed. Non federal agency and GSE-issued MBS would be 
collected as a distinct asset class on the FR 2004A and B reporting 
forms instead of in the corporate securities category. In addition, 
residential MBS and commercial MBS would be collected as distinct 
categories. Transactions in agency pass through securities would be 
separately classified as ``cash'' or as part of a ``dollar roll,'' 
providing information on the critical role of primary dealers in 
intermediating dollar roll transactions and agency MBS financing to 
market participants. The significant expansion of data collected would 
allow for a greater understanding of critical markets that directly 
affect the System Open Market Account, where agency MBS holdings 
currently account for over 30% of total securities holdings. It would 
also allow for a greater understanding of the non-agency MBS market by 
itself as well as the interplay between the non-agency and agency MBS 
markets. In addition, the increased transparency in these important 
markets would benefit both the Federal Reserve in its role in financial 
stability as well as the public through the expansion of publically 
available aggregate statistics.
Additional Information on Treasury Coupon and TIPS
    Expanding the maturity groupings from four to six categories for 
Treasury coupon securities on the FR 2004A and B is proposed to better 
align with Treasury issuance patterns. The new maturity splits are 
constructed so that each one includes a benchmark on-the-run security. 
To improve the interpretive power of TIPS data on the FR 2004A and B, 
four new data items for TIPS are proposed. The four new data items 
would collect TIPS by maturity buckets split so that each has one on-
the-run TIPS plus an additional division for short-term TIPS, which 
tend to trade separately. Adding a column to collect interdealer 
transactions on the FR 2004SI is proposed to align it with counterparty 
reporting on the FR 2004B reporting form, which would improve the 
usefulness of both forms.
Consolidation of Agency and GSE Debenture Reporting
    Reflective of current issuance patterns toward shorter maturities, 
consolidation of agency debenture reporting is proposed on the FR 2004A 
and B reporting form. All coupon securities would be reported in 
aggregate, eliminating the current reporting that splits positions and 
transactions into four separate maturity categories.
Expansion of Securities Financing Data
    An expansion of securities financing data is proposed on the FR 
2004C including the broadening of collateral asset classes as well as 
separate reporting of repurchase/reverse repurchase agreements from 
other types of collateralized financing and additional granularity of 
contract terms. The changes in financing reporting, when used in 
conjunction with existing tri-party and general collateral financing 
(GCF) repurchase agreement data, would allow for a clearer 
understanding of activity in the repurchase agreement markets. Separate 
capture of financing of U.S. equities is proposed, as is a separate 
residual category ``Other,'' primarily for financing of asset-backed 
securities (ABS), municipals, and non-agency issued MBS and 
collateralized mortgage obligations (CMO). Contract terms for 
securities financing would expand from two to three categories with 
over/under 30 day terms collected separately. The new split of contract 
terms would make the data series more analytically useful as it more 
closely aligns with common industry practices and market segments.
Expanded Settlement Fails Data
    Separate collection of non agency or GSE issued MBS is proposed on 
the FR 2004C reporting form. This change would provide consistent 
treatment of non agency or GSE-issued MBS across all of the FR 2004 
reporting forms and would simultaneously enhance the usefulness of the 
corporate settlement fails data by narrowing the definition of 
corporate securities with the removal of this asset class.
Publication of Aggregate Data
    Publication of aggregate data of all new items from the FR 2004A, 
B, and C is proposed. Publication of aggregate Treasury on-the-run data 
with an 8-day lag from the FR 2004SI form is also proposed. The 
expansion of published aggregate statistics would improve market 
transparency across the affected markets.
Clarifications to the Instructions
    The instructions would be revised to (1) cover all proposed data 
items including asset classes that have been added since the last 
reports review (e.g., ABS, municipal bonds) and (2) restructure the 
format and layout with extensive clarifications and structural changes.

Proposal To Approve Under OMB Delegated Authority the Implementation of 
the Following Report

    Report title: The Banking Organization Systemic Risk Report.
    Agency form number: FR Y-15.

[[Page 50105]]

    OMB control number: 7100-to-be-assigned.
    Frequency: Annual.
    Reporters: U.S. bank holding companies (BHCs) and savings and loan 
holding companies (SLHCs) with $50 billion or more of total 
consolidated assets and foreign banking organizations (FBOs) with $50 
billion or more of assets in their combined U.S. operations (including 
branches).
    Estimated annual reporting hours: 11,340 hours.
    Estimated average hours per response: 180 hours.
    Number of respondents: 63.
    General description of report: This information collection is 
authorized by sections 163, 165, and 604 of the Dodd-Frank Act and the 
International Banking Act (12 U.S.C. 1462, 1467, and 3106). The 
obligation to respond to the FR Y-15 is mandatory. The Federal Reserve 
proposes that all report data from the FR Y-15 be made available 
publicly through the FFIEC Web site.
    Abstract: The FR Y-15 would collect consolidated systemic risk data 
from large U.S. BHCs and U.S. SLHCs, and aggregated systemic risk data 
on the U.S. operations of certain FBOs. Data collected from this report 
would be derived directly from a data collection developed by the Basel 
Committee on Banking Supervision (Basel Committee). The Federal Reserve 
would submit the BHC data to the Basel Committee for use in determining 
whether an institution is a global systemically important bank (G-SIB) 
and, if so, what additional capital requirement would be applied. The 
full data set, which includes large SLHCs and the domestic activities 
of FBOs, would be used by the Federal Reserve to assess the systemic 
risk implications of proposed mergers and acquisitions and may be used 
to determine whether an institution is a domestic systemically 
important bank.
    Current Actions: The Federal Reserve proposes to implement the FR 
Y-15. The data items collected in this report would mirror those that 
were developed by the Basel Committee to assess the global systemic 
importance of banks. The report would consist of the following 
schedules:
     Schedule A--Size Indicators;
     Schedule B--Interconnectedness Indicators;
     Schedule C--Substitutability Indicators;
     Schedule D--Complexity Indicators;
     Schedule E--Cross-Jurisdictional Activity Indicators; and
     Schedule F--Ancillary Indicators.

Schedule A--Size Indicators

    The larger a firm is in terms of total assets, the larger the 
potential impact to the global financial system should that firm 
default. The size metric is identical to the total exposures value used 
in the leverage ratio and would be calculated using both on- and off-
balance sheet data. On-balance sheet items would include total on-
balance sheet assets, netted and unnetted securities financing 
transactions, securities received as collateral in securities lending, 
cash collateral received in conduit securities lending transactions, 
derivative exposures with a net positive fair value, and cash 
collateral netted against net positive derivative exposures. Off 
balance sheet items would include potential future exposure of 
derivatives, total notional amount of credit derivatives sold, credit 
derivatives sold net of related credit protection bought, off-balance 
sheet items with a 0% credit conversion factor (CCF), unconditionally 
cancellable credit card commitments, other unconditionally cancellable 
commitments, off-balance sheet items with a 20% CCF, off-balance sheet 
items with a 50% CCF, and off-balance sheet items with a 100% CCF. 
Certain regulatory adjustments to Tier 1 capital would also be 
collected.

Schedule B--Interconnectedness Indicators

    The Interconnectedness Indicators Schedule is comprised of three 
subcategories: intra-financial system assets, intra-financial system 
liabilities, and securities issued. Intra-financial system assets would 
be comprised of all funds deposited with or lent to other financial 
institutions, undrawn committed lines extended to other financial 
institutions, holdings of secured debt securities, holdings of senior 
unsecured debt securities, holdings of subordinated debt securities, 
holdings of commercial paper, holdings of certificates of deposit, 
holdings of stock (including par and surplus of common and preferred 
shares), offsetting short positions in relation to stock holdings, net 
positive current exposure of securities financing transactions, net 
positive fair value of over-the-counter (OTC) derivatives (including 
collateral held if it is within the master netting agreement), 
potential future exposure of OTC derivatives, and fair value of 
collateral that is held outside of the master netting agreements.
    Intra-financial system liabilities would include all funds 
deposited by banks, all funds deposited by non-bank financial 
institutions, undrawn committed lines obtained from other financial 
institutions, net negative current exposure of securities financing 
transactions, net negative fair value of OTC derivatives (include 
collateral provided if it is within the master netting agreement), 
potential future exposure of OTC derivatives, and fair value of 
collateral that is provided outside of the master netting agreements.
    Securities issued by the bank would include secured debt 
securities, senior unsecured debt securities, subordinated debt 
securities, commercial paper, certificates of deposit, and stock 
(including par and surplus of common and preferred shares).

Schedule C--Substitutability Indicators

    The Substitutability Indicators Schedule would include the total 
value of all payments sent by the bank (and the total value of all 
payments sent on behalf of other institutions), for the reporting year, 
in Australian dollars, Brazilian real, Canadian dollars, Swiss francs, 
Chinese yuan, Euros, Pound sterling, Hong Kong dollars, Indian rupee, 
Japanese yen, Swedish krona, and United States dollars. All outgoing 
payments would be included regardless of whether the payments were 
initiated directly via a payment system or indirectly via an agent 
bank. The reported payment totals would reflect gross payment activity 
(i.e., they would not be netted against any incoming payments). It also 
would include the value of assets the bank holds as a custodian on 
behalf of customers, equity underwriting activity, and debt 
underwriting activity.

Schedule D--Complexity Indicators

    The Complexity Indicators Schedule would include OTC derivatives 
cleared through a central counterparty, OTC derivatives cleared 
bilaterally, held-for-trading securities (HFT), available-for-sale 
securities (AFS), securities for which the fair value option is elected 
(FVO), total stock of Level 1 assets, total stock of Level 1 assets 
under HFT, AFS or FVO accounting treatment, total stock of Level 2 
assets, total stock of Level 2 assets under HFT, AFS or FVO accounting 
treatment, adjustment to stock of high quality liquid assets due to cap 
on Level 2 assets, held-to-maturity securities, and assets valued using 
Level 3 measurement inputs.

Schedule E--Cross-Jurisdictional Activity Indicators

    The Cross-jurisdictional Activity Indicators Schedule would include 
total foreign claims on an ultimate risk basis, foreign liabilities 
(excluding local

[[Page 50106]]

liabilities in local currency), foreign liabilities to related offices, 
and local liabilities in a local currency.

Schedule F--Ancillary Indicators

    The Ancillary Indicators Schedule would include total liabilities, 
retail funding, non-domestic net revenue, total net revenue, total 
gross revenue, equity market capitalization, gross value of all cash 
and gross fair value of securities lent in securities financing 
transactions, gross value of all cash and gross fair value of 
securities borrowed in securities financing transactions, gross 
positive fair value of OTC derivatives transactions, gross negative 
fair value of OTC derivatives transactions, unsecured settlement/
clearing lines provided, and number of jurisdictions.
    The Federal Reserve proposes to implement the collection of the new 
systemic risk report as of December 31, 2012, so that it may be used in 
the next G-SIB data collection exercise, which is scheduled to begin in 
February 2013.

    Board of Governors of the Federal Reserve System, August 15, 
2012.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2012-20325 Filed 8-17-12; 8:45 am]
BILLING CODE 6210-01-P