[Federal Register Volume 80, Number 239 (Monday, December 14, 2015)]
[Notices]
[Pages 77344-77349]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-31356]


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FEDERAL RESERVE SYSTEM


Agency Information Collection Activities: Announcement of Board 
Approval Under Delegated Authority and Submission to OMB

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.

FOR FURTHER INFORMATION CONTACT: 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.
    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.

SUPPLEMENTARY INFORMATION: Final approval under OMB delegated authority 
of the extension for three years, with revision, of the following 
information collection:
    Report title: The Banking Organization Systemic Risk Report.
    Agency form number: FR Y-15.
    OMB control number: 7100-0352.
    Frequency: Quarterly.
    Respondents: 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 International Banking Act, the Bank Holding Company Act, 
and the Home Owners' Loan Act (12 U.S.C. 1467a, 1844, 3106, and 3108).
    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) based on their most recent method 1 score 
calculation \1\ 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 12 CFR 217.402. For the current list of G-SIBs, see 2015 
update of list of global systemically important banks (G-SIBs), 3 
November 2015, available at www.financialstabilityboard.org/2015/11/2015-update-of-list-of-global-systemically-important-banks-g-sibs/.
    \2\ 12 U.S.C. 5365.
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    Current Actions: On July 9, 2015, the Federal Reserve published a 
notice in the Federal Register (80 FR 39433) requesting public comment 
for 60 days on the extension, with revision, of the FR Y-15. On August 
20, 2015, the Federal Reserve published an additional notice in the 
Federal Register (80 FR 50623) requesting public comment on amendments 
to Schedule G that would align the definition of short-term wholesale 
funding with the definition in the final G-SIB surcharge rule. The 
comment period for both notices expired on October 19, 2015.
    The Board received four comment letters on the proposed revisions 
to the FR Y-15: Three from trade associations and one from a banking 
organization. In general, comments focused on the implementation of the 
proposed changes, the confidentiality of liquidity-related items, the 
move from annual to quarterly reporting, and the scope of application. 
Commenters requested delayed implementation of the new definitions, 
confidential treatment of certain liquidity data and quarterly reports, 
a phase-in of the quarterly reporting requirement, and an increased 
reporting threshold. The comments and responses are discussed in detail 
below.

Detailed Discussion of Public Comments

A. Implementation of the Proposed Changes

    Commenters expressed concern about the December 31, 2015, 
implementation date for the proposed changes. One commenter argued that 
respondents need six-to-nine months after a final notice is published 
to revise and validate their reporting systems, and that changes to 
items which measure total activity over the reporting period are 
particularly difficult to implement mid-year. Two of the commenters 
requested that the implementation date be delayed by six months (to 
June 30, 2016), with initial submissions being semiannual and on a 
reasonable estimates basis, while the other two commenters requested 
that the implementation date be delayed by a full year (to December 31, 
2016). One commenter suggested that delaying the implementation date 
would better allow respondents to incorporate the changes into their 
capital planning processes.
    In response to the comment that respondents need six or more months 
to revise and validate their reporting systems, the vast majority of 
the proposed changes either align definitions with other existing 
regulatory requirements, such as the supplementary leverage ratio (SLR) 
and

[[Page 77345]]

the liquidity coverage ratio (LCR), or provide instructional 
clarifications that better ensure uniform reporting. The harmonization 
of definitions across different regulatory requirements should 
facilitate implementation as firms already are working with the 
definitions and not pose the implementation challenges associated with 
reporting new data items. For example, firms subject to the SLR have 
been publicly disclosing total leverage exposures quarterly since March 
31, 2015. Thus, these firms should already have the basic systems in 
place for calculating the revised Schedule A, which captures the 
subcomponents of the total exposures value. Furthermore, all of the 
data captured on the proposed new Schedule G is an aggregation of 
information that respondents will already be collecting in connection 
with the LCR \3\ or on the Consolidated Financial Statements for Bank 
Holding Companies (FR Y-9C; OMB No. 7100-0128).
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    \3\ See 80 FR 71795 (November 17, 2015).
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    Delaying the implementation date of the proposed changes would 
cause data collected in the United States to be inconsistent with the 
global data used for G-SIB identification and calculation of the G-SIB 
surcharge.\4\ Using the revised indicators in the U.S. implementation 
of the G-SIB surcharge, including, for example, the adoption of the SLR 
definition in Schedule A, is essential for consistent G-SIB 
identification. Using indicator values under the old definitions would 
undermine the G-SIB assessment, which relies on uniform reporting in 
order to measure each institution's activity on a relative basis.
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    \4\ The Basel Committee on Banking Supervision published in 
January a list of indicator changes that will take effect starting 
with the end-2015 G-SIB assessment. See Appendix 6 of Instructions 
for the end-2014 G-SIB assessment exercise, Basel Committee on 
Banking Supervision, January 2015, available at www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.
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    Considering the number and type of changes being made, along with 
the need to remain consistent with the international standard, the 
Board is maintaining an effective date of December 31, 2015, as 
proposed. However, to allow extra time to implement and validate the 
revised calculations, the Board is extending the submission date for 
the end-2015 report from 65 calendar days to 90 calendar days after the 
December 31, 2015, as-of date. The submission date for subsequent year-
end reports is 65 days from the December 31 as-of date.
    According to the proposal, the new schedule designed to capture 
short-term wholesale funding (Schedule G) would be reported starting 
with the June 30, 2016, as-of date. This date was chosen in 
coordination with the proposed July 1, 2015, implementation of the 
Complex Institution Liquidity Monitoring Report (FR 2052a; OMB No. 
7100-0361), as Schedule G relies on observations made in this report 
over the previous four quarters. In the proposal, the Board noted that 
``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''.\5\ With the liquidity 
reports now being implemented in December 2015,\6\ the effective date 
of Schedule G needs to be adjusted accordingly. To reflect the final 
implementation date of the FR 2052a, the Board is extending forward the 
effective date of Schedule G (from June 30, 2016) to December 31, 2016.
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    \5\ See 80 FR 39435 (July 9, 2015).
    \6\ See 80 FR 71795 (November 17, 2015).
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    According to the proposal, respondents with total assets of $700 
billion or more or with $10 trillion or more in assets under custody 
would be required to report average values on Schedule G using daily 
data, with all other respondents reporting averages using monthly data. 
The proposal further stated that respondents with $250 billion or more 
in on-balance sheet assets or $10 billion or more in foreign exposures 
would begin reporting average values using daily data starting with the 
end-June 2017 as-of date. These dates were chosen to correspond with 
the proposed submission frequency of the FR 2052a, so that respondents 
would be reporting averages commensurate with the availability of the 
underlying data.
    The finalized FR 2052a reporting requirement no longer includes a 
transition from monthly to daily data for firms with $250 billion or 
more in on-balance sheet assets or $10 billion or more in foreign 
exposures.\7\ Moreover, foreign banking organizations (FBOs) identified 
as LISCC firms are required to provide FR 2052a data daily.\8\ To align 
the reporting requirement for Schedule G with the availability of the 
FR 2052a data, the Board is requiring respondents that have reported 
the FR 2052a data daily for the twelve months up to and including the 
as-of date, to report average short-term wholesale funding values using 
daily data, rather than monthly data. All other respondents would 
report average values using monthly data. Importantly, this approach 
would ensure that the Schedule G reporting criteria matches data 
availability even when a firm changes their FR 2052a reporting 
frequency.
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    \7\ Ibid.
    \8\ A list of the LISCC firms can be found at 
www.federalreserve.gov/bankinforeg/large-institution-supervision.htm.
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    Several commenters requested that the first submission after the 
effective date be made on a reasonable-estimates basis. It would be 
inappropriate to allow respondents that have previously submitted data 
used in the G-SIB score calculations (i.e., method 1 and method 2 of 
the U.S. G-SIB rule) \9\ to instead submit estimates for these items, 
unless such estimates are explicitly permitted in the reporting 
instructions. However, the Board does recognize the challenges inherent 
in updating the definitions of items which measure total activity over 
the reporting period in the middle of the observation window. As known 
overestimates are already permitted for the payments activity items 
(see instructions for Schedule C, item 1), the revised FR Y-15 
instructions temporarily extend this treatment to the underwriting 
data. Accordingly, the Board is allowing firms to include known 
overestimates when precise totals are unavailable for Schedule C, items 
4 and 5, for the December 31, 2015, as-of date.
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    \9\ See 80 FR 49082 (August 14, 2015).
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    The revised FR Y-15 allows the newly added memorandum items to be 
submitted on a reasonable-estimates basis, as they do not currently 
influence the G-SIB score calculation. Specifically, reasonable 
estimates are allowed for Schedule B, item M.1, and Schedule C, items 
M.1, M.2, and M.3, for the December 31, 2015, as-of date.
    Under the proposal, the exposures data in Schedule A would have 
been calculated using average values over the reporting period. This 
was done to align the FR Y-15 reporting requirements with the SLR, as 
advanced approached institutions are already required to calculate the 
related exposures metric using averages.\10\ One commenter noted that 
BHCs not subject to the SLR requirement would only be calculating the 
SLR data for the purposes of the FR Y-15.
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    \10\ See 12 CFR 217.10.
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    The shift from point-in-time measures to quarterly averages would 
represent a notable increase in the reporting burden for these 
institutions. To mitigate the burden associated with the total 
exposures calculation, the revised FR Y-15 provides respondents not 
subject to the advanced approaches capital framework the option to 
continue submitting Schedule A using point-in-

[[Page 77346]]

time data. To allow data users to easily distinguish whether the 
provided information represents point-in-time or average data, the 
revised FR Y-15 adds a new ``Yes/No'' item to Schedule A (item 6) that 
asks whether or not the holding company has reported the subcomponents 
of item 5 using average values over the reporting period.
    One commenter argued that it would be difficult to calculate 
securities received as collateral in securities lending (item M.1) as 
an average of daily data, and suggested that quarter-end values may be 
sufficiently informative for monitoring systemic risk. To mitigate the 
burden associated with the memoranda items, the revised FR Y-15 
requires respondents to provide Schedule A, items M.1, M.2, and M.3 as 
point-in-time values rather than averages.

IHC Reporting

    On February 18, 2014, the Board adopted a final rule implementing 
enhanced prudential standards for foreign banking organizations 
(FBOs),\11\ which, among other things, requires an FBO with U.S. non-
branch assets of greater than $50 billion to establish a U.S. 
intermediate holding company (IHC) by July 1, 2016, to which it must 
transfer its entire ownership interest in all U.S. BHCs, U.S. insured 
depository institutions, and U.S. subsidiaries.\12\ Currently, the 
Board has not proposed reporting requirements for IHCs, which, as noted 
in the preamble to the final rule implementing enhanced prudential 
standards for FBOs, would be addressed at a later date.\13\ 
Nonetheless, two commenters argued that additional consideration should 
be given to an FBO that is required to establish an IHC, but which will 
not be designating an existing U.S. BHC subsidiary as its IHC. They 
noted that U.S. non-bank subsidiaries of FBOs not currently subject to 
the FR Y-15 reporting requirements will need to be integrated into the 
consolidated figures once the IHC is formed. The commenters requested 
that the implementation date for these IHCs be delayed until June 30, 
2017, with initial submissions being semiannual and on a reasonable 
estimates basis.
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    \11\ See 79 FR 17239 (March 27, 2014).
    \12\ See 12 CFR 252.153.
    \13\ Under the current FR Y-15 reporting requirements, IHCs with 
a U.S. bank subsidiary and $50 billion or more in total consolidated 
assets would be required to file the FR Y-15 starting with the first 
as of date after the IHC is established.
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    At such time that the Board proposes reporting requirements for 
IHCs, it would invite comment through the Federal Register notice and 
comment process, and would evaluate the particular circumstances and 
challenges surrounding IHC formation vis-[agrave]-vis the full spectrum 
of Board regulatory reporting requirements.

B. Confidentiality

    Two commenters argued that Schedule G, which would collect data 
related to a firm's use of short-term wholesale funding, contains 
sensitive liquidity information. All of the commenters noted that 
certain information in the schedule is expected to be added in the 
future to a different regulatory reporting form, the FR 2052a, which is 
a confidential report. The commenters requested that Schedule G be kept 
confidential, arguing that the confidentiality of similar data elements 
should match across different regulatory reports. Alternatively, one 
commenter suggested using a materiality threshold to determine when the 
data in Schedule G would be publically disclosed. Two commenters 
requested that Schedule D, items 7 and 8 also be kept confidential, as 
these items, under their revised definitions, would likewise be sourced 
from the FR 2052a.
    In contrast to the FR 2052a, which collects raw, daily liquidity 
and funding data that are reported with a two-day delay, Schedule G 
collects aggregate funding data that are averaged over a twelve-month 
period and reported with a 50-day delay for quarterly submissions and a 
65-day delays for annual submissions. For these reasons, the data 
reported in Schedule G is fundamentally different from the related 
items that are reported in the FR 2052a. Disclosing the data in 
Schedule G therefore does not present the same confidentiality concerns 
as would disclosing the data in the FR 2052a, because the data in 
Schedule G are aggregate rather than granular data, averaged over a 12-
month period rather than not averaged, and reported with a 50-day or 
65-day delay rather than with a two-day delay.
    Moreover, releasing the data reported in the FR Y-15, including the 
information captured in Schedule G, serves the important policy goal of 
providing valuable insight into the domestic systemic risk landscape. 
This data could be used by the U.S. financial markets to evaluate the 
systemic footprint of individual firms. In particular, disclosing the 
short-term wholesale funding data in Schedule G provides public insight 
into how the Board is evaluating the systemic footprint of 
organizations subject to section 165 of DFA, including how enhanced 
prudential standards are applied to these organizations in accordance 
with their relative systemic importance. In addition to increasing 
transparency, providing this type of data to the public encourages 
market discipline regarding incremental changes in systemic risk.
    To better align the timing of the disclosure of LCR-related 
liquidity data in the FR Y-15, the revised FR Y-15 maintains the 
confidentiality of certain data items (and delays the public release of 
certain data items) until related LCR disclosure requirements are in 
place. In particular, the revised FR Y-15 delays disclosing the more 
granular short-term funding data (Schedule G, items 1 through 4) until 
the first reporting date after the LCR disclosure standard has been 
implemented.\14\ However, for the reasons stated above, items 5 through 
8 in Schedule G, which represent highly aggregated data, will be 
publicly available starting with the December 31, 2016 reporting date.
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    \14\ Under this approach, should the standard be implemented in 
2016, all data in Schedule G would be made available to the public 
starting with the December 31, 2016 as-of date.
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    The items in Schedule D related to the LCR are essential components 
of the trading and available-for-sale (AFS) securities indicator that 
are already disclosed publicly as part of the FR Y-15. The proposed 
revisions to the FR Y-15 would have harmonized certain definitions in 
Schedule D with the definitions used in the U.S. LCR to reduce 
reporting burden and enhance regulatory consistency.\15\ Such 
harmonization should not significantly alter the sensitivity of the 
information being collected. The data under the revised definitions are 
similar in nature to the data captured currently, and the current data 
are already being publically disclosed. Moreover, the submission 
deadlines allow for a 65-day and a 50-day reporting lag from the 
observation date for annual and quarterly reporting, respectively. 
Thus, any potential insight into the liquidity position of the 
respondent is generally very stale by the time the information is 
released to the public, and the information therefore does not appear 
to represent a trade secret or confidential business information at the 
time that it is made public. With these considerations, items 7 and 8 
of Schedule D in the revised FR

[[Page 77347]]

Y-15 will continue to be made available to the public.
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    \15\ As noted in the initial Federal Register notice, ``[w]hile 
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'' (80 FR 39433, July 9, 2015). This is due to the more 
narrow scope of the U.S. LCR definitions.
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C. Reporting Frequency

    Under the proposal, the reporting frequency of the FR Y-15 would 
have been modified from annual to quarterly starting with the reporting 
period ending March 31, 2016. Two commenters argued that the increased 
frequency is unnecessary because the systemic footprint of a BHC is 
unlikely to change significantly on a quarterly basis and that other 
supervisory mechanisms exist that could be leveraged to assess the 
systemic risk profile of BHCs. One commenter further suggested that a 
large merger is the most likely source of a major short-term change to 
the systemic risk profile of a non-G-SIB and that such changes will 
receive separate scrutiny regarding systemic risk. The commenters 
requested that the annual reporting frequency be maintained. To further 
alleviate reporting burden, one of the commenters suggested staggering 
the due dates of the various schedules so that the report is collected 
in stages throughout the year.
    An institution's systemic profile is not necessarily static 
throughout the year, especially to the extent that a firm takes active 
steps to reduce their systemic footprint. Large year-over-year changes 
have been observed in the past and may continue to be observed in the 
future as firms react to the implementation of the G-SIB framework. 
Under the current reporting regime, any large changes in systemic 
footprint are only observed at year-end.
    The supervisory mechanisms suggested by commenters such as the 
Comprehensive Capital Analysis and Review (CCAR), the Dodd-Frank Act 
Stress Tests (DFAST), and resolution planning, are not adequate 
substitutes for the FR Y-15 as they were not designed to capture the 
systemic footprint of an institution. The FR Y-15 report provides 
consistent and comparable measures of systemic risk that, unless 
otherwise noted, are unavailable from other sources.\16\ Furthermore, 
the Board's review of risks to financial stability for proposed mergers 
and acquisitions relies, in part, on the data provided in the FR Y-15 
report.
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    \16\ Items on the FR Y-15 that are available on other reports 
submitted to the Federal Reserve are populated automatically (see 
General Instructions, Section H).
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    Staggering the due dates of the schedules would increase the 
collection frequency without increasing the number of observations made 
in a single year. Thus, this approach would not allow for the 
monitoring of changes in an institution's systemic footprint throughout 
the year.
    Finally, the year-end values currently being reported may not be 
indicative of an institution's systemic footprint throughout the year. 
Quarterly reporting would allow for a more robust assessment of a 
firm's overall systemic footprint. For all these reasons, the revised 
FR Y-15 requires quarterly reporting, as proposed.
    A number of commenters requested that non-year-end data be kept 
confidential. One commenter noted that other jurisdictions do not 
require quarterly disclosures of the G-SIB data and argued that 
releasing the quarterly information could put U.S. BHCs at a 
competitive disadvantage compared to their foreign competitors who 
disclose the data on a less frequent basis.
    Releasing the data reported on the FR Y-15 helps promote important 
policy goals, such as transparency and market discipline. As previously 
stated, the FR Y-15 currently provides valuable information about the 
domestic systemic risk landscape that can be used by the market to 
evaluate the systemic importance of individual institutions on a 
national level.\17\ An increased disclosure frequency would provide the 
public with the ability to better monitor how firm actions affect the 
systemic footprint of an institution throughout the year. Moreover, 
firms would be better positioned to evaluate how changes in their 
systemic activities compare with those of other respondents. This 
comparison is important as the G-SIB determination process relies on a 
relative methodology.\18\ Furthermore, there are numerous examples 
where U.S. disclosure requirements have extended beyond the 
requirements of other countries. U.S. institutions have remained very 
competitive in international markets despite the more comprehensive 
disclosure regime. Consistent with the current treatment of the annual 
data and considering the public purposes that would be served by 
additional disclosure, the revised FR Y-15 requires that the quarterly 
reports be made publicly available.
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    \17\ See 78 FR 77128 (December 20, 2013).
    \18\ See 80 FR 49082 (August 14, 2015).
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    One commenter noted that the technical challenges associated with 
switching to a more frequent data collection are compounded by the 
number of additional reporting requirements that will be implemented in 
the coming year (e.g., the FR 2052a). Two commenters requested that the 
quarterly reporting requirement be phased in, with semi-annual 
reporting in 2016 and quarterly reporting beginning in 2017.
    In light of the technical challenges associated with the shift to 
more frequent reporting, including implementing and testing quarterly 
reporting systems, the revised FR Y-15 delays implementation of the 
quarterly reporting requirement for three months, to June 30, 2016.
    Two commenters requested that the submission deadline for quarterly 
reports be extended to 65 calendar days after the quarter-end to avoid 
overlap with other reports that contain source data for the FR Y-15. 
One commenter noted that such an extension would align the quarter-end 
and year-end filing requirements.
    Staff supports the use of staggered submission dates, where 
feasible, in order to ease potential resource constraints. The proposed 
50-day submission deadline was chosen after considering the due dates 
of other major quarterly reports, including those which contain source 
data for the FR Y-15.\19\ Extending the submission date an additional 
15 days would make the deadline substantially later than the deadline 
for other quarterly reports. To ensure the timely availability of 
systemic risk data, the revised FR Y-15 maintains the proposed 
submission deadline of 50 calendar days after the quarter-end.
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    \19\ Certain items on the FR Y-15 are populated based on data 
reported on the FR Y-9C and the Country Exposure Report (FFIEC 009; 
OMB No. 7100-0035). The FR Y-9C must be submitted within 40 calendar 
days after quarter-end and the FFIEC 009 must be filed 45 days after 
quarter-end.
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    There may be instances in the future where data is sourced from 
another report that is not yet due to be submitted at the time the FR 
Y-15 is due.\20\ In these cases, the Board will allow respondents to 
submit the FR Y-15 with the data items from the other report left 
blank. Respondents will then need to resubmit the report after the 
source form has been filed so that the missing data is automatically 
populated.
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    \20\ For example, should the leverage exposures data become 
available on a revised version of the Risk-Based Capital Reporting 
for Institutions Subject to the Advanced Capital Adequacy Framework 
(FFIEC 101; OMB No. 7100-0319), the quarterly data would not be 
available until 60 days after the quarter-end for institutions in 
parallel run.
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D. Reporting Criteria

    The FR Y-15 is collected from BHCs with total consolidated assets 
of $50 billion or more. One commenter argued that this threshold may 
not be appropriate as it scopes in many BHCs that do not materially 
engage in the

[[Page 77348]]

activities covered in the report. The commenter further noted that 
these BHCs are not subject to the G-SIB capital rule, which relies on 
the data captured in the FR Y-15 to inform G-SIB designation. The 
commenter requested that the respondent panel be limited to only those 
institutions covered by the G-SIB rule (i.e., advanced approaches 
banking organizations that are not subsidiaries of FBOs) or that 
smaller institutions be permitted to only submit annually based on 
information already available in other regulatory reports.
    A second commenter argued that it may not be appropriate to include 
regional banking organizations in the reporting panel as they have 
systemic scores that are significantly smaller than those of the G-
SIBs. To alleviate the reporting burden on smaller institutions, the 
commenter suggested raising the reporting threshold to $300 billion so 
that only G-SIBs are subject to the reporting requirement. A third 
commenter questioned the necessity of collecting Schedule G data from 
BHC subsidiaries of FBOs, as these institutions are not subject to the 
U.S. G-SIB rule.
    While the data on the FR Y-15 is indeed used to inform G-SIB 
designation,\21\ the information being captured has a broader purpose. 
The report was primarily designed to monitor, on an ongoing basis, the 
systemic risk profile of institutions subject to enhanced prudential 
standards under section 165 of DFA.\22\ This monitoring includes BHC 
subsidiaries of FBOs, which can have substantial systemic footprints 
within the United States. The information is also used to analyze the 
systemic risk implications of proposed mergers and acquisitions, and to 
identify depository institutions that present potential systemic risks.
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    \21\ See 80 FR 49082 (August 14, 2015).
    \22\ See 78 FR 77128 (December 20, 2013).
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    To maintain an informed view of the macroprudential risks 
associated with banking organizations, it is important to look beyond 
the footprints of the eight U.S. G-SIBs. This principal applies, for 
example, in the G-SIB designation process, where all U.S. top-tier bank 
holding companies that are advanced approaches institutions must 
calculate a measure of systemic importance.\23\ To identify 
institutions that may pose systemic risks at the domestic level, it is 
essential to look at an even wider group.
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    \23\ 80 FR 49082 (August 14, 2015).
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    Institutions not subject to the G-SIB capital rule can have 
material systemic footprints. While systemic risk can arise due to the 
solitary actions of a very large firm, it may also arise due to the 
interactions between firms. Through their interconnectedness, 
complexity, and facilitation of critical banking activities, 
institutions which have not been designated as G-SIBs may still play a 
systemically-important role in the U.S. banking system.
    Moreover, reducing the reporting scope to only those institutions 
subject to the G-SIB rule would dramatically limit the number of 
respondents. Adopting a more restricted reporting requirement could 
incentivize non-respondents to pursue additional systemic activities, 
especially those which would not affect their reporting status. Any 
increases in systemic footprint that result may then go unobserved.
    For the reasons outlined above, the revised FR Y-15 applies to all 
bank holding companies with total consolidated assets of $50 billion or 
more, which is consistent with the asset threshold in section 165 of 
DFA. Moreover, as short-term wholesale funding is a critical component 
of the systemic risk profile that the FR Y-15 was designed to assess, 
Schedule G applies to all respondents, including subsidiaries of FBOs.

E. Specific Data Items

General Instructions

    The FR Y-15 instructions direct respondents to provide a brief 
explanation of any unusual changes from the previous report. One 
commenter noted that unusual changes is not explicitly defined. The 
commenter also suggested that it would reduce administrative burden if 
explanations were submitted electronically.
    The revised FR Y-15 instructions state that unusual changes are 
differences that are not attributable to general organic growth and/or 
standard fluctuations in the business cycle. The FR Y-15 is not the 
only report with the unusual changes provision (e.g., the FR Y-9C also 
contains this concept).
    One commenter requested that mapping information be made available 
for data elements derived from other sources, such as a mapping between 
Schedule A and the SLR disclosures, and a mapping between Schedule G 
and the FR 2052a.
    Mapping information for data items automatically retrieved from 
other reports is already provided in Section H of the General 
Instructions of the FR Y-15. Should additional items become available 
in other regulatory reports, the instructions would be updated such 
that these items are automatically retrieved and no additional 
reporting is required. To ease reporting burden and ensure data 
comparability, the revised FR Y-15 includes additional information in 
the reporting instructions regarding the connection between the items 
in Schedule A and the SLR disclosure tables. The Board will provide 
information regarding the connection between Schedule G and the FR 
2052a prior to the Schedule G effective date.

Schedule A

    Two commenters noted that the SLR rule permits the netting of 
certain on-balance sheet securities financing transactions (SFTs), but 
that SFT items in the FR Y-15 require gross reporting. They requested 
that SFTs be reported on a net basis throughout the report where the 
underlying transaction meets the netting criteria specified in the SLR.
    Schedule A, item 2(a) is intended to mirror the requirements under 
the SLR and the revised reporting instructions clarify this point. 
However, Schedule F, item 6 and 7 are not intended to mirror the 
requirements under the SLR. Therefore, the revised FR Y-15 maintains 
the current reporting definitions for the SFT items in Schedule F, as 
they mirror the international standard and thus promote comparability.
    Under the proposal, regulatory adjustments (Schedule A, item 3(b)) 
would be reported as a quarterly average of daily data. One commenter 
argued that this treatment diverges from the method used for the 
purposes of the SLR and that the calculation would be challenging to 
implement. The commenter requested that respondents be permitted to 
report regulatory adjustments as point-in-time data. In response, the 
revised FR Y-15 collects regulatory adjustments using point-in-time 
data, consistent with the requirement in the SLR.

Schedule B

    One commenter noted that the instructions for Schedule B, item 3(f) 
appear to exclude the short legs of derivatives used to hedge the 
equity securities reported in Schedule B, item 3(e). The commenter 
requested that the instructions be amended to explicitly include these 
derivatives, as doing so would be consistent with the international 
standard. In response, the instructions to the FR Y-15 have been 
revised to include these derivatives.
    Two commenters noted that the proposed revisions appear to expand 
the scope of items capturing over-the-counter (OTC) derivatives to also

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include exchange-traded derivatives. The commenters expressed concern 
that the derivative items under an expanded scope would be inconsistent 
with the international standard.
    The revisions in question were not intended to alter the scope of 
the OTC derivatives items. In response, the revised FR Y-15 reverts to 
the original line names for the OTC derivative items throughout the 
report to make it clear that exchange-traded derivatives should not be 
reported.
    One commenter argued that including in Schedule B special purpose 
entities (SPEs) that are a part of a consolidated financial institution 
would be very difficult to operationalize, as the consolidation status 
of such entities is not generally public information. Considering this 
operational challenges, the revised FR Y-15 removes this requirement. 
The Board may revisit reporting requirements for SPEs in the future.

Schedule D

    One commenter noted that Level 3 trading assets are being counted 
both in the trading and AFS securities indicator and in the Level 3 
assets indicator. The commenter expressed concern that this results in 
counting the same assets twice within a single indicator.
    The trading and AFS securities indicator is a separate and distinct 
indicator from the one capturing Level 3 assets. Thus, Level 3 trading 
assets are not being double counted within the same indicator. 
Accordingly, the revised FR Y-15 maintains the current treatment of 
Level 3 assets in the trading and AFS securities indicator.

Technical Clarifications

    Commenters asked for a number of technical clarifications regarding 
specific data items on the FR Y-15 form. The revised FR Y-15 
instructions address these questions and others that have been 
received.

    Board of Governors of the Federal Reserve System, December 9, 
2015.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2015-31356 Filed 12-11-15; 8:45 am]
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