[Federal Register Volume 83, Number 151 (Monday, August 6, 2018)]
[Notices]
[Pages 38303-38306]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-16132]


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FEDERAL RESERVE SYSTEM


Proposed Agency Information Collection Activities; Comment 
Request

AGENCY: Board of Governors of the Federal Reserve System.

ACTION: Notice, request for comment.

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SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
invites comment on a proposal to implement a new information 
collection, the Single-Counterparty Credit Limits (SCCL) (FR 2590; OMB 
No. 7100-NEW) and associated notice requirements in connection with the 
final SCCL rule published elsewhere in this issue of the Federal 
Register.

DATES: Comments must be submitted on or before October 5, 2018.

ADDRESSES: You may submit comments, identified by FR 2590, by any of 
the following methods:
     Agency website: http://www.federalreserve.gov. Follow the 
instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
     Email: [email protected]. Include OMB 
number in the subject line of the message.
     FAX: (202) 452-3819 or (202) 452-3102.
     Mail: Ann E. Misback, 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 website at 
http://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted, 
unless modified for technical reasons or to remove personal identifying 
information at the commenter's request. Public comments may also be 
viewed electronically or in paper form in Room 3515, 1801 K Street NW 
(between 18th and 19th Streets NW), Washington, DC 20006 between 9:00 
a.m. and 5:00 p.m. on weekdays. For security reasons, the Board 
requires that visitors make an appointment to inspect comments. You may 
do so by calling (202) 452-3684. Upon arrival, visitors will be 
required to present valid government-issued photo identification and to 
submit to security screening in order to inspect and photocopy 
comments. 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 website 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: On June 15, 1984, the Office of Management 
and Budget (OMB) delegated to the Board authority under the Paperwork 
Reduction Act (PRA) to approve of and assign OMB control numbers to 
collection of information requests and requirements conducted or 
sponsored by the Board. In exercising this delegated authority, the 
Board is directed to take every reasonable step to solicit comment. In 
determining whether to approve a collection of information, the Board 
will consider all comments received from the public and other agencies.

Request for Comment on Information Collection Proposal

    The Board invites public comment on the following information 
collection, which is being reviewed under authority delegated by the 
OMB under the PRA. Comments are invited on the following:
    a. Whether the proposed collection of information is necessary for 
the proper performance of the Board's functions, including whether the 
information has practical utility;
    b. The accuracy of the Board'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 startup costs and costs of operation, 
maintenance, and purchase of services to provide information.
    At the end of the comment period, the comments and recommendations 
received will be analyzed to determine the extent to which the Board 
should modify the proposal.

Proposal To Approve Under OMB Delegated Authority the Implementation of 
a New Information Collection

    Report title: Single-Counterparty Credit Limits.
    Agency form number: FR 2590.

[[Page 38304]]

    OMB control number: 7100-NEW.
    Frequency: Quarterly; event-generated for requests for temporary 
relief.
    Respondents: U.S. bank holding companies (BHCs) with total 
consolidated assets that equal or exceed $250 billion, foreign banking 
organizations (FBOs) with U.S. banking operations and total 
consolidated assets that equal or exceed $250 billion, and the U.S. 
intermediate holding companies (IHCs) of such FBOs with total 
consolidated assets of at least $50 billion. Based on data as of 
December 31, 2017, this respondent panel would include 10 U.S. BHCs, 12 
U.S. IHCs, and 82 FBOs.
    Estimated number of respondents: 104; 3 for requests for temporary 
relief.
    Estimated average hours per response: 254 for ongoing and 1,273 for 
one-time implementation and 10 for requests for temporary relief.
    Estimated annual burden hours: 237,982 (which includes 132,392 for 
one-time implementation and 30 for requests for temporary relief).
    General description of report: The proposed reporting form would 
provide the Federal Reserve with information to monitor a covered 
company's or a covered foreign entity's compliance with the SCCL set 
forth in the final SCCL rule published elsewhere in this issue of the 
Federal Register. The report would comprehensively capture the credit 
exposures of a respondent organization to its counterparties in 
accordance with the SCCL rule. A covered company is any U.S. BHC 
identified as a global systemically important BHC (GSIB) under the 
Board's Regulation Q and any other U.S. BHC with total consolidated 
assets that equal or exceed $250 billion. A covered foreign entity is 
any entity that is part of the combined U.S. operations of an FBO with 
total global consolidated assets that equal or exceed $250 billion, and 
any U.S. IHC of such an FBO with total consolidated assets that equal 
or exceed $50 billion.
    The reporting form first asks for general information about the 
respondent organization (e.g., the respondent organization's full legal 
name; the amount of its capital stock and surplus; whether the 
respondent would be considered a major covered company, major foreign 
banking organization, or major U.S. intermediate holding company under 
the final SCCL rule).\1\ The reporting form also permits any respondent 
that is an FBO to certify that it is subject to and complies with large 
exposure standards on a consolidated basis established by its home-
country supervisor that are consistent with the large exposures 
framework published by the Basel Committee on Banking Supervision. The 
reporting form then requests data required to calculate the respondent 
organization's credit exposures and requires identification of 
counterparties by name and by entity type (e.g., sovereign entities, 
securitization funds). The form would require each respondent 
organization to report its top 50 counterparties.\2\
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    \1\ ``Major covered company,'' ``major foreign banking 
organization,'' and ``major U.S. intermediate holding company'' are 
defined terms in the final SCCL rule. See Sec.  252.71(y), 
252.171(z), 252.171(aa).
    \2\ ``Counterparty'' is a defined term in the final SCCL rule. 
See Sec.  252.71(e), 252.171(f).
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    The FR 2590 includes nine schedules. Five of these schedules 
(Schedules G-1 through G-5) collect information related to the gross 
exposures of the respondent organization to various counterparties, as 
calculated pursuant to the methods in Sec.  252.73 and 252.173, 
respectively, of the SCCL rule. A respondent organization must add the 
exposure amounts in the five G schedules to calculate its aggregate 
gross credit exposure.
    A respondent organization would then calculate its net credit 
exposure by adjusting its gross credit exposures using Schedules M-1 
and M-2, which collect information related to eligible collateral and 
other eligible risk mitigants (e.g., eligible guarantees), 
respectively, pursuant to Sec.  252.74 and 252.174 of the SCCL rule.
    The respondent organization must take into account special 
provisions in the SCCL rule that require aggregation of certain 
connected counterparties due to economic interdependence--meaning the 
underlying risk of one counterparty's financial distress or failure 
would cause the financial distress or failure of another counterparty, 
as indicated by the presence of certain enumerated factors in the SCCL 
rule--or due to the presence of certain control relationships described 
in the SCCL rule.\3\ Data relevant to understanding the presence of any 
relationships that require such aggregation are reported in Schedules 
A-1 and A-2.
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    \3\ The requirement to aggregate counterparties based on these 
relationships can be found in Sec.  252.76 and 252.176 of the SCCL 
rule.
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    In filling out the schedules described above, the respondent 
organization must report exposures by counterparty, with a single 
counterparty in each row. The reporting form requires each respondent 
organization to report its top 50 counterparties.

Detailed Discussion of Proposed Information Collection Activity

Schedule G-1: General Exposures

    This schedule contains seven general gross credit exposure 
categories that are described in Sec.  252.73, 252.75, 252.173, and 
252.175 of the SCCL rule: (i) Deposits; (ii) loans and leases; (iii) 
debt securities or investments; (iv) equity securities or investments; 
(v) committed credit lines; (vi) guarantees and letters of credit; and 
(vii) securitization arising from the look-through approach.\4\ These 
gross exposures are summed together, by counterparty, in the final 
column of Schedule G-1.
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    \4\ Calculation of gross credit exposure as a result of item 
(vii) (securitization arising from the look-through approach) is 
described in Sec.  252.75 and 252.175 of the SCCL rule. Gross credit 
exposure to a securitization that does not require application of 
the look-through approach would be reported as either item (iii) 
(debt securities or investments) or item (iv) (equity securities or 
investments), as applicable.
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Schedule G-2: Repurchase Agreement Exposures

    This schedule collects gross credit exposures arising from 
repurchase agreements and reverse repurchase agreements as provided in 
Sec.  252.73 and 252.173 of the SCCL rule. It requires the respondent 
organization to identify the assets transferred and received in the 
transaction. Examples include sovereign entity debt, non-sovereign 
entity debt, main index equities,\5\ and cash. The penultimate column 
asks for the total gross credit exposure under bilateral netting 
agreements. The final column tallies the total gross credit exposure 
resulting from these transactions by counterparty.
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    \5\ ``Main index'' is defined in the Board's capital rules, 12 
CFR part 217.
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Schedule G-3: Securities Lending Exposures

    This schedule collects similar information to that collected in 
Schedule G-2 with respect to securities lending and securities 
borrowing transactions. Again, the final column tallies the total gross 
credit exposure resulting from these transactions by counterparty.

Schedule G-4: Derivatives Exposures

    Schedule G-4 requires the respondent organization to report the 
gross notional amount of its derivatives transactions--interest rate, 
foreign exchange rate, credit, equity, commodity, or other--by 
counterparty, consistent with Sec.  252.73 and 252.173 of the SCCL 
rule. If the respondent organization has been authorized by the Board 
to use internal models to value such transactions, then

[[Page 38305]]

it can report its exposures using the ``Internal Model Method'' 
columns.\6\ Another column in Schedule G-4 is available for a 
respondent organization to report gross credit exposures resulting from 
qualifying master netting agreements.\7\ All respondent organizations 
are required to complete the total gross credit exposure column.
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    \6\ If the respondent organization has not been authorized by 
the Board to use internal models, these columns would remain blank.
    \7\ ``Qualifying master netting agreement'' is defined in Sec.  
252.71(cc) and 252.171(ee) of the SCCL rule.
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Schedule G-5: Risk-Shifting Exposures

    Schedule G-5 collects information related to gross credit exposures 
that have been impacted by the risk shifting requirements of Sec.  
252.74 and 252.174 of the SCCL rule. Risk-shifting is required when a 
respondent organization employs five types of credit risk mitigants: 
(i) Eligible collateral; (ii) eligible guarantees; (iii) eligible 
credit derivatives; (iv) other eligible hedges; or (v) unused portion 
of certain extensions of credit. Risk-shifting may also be required in 
connection with credit transactions involving exempt counterparties.\8\ 
The final column aggregates the total gross exposure, by counterparty, 
due to risk-shifting.
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    \8\ See Sec.  252.74(g) and 252.174(g) of the SCCL rule. 
``Exempt counterparty'' is defined in the SCCL rule to mean an 
entity that is expressly exempted from or otherwise excluded from 
the requirements of the SCCL rule. See Sec. Sec.  252.71(q) and 
252.171(r) of the SCCL rule.
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Schedule M-1: Eligible Collateral

    Sections 252.74 and 252.174 of the SCCL rule permit a respondent 
organization to subtract the value of any ``eligible collateral'' 
provided by a counterparty in connection with a particular transaction 
from its gross credit exposure for that transaction.\9\ The value of 
all such eligible collateral is reported in Schedule M-1. Eligible 
collateral include, but are not limited to, sovereign debt, non-
sovereign debt, main index equities, other publicly traded equities, 
and cash. The final column sums the total credit risk mitigation impact 
due to eligible collateral, by counterparty.
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    \9\ ``Eligible collateral'' is defined in sections 252.71(k) and 
252.171(l).
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Schedule M-2: General Risk Mitigants

    Schedule M-2 collects information related to credit risk mitigation 
techniques other than the receipt of eligible collateral used by the 
firm to reduce its gross credit exposure in a given transaction. 
Permitted credit risk mitigation methods, described in Sec.  252.74 and 
252.174 of the SCCL rule, are (i) eligible guarantees; (ii) eligible 
credit derivatives; (iii) other eligible hedges; (iv) unused portion of 
certain extensions of credit; and (v) credit transactions involving 
exempt entities. The final column sums the total credit risk mitigation 
effected by use of these techniques, by counterparty.

Summary Sheet

    The reporting form contains a summary sheet that sums the 
respondent organization's aggregate gross credit exposure (as reported 
in the final columns of each of the five G schedules); calculates the 
respondent organization's aggregate net credit exposures by reducing 
its aggregate gross credit exposure by its aggregate credit risk 
mitigants (calculated by taking the sum of the final columns of the two 
M schedules); and divides the respondent organization's aggregate net 
credit exposure by its eligible capital base.\10\ The resulting ratio 
shows whether the respondent organization's aggregate net credit 
exposures comply with the limits of the SCCL rule.
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    \10\ As noted above, a respondent organization's aggregate net 
credit exposure limits under the SCCL rule are based on a percentage 
of either its capital stock and surplus or its tier 1 capital, 
depending on the size of the respondent organization. ``Eligible 
capital base,'' as reported on this form, refers to either the 
respondent organization's capital stock and surplus or its tier 1 
capital, as applicable.
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Schedule A-1: Economic Interdependence

    Sections 252.76(b) and 252.176(b) of the SCCL rule require a 
covered company, a covered foreign entity, or U.S. IHC with total 
consolidated assets that equal or exceed $250 billion to aggregate its 
net credit exposures to counterparties that are economically 
interdependent--meaning that the underlying risk of one counterparty's 
financial distress or failure would cause the financial distress or 
failure of another counterparty.\11\ Those sections enumerate specific 
factors that those covered companies or covered foreign entities must 
consider in order to assess whether counterparties are economically 
interdependent. Such factors include whether 50 percent or more of one 
counterparty's gross revenue is derived from the other counterparty, or 
whether two or more counterparties rely on the same source for the 
majority of their funding.\12\ The SCCL rule requires that 
counterparties that must be aggregated be treated as a single 
counterparty (reported in Schedule A-1 as an ``interconnected 
counterparty group'') for purposes of the aggregate net credit exposure 
limits of the SCCL rule. Schedule A-1 requires the respondent 
organization to provide its aggregate net credit exposure to each 
member of the interconnected counterparty group (one per column). The 
final column of Schedule A-1 sums the total net credit exposure of the 
respondent organization to each connected counterparty group.
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    \11\ This requirement does not apply to U.S. IHCs with total 
consolidated assets of less than $250 billion, unless the Board 
determines in writing after notice and opportunity for hearing that 
the covered foreign entity must aggregate its exposures to two or 
more counterparties to prevent evasions of the purposes of subpart Q 
of Regulation YY (12 CFR part 252, subpart Q). See Sec.  252.176 of 
the SCCL rule.
    \12\ A covered company, foreign banking organization that is a 
covered foreign entity, or U.S. IHC with total consolidated assets 
that equal or exceed $250 billion is required to conduct an 
assessment for economic interdependence only if its aggregate net 
credit exposure to a counterparty exceeds 5 percent of its tier 1 
capital. See Sec. Sec.  252.76(b) and 252.176(b) of the SCCL rule. 
If none of the enumerated factors are met, then the covered company 
or covered foreign entity need not aggregate exposures to those 
counterparties unless the Board determines that one or more other 
counterparties of the covered company or covered foreign entity are 
economically interdependent. Id.
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Schedule A-2: Control Relationships

    Sections 252.76(c) and 252.176(c) of the SCCL rule require a 
covered company, a covered foreign entity, or U.S. IHC with total 
consolidated assets that equal or exceed $250 billion to aggregate 
exposures to counterparties due to the presence of certain control 
relationships.\13\ These sections require that counterparties that are 
connected by certain specified control relationships must be treated as 
a single counterparty (reported in Schedule A-2 as a ``control 
counterparty group'') for purposes of the aggregate net credit exposure 
limits of the SCCL rule. Schedule A-2 requires the respondent 
organization to provide its aggregate net credit exposure to each 
member of the control counterparty group (one per column). The final 
column of Schedule A-2 sums the total net credit exposure of the 
respondent organization to each control counterparty group.
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    \13\ This requirement does not apply to U.S. IHCs with total 
consolidated assets of less than $250 billion, unless the Board 
determines in writing after notice and opportunity for hearing that 
a covered company must aggregate its exposures to two or more 
counterparties to prevent evasions of the purposes of subpart Q of 
Regulation YY (12 CFR part 252, subpart Q). See Sec.  252.176 of the 
SCCL rule.
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    In addition, certain provisions in the SCCL rule permit a covered 
company or covered foreign entity to request temporary relief from 
specific requirements of the rule. Specifically, the SCCL rule permits 
a covered company or covered foreign entity to request temporary relief 
from

[[Page 38306]]

requirements to aggregate one or more counterparties even if one or 
more factors indicating economic interdependence or control 
relationships are met, subject to certain conditions, including that 
such relief be in the public interest and consistent with the purpose 
of the rule.\14\ The SCCL rule also permits a covered company or 
covered foreign entity that is not in compliance with the requirements 
of the rule to request a special temporary credit exposure limit 
exemption from the Board to permit continued credit transactions with 
that counterparty, based upon a finding that those transactions are 
necessary or appropriate to preserve the safety and soundness of the 
covered company or U.S. financial stability.\15\
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    \14\ See Sec. Sec.  252.76(b)(3), 252.76(c)(2), 252.176(b)(3), 
and 252.176(c)(2) of the SCCL rule.
    \15\ See Sec.  252.78(c)(2) and 252.178(c)(2) of the SCCL rule.
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    Legal authorization and confidentiality: Section 165(e) of the 
Dodd-Frank Act (12 U.S.C. 5365(e)) and section 5(c)(1) of the Bank 
Holding Company Act of 1956 (12 U.S.C. 1844(c)(1)) authorize the Board 
to require these BHCs, FBOs, and U.S. IHCs to file a reporting form 
such as the proposed FR 2590 with the Board. The proposed FR 2590 would 
be mandatory for U.S. BHCs with total consolidated assets that equal or 
exceed $250 billion, FBOs with U.S. banking operations and total 
consolidated assets that equal or exceed $250 billion, and U.S. IHCs of 
such FBOs with at least $50 billion in total consolidated assets.
    The data collected on this proposed form includes financial 
information that is not normally disclosed by the respondent 
organizations, the release of which would likely cause substantial harm 
to the competitive position of the respondent organization if made 
publicly available. Therefore, the data collected on this form would be 
kept confidential under exemption 4 of the Freedom of Information Act, 
which protects from disclosure trade secrets and commercial or 
financial information (5 U.S.C. 552(b)(4)).
    Regarding notices associated with requests for temporary relief 
from specific requirements of the SCCL rule, a firm that wishes 
information in these notices to be kept confidential in accordance with 
exemption 4 of the Freedom of Information Act (5 U.S.C. 552(b)(4)) may 
request confidential treatment under the Board's rules regarding 
confidential treatment of information at 12 CFR 261.15. The Board's 
Legal Division will be asked to review the confidentiality status of 
such notices.

    By order of the Board of Governors of the Federal Reserve 
System, July 24, 2018.
Yao-Chin Chao,
Assistant Secretary of the Board.
[FR Doc. 2018-16132 Filed 8-3-18; 8:45 am]
 BILLING CODE 6210-01-P