[Federal Register Volume 84, Number 248 (Friday, December 27, 2019)]
[Notices]
[Pages 71423-71427]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-27849]


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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: The Board of Governors of the Federal Reserve System (Board) 
is adopting a proposal to extend for three years, with revision, the 
Banking Organization Systemic Risk Report (FR Y-15; OMB No. 7100-0352). 
Certain revisions become effective beginning with the December 31, 
2019, report date. Other revisions become effective for the June 30, 
2020, or December 31, 2020, report dates, as described below.

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.
    Office of Management and Budget (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.
    A copy of the Paperwork Reduction Act (PRA) OMB submission, 
including the reporting form and instructions, supporting statement, 
and other documentation will be placed into OMB's public docket files. 
These documents also are available on the Federal Reserve Board's 
public website at https://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested from the agency clearance officer, 
whose name appears above.

SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board 
authority under the PRA to approve and assign OMB control numbers to 
collections of information 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 instrument(s) are placed into OMB's public docket files.

Final Approval Under OMB Delegated Authority of the Extension for Three 
Years, With Revision, of the Following Information Collection

    Report title: Banking Organization Systemic Risk Report.
    Agency form number: FR Y-15.
    OMB control number: 7100-0352.
    Effective dates: December 31, 2019, and June 30, 2020.
    Frequency: Quarterly.
    Respondents: The FR Y-15 panel is currently comprised of top-tier 
bank holding companies (BHCs), covered savings and loan holding 
companies (SLHCs), and intermediate holding companies (IHCs) with $50 
billion or more in total consolidated assets, and any BHC designated as 
a global systemically important bank holding

[[Page 71424]]

company (GSIB) \1\ based on its method 1 score calculated as of 
December 31 of the previous calendar year that does not otherwise meet 
the consolidated assets threshold for BHCs.\2\ Pursuant to separate 
revisions to the FR Y-15 recently made by the Board, the reporting 
panel for the FR Y-15 will, effective June 30, 2020, consist of U.S. 
BHCs and SLHCs with $100 billion or more in consolidated assets, 
foreign banking organizations with $100 billion or more in combined 
U.S. assets, and any BHC designated as a GSIB.\3\
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    \1\ See 12 CFR 217.402.
    \2\ According to the Board's statement issued in July 2018, the 
Board will take no action to require BHCs and covered SLHCs with 
less than $100 billion in total consolidated assets to file the FR 
Y-15, pursuant to the Economic Growth, Regulatory Relief, and 
Consumer Protection Act of 2018 (EGRRCPA). See https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20180706b1.pdf.
    \3\ See Prudential Standards for Large Bank Holding Companies, 
Savings and Loan Holding Companies, and Foreign Banking 
Organizations, 84 FR 59032 (Nov. 1, 2019) (``Tailoring Rule''). In 
connection with the Tailoring Rule, the FR Y-15 was revised, 
effective for the June 30, 2020, report date, notably to add 
schedules applicable for foreign banking organizations and certain 
additional line items to the form. The amendments to the FR Y-15 
related to the Tailoring Rule will be incorporated into the form 
beginning with the June 30, 2020 effective date. The Board will 
release an updated FR Y-15 form and instructions that incorporate 
both the changes to the Y-15 in this release and those from the 
Tailoring Rule prior to June 30, 2020.
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    Estimated number of respondents: 43.
    Estimated average hours per response: 405.
    Estimated annual burden hours: 69,660.
    General description of report: Section 165 of the Dodd-Frank Wall 
Street Reform and Consumer Protection Act (Dodd-Frank Act) \4\ directs 
the Board to establish enhanced prudential standards, including risk-
based capital requirements, for certain large financial institutions. 
These standards must be more stringent than the standards applicable to 
other financial institutions that do not present similar risks to U.S. 
financial stability. Additionally, these standards must increase in 
stringency based on several factors, including the size and risk 
characteristics of a company subject to the rule, and the Board must 
take into account the differences among bank holding companies and 
nonbank financial companies.
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    \4\ Public Law 111-203 (2010); 12 U.S.C. 5365.
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    Pursuant to the requirement to establish enhanced risk-based 
capital standards under section 165 of the Dodd-Frank Act, the Board 
published a final rule establishing a GSIB surcharge on the largest, 
most interconnected U.S. BHCs in August 2015.\5\ The GSIB surcharge is 
calculated using an indicator-based approach that focuses on those 
aspects of a BHC's operations that are likely to generate negative 
externalities in the case of its failure or distress. The rule's 
methodologies assess six components of a BHC's systemic footprint: 
size, interconnectedness, substitutability, complexity, cross-
jurisdictional activity, and reliance on short-term wholesale funding. 
The indicators comprising these six components are reported on the FR 
Y-15. More generally, the FR Y-15 report is used to monitor the 
systemic risk profile of the institutions that are subject to enhanced 
prudential standards under section 165.
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    \5\ 80 FR 49082 (August 14, 2015).
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    Additionally, section 165 the Dodd-Frank Act requires that the 
Board consider the extent to which a proposal would result in greater 
or more concentrated risks to the stability of the United States 
banking or financial system as part of its review of certain banking 
applications.\6\ The data reported on the FR Y-15 are used by the Board 
to analyze the systemic risk implications of such applications.
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    \6\ Public Law 111-203, 604(d), (f); 12 U.S.C. 1842(c)(7) and 
1828(c)(5).
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    The FR Y-15 consists of the following schedules:

 Schedule A--Size Indicator
 Schedule B--Interconnectedness Indicators
 Schedule C--Substitutability Indicators
 Schedule D--Complexity Indicators
 Schedule E--Cross-Jurisdictional Activity Indicators
 Schedule F--Ancillary Indicators
 Schedule G--Short-term Wholesale Funding Indicator

    Some of the reporting requirements within the schedules overlap 
with data already collected in the Consolidated Financial Statements 
for Holding Companies (FR Y-9C; OMB No. 7100-0128), the Country 
Exposure Report (FFIEC 009; OMB No. 7100-0035), and the Regulatory 
Capital Reporting for Institutions Subject to the Advanced Capital 
Adequacy Framework (FFIEC 101; OMB No. 7100-0319). Where relevant data 
are already collected by those reports, the FR Y-15 automatically 
populates items based on the source form so that the information does 
not need to be reported twice. Automatically-retrieved items are listed 
in the general instructions of the FR Y-15 under section H, titled 
``Data Items Automatically Retrieved from Other Reports.''
    Legal authorization and confidentiality: The Board has the 
authority to require BHCs, SLHCs, and FBOs and IHCs, to file the FR Y-
15 pursuant to, respectively, section 5 of the Bank Holding Company Act 
(``BHC Act'') (12 U.S.C. 1844), section 10(b) of the Home Owners' Loan 
Act (12 U.S.C. 1467a(b)), and section 5 of the BHC Act, in conjunction 
with section 8 of the International Banking Act (12 U.S.C. 3106). The 
FR Y-15 reports are mandatory. The data collected on the FR Y-15 are 
made public unless a specific request for confidentiality is submitted 
by the reporting entity, either on the FR Y-15 or on the form from 
which the data item is obtained. Determinations regarding confidential 
treatment will be made on a case-by-case basis based on exemption 4 of 
the Freedom of Information Act (``FOIA''), which protects from 
disclosure trade secrets and commercial or financial information (5 
U.S.C. 552(b)(4)). In addition, a number of the items in the FR Y-15 
are retrieved from the FR Y-9C, FFIEC 101 and FFIEC 009, and 
confidential treatment may also extend to any automatically-calculated 
items on the FR Y-15 that have been derived from confidential data 
items and that, if released, would reveal the underlying confidential 
data. To the extent confidential data collected under the FR Y-15 will 
be used for supervisory purposes, it may be exempt from disclosure 
under exemption 8 of the FOIA (5 U.S.C. 552(b)(8)).
    Current actions: On September 10, 2019, the Board published a 
notice in the Federal Register (84 FR 47509) requesting public comment 
for 60 days on the extension, with revision, of the Banking 
Organization Systemic Risk Report. Under the proposal, the FR Y-15 
would have been revised by (1) adding trading volume items to the 
memoranda section of Schedule C; (2) adding a separate line item for 
equity securities with readily determinable fair values not held for 
trading on Schedule D; (3) adding derivatives items and revised total 
cross jurisdictional claims and total cross jurisdictional liabilities 
items to the memoranda section of Schedule E; (4) adding a requirement 
that respondents keep a record of the data submitted; and (5) making 
other minor clarifications to the form and instructions. The revisions 
were proposed to be effective for the December 31, 2019, report date. 
The comment period for this notice expired on November 12, 2019. The 
Board received three comments. The Board has adopted the proposal with 
certain modifications, discussed below.

[[Page 71425]]

Detailed Discussion of Public Comments

    The Board received three comment letters on the proposed 
information collection: Two letters from financial industry trade 
organizations and one letter from a U.S. GSIB. Among other issues, 
commenters requested a delay in the effective date of certain proposed 
items, clarifications on the scope and intent of certain proposed 
items, further information on the ability to use existing reporting 
form data submissions in the proposed items, and additional proposed 
changes to the Board's GSIB rule or the scope of current indicators in 
the GSIB surcharge methodology.

Comments on Changes to Schedule C (Substitutability Category)

    For the proposed trading volume memorandum items, some commenters 
asked for further clarification on the scope of the items. One 
commenter asked whether securities considered ``traded'' only include 
the trading of securities held in the trading account, as defined in 
the FR Y-9C. The Board is confirming that the trading volume 
instructions do not refer to the scope of the trading account in the FR 
Y-9C and are based on a new separate measure of a banking 
organization's trading activity. ``Trading account'' in the FR Y-9C 
includes activities--such as foreign exchange, derivatives, and 
commodity activities--that are excluded from the scope of trading 
volume in Schedule C.
    One commenter asked the Board to address whether the reference to 
``contractual date'' in the proposed instructions was intended. In the 
final instructions, the Board has modified the proposed instructions to 
refer to ``trade date'' rather than ``contractual date,'' as the former 
term is consistent with the intended scope of the memorandum items.
    One commenter requested clarification about the treatment of failed 
trades in the trading volume memoranda items. The Board has clarified 
in the instructions that if a trade were to fail and the full amount of 
the trade were not to settle, the transaction should not be reported in 
the trading volume memorandum items.
    One commenter asked how to measure trading volume for an investment 
that a FR Y-15 filer newly consolidates onto its balance sheet, 
particularly if that investment does not have readily available 
information regarding the volume of securities purchased or sold prior 
to its consolidation. In the final instructions, the Board has modified 
the proposed instructions to state that a banking organization has the 
choice of: (1) Reporting previous quarters' data of trading volume 
activity for an unconsolidated entity, if such data are available or 
(2) begin immediately calculating the applicable trading volume 
activity upon consolidation and report an annualized amount based on 
the activity measurement until four quarters of data are available.
    One commenter asked to clarify the proposed instruction's reference 
to transactions made on behalf of customers, including securities held 
as assets. In the final instructions, the Board has modified the 
proposed instructions to clarify the reference to the principal model 
of trading. Trading activity related to the principal model is within 
the scope of the trading volume memorandum items.
    One commenter asked if a transaction in which a firm is not the 
lead underwriter should be reported and, if so, how to include it in 
Schedule C. In the final instructions, the Board has modified the 
proposed instructions to include language clarifying that all trades 
related to underwriting activity are to be included in the memorandum 
items.
    One commenter asked if firms should exclude certain noncash 
transactions, including if a firm obtains securities from a bankruptcy 
settlement or a loan default. The Board is confirming that, consistent 
with the instructions, only securities purchased and sold are within 
the scope of the trading volume memorandum items (i.e., securities 
obtained through bankruptcy settlements or loan defaults would be 
excluded from the scope of the trading volume memoranda items).
    One commenter requested clarification on the definition of ``public 
sector'' in memorandum item M5(a) and whether the definition from the 
FFIEC 009 would apply. The Board included in the proposed instructions 
a definition of public sector consistent with the Board's capital rule 
in 12 CFR 217.2. The Board is finalizing the instructions with the same 
scope for public sector in memorandum item M5(a). The trading volume 
memoranda items do not reference the definition of public sector of the 
FFIEC 009.
    One commenter requested that syndicated corporate loans be excluded 
from memorandum item M5(b) because, according to the commenter, 
syndicated corporate loans are not securities. Syndicated corporate 
loans often are arranged by banks and transferred to institutional 
investors in the form of collateralized loan obligations. The failure 
of a bank that is participating in the syndicate could jeopardize a 
corporate borrower's access to capital in the short-term, particularly 
in times of market stress or if that bank is the syndicate's lead 
arranger. Consistent with the proposed instructions, the Board is 
confirming that memorandum item M5(b) is not limited to registered 
securities and therefore syndicated corporate loans should be included 
in the scope of the item.
    One commenter requested that trading activity in which the firm 
acts as an agent be excluded from memoranda items M5(a)-M5(d) because, 
according to the commenter, it is unclear why these transactions should 
be included and the reporting burden would be substantial. The Board 
has adopted the instructions for memoranda items M5(a)-M5(d) as 
proposed. Responses to these items should include all trading activity 
of the banking organization within scope of these memoranda items, 
including when the banking organization acts as an agent in the 
facilitation of trading activity. Facilitating trading activity as an 
agent banking organization acting on behalf of clients is an integral 
financial market infrastructure service, which may be difficult to 
substitute quickly under stress conditions.
    One commenter identified erroneous references to ``item M5'' 
instead of ``item M5(a)'' in the instructions for memorandum item 
M5(b). The Board has updated the proposed instructions to replace the 
references to ``item M5'' with ``M5(a)'' in the instructions for 
memorandum item M5(b).
    One commenter requested exemptions in memoranda items M5(a)-M5(d) 
for certain trading activities, notably underwriting municipal 
securities and temporarily holding such securities on the bank's 
balance sheet and purchasing securities with funds from deferred 
compensation plans for employees of the bank. According to the 
commenter, these trading activities are immaterial, but reporting such 
transactions would be burdensome. The Board believes that, to the 
extent that such trading activities fall within the proposed 
instructions for memoranda items M5(a)-M5(d), these transactions should 
be reported because these memoranda items are intended to capture all 
trading activity in scope. Therefore, the Board has adopted the 
instructions to these items as proposed.
    One commenter asked for clarification on whether CUSIP and/or 
counterparty netting is permissible within the same legal entity. The 
Board is confirming in the instructions for memoranda items M5(a)-M5(d) 
that trading volumes should be reported on a gross basis without 
applying CUSIP or counterparty

[[Page 71426]]

netting when reporting external transactions or when excluding intra-
group or intra-entity transactions. These memoranda items are intended 
to capture all trading activity flows in scope (i.e., not a point-in-
time, stock measurement), and therefore, applying CUSIP or counterparty 
netting within the same legal entity would be inappropriate.
    One commenter requested clarification on whether the trading volume 
items represented the same population of trading securities reported in 
Schedule D of the FR Y-15. The Board is clarifying that the scope of 
the trading volume memorandum items is distinct and broader than that 
of the Trading and Available-for-Sale (AFS) Securities Indicator in the 
FR Y-15, consistent with the finalized instructions.
    One commenter asked the Board to provide further clarification on 
what constitutes a security issued by a central government or agency. 
In the final instructions, the Board has clarified that a security 
issued by a central government or agency is defined according to the 
definition of sovereign exposure under 12 CFR 217.2 (``an exposure 
directly and unconditionally backed by the full faith and credit of a 
sovereign''). The Board has therefore modified the proposed 
instructions to add a citation to the definition of sovereign exposure 
in memorandum item M5 of Schedule C.

Comments on Changes to Schedule D (Complexity Category)

    One commenter asked the Board to clarify that the previous 
references to the FR Y-9C (Schedule HC, item 2(b) and item 2(c)) in the 
instructions for items 5 and 6 of Schedule D should be reinstated. In 
the final instructions, the Board has modified the proposed 
instructions for items 5 and 6 to include those references.

Comments on Changes to Schedule E (Cross-Jurisdictional Activity 
Indicators)

    One commenter requested clarity on the scope of exposures to be 
collected in memorandum item M4, Other foreign liabilities on an 
immediate counterparty basis. Given that Schedule E already collects 
non-derivative cross-jurisdictional liabilities data, it was unclear to 
the commenter what ``other'' liabilities may need to be reported. In 
the final instructions, the Board has modified the proposed 
instructions by revising the proposed title of memorandum item M4 to 
``Consolidated foreign liabilities on an immediate counterparty basis, 
excluding derivative liabilities'' to enhance the clarity of the item. 
The existing cross-jurisdictional liabilities items in Schedule E 
measure amounts based on locational data (i.e., not consolidated). 
Memoranda items M3 and M4 ask for new cross-jurisdictional liability 
data on a consolidated basis.\7\
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    \7\ These memoranda items do not affect the extant required 
calculations based on the Board's GSIB surcharge rule.
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    Another commenter requested clarification as to whether memorandum 
item M3, Foreign derivative liabilities on an immediate counterparty 
basis, should align with data collected in the FFIEC 009 (Country 
Exposure Report). The FFIEC 009 collects certain information on foreign 
derivative claims, but does not collect information on foreign 
derivative liabilities. Therefore, memorandum item M3 represents a 
standalone and distinct data collection request that is not linked to 
data currently collected on the FFIEC 009. Certain definitional terms 
are used from the FFIEC 009 to provide guidance for completing 
memorandum item M3 (for example, ``immediate counterparty'').
    One commenter asked the Board to clarify memoranda items M3 and M4, 
which requires respondents to ``include the . . . liabilities of U.S. 
offices to foreign counterparties regardless of whether the foreign 
counterparty is located inside or outside the United States.'' The 
commenter asked the Board to clarify whether this instruction is 
intended to ``solely'' capture the FR Y-15 filer's exposures to U.S. 
branches of counterparties with non-U.S. countries of incorporation. 
This instructional language does not ``solely'' capture exposures to 
U.S. branches of foreign counterparties; it is intended to capture 
exposures to any foreign counterparty located inside or outside the 
United States, including individuals. However, these instructions would 
not include as ``foreign counterparties'' IHCs, BHCs, or other banking 
organizations organized under the laws of the United States, any one of 
the fifty states of the United States, or the District of Columbia.
    One commenter asked if margin liabilities related to derivative 
contracts reported in memorandum item M2 must be reported gross--that 
is, before applying a legally enforceable netting agreement under ASC 
Subtopic 210-20, Balance Sheet--Offsetting (formerly FASB 
Interpretation No. 39). The Board confirms that these margin 
liabilities should be reported on a gross basis, prior to netting.
    One commenter requested the addition of a new line item to be added 
to Schedule E that would allow banks to report existing item 2, Foreign 
liabilities (excluding local liabilities in the local currency), on a 
net basis by taking balances sourced from TIC-B reports and applying 
the FFIEC 009's netting approach to those amounts. The addition of a 
new item which would affect the Board's GSIB surcharge rule methodology 
would necessitate a notice of proposed rulemaking and cannot be 
finalized as part of an Information Collection notice. The Board is 
retaining its existing netting approach as outlined in the FR Y-15 
Instructions for line items 2, 2(a), and 3 of Schedule E at this time 
and is therefore not adding an additional line item for Foreign 
Liabilities in Schedule E.
    One commenter requested that Section H of the General Instructions 
of the FR Y-15 be updated to specify that memorandum item M1 will be 
automatically retrieved from foreign derivative claims data reported in 
FFIEC 009, Schedule D, columns 1 through 4. In the final instructions, 
the Board has modified the proposed instructions to Section H of the 
General Instructions to state that this data will be automatically 
retrieved.
    One commenter asked the Board to clarify whether the foreign 
derivative liabilities data collected in memorandum item M4 can be 
automatically retrieved from Schedule L of the FFIEC 009. The Board 
confirms that memorandum item M4 is not populated automatically from 
FFIEC 009, Schedule L. This is because, as mentioned above, Schedule L 
of the FFIEC 009 does not capture all the necessary exposures required 
in memorandum item M4: The FFIEC 009 data captures only foreign-office 
liability data, whereas memorandum item M4 also asks for the 
liabilities of U.S. offices to foreign counterparties.

Comments on Proposal's Effective Date

    One commenter requested that all the proposed changes to the FR Y-
15 be made effective as of June 30, 2020, as it would provide firms 
sufficient time to establish or modify the necessary processes and 
infrastructure. With regard to the trading volume items being added to 
Schedule C, the Board agrees with the commenter that additional time is 
necessary in order for existing FR Y-15 respondents to modify their 
relevant processes and infrastructure. Therefore, the Board is delaying 
the effective date for new memoranda items in Schedule C to the June 
30, 2020, report date, for existing FR Y-15 respondents. Given that the 
line item being added to Schedule D utilizes information retrieved 
directly from current reporting on the FR Y-9C, the Board believes that 
it is unnecessary to delay the effective

[[Page 71427]]

date for this item. With regard to the memoranda items related to cross 
jurisdictional activity and derivatives in Schedule E, certain of these 
items will be calculated in large part consistent with current 
reporting requirements for the FFIEC 009. Therefore, the revisions to 
Schedules D and E will become effective for existing FR Y-15 
respondents as of the December 31, 2019, report date, as originally 
proposed.
    One commenter asked if the Board would require FBOs to complete the 
proposed memorandum items, including the trading volume memorandum 
items, with respect to their combined U.S. operations (CUSO), as 
certain FBOs will begin filing the FR Y-15 based on their CUSO as of 
June 30, 2020, consistent with the Board's recent tailoring rule. The 
Board has finalized the FR Y-15 revisions with the following effective 
dates for FBOs that will be required to file the FR Y-15 based on their 
CUSO:
     June 30, 2020, report date: Revisions to Schedule E;
     December 31, 2020, report date: Revisions to Schedules C 
and D.\8\
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    \8\ An FBO required to file the FR Y-15 for its CUSO as of 
December 31, 2020 would look back to collect two quarters of trading 
volume data (i.e., trading volume information for July 1st-December 
31st) and annualize the additional two quarters in Schedule C.
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    For the trading volume memorandum items being added to Schedule C, 
given that the FBO will begin filing the FR Y-15 based on its CUSO as 
of June 30, 2020, an FBO would annualize its CUSO trading activity 
until it were to file four quarters of the FR Y-15.

Comments on GSIB Surcharge Methodology

    One commenter requested that prior to incorporating the proposed 
memoranda items into the GSIB surcharge framework, the Board undertake 
a holistic review and recalibration of the framework methodology 
subject to public comment. This commenter also requested that the Board 
adopt a procedural mechanism to ensure that the GSIB surcharge 
methodology is periodically reassessed, such as once every three or 
four years. These comments are beyond the scope of the proposal; 
however staff notes that any incorporation of these memoranda items 
into the GSIB surcharge framework would be subject to the rulemaking 
process and provide opportunity for public feedback.

    Board of Governors of the Federal Reserve System, December 19, 
2019.
Michele Taylor Fennell,
Assistant Secretary of the Board.
[FR Doc. 2019-27849 Filed 12-26-19; 8:45 am]
 BILLING CODE 6210-01-P