[Federal Register Volume 80, Number 131 (Thursday, July 9, 2015)]
[Notices]
[Pages 39433-39436]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-16794]


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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), 
to approve of and assign OMB numbers to collection of information 
requests and requirements conducted or sponsored by the Board. Board-
approved collections of information are incorporated into the official 
OMB inventory of currently approved collections of information. Copies 
of the PRA 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 number.

DATES: Comments must be submitted on or before September 8, 2015.

ADDRESSES: You may submit comments, identified by 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/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 
3515, 1801 K Street (between 18th and 19th Streets NW.), Washington, DC 
20006 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 Clearance Officer--Nuha Elmaghrabi--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 is 
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 report:
    Report title: The Banking Organization Systemic Risk Report.
    Agency form number: FR Y-15.
    OMB control number: 7100-0352.
    Frequency: Quarterly.
    Reporters: U.S. bank holding companies (BHCs) and savings and loan 
holding companies (SLHCs) with $50 billion or more of total 
consolidated assets and any U.S.-based organizations designated as 
global systemically important banks (G-SIBs) that do not otherwise meet 
the consolidated assets threshold for BHCs.
    Estimated annual reporting hours: One-time implementation: Savings 
and loan holding companies--1,000 hours; ongoing--54,536 hours.
    Estimated average hours per response: One-time implementation: 
Savings and loan holding companies--1,000 hours; ongoing--401 hours.
    Number of respondents: 34.
    General description of report: This information collection is 
mandatory and is authorized by the Dodd-Frank Act (sections 163, 165, 
and 604), the

[[Page 39434]]

International Banking Act, the Bank Holding Company Act, and the Home 
Owners' Loan Act (12 U.S.C. 1462, 1467, and 3106).
    Abstract: The FR Y-15 report collects systemic risk data from U.S. 
BHCs and SLHCs with total consolidated assets of $50 billion or more, 
and any U.S.-based organization identified as a global systemically 
important bank (G-SIB) \1\ based on data from the previous calendar 
year that does not otherwise meet the consolidated assets threshold for 
BHCs. The Federal Reserve uses the FR Y-15 data primarily to monitor, 
on an ongoing basis, the systemic risk profile of the institutions 
which are subject to enhanced prudential standards under section 165 of 
the Dodd-Frank Wall Street Reform and Consumer Protection Act (DFA).\2\
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    \1\ See 2014 update of list of global systemically important 
banks (G-SIBs), available at www.financialstabilityboard.org/wp-content/uploads/r_141106b.pdf.
    \2\ 12 U.S.C. 5365.
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    Current Actions: The Federal Reserve proposes the following 
revisions to the FR Y-15, which would be effective December 31, 2015:

Schedule A--Size Indicator

    In September 2014, the Federal Reserve, together with the Federal 
Deposit Insurance Corporation and the Office of the Comptroller of the 
Currency, revised the definition of ``total leverage exposure'' used to 
calculate a BHC's supplementary leverage ratio.\3\ To reflect the 
revised leverage ratio standard and accompanying disclosure table, the 
Federal Reserve proposes to collect 10 new items: Posted cash 
collateral used to offset the negative mark-to-fair value of derivative 
contracts (item 1(c)), cash variation margin included as an on-balance 
sheet receivable (item 1(e)), exempted central counterparty legs of 
client-cleared transactions included in on-balance sheet assets (item 
1(f)), effective notional amount offsets and potential future exposure 
(PFE) adjustments for sold credit protection (item 1(g)), total 
derivative exposures (item 1(h)), securities financing transaction 
(SFT) indemnification and other agent-related exposures (item 2(c)), 
gross value of offsetting cash payables (item 2(d)), total SFT 
exposures (item 2(e)), other on-balance sheet assets (item 3(a)), and 
the credit exposure equivalent of other off-balance sheet items (item 
4(e)). To maintain consistency with the exposures definition used in 
the international G-SIB methodology, the Federal Reserve proposes to 
also collect total exposures prior to regulatory deductions (item 5).
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    \3\ See 79 FR 57725 (September 26, 2014).
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    The Federal Reserve proposes to remove nine line items that are not 
used in the calculation. Four of these are provided by respondents 
[cash collateral netted against the derivative exposures in item 
1(c)(1) (item 1(c)(2)); credit derivatives sold net of related credit 
protection bought, adjusted for maturity (item 2(b)(3)); 
unconditionally cancellable credit card commitments (item 2(c)(1)); and 
other unconditionally cancellable commitments (item 2(c)(2))], two are 
automatically retrieved from the FR Y-9C (FR Y-9C; OMB No. 7100-0128) 
[total assets (item 1(a)) and net value of SFTs (item 1(b)(1)], and 
three are automatically calculated on behalf of the respondent [total 
on-balance sheet items (item 1(d)), total off-balance sheet items (item 
2(g)), and total exposures (item 4)].
    The Federal Reserve proposes to adjust the position and names of 
the remaining items to conform to the revised presentation of the data. 
This includes moving three of the remaining items which are not 
required for the exposures calculation to a new memoranda section.
    Consistent with the supplementary leverage ratio adopted in 
September 2014, the Federal Reserve proposes to collect average values 
over the reporting period.\4\ For on-balance sheet items, the Federal 
Reserve proposes collecting averages using daily data. For off-balance 
sheet items, the Federal Reserve proposes collecting averages using 
monthly data. This would affect the definitions for all items in 
Schedule A.
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    \4\ See 79 FR 57726 (September 26, 2014).
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Schedule B--Interconnectedness Indicators

    The intra-financial system assets (IFSA) indicator captures the 
amount of funds deposited with and lent to other financial institutions 
(item 1), while intra-financial system liabilities (IFSL) only captures 
deposits. In accordance with the international standard that will be 
adopted starting with the end-2015 collection,\5\ the Federal Reserve 
proposes to correct this asymmetry by adding a new item, borrowings 
obtained from other financial institutions (item 8), to the IFSL total.
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    \5\ See Appendix 6 of the Instructions for the end-2014 G-SIB 
assessment exercise, January 2015, available at www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.
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    Under the current definitions, certificates of deposit are included 
in both the IFSL and securities outstanding indicators. To eliminate 
this double counting, the Federal Reserve proposes to remove 
certificates of deposit from deposits due to depository institutions 
(item 7(a)) and deposits due to non-depository institutions (item 
7(b)). This change is also scheduled to be adopted in the international 
standard starting with the end-2015 collection.\6\
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    \6\ Ibid.
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    To capture a more holistic measure of securities holdings, the 
Federal Reserve proposes to update the definition of holdings of 
securities issued by other financial institutions (item 3) to include 
the historical cost of equity securities without readily determinable 
fair values (see FR Y-9C, Schedule HC-F, item 4). To mirror the 
instructions used in the international G-SIB methodology, the Federal 
Reserve also proposes to update the definitions for net positive 
current exposure of SFTs with unaffiliated financial institutions (item 
4) and net negative current exposure of SFTs with unaffiliated 
financial institutions (item 10).
    IFSA includes the unused portion of committed lines extended to 
other financial institutions (item 2). The indicator does not, however, 
include financial and performance standby letters of credit, which may 
represent an important source of intra-financial connectivity. To 
capture this value without affecting the IFSA calculation, the Federal 
Reserve proposes to collect standby letters of credit extended to other 
financial institutions as a memorandum item (item M1).

Schedule C--Substitutability Indicators

    Starting with the end-2015 assessment, the international G-SIB 
methodology will no longer use a fixed set of exchange rates in 
converting the payments totals to the reporting currency.\7\ In 
accordance with this change, the Federal Reserve proposes allowing FR 
Y-15 respondents to construct their own exchange rates using a 
consistent series of exchange rate quotations. This is the method 
already employed for payments data involving currencies that are 
outside the scope of the international assessment.
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    \7\ Ibid.
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    Furthermore, the Basel Committee on Banking Supervision (BCBS) has 
identified three additional currencies that may be important in 
measuring the overall substitutability of a firm: Mexican pesos, New 
Zealand dollars, and Russian rubles. The Federal Reserve proposes 
capturing payments made in these currencies over the last four quarters 
as memoranda items. For readability, the Federal Reserve also 
recommends moving all currencies not listed above (from item 1(m) to 
item M4) and unsecured settlement/clearing lines

[[Page 39435]]

provided (from Schedule F, item 11 to item M5).

Schedule D--Complexity Indicators

    Two of the items in Schedule D rely on the definitions for level 1 
and level 2 liquid assets. In finalizing the previous revisions to the 
FR Y-15, the Federal Reserve stated that, ``after the U.S. rule 
implementing the LCR is finalized, the Federal Reserve will consider 
aligning the definitions of level 1 and level 2 assets used in the two 
items of the FR Y-15 with the definitions in the U.S. rule.'' \8\ Now 
that the rule implementing the liquidity coverage ratio (LCR) has been 
finalized, the Federal Reserve proposes adopting the level 1, level 2A, 
and level 2B liquid asset definitions used in the U.S. rule for the 
purpose of reporting trading and available-for-sale (AFS) securities 
that meet the definition of level 1 assets (item 7) and trading and AFS 
securities that meet the definition of level 2 assets with haircuts 
(item 8).\9\ While this revision aligns level 1 and level 2 liquid 
assets with the definition of high-quality liquid assets in the U.S. 
LCR rule, this could, in turn, result in a more stringent measure of 
the trading and AFS securities indicator relative to the international 
standard.
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    \8\ See 78 FR 77130 (December 20, 2013).
    \9\ See 79 FR 61440 (October, 10, 2014).
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    To enhance readability, the Federal Reserve also proposes to change 
held-to-maturity securities (item M1) to a memoranda item.

Schedule E--Cross-Jurisdictional Activity Indicators

    The Federal Reserve proposes no changes to this schedule.

Schedule F--Ancillary Indicators

    The Federal Reserve proposes adopting a more logical ordering of 
the revenue-related items (items 3, 4, and 5). As peak equity market 
capitalization (item 6) is no longer being captured in the 
international collection, the Federal Reserve proposes removing the 
item from the FR Y-15. To help prevent potential misinterpretations, 
the Federal Reserve proposes to revise the instructions for the gross 
value of cash provided and gross fair value of securities provided in 
SFTs (renumbered item 6) and the gross value of cash received and gross 
fair value of securities received in SFTs (renumbered item 7). The 
Federal Reserve proposes to move unsecured settlement/clearing lines 
provided (item 11) and held-to-maturity securities (item 12) to other 
schedules.

Schedule G--Short-Term Wholesale Funding Indicator

    As explained in a recent notice of proposed rulemaking regarding 
implementation of a capital requirement for G-SIBs,\10\ the financial 
crisis revealed dangers that can emerge as a result of a firm's 
reliance on short-term wholesale funding. During periods of stress, 
this reliance can leave firms vulnerable to runs that undermine 
financial stability. When short-term creditors lose confidence in a 
firm or believe other short-term creditors may lose confidence in that 
firm, those creditors have a strong incentive to withdraw funding 
quickly before withdrawals by other creditors drain the firm of its 
liquid assets. To meet its obligations, the borrowing firm may be 
required to rapidly sell less liquid assets, which it may be able to do 
only at fire sale prices that deplete the seller's capital and drive 
down asset prices across the market. In a post-default scenario, fire 
sale externalities could result if the defaulted firm's creditors seize 
and rapidly liquidate assets the defaulted firm has posted as 
collateral. Financial distress can spread among firms as a result of 
counterparty relationships or because of perceived similarities among 
firms, forcing firms to rapidly liquidate assets in a manner that 
places the financial system as a whole under significant strain.
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    \10\ See 79 FR 75477 (December 18, 2014).
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    Consistent with the view that short-term wholesale funding is a 
critical component of a firm's systemic footprint, the Federal Reserve 
proposes adding a new schedule (Schedule G) that captures a firm's 
level of short-term wholesale funding. The new schedule would be 
reported starting with the end-June 2016 as-of date \11\ and would 
capture funding secured by level 1 liquid assets (item 1(a)), funding 
secured by level 2A liquid assets (item 2(a)), unsecured wholesale 
funding obtained outside of the financial sector (item 2(b)), retail 
brokered deposits and sweeps (item 2(c)), covered asset exchanges from 
level 1 to level 2A liquid assets (item 2(d)), short positions 
involving a level 1 or level 2A liquid asset (item 2(e)), total second 
tier short-term wholesale funding (item 2(f)), funding secured by level 
2B liquid assets (item 3(a)), other covered asset exchanges and short 
positions (item 3(b)), total third tier short-term wholesale funding 
(item 3(c)), unsecured wholesale funding obtained within the financial 
sector (item 4(a)), all other components of short-term wholesale 
funding (item 4(b)), total other short-term wholesale funding (item 
4(c)), and total short-term wholesale funding, by maturity, after 
applying the associated weighting (item 5). Each of these items would 
be divided into four maturity buckets: Funding with a remaining 
maturity of 30 days or less (along with funding with no maturity date), 
funding with a remaining maturity of 31 to 90 days, funding with a 
remaining maturity of 91 to 180 days, and, funding with a remaining 
maturity of 181 to 365 days. Finally, the new schedule would also 
capture total short-term wholesale funding (item 6) calculated as the 
sum of the subcomponents in item 5.
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    \11\ The effective date for banking organizations to report 
Schedule G may be delayed pending the implementation of the 
requirement for such organizations to report data on the FR 2052a.
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    The recent proposal to implement a capital requirement for G-SIBs 
included short-term wholesale funding as a systemic risk indicator for 
the purposes of calculating a firm's G-SIB surcharge.\12\ The Federal 
Reserve is currently in the process of reviewing public comments that 
have been received regarding this proposal. Should a short-term 
wholesale funding metric ultimately be adopted for the purposes of 
calculating a G-SIB surcharge, the Federal Reserve intends to update 
the FR Y-15, where needed, to reflect the final rule.
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    \12\ See 79 FR 75477 (December 18, 2014).
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Changes to the Reporting Panel

    While the original FR Y-15 proposal included SLHCs as respondents, 
the Federal Reserve decided to provide an exemption and ``publish a 
separate proposal for comment . . . after the regulatory capital rules 
for SLHCs are finalized.'' \13\ Now that these capital requirements are 
in place, the Federal Reserve proposes to add covered SLHCs (i.e., 
those which are not substantially engaged in insurance or commercial 
activities) to the FR Y-15 reporting panel.
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    \13\ See 77 FR 76485 (December 28, 2012).
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Reporting Frequency

    To improve the Federal Reserve's ability to monitor the systemic 
risk profile of domestic banking organizations throughout the year, the 
Federal Reserve proposes to switch from annual to quarterly reporting 
starting March 31, 2016. Currently, the Federal Reserve assesses the 
overall systemic importance of a firm using a single yearly 
observation. This snapshot may not adequately represent the true 
systemic footprint of the firm throughout the year. Moreover, should a 
firm's systemic footprint change

[[Page 39436]]

significantly during the year (e.g., due to a fundamental change in 
business strategy), this move would not be fully assessed until the 
next year-end. More frequent reporting would allow the Federal Reserve 
to better monitor the systemic footprint of individual firms as well as 
the collective systemic footprint of the largest banking organizations.
    The increased frequency would simultaneously provide the market 
with additional data on the overall systemic footprint of an 
institution, allowing market participants to better project the 
potential future capital requirements for U.S. G-SIBs. The current 
international G-SIB standard involves a relative methodology, where the 
values of all of the firms are needed in order to calculate the scores. 
Thus, firms only have complete information about their surcharge once a 
year. This makes it difficult for firms to see the benefits of 
incremental improvements in their overall footprint throughout the 
year. By collecting the required data more frequently, firms would have 
additional information about their own systemic footprint vis-[agrave]-
vis other respondents, and would be better positioned to predict 
individual assessment scores under the BCBS methodology.\14\
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    \14\ See Global systemically important banks: Updated assessment 
methodology and the higher loss absorbency requirement, July 2013, 
available at www.bis.org/publ/bcbs255.htm.
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    One consequence of moving to quarterly reporting is that the annual 
flow variables (i.e., payments and underwriting activity) would need to 
be reported over the previous four quarters. Furthermore, the values 
captured in Schedule A (Total exposures) would represent quarterly 
averages.

Glossary of Terms

    Many items are unique to the FR Y-15 (e.g., payments and assets 
under custody). As such, there are certain terms that may have a 
different meaning in the context of the FR Y-15 or otherwise may not be 
found in other regulatory reports. To help ensure uniform 
interpretation of the instructions, the Federal Reserve proposes to 
introduce a new glossary of terms that would contain definitions 
relevant to the completion of the FR Y-15 report.

Memoranda Items

    To improve the readability of the report, the Federal Reserve 
proposes relabeling certain items which are not included in the 
indicator calculations as memoranda items. This would allow related 
metrics to be grouped together on the same schedule.

Instructional Clarifications

    The Federal Reserve proposes to incorporate instructional 
clarifications in response to feedback and questions received from 
banking organizations over the last two reporting periods. The Federal 
Reserve also proposes to integrate relevant definitional adjustments 
and clarifications that have been incorporated into the instructions 
for the international G-SIB assessment.\15\
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    \15\ See Instructions for the end-2014 G-SIB assessment 
exercise, January 2015, available at www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.

    Board of Governors of the Federal Reserve System, July 6, 2015.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2015-16794 Filed 7-8-15; 8:45 am]
BILLING CODE 6210-01-P