[Federal Register Volume 79, Number 231 (Tuesday, December 2, 2014)]
[Notices]
[Pages 71416-71420]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-28351]
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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)
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 February 2, 2015.
ADDRESSES: You may submit comments, identified by the FR 2052a and FR
2052b reports, by any of the following methods:
[[Page 71417]]
Agency Web site: http://www.federalreserve.gov. Follow the
instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
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
http://www.federalreserve.gov/apps/foia/proposedregs.aspx 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
9:00 a.m. and 5:00 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/apps/reportforms/review.aspx or may be requested
from the agency clearance officer, whose name appears below.
Federal Reserve Board Acting Clearance Officer--John Schmidt--
Office of the Chief Data Officer, 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 Proposal
The following information collection, which is being handled under
this delegated authority, has received initial Board approval and are
hereby published for comment. At the end of the comment period, the
proposed information collection, 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 Reports
Report titles: The Complex Institution Liquidity Monitoring Report
(FR 2052a) and the Liquidity Monitoring Report (FR 2052b).
Agency form numbers: FR 2052a and FR 2052b.
OMB control number: 7100-0361.
Frequency: 2052a: Daily or monthly; 2052b: Quarterly.
Respondents:
FR 2052a: Bank holding companies, savings and loan holding
companies subject to the liquidity coverage ratio, and nonbank
financial companies that the Financial Stability Oversight Council has
determined under section 113 of the Dodd-Frank Act (12 U.S.C. 5323)
shall be supervised by the Board and for which such determination is
still in effect, where the Board has applied the requirements of the
liquidity coverage ratio to such company by rule or order (together,
U.S. chartered firms) with total assets of $700 billion or more or with
$10 trillion or more in assets under custody; U.S. chartered firms with
total assets of less than $700 billion and with assets under custody of
less than $10 trillion, but total assets of $250 billion or more or
foreign exposure of $10 billion or more; U.S. chartered firms with
total assets of $50 billion or more but, total assets of less than $250
billion and foreign exposure of less than $10 billion; Foreign banking
organizations (FBOs) with U.S. assets of $50 billion or more and
broker/dealer assets of $100 billion or more; FBOs with U.S. assets of
$50 billion or more and broker/dealer assets of less than $100 billion.
FR 2052b: U.S. bank holding companies (BHCs) not
controlled by FBOs with total consolidated assets of $10 billion or
more but less than $50 billion.
Estimated annual reporting hours: FR 2052a: 396,120 hours; FR
2052b: 11,280 hours.\1\
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\1\ With the proposed revisions, the paperwork burden for 2015
is estimated to initially decrease to 407,400 hours, with
incremental increases for 2016 and 2017, for an annual net increase
of 938,240 hours. Please see the OMB supporting statement for
additional detail.
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Estimated average hours per response: FR 2052a: Ranges between 120
hours and 400 hours; FR 2052b: 60 hours.
Number of respondents: FR 2052a: 50; FR 2052b: 47.
General description of report: These reports are authorized
pursuant to section 5 of the Bank Holding Company Act (12 U.S.C. 1844),
section 8 of the International Banking Act (12 U.S.C. 3106) and section
165 of the Dodd Frank Act (12 U.S.C. 5365) and are mandatory. Section
5(c) of the Bank Holding Company Act authorizes the Board to require
BHCs to submit reports to the Board regarding their financial
condition. Section 8(a) of the International Banking Act subjects FBOs
to the provisions of the Bank Holding Company Act. Section 165 of the
Dodd-Frank Act requires the Board to establish prudential standards for
certain BHCs and FBOs; these standards include liquidity requirements.
The individual financial institution information provided by each
respondent would be accorded confidential treatment under exemption 8
of the Freedom of Information Act (5 U.S.C. 552(b)(8)). In addition,
the institution information provided by each respondent would not be
otherwise available to the public and is entitled to confidential
treatment under the authority of exemption 4 of the Freedom of
Information Act (5 U.S.C. 552(b)(4)), which protects from disclosure
trade secrets and commercial or financial information.
Abstract: The FR 2052 reports are used to monitor the overall
liquidity profile of institutions supervised by the Federal Reserve.
These data provide detailed information on the liquidity risks within
different business lines
[[Page 71418]]
(e.g., financing of securities positions, prime brokerage activities).
In particular, these data serve as part of the Federal Reserve's
supervisory surveillance program in its liquidity risk management area
and provide timely information on firm-specific liquidity risks during
periods of stress. Analysis of systemic and idiosyncratic liquidity
risk issues are then used to inform the Federal Reserve's supervisory
processes, including the preparation of analytical reports that detail
funding vulnerabilities.
Current actions: The Federal Reserve proposes to extend for three
years, with revision, the Complex Institution Liquidity Monitoring
Report (FR 2052a) and the Liquidity Monitoring Report (FR 2052b) (OMB
No. 7100-0361) effective beginning March 31, 2015. The Federal Reserve
proposes to revise the FR 2052a report by modifying the: (1) Respondent
panel and threshold, (2) frequency of reporting, (3) reporting platform
structure, and (4) data item granularity. The Federal Reserve proposes
to revise the FR 2052b report by modifying the respondent panel
threshold and frequency. The proposed revisions are described in detail
below.
The Federal Reserve proposes to revise the FR 2052a report to
improve the effectiveness of its supervisory surveillance program. In
general, the revisions would provide additional detail to facilitate a
more sophisticated approach to monitoring liquidity risk. The proposed
data elements are more detailed and would align with the Liquidity
Coverage Ratio (LCR).\2\ For the most internationally active firms,
liquidity profiles would be reported by currency for each material
entity of the reporting institutions, which for BHCs may include sub-
divisions of the global banking entity by geographical region, and for
FBOs would include material entities outside the U.S. that are managed
from the U.S. These dimensions are important because dislocations in
foreign exchange markets and restrictions limiting fund transfers can
inhibit the ability of a global financial institution to convert its
available sources of liquidity to meet its specific needs. The proposed
data collection would collect more details regarding securities
financing transactions, wholesale unsecured funding, deposits, loans,
unfunded commitments, collateral, derivatives, and foreign exchange
transactions. The greater level of detail surrounding these activities
is necessary to ensure that supervised firms are adequately reserving
for the risks based on current supervisory expectations and the Dodd-
Frank Act's Enhanced Prudential Standards. Furthermore, the Federal
Reserve proposes to change the structure of the collection to an XML
format from a spreadsheet format. This new structure is necessary to
accommodate the additional granularity and implement the collection
with leading data industry practices.
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\2\ 79 FR 61440 (October 10, 2014). Press Release is available
at http://www.federalreserve.gov/newsevents/press/bcreg/20140903a.htm.
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The revisions to FR 2052a include a new hierarchy that subdivides
the three general categories of inflows, outflows and supplemental
items into 10 distinct data tables. These tables are designed to
stratify the assets, liabilities and supplemental components of a
firm's liquidity risk profile based on products that can be described
with common data structures, while still maintaining a coherent
framework for liquidity risk reporting.
The internationally active reporting entities would report by major
currency all data elements denominated in major currencies, while other
data elements denominated in non-major currencies would be converted
into United States Dollars (USDs) and flagged as converted. Reporting
entities that are not internationally active would be able to report
exclusively in USD by flagging data as converted. Reporting by major
currency or flagging a conversion should help supervisors to identify
potential currency mismatches. Additionally, data elements would be
reported for each material legal entity, which are identified by the
Federal Reserve for a given reporting entity. All entities that are
required to comply with the LCR are considered material legal entities.
This granularity in currency and material legal entity reporting would
enhance monitoring of a firm's liquidity resources to ensure they are
distributed according to specific needs, considering existing or
potential regulatory or other limitations on inter-company liquidity
transfers.
The granularity of the data increased along numerous items of FR
2052a. Maturity buckets increased to daily for the first 60 days to
eliminate potential contractual maturity mismatches in the near term.
There are now more categories of assets, largely delineated by the type
of security or loan, the structuring of cash flows, and risk-based
capital weightings. The list of counterparty types increased, along
with the number of products requiring the counterparty to be reported,
including loan cash flows, deposits, committed facilities, and certain
unsecured borrowings.
The proposed revisions would also draw more distinction between
types of securities financing transactions such as collateral swaps,
to-be-announced contracts, and the various methods of covering firm or
customer short sales. Fields would be added for the amount of re-
hypothecation, collateralization, encumbrance, and methods of
settlement. The report would provide information on the stock and flow
of collateral received and posted for derivative transactions, as well
as values of prime brokerage client assets and associated wire
transfers. Together, these revisions to secured financing transactions
would provide a more complete view of the firm's activities, especially
brokerage activities, and certain liquidity risk characteristics, all
of which were implicated during the recent financial crisis.
Several new types of deposit accounts would also be added, such as
escrow accounts and various categories of brokered deposits and sweeps.
Balances that are ``fully insured'' would be identified, as well as
balances that are subject to withdrawal in the event of a specific
change or trigger.
Certain elements would be added to capture risk associated with
collateral. The potential requirements to post collateral in the event
of an adverse move in the mark-to-market value of a firm's derivative
portfolio or a change in a firm's financial condition is reported.
Additionally, firms would report collateral balances that are
contractually owed to a counterparty, but not yet called.
Fields would be added to capture the settlement date cash flows in
forward starting transactions. This revision would accommodate ``trade
date'' reporting, which would allow for a more accurate representation
of forward looking cash flows.
The instructions for reporting the maturity date of a transaction
would also be modified for short term (less than one year) liabilities
with call options, as well as certain transactions reported in the
Secured Inflows table where the collateral received was rehypothecated.
Reporting of foreign exchange transactions, such as foreign
exchange spot, forwards and futures, and swap transactions, would be
required in order to complement the currency level reporting of cash
flows.
The proposed revisions to the FR 2052a report includes sections
covering broad funding classifications by product, outstanding balance
and purpose, segmented by maturity date. Generally, each section can be
classified into one of the following categories:
[[Page 71419]]
Section 1: Inflows-Assets: Institutions would report
assets such as unencumbered assets, borrowing capacity from central
banks or FHLBs, unrestricted reserve balances at central banks,
restricted reserve balances at central banks, unsettled asset
purchases, and forward asset purchases.
Section 2: Inflows-Unsecured: Institutions would report
unsecured inflow transactions such as onshore placement, offshore
placements, required nostro balances, excess nostro balances,
outstanding draws on revolving facilities, and other unsecured loans.
Section 3: Inflows-Secured: Institutions would report
secured inflow transactions such as reverse repurchase agreements,
securities borrowing transactions, dollar rolls, collateral swaps,
margin loans, other secured loans where the collateral is
rehypothecatable, and other secured loans where the collateral is not
rehypothecatable.
Section 4: Inflows-Other: Institutions would report other
inflow transactions such as derivatives receivables, collateral called
for receipt, sales in the to-be-announced market, undrawn committed
facilities purchased, lock-up balances, interest and dividends
receivables, a net 30-day derivatives receivables measure, principal
payments receivable on unencumbered investment securities, and other
inflow transactions.
Section 5: Outflows-Wholesale: Institutions would report
wholesale outflow transactions such as asset-backed commercial paper
single-seller outflows, asset-back commercial paper multi-seller
outflows, collateralized commercial paper, asset-backed securities,
covered bonds, tender option bonds, other asset-backed financing,
commercial paper, onshore borrowing, offshore borrowing, unstructured
long-term debt, structured long-term debt, government supported debt,
unsecured notes, structured notes, wholesale certificates of deposit,
draws on committed facilities, free credits, and other unsecured
wholesale outflow transactions.
Section 6: Outflows-Secured: Institutions would report
secured outflow transactions such as repurchase agreements, securities
lending transactions, dollar rolls, collateral swaps, FHLB Advances,
outstanding secured funding from facilities at central banks, customer
short transactions, firm short transactions, and other secured outflow
transactions.
Section 7: Outflows-Deposits: Institutions would report
deposit outflow transactions such as transactional accounts, non-
transactional relationship accounts, non-transactional non-relationship
accounts, operational accounts, non-operational accounts, operational
escrow accounts, non-reciprocal brokered accounts, affiliated sweep
accounts, non-affiliated sweeps accounts, other product sweep accounts,
reciprocal accounts, other third-party deposits, and other deposit
accounts.
Section 8: Outflows-Other: Institutions would report other
outflow transactions such as derivatives payables, collateral called
for delivery, purchases in the to-be-announced market, credit
facilities, liquidity facilities, retail mortgage commitments, trade
finance instruments, potential derivative valuation changes, loss of
rehypothecation rights and collateral required due to changes in
financial condition, excess customer margin, commitments to lend on
margin to customers, interest and dividends payables, a net 30-day
derivatives payables measure, other outflows related to structured
transactions, and other cash outflow transactions.
Section 9: Supplemental-Informational: Institutions would
report supplemental information such as initial margin posted and
received, variation margin posted and received, collateral dispute
receivables and deliverables, collateral that may need to be delivered,
collateral that the institution could request to be received,
collateral that could be substituted by the institution or a
counterparty, long and short market value of client assets, gross
client wires received and paid, subsidiary liquidity that cannot be
transferred, 23A capacity, outflows or inflows from closing out hedges
early, and potential outflows from non-structured or structured debt
maturing beyond 30 days where the institution is the primary market
maker in that debt.
Section 10: Supplemental-Foreign Exchange: Institutions
would report foreign exchange information such as foreign exchange
spot, forwards and futures, and swap transactions.
The Federal Reserve requests specific comment on the following:
The proposal would require data retention of six months.
Is six months appropriate or would another time period be more
appropriate, such as three months or one year?
Is the proposed maturity schedule provided in Appendix IV
to the instructions appropriate for all respondents, such as those
firms that are only subject to the Liquidity Coverage Ratio for Certain
Bank Holding Companies? \3\ If not appropriate, what maturity schedule
should apply to those respondents? Additionally, is the proposed
maturity schedule provided in Appendix IV to the instructions
appropriate for all listed products? If not, what maturity schedule
should apply to those products?
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\3\ 79 FR 61440, 61540.
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Should a description of how the FR 2052a data will be used
to monitor LCR compliance be published?
Proposed FR 2052b Revisions
The Federal Reserve proposes to revise the FR 2052b reporting panel
by eliminating the monthly reporting frequency. The U.S. BHCs
(excluding G-SIBs) with total consolidated assets of $50 billion or
more (including FBO subsidiaries) that currently file the monthly FR
2052b report would move to the proposed FR 2052a monthly and daily
reporting panel.
Proposed Reporting Panel and Frequency of Submissions \4\
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\4\ SLHCs that are not subject to the LCR are not subject to
these reporting requirements, however, through future rulemakings
these institutions may be required to participate in some form of
liquidity monitoring.
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The proposed scope of application, frequency, and submission dates
are contained in the following table.
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First
Report No. Reporter description Frequency First as-of submission
date date \5\
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FR 2052a......................... U.S. chartered firms Monthly............ \6\ 03/31/2015 04/02/2015
with total assets Daily.............. 07/01/2015 07/03/2015
>=$700 billion or with
assets under custody of
>=$10 trillion.
[[Page 71420]]
FR 2052a......................... U.S. chartered firms Monthly............ \7\ 07/31/2015 08/02/2015
with total assets <$700 Daily.............. 07/01/2016 07/03/2016
billion and with assets
under custody of <$10
trillion but, total
assets >=$250 billion
or foreign exposure
>=$10 billion.
FR 2052a \8\..................... U.S. chartered firms Monthly............ 01/31/2016 02/02/2016
with total assets >=$50
billion but, total
assets <$250 billion
and foreign exposure
<$10 billion.
FR 2052a......................... FBOs with U.S. assets Monthly............ 03/31/2015 04/02/2015
>=$50 billion and U.S. Daily.............. 07/01/2015 07/03/2015
broker-dealer assets
>=$100 billion.
FR 2052a......................... FBOs with U.S. assets Monthly............ 01/31/2016 02/02/2016
>=$50 billion and U.S. Monthly \9\........ 07/31/2016 08/02/2016
broker-dealer assets
<$100 billion.
FR 2052b \10\.................... U.S. BHCs (not Quarterly.......... 12/31/2014 01/15/2015
controlled by FBOs)
with total consolidated
assets of between $10
billion and $50 billion.
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\5\ For U.S. bank holidays and weekends, no positions should be
reported. For data reported by entities in international locations,
if there is a local bank holiday, submit data for those entities
using the data from the previous business day.
\6\ These firms must comply with the transitions set forth in
the LCR, which requires an LCR calculation monthly starting in
January 2015. However, these firms do not need to report on 2052a
until this reporting as-of date.
\7\ These firms must comply with the transitions set forth in
the LCR, which requires an LCR calculation monthly starting in
January 2015. However, these firms do not need to report on 2052a
until this reporting as-of date.
\8\ The frequency of the FR 2052a monthly report may be
temporarily adjusted to daily on a case-by-case basis as market
conditions and supervisory needs change to carry out effective
continuous liquidity monitoring. The Federal Reserve anticipates
frequency adjustments to be a rare occurrence.
\9\ These FBOs would be required to have the ability to report
on each business day. If the FBO consolidates a U.S. chartered firm
that would independently have to report daily, then the FBO must
report daily. The Federal Reserve would test these FBOs for their
ability to report daily.
\10\ FR 2052b will not change for U.S. BHCs (not controlled by
FBOs) with total consolidated assets of between $10 billion and $50
billion, so the frequency and as-of date will be the same as it is
currently.
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The parent company for those firms with less than $250 billion in
total consolidated assets and with less than $10 billion of on-balance
sheet foreign exposure would submit data for the following entities:
The global consolidated entity and the parent only (ignoring
consolidated subsidiaries). Respondents should consult their
supervisory teams to determine if the parent company should also
separately report any consolidated banks or non-banks that are material
contributors to the firm's funding and liquidity operations.
The parent company for those firms with $250 billion or more in
total consolidated assets or $10 billion or more of on-balance sheet
foreign exposure would submit data for the following entities: The
global consolidated entity, the parent only (ignoring consolidated
subsidiaries), and, separately, each consolidated bank and non-bank
entity that is a material contributor to the firm's funding and
liquidity operations. For these firms, all bank entities with total
consolidated assets of $10 billion or more would be considered material
legal entities. Respondents should consult their supervisory teams to
determine other material legal entities that should also be reported.
FBOs with U.S. assets of $50 billion or more would report for their
consolidated U.S. assets, as well as for all material entities managed
within the U.S. For FBOs that own U.S. entities subject to the LCR,
material entities include at least those entities subject to the LCR.
Respondents should consult their supervisory teams to determine other
material entities that should also be reported.
Some firms that are currently filing on FR 2052b would be required
to file on the updated 2052a, pursuant to the proposed schedule set
forth in the transition table. The firms currently filing on FR 2052b
would cease filing the 2052b once they begin filing the updated 2052a.
Firms currently filing the FR 2052a would be required to file the
updated 2052a, pursuant to the proposed schedule set forth in the
transition table. The firms currently filing on FR 2052a would cease
filing on the current 2052a once they are filing daily on the updated
2052a.
Additionally, there are some firms that are not currently filing
either the 2052a or 2052b, but would be required to file the updated
2052a, pursuant to the proposed schedule set forth in the transition
table. Among these companies are SLHCs that are subject to the LCR and
nonbank financial companies that the Financial Stability Oversight
Council has determined under section 113 of the Dodd-Frank Act (12
U.S.C. 5323) shall be supervised by the Board and for which such
determination is still in effect, where the Board has applied the
requirements of the LCR to such company by rule or order.
The Board consulted outside the Federal Reserve System with other
U.S. regulatory authorities including the Office of the Comptroller of
the Currency and Federal Deposit Insurance Corporation in the
development of FR 2052a. In addition, data sharing agreements will be
constituted with other U.S. regulatory agencies with supervisory
responsibilities over subject institutions to monitor compliance with
the LCR and to ensure there are no redundant data collections. Also,
the Federal Reserve has held general discussions with financial
institutions regarding the proposed revisions.
Board of Governors of the Federal Reserve System, November 26,
2014.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2014-28351 Filed 12-1-14; 8:45 am]
BILLING CODE 6210-01-P