[Federal Register Volume 88, Number 5 (Monday, January 9, 2023)]
[Proposed Rules]
[Pages 1154-1170]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-28615]


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DEPARTMENT OF THE TREASURY

12 CFR Part 1610


Collection of Non-Centrally Cleared Bilateral Transactions in the 
U.S. Repurchase Agreement Market

AGENCY: Office of Financial Research, Department of the Treasury.

ACTION: Proposed rule.

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SUMMARY: The U.S. Department of the Treasury's Office of Financial 
Research (the Office) is requesting comment on a proposed rule 
establishing a data collection covering non-centrally cleared bilateral 
transactions in the U.S. repurchase agreement (repo) market. This 
proposed collection would require daily reporting to the Office by 
certain brokers, dealers, and other financial companies with large 
exposures to the non-centrally cleared bilateral repo market. The 
collected data would be used to support the work of the Financial 
Stability Oversight Council (the Council), its member agencies, and the 
Office to identify and monitor risks to financial stability.

DATES: Comments must be received by 60 days after the date of 
publication in the Federal Register.

ADDRESSES: You may submit comments by any of the following methods:
     Federal eRulemaking Portal: https://www.regulations.gov. 
Follow the instructions for submitting comments.

[[Page 1155]]

     Mail: Michael Passante, Chief Counsel, Office of Financial 
Research, 717 14th Street NW, Washington, DC 20220.
    Instructions: Because paper mail in the Washington, DC area may be 
subject to delay, it is recommended that comments be submitted 
electronically. In general, all comments received will be posted 
without change at https://www.regulations.gov, including any personal 
information provided. For access to the docket to read background 
documents or comments received, visit https://www.regulations.gov.

FOR FURTHER INFORMATION CONTACT: John Zitko, Senior Counsel, OFR, (202) 
594-9658, [email protected]; or Sriram Rajan, Associate 
Director of Financial Markets, OFR, (202) 594-9658, 
[email protected].

SUPPLEMENTARY INFORMATION: 

Table of Contents

I. Executive Summary
II. Repurchase Agreement Market Background
    a. Structure of the Repurchase Agreement Market
    b. Importance of Repurchase Agreement Markets and Associated 
Vulnerabilities
    c. Characteristics of the Non-Centrally Cleared Bilateral 
Repurchase Agreement Market That Underlie Financial Stability Risks
III. Data Available on U.S. Repurchase Agreement Activity
    a. Tri-Party Repurchase Agreements
    b. Centrally Cleared Repurchase Agreements
    c. Non-Centrally Cleared Bilateral Repurchase Agreements
IV. Justification for Proposed Collection
    a. Collection of Non-Centrally Cleared Bilateral Repurchase 
Agreement Data
    b. Uses of the Data Collection
    c. Legal Authority
V. Collection Design
    a. Scope of Application
    b. Scope of Transactions
    c. Information Required
    ISO 20022
    Legal Entity Identifier Usage
    Unique Transaction Identifier Usage
    Collateral Information
    Date and Tenor Information
    Trade Direction, Trade Size, and Rate
    Risk Management
    Trade Venue
    d. Submission Process and Implementation
VI. Administrative Law Matters
    a. Paperwork Reduction Act
    b. Regulatory Flexibility Act
    c. Plain Language

I. Executive Summary

    The Office of Financial Research (Office) is requesting comment on 
a proposed rule establishing a data collection covering non-centrally 
cleared bilateral transactions in the U.S. repurchase agreement (repo) 
market (proposed collection). This proposed collection would require 
reporting by certain U.S. covered reporters for repo transactions that 
are not centrally cleared and have no tri-party custodian. This 
proposed collection would enhance the ability of the Financial 
Stability Oversight Council (Council), Council member agencies, and the 
Office to identify and monitor risks to financial stability. Under the 
Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank 
Act), the Office is authorized to issue rules and regulations in order 
to collect and standardize data to support the Council in fulfilling 
its duties and purposes, such as identifying risks to U.S. financial 
stability. In a 2022 statement on nonbank financial intermediation, the 
Council supported a recommendation made by the Council's Hedge Fund 
Working Group that the Office consider ways to collect non-centrally 
cleared bilateral repo data.\1\ Additionally, in July 2022 the Office 
consulted with the Council on efforts to collect non-centrally cleared 
bilateral repo data, including work on this proposed rule.\2\ As a part 
of this consultation, the Office described the structure and objectives 
of a pilot study of the non-centrally cleared bilateral repo market 
conducted in the summer of 2022. This pilot study critically informed 
the Office's collection efforts.
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    \1\ Financial Stability Oversight Council. ``Statement on 
Nonbank Financial Intermediation.'' Press Release, February 4, 2022: 
FSOC. https://home.treasury.gov/news/press-releases/jy0587.
    \2\ Financial Stability Oversight Council. Meeting minutes. 
FSOC, July 28, 2022, pg. 7. https://home.treasury.gov/system/files/256/FSOC_20220728_Minutes.pdf.
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    This proposed collection would require reporting on non-centrally 
cleared bilateral repo transactions, which comprise the majority of 
repo activity by several key categories of institutions such as primary 
dealers and hedge funds.\3\ In line with the Council's discussions on 
July 28, 2022, this proposed collection would provide visibility and 
transparency into a crucial segment of the U.S. repo market and, as 
explained below, the one remaining segment for which transaction-level 
data is not available to regulators.
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    \3\ Hempel, Samuel, R. Jay Kahn, Vy Nguyen, and Sharon Y. Ross. 
2022. ``Non-centrally Cleared Bilateral Repo.'' OFR Blog. Office of 
Financial Research. August 24, 2022. https://www.financialresearch.gov/the-ofr-blog/2022/08/24/non-centrally-cleared-bilateral-repo/.
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    Collection of information on the non-centrally cleared bilateral 
repo market is critical to the understanding of financial stability 
risks. The data proposed to be collected under this proposal will 
enable the Office to monitor risks in this market. Further, as the 
Council's duties relate to monitoring and responding to potential 
financial stability risks, the proposed collection supports the 
Office's statutory mandate to support the work of the Council.

II. Repurchase Agreement Market Background

    The multitrillion-dollar market for repo transactions allows 
financial institutions to lend or borrow cash, usually overnight, using 
securities as collateral. A repo transaction is the sale of assets, 
combined with an agreement to repurchase the assets at a future date at 
a prearranged price. Repos are commonly used as a form of secured 
borrowing. The assets underlying the repo are used as collateral to 
protect the cash lender against the risk that the securities provider 
fails to repurchase the assets underlying the repurchase agreement. 
Market participants use repos for many reasons, such as to finance 
securities holdings or to borrow specific securities for use. Central 
banks also use repos as an important monetary policy tool.\4\ The 
interest rate on repo borrowing is calculated based on the difference 
between the sale price and the repurchase price of the assets 
underlying the repo.
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    \4\ Logan, Lorie K. ``Operational Perspectives on Monetary 
Policy Implementation: Panel Remarks on `The Future of the Central 
Bank Balance Sheet.' '' Speech, Policy Conference on Currencies, 
Capital, and Central Bank Balances, Stanford University, Stanford, 
California, May 4, 2018. https://www.newyorkfed.org/newsevents/speeches/2018/log180504.
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    Cash lenders typically require over-collateralization from 
borrowers to protect themselves against a decline in the value of the 
securities subject to repurchase. In the non-centrally cleared 
bilateral repo market, the value of the securities pledged as 
collateral is discounted, which is referred to as a haircut. Margin 
requirements provide additional buffers for the variation in the value 
of collateral. Initial margin is a buffer meant to cover the costs of 
early termination of repo contracts. Drawn upon contingently, initial 
margin differs from a second type of periodically adjusted margin. If 
the market value of the collateral falls during the life of the repo, 
the cash lender has the right to call on its counterparty to deliver 
additional collateral, known as variation margin, so that the loan 
remains over-collateralized against future adverse price movements.
    Repo transaction documentation specifies the agreement terms, 
including the types of securities that are acceptable to the cash 
lender as collateral, and risk management

[[Page 1156]]

protocols. These protocols include haircuts and margin requirements, 
which address the costs related to variation in collateral value 
underlying repo transactions. Participants may have arrangements with 
each other to offset repo borrowing and lending agreements according to 
certain conventions. These arrangements, referred to as netting 
practices, relate to risk management considerations and the economic 
terms on which repo transactions are negotiated. Firms may employ 
netting practices across asset classes and instrument types outside of 
repo markets, on a portfolio basis. Stated differently, a repo market 
participant may manage netting practices on a repo counterparty across 
a range of financial exposures. Alternatively, a pair of counterparties 
may also manage their netting practices only within the context of repo 
transactions.
    Repos can be entered into with a range of fixed maturities, though 
repos are often overnight transactions. For term repos, repo rates can 
be negotiated on either a fixed or floating basis. There are also open-
tenor repos, which do not have a fixed maturity and are instead renewed 
by mutual agreement. A lender and a borrower may also write a repo 
contract to give the option to recall cash or collateral early or 
extend trades, especially for longer-tenor agreements with less-liquid 
collateral.

a. Structure of the Repurchase Agreement Market

    The repo market can be divided into four segments based on whether 
the transactions are cleared by a central counterparty and whether a 
tri-party custodian is used to settle transactions.\5\ Central 
counterparties novate trades onto their balance sheets, interposing a 
common counterparty for all transactions that allows participants to 
better manage counterparty risk. Central counterparties also provide 
netting benefits for both balance sheet and settlement purposes. Tri-
party custodians are banks that provide collateral valuation, 
margining, and management services to the counterparties in a 
repurchase agreement. The tri-party custodian provides back-office 
support to both parties in the trade by settling the repo on its books 
and confirming that the terms of the repo, such as eligible collateral 
and haircuts, are met.
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    \5\ Kahn, R. Jay, and Luke Olson. ``Who Participates in Cleared 
Repo?'' Brief no. 21-01, Washington, DC: Office of Financial 
Research, 2021. For more background, see Baklanova, Viktoria, Adam 
Copeland, and Rebecca McCaughrin. ``Reference Guide to U.S. Repo and 
Securities Lending Markets.'' Working Paper no. 15-17, Washington, 
DC: Office of Financial Research, U.S. Department of the Treasury, 
2015.
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    The four segments of the repo market span the different 
combinations of centrally cleared and non-centrally cleared, tri-party 
and bilateral. For three of these segments, data are currently 
collected by regulators. For the U.S. non-centrally cleared tri-party 
repo market, Bank of New York Mellon serves as the tri-party custodian 
and transaction-level data is collected under the supervisory authority 
of the Federal Reserve Board of Governors (Federal Reserve Board). For 
the centrally cleared tri-party repo market and bilateral repo market, 
the Fixed Income Clearing Corporation (FICC) serves as the central 
counterparty. The centrally cleared bilateral repo market is provided 
by FICC's DVP Service and includes a sponsored service, which offers 
eligible clients the ability to lend cash or eligible collateral via 
FICC-cleared delivery-versus-payment (DVP) repo transactions in U.S. 
Treasury and agency securities on an overnight and term basis settled 
on a DVP basis.\6\ The centrally cleared tri-party repo market is 
operated through FICC's GCF Repo Service, which also includes the 
Centrally Cleared Institutional Tri-Party Service, through which 
institutional counterparties (other than investment companies 
registered under the Investment Company Act of 1940) can participate as 
cash lenders in general collateral finance repo on a specified-
counterparty basis. In 2021, FICC also began a cleared tri-party 
service for sponsored members known as the Sponsored General Collateral 
Service.\7\ For all centrally cleared segments, data is collected 
through the Office's cleared repo collection, which has given financial 
regulators greater visibility into this segment of repo activity.\8\
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    \6\ Depository Trust and Clearing Corporation. ``Deposit Trust 
and Clearing Corporation Sponsored Service.'' Fact sheet, page 1: 
2018. https://www.dtcc.com/-/media/Files/Downloads/Clearing-Services/FICC/GOV/Sponsored-Membership-Fact-Sheet.pdf, page 1.
    \7\ Depository Trust and Clearing Corporation. ``DTCC's FICC 
Launches New Sponsored General Collateral Service as BNY Mellon, 
Federated Hermes and J.P. Morgan Securities Execute First Triparty 
Repo Trades.'' Press release, September 7, 2021: DTCC. https://www.dtcc.com/news/2021/september/07/dtccs-ficc-launches-new-sponsored-general-collateral-service.
    \8\ 12 CFR part 1610.
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    The final segment of the market is the non-centrally cleared 
bilateral repo market. This segment has no central counterparty or tri-
party custodian, and all trades within this segment are agreed to 
bilaterally and are settled on a DVP basis. Unlike other segments of 
the market, less information is known to financial regulators about the 
non-centrally cleared bilateral segment. While some aggregate data are 
available from various regulatory filings, there is no transaction-
level collection covering the market. However, research by the Office 
finds that this segment represents 60% of total repo lending by primary 
dealers and 37% of total repo borrowing.\9\
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    \9\ Hempel, Samuel, R. Jay Kahn, Vy Nguyen, and Sharon Y. Ross. 
2022. ``Non-centrally Cleared Bilateral Repo.'' OFR Blog. Office of 
Financial Research. August 24, 2022. https://www.financialresearch.gov/the-ofr-blog/2022/08/24/non-centrally-cleared-bilateral-repo/. See also Infante, Sebastian, Lubomir 
Petrasek, Zack Saravay, and Mary Tian. 2022. ``Insights from revised 
Form FR2004 into primary dealer securities financing and MBS 
activity.'' FEDS Notes. Federal Reserve Board. August 5, 2022. 
https://www.federalreserve.gov/econres/notes/feds-notes/insights-from-revised-form-fr2004-into-primary-dealer-securities-financing-and-mbs-activity-20220805.html.
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    This proposed collection is designed to fill a critical gap in 
regulators' information on the repo market by collecting data on the 
non-centrally cleared bilateral repo market, the last segment for which 
regulators do not have a transaction-level data source. The need for a 
collection of data on this segment of the market to assist 
policymakers' understanding of how the aggregate repo market operates 
has been recognized by the Council since 2016, when it first called for 
the Office to establish a permanent repo data collection.\10\ This lack 
of visibility was felt acutely following recent episodes in repo 
markets, which are described in greater detail below. These episodes 
included a spike in repo market rates in September 2019 and events 
related to the use of repo with respect to Treasury collateral in March 
2020. For both of these events, substantial portions of activity in 
these crucial funding markets could not be observed. In the wake of 
these episodes of stress, market participants and regulators have 
pointed to this segment as a critical blind spot in a market that plays 
a key role in financial stability.\11\
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    \10\ Financial Stability Oversight Council. 2016 Annual Report 
page 14, Washington, DC: FSOC, 2016. https://home.treasury.gov/system/files/261/FSOC-2016-Annual-Report.pdf.
    \11\ Logan, Lorie K. ``Treasury Market Liquidity and Early 
Lessons from the Pandemic Shock.'' Remarks, Brookings-Chicago Booth 
Task Force on Financial Stability Meeting, 2020; International 
Monetary Fund. 2020. ``United States: Financial Sector Assessment 
Program Technical Note: Risk Oversight and Systemic Liquidity;'' 
Liang, Nellie, and Pat Parkinson. ``Enhancing Liquidity of the U.S. 
Treasury Market Under Stress.'' Working Paper no. 72, Washington, 
DC: Brookings Hutchins Center on Fiscal and Monetary Policy, 2020; 
BlackRock. 2020. ``Lessons from COVID-19: Market Structure Underlies 
Interconnectedness of the Financial Market Ecosystem.'' BlackRock 
ViewPoint; Bank Policy Institute. 2020. ``Necessary Dimensions of a 
Holistic Review of the Meltdown of U.S. Bond Markets in March;'' 
Citadel Securities. 2021. ``Enhancing Competition, Transparency, and 
Resiliency in U.S. Financial Markets;'' Feldberg, Greg. ``Fixing 
financial data to assess systemic risk.'' Brookings Economic 
Studies, 2020; ``Brookings Hutchins Center on Fiscal and Monetary 
Policy. 2021. ``Report of the Task Force on Financial Stability.''

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[[Page 1157]]

b. Importance of Repurchase Agreement Markets and Associated 
Vulnerabilities

    All four segments of the multitrillion-dollar repo market allow 
financial institutions to lend or borrow cash, usually overnight, with 
securities as collateral. A stable and well-functioning repo market is 
critical to U.S. financial markets and the U.S. economy and, thus, U.S. 
financial stability. The repo market is the largest short-term 
wholesale funding market in the U. S. Research has identified this 
market as subject to risks akin to bank runs that have systemic 
consequences.\12\ While more recent distress in repo markets is 
discussed below, the most salient example of run risks in repo markets 
occurred during the Global Financial Crisis. In 2008-09, runs on repos 
contributed to the financial crisis. Distressed financial institutions 
reliant on borrowing through repo markets found their counterparties 
unwilling to extend credit. Similar to bank runs from earlier times, 
counterparties reduced the amounts lent, increased rates at which they 
lent, and reduced maturities of repo contracts available to distressed 
financial institutions. These events led to the Federal Reserve Board's 
collection of data on the non-centrally cleared tri-party repo market. 
Gaps in data and understanding yet remained. In support of its proposed 
cleared repo rule, the Office laid out a framework for understanding 
activity in the repo market and associated vulnerabilities across five 
functions that repo provides: a low-risk cash investment, monetization 
of assets, transformation of collateral, facilitation of hedging, and 
more generally as a support for secondary market liquidity and pricing 
efficiency.\13\ These functions remain today, as do the associated 
vulnerabilities.
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    \12\ Gorton, Gary B., and Andrew Metrick. 2012. ``Securitized 
Banking and the Run on Repo.'' Journal of Financial Economics 
(June): pg. 425-451.
    \13\ 83 FR 31896, 31897-31898 (July 10, 2018).
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    These underlying vulnerabilities may generally be considered in the 
following manner. As a deposit substitute, repo is subject to runs by 
cash lenders, which may withdraw funds suddenly. This occurred in 2008 
as fears of Bear Stearns' collapse led to a run against its repo 
borrowing secured by high-quality collateral.\14\ As a means of 
monetizing assets, the repo market is vulnerable to changes in the 
valuation of securities and can transmit stress into the market for 
securities used as collateral through fire sales of the assets as 
haircuts increase. This occurred in 2007, as haircuts rose on private-
label mortgage-backed securities, forcing a cycle of fire sales and 
deleveraging that further undermined this market.\15\ As a means for 
the transformation of collateral, the repo market is vulnerable to 
difficulties in sourcing securities and can transmit stress to 
leveraged traders who enforce basic arbitrage relationships across 
assets, allowing for the propagation of shocks throughout the 
securities financing, derivatives, and securities markets. Because 
repurchase agreements are used to hedge financial market risks, a loss 
of function in the repo market can make it more difficult for investors 
and financial institutions to protect themselves from risks. Finally, 
because the repo market is a critical piece of secondary capital 
markets, stress in the repo market can easily translate into broader 
dysfunction and liquidity spirals in secondary markets, as large 
portfolios of longer-term securities in the hands of levered entities 
are funded daily in the repo market, and an inability to roll these 
securities over could be disastrous for secondary markets.
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    \14\ The maturity of Bear Stearns' repo funding deteriorated 
over several months before the firm experienced a run that first 
occurred on its bilateral repos secured by lower-quality assets, and 
then spread to its repos backed by U.S. Treasury securities. A 
similar dynamic occurred at a major European bank during the crisis, 
where the institution's bilateral repos backed by government 
securities dried up and only repos that were centrally cleared 
remained available to the firm. See also Bank for International 
Settlements. 2013. ``Liquidity Stress Testing: A Survey of Theory, 
Empirics and Current Industry and Supervisory Practices.'' October 
2013. https://www.bis.org/publ/bcbs_wp24.htm.
    \15\ Gorton, Gary B. ``Information, Liquidity, and the (Ongoing) 
Panic of 2007.'' Working Paper no. 14649, Cambridge, Massachusetts: 
National Bureau of Economic Research, January 2009. http://www.nber.org/papers/w14649; and Iyer, Rajkamal, and Marco 
Macchiavelli. 2017. ``Primary Dealers' Behavior During the 2007-08 
Crisis: Part II, Intermediation and Deleveraging.'' FEDS Notes. 
Federal Reserve Board. June 28, 2017. https://www.federalreserve.gov/econres/notes/feds-notes/primary-dealers-behavior-during-the-2007-08-crisis-part-ii-intermediation-and-deleveraging-20170628.htm.
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    Events in late 2019 and early 2020 only served to reinforce the 
systemic importance of the repo market and the vulnerabilities it 
faces. On September 17, 2019, overnight repo rates spiked to 5.3% from 
2.4% the previous day.\16\ Though the size of this rate increase was 
extraordinary, it was only one of a number of similar episodes of 
sudden spikes in the preceding years.\17\ Several studies have found 
these spikes were caused by occasions when the cash available to the 
repo market was too small relative to the demand for funding, 
illustrating that demand for repo funding can be very inelastic, with 
rates suddenly rising in response to small changes in available 
funding.\18\ These episodes highlight the vulnerabilities that come 
from repo as a deposit substitute exposed to sudden withdrawals, as 
well as the risks involved in rolling over large portfolios of 
securities through repo. Moreover, the 2019 spike in the repo market 
propagated into unsecured markets, including foreign exchange markets, 
the Federal funds market, and the market for cash Treasuries, 
highlighting the ability of shocks originating in the repo market to 
propagate across the financial system.\19\
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    \16\ Afonso, Gara, Marco Cipriani, Adam Copeland, Anna Kovner, 
Gabriele La Spada, and Antoine Martin. 2021. ``The Market Events of 
Mid-September 2019.'' Economic Policy Review, Federal Reserve Bank 
of New York, vol. 27, no. 2 (August): 1-26. https://www.newyorkfed.org/research/epr/2021/epr_2021_market-events_afonso.html; Anbil, Sriya, Alyssa Anderson, and Zeynep 
Senyuz. 2021. ``Are Repo Markets Fragile? Evidence from September 
2019.'' Finance and Economics Discussion Series 2021-028. FEDS 
Notes. Federal Reserve Board. https://doi.org/10.17016/FEDS.2021.028.
    \17\ Copeland, Adam, Darrell Duffie, and Yilin Yang. ``Reserves 
Were Not So Ample After All.'' Working Paper no. 29090, Cambridge, 
Massachusetts: National Bureau of Economic Research, 2021.
    \18\ The September 17 spike in particular appears to have been 
the result of a confluence of factors that restricted the supply of 
cash and increased the demand for cash, including a Treasury 
settlement, withdrawals from money market funds due to a tax 
deadline, and a low level of reserves. See sources in footnote 14.
    \19\ Tran, H. 2020. ``EM banks exposed to stress in FX swaps, a 
spillover from U.S. repo markets.'' Financial Times (January 8, 
2020). https://www.ft.com/content/5f8237cf-0e90-4f7d-9a0d-e4430f6fc7a1; Afonso, Gara, Marco Cipriani, Adam Copeland, Anna 
Kovner, Gabriele La Spada, and Antoine Martin. 2021. ``The Market 
Events of Mid-September 2019.'' Economic Policy Review, Federal 
Reserve Bank of New York, vol. 27, no. 2 (August): 1-26. https://www.newyorkfed.org/research/epr/2021/epr_2021_market-events_afonso.html; Department of the Treasury, Federal Reserve 
Board, Federal Reserve Bank of New York, Securities and Exchange 
Commission, Commodity Futures Trading Commission. ``Recent 
Disruptions and Potential Reforms in the U.S. Treasury Market: A 
Staff Progress Report.'' Washington, DC: Department of the Treasury, 
Federal Reserve Board, Federal Reserve Bank of New York, Securities 
and Exchange Commission, Commodity Futures Trading Commission, 2021.
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    In March 2020, during the initial phases of the COVID-19 crisis, 
the repo market again played an important role during a general 
breakdown in Treasury market functioning. Early that month, dealers and 
other intermediaries were overwhelmed by Treasury sales as part of a 
generalized ``dash for cash'' from

[[Page 1158]]

mutual funds and foreign investors.\20\ Research suggests that these 
sales reduced large financial institutions' capacity to intermediate in 
the repo market given regulatory constraints on their balance 
sheets.\21\ The pullback of these institutions from repo market 
intermediation was associated with increasing volatility and spreads in 
the repo market, again providing an example of the risks from repo as a 
deposit substitute.\22\ Moreover, rising rates likely contributed to 
sales of Treasuries by leveraged funds in arbitrage trades that rely on 
repo financing, illustrating risks associated with monetization of 
assets and the transformation of collateral.\23\ In order to address 
distress within repo markets, the Federal Reserve expanded its 
overnight and term repo facilities, rapidly bringing down rates in 
overnight repo and gradually lowering rates in term repo.\24\
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    \20\ Group of Thirty Working Group on Treasury Market Liquidity 
U.S. Treasury Markets: Steps Toward Increased Resilience. 
Washington, DC: Group of Thirty, 2021. https://group30.org/publications/detail/4950; Liang, Nellie, and Pat Parkinson. 
``Enhancing Liquidity of the U.S. Treasury Market Under Stress.'' 
Working Paper No. 72, Washington, DC: Brookings Hutchins Center for 
Fiscal and Monetary Policy, 2020; Financial Stability Board. 
``Holistic Review of the March Market Turmoil.'' Basel, Switzerland, 
FSB, 2020; Financial Stability Oversight Council. 2020 Annual 
Report, Washington, DC: FSOC, 2020; Office of Financial Research. 
2020 Annual Report, Washington, DC: OFR, 2020; Duffie, Darrell. 
2020. ``Still the world's safe haven? Redesigning the U.S. Treasury 
market after the COVID-19 crisis.'' Brookings Hutchins Center for 
Fiscal and Monetary Policy. June 22, 2020. https://www.brookings.edu/research/still-the-worlds-safe-haven/; Barth, 
Daniel, and R. Jay Kahn. ``Hedge Funds and the Treasury Cash-Futures 
Disconnect.'' Working Paper no. 21-01, Washington, DC: Office of 
Financial Research, 2021.
    \21\ Financial Stability Board. Holistic Review of the March 
Market Turmoil. Basel, Switzerland, FSB, 2020; He, Zhiguo, Stefan 
Nagel, and Zhaogang Song. 2022. ``Treasury inconvenience yields 
during the COVID-19 crisis.'' Journal of Financial Economics, vol. 
143, no. 1: pg. 57-79.
    \22\ Financial Stability Board. Holistic Review of the March 
Market Turmoil. Basel, Switzerland, FSB, 2020; He, Zhiguo, Stefan 
Nagel, and Zhaogang Song. 2022. ``Treasury inconvenience yields 
during the COVID-19 crisis.'' Journal of Financial Economics vol. 
143, no. 1: pg. 57-79; Office of Financial Research. 2020 Annual 
Report. Washington, DC: OFR, 2020; Clark, Kevin, Antoine Martin, and 
Timothy Wessel. 2020. ``The Federal Reserve's Large-Scale Repo 
Program.'' Liberty Street Economics. Federal Reserve Bank of New 
York. August 3, 2020; Barth, Daniel, and R. Jay Kahn. ``Hedge Funds 
and the Treasury Cash-Futures Disconnect.'' Working Paper no. 21-01, 
Washington, DC: Office of Financial Research, 2021.
    \23\ Aramonte, Sirio, Andreas Schrimpf, and Hyun Song Shin. 
``Non-bank financial intermediaries and financial stability.'' 
Working Paper no. 972, Basel, Switzerland: Bank for International 
Settlements, 2021; Barth, Daniel, and R. Jay Kahn. ``Hedge Funds and 
the Treasury Cash-Futures Disconnect.'' Working Paper no. 21-01, 
Washington, DC: Office of Financial Research, 2021; Kruttli, 
Mathias, Phillip J. Monin, Lubomir Petrasek, and Sumudu W. Watugala. 
``Hedge Fund Treasury Trading and Funding Fragility: Evidence from 
the COVID-19 Crisis.'' Finance and Economics Discussion Series 2021-
038, Board of Governors of the Federal Reserve System, 2021.
    \24\ Barth, Daniel, and R. Jay Kahn. ``Hedge Funds and the 
Treasury Cash-Futures Disconnect.'' Working Paper no. 21-01, 
Washington, DC: Office of Financial Research, 2021; Clark, Kevin, 
Antoine Martin, and Timothy Wessel ``The Federal Reserve's Large-
Scale Repo Program.'' Liberty Street Economics. Federal Reserve Bank 
of New York. August 3, 2020.
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    Both of these episodes illustrate that the repo market is still 
subject to the vulnerabilities highlighted previously and perhaps has 
become more central to the functioning of U.S. securities and short-
term funding markets. These vulnerabilities are present to a greater or 
lesser extent across the four different segments of the repo market. In 
addition, certain features of the non-centrally cleared bilateral repo 
market may exacerbate the risks in other segments of the market.

c. Characteristics of the Non-Centrally Cleared Bilateral Repurchase 
Agreement Market That Underlie Financial Stability Risks

    Several characteristics of the non-centrally cleared bilateral repo 
market increase the potential for risks to financial stability and, 
thus, the Office's interest in collecting data on this segment of the 
overall repo market. This market is largely unobserved by financial 
regulators, resulting in data gaps that limit how well financial 
regulators can monitor risks and vulnerabilities that could affect 
financial stability. During a crisis, these gaps can delay analysis, 
understanding, and responses. While market participants may have access 
to some market information, the absence of inter-dealer brokers and the 
execution of trades through unstructured protocols such as telephone or 
chat systems creates challenges for financial regulators to understand 
market structure, market participation, and distribution of risk in 
real time. Since abrupt changes can have financial stability 
consequences, addressing data gaps is of high importance.
    It is also important that the Office more deeply understand 
collateral risk, another market characteristic with implications for 
financial stability. The non-centrally cleared bilateral repo market 
generally contains riskier collateral than other market segments, since 
cleared markets are limited to Fedwire-eligible collateral such as 
Treasuries and agency bonds. Data from the Federal Reserve Bank of New 
York's Primary Dealer Statistics show that 95% of primary dealer repo 
lending against non-Fedwire-eligible collateral (including asset-backed 
securities, corporate debt and other securities) is conducted through 
the non-centrally cleared bilateral repo market. These collateral types 
have more risk factors than those that drive Treasury and agency bonds. 
Additionally, non-centrally cleared bilateral repo made up over 81% of 
primary dealer lending against agency collateral, and 100% of primary 
dealer lending against agency commercial mortgage-backed securities 
(MBS) and non-MBS debt. Supported by riskier collateral, the non-
centrally cleared bilateral repo market is potentially more exposed to 
the risks associated with monetizing assets.
    The non-centrally cleared bilateral repo market also has 
counterparty complexity that warrants focus. Many counterparties are 
institutions that do not appear in the cleared or tri-party markets 
that financial regulators know more about. It is likely that the non-
centrally cleared bilateral market features a large amount of borrowing 
by highly leveraged actors such as hedge funds.\25\ Financial 
regulators may not have information on the complexity and extent of 
hedge fund repo borrowing. For instance, Long-Term Capital Management 
(LTCM), a hedge fund that failed in 1998, built up large counterparty 
exposures through non-centrally cleared bilateral repo.\26\ Its repo 
and reverse-repo transactions were conducted with 75 different 
counterparties, many of which were reportedly unaware of the fund's 
total exposure.\27\ These large exposures built up through repo were a 
key source of potential stress from LTCM's failure, as liquidations of 
the underlying collateral in bankruptcy could have resulted in 
significantly depressed prices and broader disruptions to markets.\28\
---------------------------------------------------------------------------

    \25\ Hempel, Samuel, R. Jay Kahn, Vy Nguyen, and Sharon Y. Ross. 
2022. ``Non-centrally Cleared Bilateral Repo.'' August 24, 2022. The 
OFR Blog. Office of Financial Research. https://www.financialresearch.gov/the-ofr-blog/2022/08/24/non-centrally-cleared-bilateral-repo/.
    \26\ Parkinson, Patrick M. Report on Hedge Funds, Leverage, and 
the Lessons of Long-Term Capital Management. Testimony, U.S. House, 
May 6, 1999, Cong., Washington, DC: Federal Reserve Board, 1999. 
https://www.federalreserve.gov/boarddocs/testimony/1999/19990506.htm; Dixon, Lloyd, Noreen Clancy, and Krishna B. Kumar. 
2012. Hedge Funds and Systemic Risk. Santa Monica, California: RAND 
Corporation. http://www.jstor.org/stable/10.7249/j.ctt1q60xr.11.
    \27\ Parkinson, Patrick M. Report on Hedge Funds, Leverage, and 
the Lessons of Long-Term Capital Management. Testimony, U.S. House, 
May 6, 1999, Cong., Washington, DC: Federal Reserve Board, 1999.
    \28\ Ibid.
---------------------------------------------------------------------------

    The non-centrally cleared bilateral repo market is exposed to 
varying risk management conventions that require

[[Page 1159]]

greater insight. These conventions include but are not limited to 
margining and settlement. For instance, the variation in margining 
practices across competing intermediaries may create competitive 
pressures that drive margins to lower levels than justified by prudent 
risk management.\29\ Similarly, the Treasury Market Practices Group 
found settlement practices vary widely and expressed concern that 
``bespoke bilateral processes may reflect differences in the level of 
understanding among market participants of the inherent risks of SFT 
clearing and settlement.'' \30\
---------------------------------------------------------------------------

    \29\ The Group of Thirty report cited above notes competitive 
pressures in the repo market ``driving haircuts down (sometimes to 
zero).'' See also Group of Thirty Working Group on Treasury Market 
Liquidity. U.S. Treasury Markets: Steps Toward Increased Resilience. 
Washington, DC: Group of Thirty, G30, 2021. https://group30.org/publications/detail/4950.
    \30\ Treasury Market Practices Group. ``TMPG Releases Updates 
for Working Groups on Clearing and Settlement Practices for Treasury 
SFTs, Treasury Market Data and Transparency.'' Press Release, 
November 5, 2021.
---------------------------------------------------------------------------

III. Data Available on U.S. Repurchase Agreement Activity

    As demonstrated during the Global Financial Crisis and the COVID-19 
pandemic, high-quality information is one of the best tools for 
identifying the build-up of risk. While improvements have been made, 
especially through the Office's collection of cleared repo data, a full 
transaction-level picture of all segments of the U.S. repo market is 
still unavailable. This proposed collection would cover certain non-
centrally cleared bilateral repo transactions, allowing the Office to 
gather data on a mandatory basis on what it estimates to be a 
substantial share of the total U.S. repo market. This proposed 
collection, in combination with the Office's other repo collections, 
would provide visibility and transparency into every major segment of 
the U.S. repo market, in line with the Council's recommendations. This 
section reviews data provided to regulators on other segments of the 
repo market and describes the pilot collections of repo data preceding 
this proposed rule.

a. Tri-Party Repurchase Agreements

    The Federal Reserve Board has supervisory authority over the Bank 
of New York Mellon, the major tri-party custodian bank and, on a 
mandatory basis pursuant to its supervisory authority, collects daily 
data on transactions in tri-party repo markets through the Federal 
Reserve Bank of New York.\31\ The data include information on the 
interest rate, the counterparties, the collateral pledged, the type of 
transaction, the transaction initiation date, the transaction effective 
date, the transaction maturity date, whether the transaction is open-
ended, the value of the funds borrowed, whether the transaction 
includes an option (e.g., the ability to extend or terminate early), 
and, if the transaction includes an option, the minimum notice period 
required to exercise it.\32\ Aggregated data from this collection is 
made available through the Federal Reserve Bank of New York's reference 
rates (including the Secured Overnight Financing Rate (SOFR); the Broad 
General Collateral Rate (BGCR); and the Tri-Party General Collateral 
Rate (TGCR); the Federal Reserve Bank of New York's Tri-Party 
Statistics; and the Office's U.S. Repo Markets Data Release.
---------------------------------------------------------------------------

    \31\ The Bank of New York Mellon currently serves as the sole 
tri-party custodian in the United States. See 82 FR 41259, 41260 
(August 30, 2017).
    \32\ 82 FR 41259, 41260 (August 30, 2017).
---------------------------------------------------------------------------

b. Centrally Cleared Repurchase Agreements

    The Office collects transaction-level data on cleared repo markets 
pursuant to the Office's rule on cleared repo. For general collateral 
repurchase agreements through FICC's GCF Repo Service and the Sponsored 
General Collateral Service, the data collected under the rule include 
the interest rate; details on the collateral pledged; the date and time 
the transaction is initiated, becomes effective, and matures; the value 
of funds borrowed; the identities of the counterparties; and the net 
value and collateral identifier for collateral delivered. For specific 
collateral repurchase agreements through FICC's DVP Service, the data 
includes the same fields as well as the broker. For both these 
segments, aggregates of the data are made public through the Federal 
Reserve Bank of New York's reference rates noted above and the Office's 
U.S. Repo Markets Data Release. In addition, transaction-level data has 
been used by the Office and the Federal Reserve Bank of New York in 
briefs and working papers, as well as to inform regulators on 
developments in short-term funding markets and in the Office's annual 
reports.\33\
---------------------------------------------------------------------------

    \33\ Briefs and working papers using data from the Office's 
cleared repo collection include Barth, Daniel, and R. Jay Kahn. 
``Basis Trades and Treasury Market Illiquidity.'' Brief no. 20-01, 
Washington, DC: Office of Financial Research, 2020; Clark, Kevin, 
Adam Copeland, R. Jay Kahn, Antoine Martin, Matthew McCormick, Will 
Riordan, and Timothy Wessel. ``How Competitive are U.S. Treasury 
Repo Markets?'' New York, New York: Liberty Street Economics, 
Federal Reserve Bank of New York, February 18, 2021; Kahn, R. Jay, 
and Luke Olson. ``Who Participates in Cleared Repo?'' Brief no. 21-
01, Washington, DC: Office of Financial Research, 2021; Clark, 
Kevin, Adam Copeland, R. Jay Kahn, Antoine Martin, Mark E. Paddrik, 
and Benjamin Taylor. ``Intraday Timing of General Collateral Repo 
Markets,'' Liberty Street Economics, Federal Reserve Bank of New 
York, 2021; Hempel, Samuel, and R. Jay Kahn. ``Negative Rates in 
Bilateral Repo Markets.'' Brief no. 21-03, Washington, DC: Office of 
Financial Research, 2021; Barth, Daniel, and R. Jay Kahn. ``Hedge 
Funds and the Treasury Cash-Futures Disconnect.'' Working Paper no. 
21-01, Washington, DC: Office of Financial Research, 2021.
---------------------------------------------------------------------------

c. Non-Centrally Cleared Bilateral Repurchase Agreements

    Unlike the other three repo market segments, the wholly bilateral 
nature of non-centrally cleared repo means there is no central source 
for comprehensive transaction-level data on activity in this segment. 
To better understand the bilateral repo market, determine the value of 
a potential data collection, and gain insights into the design of such 
a collection, the Office conducted a pilot in 2015 in partnership with 
the Federal Reserve and the Securities and Exchange Commission (SEC), 
to collect information on both centrally cleared and non-centrally 
cleared bilateral repo transactions. The 2015 pilot gathered data from 
a subset of U.S.-based brokers and dealers. The results and lessons 
learned were published in January 2016.\34\ In order to update and 
expand upon the 2015 pilot and address the Council's more recent 
recommendations, in 2022 the Office conducted another pilot on the non-
centrally cleared bilateral repo market.\35\ Significant lessons were 
learned about the non-centrally cleared bilateral repo market from both 
pilots. These have been incorporated into the design of this proposed 
collection, which would provide data on this final segment of the 
market of comparable granularity to what is collected on tri-party and 
cleared repo.
---------------------------------------------------------------------------

    \34\ Schreft, Stacey. 2016. ``Lessons from the Bilateral Repo 
Data Collection Pilot.'' The OFR Blog. Office of Financial Research. 
January 13, 2016.
    \35\ Falaschetti, Dino. Remarks by Director Falaschetti at the 
Open Session of the Meeting of the Financial Stability Oversight 
Council. February 4, 2022; Martin, James. August 1, 2022. ``OFR 
Continues Efforts to Fill Key Gap in Financial Data.''; Hempel, 
Samuel, R. Jay Kahn, Vy Nguyen, and Sharon Y. Ross. 2022. ``Non-
centrally Cleared Bilateral Repo.''
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IV. Justification for Proposed Collection

a. Collection of Non-Centrally Cleared Bilateral Repurchase Agreement 
Data

    The collection of data on the non-centrally cleared bilateral 
segment of the repo market marks a significant step in carrying out the 
Council's recommendation to expand and make

[[Page 1160]]

permanent the collection of data on the U.S. repo market. The Council 
first recommended a collection of non-centrally cleared bilateral repo 
data in its 2016 annual report.\36\ The Office noted in its 2018 
rulemaking on cleared repo that it was considering subsequent 
rulemaking on the non-centrally cleared bilateral segment of the repo 
market.\37\ In the wake of the March 2020 illiquidity in the Treasury 
market, both the Office's 2020 Annual Report and the Council's 2020 
Annual Report highlighted the non-centrally cleared bilateral repo 
market as an important blind spot in financial stability monitoring. 
The Council again recommended a collection of non-centrally cleared 
bilateral repo data in its 2021 annual report to Congress.\38\ 
Similarly, in a 2022 statement on nonbank financial intermediation, the 
Council expressed support for the recommendation by the Hedge Fund 
Working Group that the Office consider ways to collect non-centrally 
cleared bilateral repo data.\39\
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    \36\ Financial Stability Oversight Council. 2016 Annual Report, 
p. 111. Washington, DC: FSOC, 2016. https://home.treasury.gov/system/files/261/FSOC-2016-Annual-Report.pdf.
    \37\ Federal Register. 2018. Vol. 83, no. 132, pg. 31898, July 
10, 2018.
    \38\ Office of Financial Research. 2020 OFR Annual Report, 
Washington, DC: OFR, 2020. https://www.financialresearch.gov/annual-reports/files/OFR-Annual-Report-2020.pdf; Financial Stability 
Oversight Council. 2020 Annual Report. pg. 38-41, Washington, DC. 
FSOC, 2020. https://home.treasury.gov/system/files/261/FSOC2020AnnualReport.pdf; Financial Stability Oversight Council; 
2021 Annual Report, pg. 160, Washington, DC: FSOC, 2021. https://home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf.
    \39\ Financial Stability Oversight Council. ``Nonbank Financial 
Intermediation.'' Press Release, February 4, 2022: FSOC. https://home.treasury.gov/news/press-releases/jy0587.
---------------------------------------------------------------------------

    The collection of transaction-level data on non-centrally cleared 
bilateral repos is key to the Council's effective identification and 
monitoring of emerging threats to the stability of the U.S. financial 
system and would fill in the remaining gap in coverage following the 
Office's previous rulemaking on the cleared repo market. If the 
proposal to collect from certain brokers, dealers, and other financial 
companies with over $10 billion in the sum of extended guarantees and 
outstanding non-centrally cleared bilateral repo borrowing is adopted, 
the Office expects to observe over 90% of the total non-centrally 
cleared bilateral repo market by volume, with approximately 40 
reporters. The Office also proposes additional provisions below to 
capture any other financial companies with over $10 billion in extended 
guarantees and non-centrally cleared bilateral repo borrowing from non-
broker, non-dealer lenders, to cover any major potential data gaps that 
currently exist or could develop in this market segment. With this 
collection, in combination with the Office's collection of cleared repo 
data and the collection of tri-party data by the Federal Reserve, 
substantially all of the activity in the repo market would be observed 
on outstanding commitments.
    From a financial stability perspective, it is important to monitor 
transactions in the non-centrally cleared bilateral repo segment for 
several reasons. Importantly, activity across the different segments of 
the repo market is linked. The non-centrally cleared bilateral market, 
for instance, serves as a close substitute for centrally cleared 
bilateral repo, particularly in the sponsored segment of the market, 
where customers that are not direct clearing members of FICC, such as 
hedge funds and money market funds, can participate in transactions 
with clearing members and have such transactions submitted to FICC for 
clearing.
    Migration to and from sponsored repo is also an area of interest. 
In times of stress, activity may move between sponsored repo and non-
centrally cleared bilateral repo. Dealers' decisions to engage in 
sponsored repo may be affected by factors that affect their outstanding 
commitments. Examples include changes in the supply of cash to money 
market funds and the size of netting benefits provided by sponsored 
repo. In order to understand these shifts to and from sponsored repo, 
data on outstanding commitments in the non-centrally cleared bilateral 
repo market are required.
    Another factor that may affect flows into and out of sponsored repo 
is the development of guaranteed repo. Customers may move from non-
centrally cleared bilateral repo to the same with guarantors as an 
alternative to transacting though tri-party repo or sponsored repo. 
Tri-party and sponsored repo platforms offer, through design, risk-
reducing characteristics for cash lenders and cash borrowers.
    Additionally, as guaranteed repo replicates the profile of 
offsetting legs of the same repo transaction with different 
counterparties, yet has different balance sheet implications, 
guaranteed repo may be an alternative to traditional repo market 
financial intermediation. This provides incentives for some financial 
institutions to participate in repo markets when financial 
intermediaries are economically constrained. For all these reasons, 
guaranteed repo addresses various needs in the non-centrally cleared 
bilateral repo market. A data collection regarding this final segment 
of the repo market is therefore essential to providing regulators with 
a complete picture of repo market activity and to realizing the full 
potential of existing data collections on other segments of the repo 
market.
    As noted above, because the non-centrally cleared bilateral repo 
market has no central counterparty or custodian, because of the nature 
of collateral underlying trades in non-centrally cleared bilateral 
repo, and because of the types of counterparties that have large 
exposures to non-centrally cleared bilateral repo, these data would 
provide insights into a market that may be a particularly salient 
financial system vulnerability. Many of the counterparties involved in 
the market, such as non-bank and non-primary dealers, are difficult to 
monitor with existing regulatory collections. Transaction-level data 
would provide regulators with the granularity necessary to monitor 
exposures of individual counterparties on a high-frequency basis, which 
is essential in a market where crises are often too short-lived for 
other monthly or quarterly reporting to capture. Moreover, data on 
collateral would allow regulators to monitor exposures on particular 
classes of securities, margining practices that protect participants 
from movements in the value of collateral, and the potential 
transmission of repo market stress into securities markets. Timestamps 
and details of trading venues would allow regulators to monitor 
activity in a market which is often segmented, and where intra-day 
liquidity concerns play a key role in the creation of stress.
    The non-centrally cleared bilateral repo market currently lacks 
transparency, even to market participants, on a variety of dimensions. 
Providing aggregated statistics on rates, haircuts, and volumes could 
provide greater clarity to market participants on characteristics of 
the market relevant to their risk-management and other decision making. 
This could take a form similar to the Office's current disclosure of 
aggregated cleared repo data through the Office's U.S. Repo Markets 
Data Release. Introducing data standards through the rule's reporting 
process into this decentralized market may also improve the ability to 
reconcile records between firms in the event of a crisis.
Questions
    1. How could aggregated data on non-centrally cleared bilateral 
repo be used to foster greater transparency and improve price discovery 
in the repo market?

[[Page 1161]]

    2. How should the Office regard and collect information on the 
risks of bank guaranteed repo?

b. Uses of the Data Collection

    This proposed collection would be used by the Office to fulfill its 
purpose, responsibilities, and duties under Title I of the Dodd-Frank 
Act, including improving the Council's and Council member agencies' 
monitoring of the financial system and in identifying and assessing 
potential financial stability risks. The additional daily transaction 
data this proposed collection would provide would facilitate 
identification of potential repo market vulnerabilities and would also 
help identify shifting repo market trends that could be destabilizing 
or indicate stresses elsewhere in the financial system. Such trends 
might be reflected in indicators of the volume and price of funding in 
the repo market at different tenors, differentiated by the type and 
credit quality of participants and the quality of underlying 
collateral. Analyzing the collateral data from this collection together 
with other data available to the Office, the Council, and Council 
member agencies would enable a clearer understanding of collateral 
flows in securities markets and potential financial stability risks.
    Wholesale funding rates critically relate to financial stability, 
as they describe the borrowing costs financial institutions may be 
subject to or convey through periods of distress. It is important for 
wholesale funding rates to reflect actual borrowing costs. Repo markets 
provide this relationship under collateralized terms. SOFR is a 
benchmark wholesale funding rate recommended by the Alternative 
Reference Rates Committee and is computed based on cleared repo 
transactions on Treasury collateral. The Office's 2022 pilot study 
demonstrated that non-centrally cleared bilateral repo markets 
constitute a large portion of wholesale funding in repo markets. 
Consequently, another potential use of the Office's proposed collection 
is to enrich the calculation of SOFR with the information obtained.
    The Office may also use the data to sponsor and conduct additional 
research.\40\ This research may include the use of these data to help 
fulfill the duties and purposes under the Dodd-Frank Act relating to 
the responsibility of the Office's Research and Analysis Center to 
develop and maintain independent analytical capabilities to support the 
Council and relating to the programmatic functions of the Office's Data 
Center. For example, access to data on non-centrally cleared bilateral 
repos would allow the Office to conduct research related to the 
Council's analysis of potential risks arising from securities financing 
activities and nonbank financial companies.
---------------------------------------------------------------------------

    \40\ 12 U.S.C. 5343(b)(2).
---------------------------------------------------------------------------

    Consistent with the Dodd-Frank Act, the Office may share the data 
collection and information with the Council, Council member agencies, 
and the Bureau of Economic Analysis \41\ and will also make the data 
available to the Council and member agencies as necessary to support 
their regulatory responsibilities.\42\ When sharing the data as 
referenced above, the data and information: (i) must be maintained with 
at least the same level of security as used by the Office; and (ii) may 
not be shared with any individual or entity without the permission of 
the Council.\43\ In addition, such sharing will be subject to the 
confidentiality and security requirements of applicable laws, including 
the Dodd-Frank Act.\44\ Pursuant to the Dodd-Frank Act, the submission 
of any non-publicly available data to the Office under this proposed 
collection will not constitute a waiver of, or otherwise affect, any 
privilege arising under federal or state law to which the data or 
information is otherwise subject.\45\
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    \41\ 12 U.S.C. 5343(b)(1).
    \42\ 12 U.S.C. 5343(b), 12 U.S.C. 5344(b)(5).
    \43\ 12 U.S.C. 5333(b)(5).
    \44\ 12 U.S.C. 5343(b), 5344(b)(3).
    \45\ 12 U.S.C. 5343(b), 5322(d)(5).
---------------------------------------------------------------------------

    After consultation with the member agencies as required under the 
Dodd-Frank Act, certain data, including aggregate or summary data from 
this proposed collection, may be provided to financial industry 
participants and to the general public to increase market transparency 
and facilitate research on the financial system, to the extent that 
intellectual property rights are not violated, business confidential 
information is properly protected, and the sharing of such information 
poses no significant threats to the U.S. financial system.\46\
---------------------------------------------------------------------------

    \46\ 12 U.S.C. 5344(b)(6).
---------------------------------------------------------------------------

c. Legal Authority

    The ability of the Office to collect non-centrally cleared 
bilateral repo data in this proposed collection derives in part from 
the authority to promulgate regulations regarding the type and scope of 
financial transaction and position data from financial companies on a 
schedule determined by the Director in consultation with the 
Council.\47\ The Office consulted with the Council on the proposed 
permanent collection of non-centrally cleared bilateral repo data at 
the Council's July 28, 2022 meeting.\48\
---------------------------------------------------------------------------

    \47\ 12 U.S.C. 5344(b)(1)(B)(iii).
    \48\ Financial Stability Oversight Council. Meeting Minutes, pg. 
7. July 28, 2022. https://home.treasury.gov/system/files/256/FSOC_20220728_Minutes.pdf.
---------------------------------------------------------------------------

    The Office also has authority to promulgate regulations pursuant to 
the Office's general rulemaking authority under section 153 of the 
Dodd-Frank Act, which authorizes the Office to issue rules, 
regulations, and orders to the extent necessary to carry out certain 
purposes and duties of the Office.\49\ In particular, the purposes and 
duties of the Office include supporting the Council in fulfilling its 
duties and purposes, and supporting member agencies, by collecting data 
on behalf of the Council and providing such data to the Council and 
member agencies, and standardizing the types and formats of data 
reported and collected.\50\ The Office must consult with the 
Chairperson of the Council prior to the promulgation of any rules under 
section 153.\51\ As noted above, the Office consulted with the Council 
on July 28, 2022.
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    \49\ 12 U.S.C. 5343(a), (c)(1).
    \50\ 12 U.S.C. 5343(a). The Council's purposes and duties 
include identifying risks and responding to threats to U.S. 
financial stability; monitoring the financial services marketplace 
to identify potential threats to U.S. financial stability; making 
recommendations that will enhance the integrity, efficiency, 
competitiveness, and stability of the U.S. financial markets; and 
identifying gaps in regulation that could pose risks to the 
financial stability of the United States. 12 U.S.C. 5322(a).
    \51\ 12 U.S.C. 5343(c)(1).
---------------------------------------------------------------------------

    This proposed collection would support the Council and member 
agencies by addressing the Council's recommendation to expand and make 
permanent the collection of data on the non-centrally cleared bilateral 
repo market; helping the Council and member agencies identify, monitor, 
and respond to risks to financial stability; and identifying gaps in 
regulation that could pose risks to U.S. financial stability. The 
Office has verified that transaction information on the non-centrally 
cleared bilateral repo market required to fulfill the purposes of this 
proposed collection is not currently available to the Council or member 
agencies.
    The Office's statutory authority allows for the collection of 
transaction and position data from financial companies. ``Financial 
company,'' for purposes of the Office's authority, has the same meaning 
as in Title II of the Dodd-Frank Act.\52\ For this proposed collection, 
the Office expects that covered reporters will be ``financial 
companies'' as defined in Title II because they are

[[Page 1162]]

incorporated or organized under Federal or state law and are companies 
``predominantly engaged'' in activities that the Federal Reserve Board 
has determined are financial in nature or incidental thereto for 
purposes of section 4(k) of the Bank Holding Company Act of 1956 \53\ 
(or they are a subsidiary thereof). For a company to be ``predominantly 
engaged'' in activities that are financial in nature or incidental 
thereto, either (1) at least 85% of the total consolidated revenues of 
the company (determined in accordance with applicable accounting 
standards) for either of its two most recently completed fiscal years 
must be derived, directly or indirectly, from financial activities; or 
(2) based upon all the relevant facts and circumstances, the 
consolidated revenues of the company from financial activities must 
constitute 85% or more of the total consolidated revenues of the 
company.
---------------------------------------------------------------------------

    \52\ 12 U.S.C. 5341(2).
    \53\ 12 U.S.C. 1843(k).
---------------------------------------------------------------------------

    Dodd-Frank Act section 201(b) required the Federal Deposit 
Insurance Corporation (FDIC) to issue a rule establishing the criteria 
for determining whether a company is predominantly engaged in 
activities that are financial in nature or incidental thereto for 
purposes of Title II. The final rule adopted by the FDIC indicates that 
the determination of whether an activity is financial in nature is 
based upon section 4(k) of the Bank Holding Company Act of 1956, and 
that since the Federal Reserve Board is the agency with primary 
responsibility for interpreting and applying section 4(k), the FDIC 
coordinated its rulemaking pursuant to Sec.  201(b) of the Dodd-Frank 
Act with the Federal Reserve Board's rulemaking defining the term 
``predominantly engaged in financial activities'' for purposes of Title 
I of the Dodd-Frank Act.\54\
---------------------------------------------------------------------------

    \54\ A ``financial company'' also includes a bank holding 
company or a nonbank financial company supervised by the Federal 
Reserve Board. 12 U.S.C. 5381(a)(11).
---------------------------------------------------------------------------

    Consistent with the Federal Reserve Board's final rule, the FDIC's 
final rule interpreting how to evaluate whether an entity is a 
``financial company'' for purposes of Title II of the Dodd-Frank Act 
includes the activities of the types of entities proposed to be covered 
reporters, including underwriting, dealing in or making a market in 
securities; and lending, exchanging, transferring, investing for 
others, or safeguarding money or securities. Given the level of 
experience, expertise, and market credibility necessary for the 
exposure thresholds proposed under this rule, such entities will likely 
be financial companies and thus covered reporters. While the Office 
currently expects few, if any, entities to meet the covered reporter 
definition thresholds under the provision that requires non-Securities 
Broker, non- securities dealer, non-government securities broker, or 
non-government securities dealer financial companies to report, this 
provision is explicitly limited to financial companies as defined in 12 
U.S.C. 5341(2).

V. Collection Design

    The proposed regulatory text lists the requirements specifically 
relevant to this proposed collection. It also includes a table that 
describes the data elements that covered reporters would be required to 
submit. The Office expects to publish filing instructions regarding 
matters such as data submission mechanics and formatting in connection 
with any final rule on the Office's website.

a. Scope of Application

    This proposed collection would require the submission of 
transaction information by any covered reporter whose average daily 
total outstanding commitments to borrow cash and extend guarantees 
through non-centrally cleared bilateral repo contracts over all 
business days during the prior calendar quarter is at least $10 
billion. This materiality threshold is inclusive of both overnight and 
intraday commitments. For example, for a given day, a reporter may have 
two outstanding commitments to borrow beginning on the same day with an 
overnight maturity:
     First, the reporter has outstanding commitments to borrow 
$100 million from customer A in exchange for $100 million of 
securities.
     Second, the reporter has commitments to lend customer B 
$100 million in exchange for $100 million of securities.
    In this example, the reporter's total gross outstanding commitments 
for these two trades is $200 million and total outstanding commitments 
to borrow cash is $100 million.
    The Office proposes a focus on borrowing for reasons related to 
both principle and practice. In principle, borrowers are the sources of 
leverage in the financial system and are consequently naturally linked 
to financial stability. From a practical standpoint, the same market 
coverage can be achieved by sampling fewer borrowers than lenders. 
Within a choice of market coverage on lenders, the diversity of lending 
institution types is also greater and creates consequent operational 
challenges in supporting a collection. Diversity in composition and 
familiarity with reporting standards could also challenge the success 
of a daily collection. Based on the above, the Office believes that the 
focus on borrowers rather than lenders is an appropriate approach.
    This proposed rule would require reporting under this materiality 
threshold from two categories of financial companies:
     Category 1: securities broker, securities dealers, 
government securities brokers, and government securities dealers, all 
as defined by and registered pursuant to the Securities Exchange Act of 
1934 (Exchange Act),\55\ and
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    \55\ The terms broker and dealer are defined in 15 U.S.C. 
78c(a)(4), and (5), respectively. Broker and dealer registration 
requirements are contained in 15 U.S.C. 78o. The terms government 
securities broker and government securities dealer are defined in 15 
U.S.C. 78c(a)(43) and (44), respectively. Government securities 
broker and government securities dealer registration requirements 
are contained in 15 U.S.C. 78o-5.
---------------------------------------------------------------------------

     Category 2: any financial company that is not a Securities 
Broker, securities dealer, government securities broker, or government 
securities dealer, whose average of daily total outstanding commitments 
to borrow cash from or extend guarantees to lenders is at least $10 
billion--through non-centrally cleared bilateral repo with any other 
entity that is not in category 1--over all business days during the 
prior calendar quarter. Additionally, the financial company in category 
2 has assets or assets under management exceeding $1 billion if it 
meets any one of the following criteria:
    A. If an investment adviser registered pursuant to the Investment 
Advisers Act of 1940 provides continuous and regular supervisory or 
management services to securities portfolios valued at $1 billion or 
more in assets under that law; or
    B. If the firm is not an ``investment adviser,'' but it files a 
required disclosure of its balance sheet with a primary financial 
regulatory agency,\56\ and has more than $1 billion in assets under 
that disclosure; or
---------------------------------------------------------------------------

    \56\ 12 U.S.C. 5301(12).
---------------------------------------------------------------------------

    C. If the firm does not file a required disclosure of its balance 
sheet with a primary financial regulatory agency but it does file a 
required disclosure with any other Federal financial regulator, and has 
more than $1 billion in assets under that disclosure; or
    D. If the firm does not file a required disclosure of its balance 
sheet with any primary financial regulatory agency but it does file a 
required disclosure with any state regulator, and has more than $1 
billion in assets under that disclosure; or

[[Page 1163]]

    E. If the firm does not file a required disclosure of its balance 
sheet with any state regulator or primary financial regulatory agency 
but its stated assets to outside investors or creditors in audited 
financial statements, and has more than $1 billion in assets under that 
disclosure; or
    F. If the firm has not done any of the above but has disclosed 
assets in filings with the Internal Revenue Service and has more than 
$1 billion in assets under that disclosure.
    The Office distinguishes between assets and assets under management 
in the above sequence, because of how an agent acts on the part of 
other parties. Investment advisers primarily provide investment 
management services as fiduciary agents, using a wide variety of models 
and vehicles. They engage in activities such as entering into 
repurchase agreements, acting as cash borrowers, and buying and selling 
derivatives on behalf of clients. These activities can take place at 
the portfolio level or at the adviser level and then subsequently 
allocated to their managed funds or portfolios. Unlike other financial 
companies, the value of these services is not fully reflected on the 
balance sheet of the adviser, except in advisory fee receivables. As a 
result, the use of assets under management better represents the market 
value of investment activities provided and should be used in the 
threshold computation.
    The Office is proposing the asset size threshold for financial 
companies that are not Brokers, Dealers, government securities brokers 
or government securities dealers in order to limit the set of financial 
companies required to calculate their repo exposures to a grouping of 
entities whose activities are consequential to the non-centrally 
cleared bilateral repo market. Only financial companies included within 
these categories and that meet the transaction volume threshold 
discussed below would be required to report as covered reporters under 
this proposed collection.
    The Office believes the proposed $10 billion outstanding 
commitments threshold indicates sufficient transactional volume for a 
Securities Broker, securities dealer, government securities broker, or 
government securities dealer to be considered material in the repo 
market. In particular, the Office believes this threshold would cover 
over 90% of the non-centrally cleared bilateral repo market, with 
approximately 40 reporters. However, because of the lack of 
transparency in this market noted above, there is necessarily some 
uncertainty on the number of reporters and breadth of the market this 
definition would include. As such, the Office is seeking comment on the 
nature and level of the threshold.
    By collecting from certain brokers, dealers, and financial 
companies with large exposures to the repo market, the Office proposes 
to leverage the existing structure of the repo market, where nearly all 
trades are intermediated by either dealers, or financial companies who 
play a similar role to brokers and dealers, based on the Office's 
research. However, it is possible that some trades in the repo market 
do not go through securities broker, securities dealers, government 
securities brokers, or Government securities dealers. Due to the lack 
of transparency in the non-centrally cleared bilateral repo market, the 
market share of these ``peer-to-peer'' trades, which bypass traditional 
intermediaries, is not knowable without an existing comprehensive 
collection. Moreover, it is possible that peer-to-peer repo could 
expand in the future as market structure evolves.
    As a result, the Office is also proposing to include, in addition 
to the categories of financial companies noted above, any financial 
company that is not a Securities Broker, securities dealer, government 
securities broker, or government securities dealer with over $1 billion 
in assets or assets under management whose average of daily total 
outstanding commitments to borrow cash (inclusive of both overnight and 
all intraday transactions) through non-centrally cleared bilateral repo 
from other entities that are not a Securities Broker, securities 
dealer, government securities broker, or government securities dealer 
is also at least $10 billion over all business days during the prior 
calendar quarter. This formulation is intended to be flexible enough to 
cover future developments in the market, including the emergence of new 
entities replacing existing repo intermediaries. The Office is 
requesting comment as to how prevalent the case of financial companies 
fitting this definition would be.
    Though the Office believes that few financial companies are likely 
to fit this definition, it would require all financial companies with 
greater than $1 billion in assets or assets under management to 
determine whether they are covered reporters on a quarterly basis. 
Since many financial companies have limits on their ability to borrow, 
we believe that this requirement would apply to roughly 2,000 financial 
companies.\57\ Assuming it takes three hours per quarter to determine 
which counterparties to the firm are non-Securities Broker, non-
securities dealer, non-government securities broker, or non-government 
securities dealer institutions and to calculate the average open 
borrowings from these institutions, and using an estimated hourly wage 
of $126, the Office estimates the cost for a single firm to determine 
its reporting obligations on an ongoing annual basis of this provision 
would be $1,512. This would lead to a total cost of $3.024 million 
across all financial companies that would need to determine whether 
they are covered reporters. The Office is also requesting comment on 
whether these calculations are reasonable and in particular whether 
there might be adjustments needed to its estimates of either the 
ongoing annual cost per financial company or the total number of 
financial companies that would need to make this determination on a 
quarterly basis.
---------------------------------------------------------------------------

    \57\ This number is based an Office estimate of the number of 
private funds, real estate investment trusts, pension funds, and 
insurance funds that have over $1 billion in assets or assets under 
management.
---------------------------------------------------------------------------

    The brokers, dealers, or other financial companies meeting the 
thresholds above would be required to start submitting data under this 
rulemaking beginning on the first business day of the third full 
calendar quarter after the calendar quarter in which the firm meets the 
relevant materiality threshold. For example, if such brokers, dealers, 
or other financial companies were to surpass the threshold beginning 
with the quarter ending on March 31 of a given year, those institutions 
would become subject to the reporting requirements of the rule on the 
first business day of the calendar quarter that begins after two 
intervening calendar quarters--in this case, October 1.
    A covered reporter whose volume falls below the $10 billion 
threshold for at least four consecutive calendar quarters would have 
its reporting obligations cease. For example, if a broker, dealer, or 
other financial company that is a covered reporter ceases to meet the 
$10 billion threshold beginning with the quarter ending June 30 of a 
given year, and remains below the $10 billion threshold in each of the 
following three quarters (in this example, March 31 of the following 
year), its reporting obligations would cease as of April 1.
Questions
    1. Is the $10 billion materiality threshold for identifying 
securities broker, securities dealers, government

[[Page 1164]]

securities brokers, and government securities dealers as covered 
reporters clear and appropriate for ensuring the Office collects the 
vast majority of transactions in the non-centrally cleared bilateral 
repo market? Would a higher or lower threshold better accomplish the 
goals of the collection? Would a threshold based on gross activity 
(repo borrowing plus repo lending) be more appropriate for capturing 
relevant brokers and dealers?
    2. Please estimate the volume that would be missed by limiting the 
collection to only capture transactions in which at least one of the 
counterparties is a Securities Broker, securities dealer, government 
securities broker, or government securities dealer.
    3. How many non-Securities Broker, non-securities dealer, non-
government securities broker, or non-government securities dealer 
financial companies would be included as covered reporters under the 
provisions described above? Is the $1 billion in assets or assets under 
management threshold an appropriate measure? What characteristics, 
other than the ones defined, describe these financial companies?
    4. Does the two-quarter phase-in period for certain brokers and 
dealers that become covered reporters after the effective date of the 
rule provide sufficient time to comply with the data reporting 
requirements?
    5. Are the Office's estimates of the ongoing annual cost of 
determining whether a financial company with greater than $1 billion in 
assets or assets under management is a covered reporter on a quarterly 
basis and the number of companies that would likely be required to make 
this determination reasonable? How could they be improved?
    6. Are there other sources of assets or assets under management 
which should be included in the threshold criteria?

b. Scope of Transactions

    The Office is defining a non-centrally cleared bilateral repurchase 
agreement transaction as one in which one party agrees to sell 
securities to a second party in exchange for the receipt of cash, and 
the simultaneous agreement of the former party to later reacquire the 
same securities (or any subsequently substituted securities) from that 
same second party in exchange for the payment of cash; or an agreement 
of a party to acquire securities from a second party in exchange for 
the payment of cash, and the simultaneous agreement of the former party 
to later transfer back the same securities (or any subsequently 
substituted securities) to the latter party in exchange for the receipt 
of cash. In all cases the agreement does not involve a tri-party 
custodian nor is cleared with a central counterparty. This definition 
includes, but is not limited to, transactions that are executed under a 
Master Repurchase Agreement (MRA) or Global Master Repurchase Agreement 
(GMRA), or which are agreed to by the parties as subject to the 
provisions of 11 U.S.C. 559. The rights established in this code relate 
to contractual characteristics of interest to the Office. 
Notwithstanding the above, transactions conducted under a Securities 
Lending Agreement (SLA) or a Master Securities Lending Agreement (MSLA) 
are not considered repurchase agreements, nor are repurchase agreements 
arising from either participation in a commercial mortgage loan or the 
initial securitization of a residential mortgage loan. The reasons for 
exclusion of all such transactions relate to their greater use to 
support specific demands for securities. By contrast, repurchase 
agreements more specifically relate to loan provisions. Additionally, 
the Office has chosen to exclude MSLA and Global Master Securities 
Lending Agreement (GMSLA) transactions from the proposed rule due to 
the SEC's proposed Reporting of Securities Loans.\58\ As a result and 
depending upon the form and timing of any final SEC rule, reporting 
these transactions to the Office could be duplicative. Sell/buy-back 
agreements have also been excluded because in lacking the contractual 
documentation characteristics of other repo transactions, collateral 
sales and repurchases are separated from borrowing and lending 
commitments, respectively. While sell/buy-back agreements accomplish 
similar goals to repo transactions, these agreements are recorded 
differently from MRA, GMRA, MSLA, and GMSLA agreements and may have 
contractual characteristics and names that are different from the 
preceding types. The Office seeks comment on such assertions.
---------------------------------------------------------------------------

    \58\ Release No. 34-93613, Reporting of Securities Loans, 86 FR 
69802, 69803, fn. 2. December 8, 2021.
---------------------------------------------------------------------------

    The Office has noted that some transactions that would be covered 
under the proposed rule are likely to be with counterparties outside of 
the United States (U.S.). Based on a review of relevant foreign 
supervisory reporting requirements and outreach to industry, the Office 
believes that because the proposed rule would only require reporting by 
U.S. financial companies, there would be no intersection with the 
financial companies covered by foreign collections. As a result, the 
Office does not believe the proposed collection would require 
duplicative reporting from financial companies that would be covered 
under its rule.
    Covered reporters would be required to report on all transactions 
that meet the above-described characteristics. This would include 
transactions by the covered reporter settled internationally or 
denominated in currencies other than in U.S. dollars. Excluding 
transactions settled outside of the U.S. would allow for covered 
reporters to avoid reporting by choosing to conduct the same 
transaction but settling that transaction outside the U.S. Meanwhile, 
collecting data on repurchase agreements denominated in foreign 
currencies would give the Office greater information on cross-border 
exposures associated with repo borrowing.
Questions
    1. The proposed rule text currently covers agreements under an MRA 
or GMRA. The Office's experience with the 2015 OFR Bilateral Repo Pilot 
yielded findings that equivalent trades to repurchase agreements are 
often instead contractually executed under Securities Lending 
Agreements or Master Securities Lending Agreements for reasons of 
convenience.\59\
---------------------------------------------------------------------------

    \59\ Baklanova, Viktoria, Cecilia Caglio, Marco Cipriani, and 
Adam Copeland. ``The U.S. Bilateral Repo Market: Lessons from a New 
Survey.'' Brief no. 16-01, Washington, DC: Office of Financial 
Research, January 13, 2016. https://www.financialresearch.gov/briefs/files/OFRbr-2016-01_US-Bilateral-Repo-Market-Lessons-from-Survey.pdf.
---------------------------------------------------------------------------

    a. How would potential reporters view the burden associated with 
the inclusion of trades contractually executed on a principal basis 
(i.e., not as a securities lending agent for another party) under an 
SLA or MSLA? What burden would be associated with excluding trades 
contractually executed under SLAs or MSLAs?
    b. How do you view the economic comparability of repurchase 
agreements and securities lending agreements executed against cash on a 
principal basis?
    c. Would it be useful to restrict the definition of repurchase 
agreement to transactions under an GMRA or MRA? Would the volume of 
reported transactions be substantially narrower under that definition?
    d. What is the effect of referencing transactions agreed to by the 
parties as being subject to 11 U.S.C. 559?
    2. If the Office decided to collect information on sell/buy-back 
transactions, do potential reporters foresee any burdens in reporting 
those in the same format as repo transactions?
    3. Are there other types of transactions the Office should consider 
collecting in this or future collections?

[[Page 1165]]

    4. How would reporting repo transactions also reported to foreign 
supervisory authorities affect the reporting burden for covered 
reporters?
    5. How would reporting repurchase agreements denominated in 
currencies other than dollars affect the reporting burden for covered 
reporters?

c. Information Required

    This proposed collection would require reporting on non-centrally 
cleared bilateral repo trades, including detailed reporting about the 
securities used to collateralize these trades and contractual specifics 
of repurchase agreements. The required data elements are listed in the 
table in Sec.  1610.11(c) of the proposed regulatory text. This table 
is tailored to capture information regarding covered transactions in a 
manner that the Office believes largely reflects the data generated by 
covered reporters in the ordinary course of business. This table lists 
each required element and a brief description of that element. Below is 
a description of the general categories of information covered by the 
proposed collection and further detail on certain key data fields, 
including financial data standards and identifiers. The definitions of 
these data elements are based on the Office's research and experience 
in both the 2015 and 2022 pilots and, as described in detail in the 
subsections below, have been adapted to the Office's purposes for 
financial stability monitoring in the repo market. Proposed required 
information is also intended to promote the use of financial data 
standards, in line with the Office's mandate under the Dodd-Frank Act 
to collect and standardize data to support the Council in identifying 
risks to U.S. financial stability.
ISO 20022
    As an alternative to data element definitions developed by the 
Office through direct consultation with market participants, the Office 
is considering adopting the field definitions used in the repo 
reporting messages in ISO 20022.\60\ Promoting these data standards has 
advantages in terms of providing for greater consistency with other 
potential collections in the future and with potential developments in 
market practices. However, the Office believes that in their current 
form, use of the relevant ISO 20022 definitions would not result in 
reported data that is fit for the Office's financial stability 
monitoring purposes. In some cases, this is because the current ISO 
20022 field definitions are too broad. In other cases, the ISO 20022 
field definitions focus only on information associated with the 
transaction at the time of the trade, whereas the Office needs 
information on transaction characteristics since inception (e.g., 
outstanding commitments). Reporting of outstanding commitments is 
essential to the Office's focus on financial stability, since it allows 
the Office to establish a full picture of the current leverage of 
covered reporters and their counterparties. To that end, the Office is 
proposing field definitions in the table in Sec.  1610.11(c) of the 
proposed regulatory text.\61\
---------------------------------------------------------------------------

    \60\ The business component and its elements are described under 
Repurchase Agreement in the ISO 20022 universal financial industry 
message schema at https://www.iso20022.org/standardsrepository/type/RepurchaseAgreement.
    \61\ https://www.iso20022.org/standardsrepository/type/RepurchaseAgreement.
---------------------------------------------------------------------------

    The Office is seeking comment on the extent to which the ISO 20022 
standard is already used in the repo market, especially with respect to 
those entities that would be required to report under the proposed 
rule, and the potential utility of aligning the required data 
submissions to the standard.
Questions
    1. To what extent are financial companies already assigning and 
using ISO 20022 standards in repo market transactions?
    2. Are there advantages to be gained in the Office's ability to 
monitor the repo market for purposes of financial stability analysis by 
aligning the proposed data elements and definitions with the ISO 20022 
standards?
    3. Are there other voluntary consensus standards the Office should 
consider to enhance its ability to monitor the repo market for purposes 
of financial stability analysis?
    4. How might the Office use this rule to improve data standards in 
the non-centrally cleared bilateral repo market?
Legal Entity Identifier Usage
    Authorities from around the world, including those in the U.S., 
have established a global legal entity identifier (LEI) system, with 
oversight effected by a Regulatory Oversight Committee, composed of 
those same authorities. A Swiss nonprofit foundation, the Global LEI 
Foundation, was established to provide operational governance and 
management of local operating units that issue LEIs.
    The LEI is a 20-character identifier standard, established as ISO 
17442, that identifies distinct legal entities engaging in financial 
transactions. An LEI allows for unambiguous identification of firms and 
affiliates.
    In both the 2015 pilot and the 2022 pilot, the Office experienced 
difficulties working with the non-centrally cleared bilateral repo 
market data due to the absence of standardized counterparty 
information. Identification of the entities involved in a covered repo 
transaction is important to enhance the ability of the Council and the 
Office to identify risks to U.S. financial stability by allowing it to 
understand repo market participants' exposures, concentrations, and 
network structures.
    This proposed collection includes fields for submitting the LEI of 
each covered reporter and counterparty involved in a covered 
transaction. Collecting the LEIs of these entities would facilitate 
evaluation of the covered transactions and reduce the need for manual 
intervention in matching identical participants that supply different 
naming conventions depending on the reporting, and help identifying 
parent and affiliate relationships. Finally, collecting the LEI would 
allow the Office to form consistent mappings from the data collected 
under this rulemaking to other existing data sets such as data 
collected under the Office's centrally cleared data collection.
    The Office's proposed rule would require covered reporters to 
submit their LEI for each transaction. The proposed rule would also 
require covered reporters to submit the counterparty's LEI for each 
transaction, if available. The Office believes that all covered 
reporters are likely to already possess valid LEIs.
    LEIs must be properly maintained, meaning they must be kept current 
and up to date according to the standards implemented by the Global LEI 
Foundation. The proposed inclusion of the LEI as a mandatory data field 
for such purposes, according to the defined standard, was widely 
supported for the centrally cleared repo collection and continues to be 
the globally accepted standard for legal entity identification.
    Requiring the reporting of LEIs is consistent with the Office's 
statutory purposes and duties of collecting data on behalf of the 
Council, providing such data to the Council and member agencies, and 
standardizing the types and formats of data reported and collected.
    Mandatory reporting of the LEI would also benefit firms and 
regulators by improving the ability to combine repo information with 
other information necessary to monitor system or firm risk. This is 
particularly so given that more than 2 million firms have obtained an 
LEI and are therefore becoming capable of obtaining these benefits. The

[[Page 1166]]

aggregate cost savings for the financial service industry upon broader 
adoption of the LEI have been estimated in the hundreds of millions of 
dollars.\62\
---------------------------------------------------------------------------

    \62\ Office of Financial Research. Legal Entity Identifier--
Frequently Asked Questions. https://www.financialresearch.gov/data/legal-entity-identifier-faqs/.
---------------------------------------------------------------------------

Questions
    1. Do participants in non-centrally cleared bilateral repo markets 
anticipate challenges obtaining, maintaining, and reporting LEIs?
Unique Transaction Identifier Usage
    The Unique Transaction Identifier (UTI) is a globally unique 
identifier for individual transactions in financial markets. Beginning 
in 2014, regulators and other stakeholders across major financial 
jurisdictions, including the Office, worked to harmonize transaction 
reporting standards to be available for use across all financial 
transactions, including repo transactions. The output of this work was 
the UTI, ISO 23897, which was published in 2020 and allocates a unique 
number to a financial transaction as agreed among the parties and/or 
within the regulatory system under which it is formed. Since the UTI's 
publication as an ISO standard in 2020, adoption has steadily 
increased, including in new U.S. rulemaking.\63\ Looking forward, UTI 
adoption across financial market sectors could allow for wider systemic 
risk monitoring.
---------------------------------------------------------------------------

    \63\ https://www.sec.gov/rules/other/2021/ddr/exhibit-n-technical-specifications-narrative.pdf; and https://www.cftc.gov/LawRegulation/FederalRegister/finalrules/2020-21569.html.
---------------------------------------------------------------------------

    Adoption of the UTI as a reported element in this collection could 
improve data quality by reducing the need for manual intervention in 
matching identical transactions across counterparties, allowing the 
Office to more effectively monitor and evaluate financial risk. The 
Office has seen adoption of UTIs in data submitted under its 2022 non-
centrally cleared bilateral repo collection pilot. The Office believes 
that requiring UTIs to be reported, whenever available, will promote 
UTI use over the long term, conferring the anticipated benefits to data 
quality, monitoring, and evaluation described above, without imposing 
reporting costs on those market participants that do not currently 
assign UTIs to their transactions. The Office's proposed rule therefore 
requires covered reporters to submit UTIs for each reported 
transaction, whenever a UTI exists. UTIs should only be reported for 
new transactions covered under this proposed rule.
Questions
    1. Do participants in the non-centrally cleared bilateral repo 
market anticipate challenges assigning, recording, and sharing UTIs on 
a transaction-level basis, including increased costs? If so, please 
provide estimates of those costs.
    2. Should the Office set construction criteria for the generation 
of UTIs or is there sufficient existing market practice guidance for 
expansion to the non-centrally cleared bilateral repo market?
Collateral Information
    The collateral underlying a repurchase agreement is crucial to 
assessing the exposures and risk management in the repo market. 
Information on which securities are delivered into repo would allow the 
Office to track common risk exposures across counterparties. The fields 
proposed would also allow the Office to assess the extent to which 
specific securities are tied to the repo market, and therefore 
potential spillovers from the repo market into underlying asset 
markets, with potential effects on liquidity and price efficiency.
    Further details on valuation and quantities delivered would provide 
the Office with information on margining practices. Knowing the 
quantity of securities delivered would help determine levels of over-
collateralization in the market and the flow of securities as firms 
engage in security transformation and acquire specific securities for 
delivery or sale. The initial haircut and securities value at inception 
of a trade gives further information on the initial over-
collateralization of trades. Knowing the value of the securities as of 
the file observation date allows for computation of details on current 
margins maintained by the firm. Finally, knowing the currency these 
values are reported in allows for comparison across trades and allows 
the Office to assess potential cross-border exposures through non-
centrally cleared bilateral repo. The Office proposes that these values 
be reported in the currency of issuance of the underlying security, 
since this value corresponds to the underlying price market 
participants are likely to reference in their regular course of 
business. However, there could be advantages in reporting securities 
values in the same currency as used to denominate the start and end leg 
cash of the repurchase agreement, since it may align with margining 
practices.
Questions
    1. Should the Office mandate reporting securities value in the 
currency of issuance of the collateral or in the currency of the 
repurchase agreement?
    2. How are variation margin payments against non-centrally cleared 
bilateral repurchase agreements determined? How do they regard 
offsetting conventions and put in place netting practices? How may 
these conventions and practices be reported in this collection?
Date and Tenor Information
    This proposed collection would require information on the start and 
end dates of transactions; the date and time that each transaction was 
agreed to; and whether a trade has optionality. It would also require a 
number of proposed fields regarding date and tenor information. The 
trade timestamp is the date and time on which a transaction was agreed 
to. This field is critical for differentiating same-day-start trades 
from forward-settling trades. Information from this field is also 
essential to understanding how a transaction is priced, and for 
determining whether intra-day liquidity is scarce in the market. Intra-
day liquidity management has been linked to broader lack of liquidity 
in September 2019 and March 2020.\64\
---------------------------------------------------------------------------

    \64\ Copeland, Adam, Darrell Duffie, and Yilin Yang. ``Reserves 
Were Not So Ample After All.'' Working Paper no. 29090, Cambridge, 
Massachusetts: National Bureau of Economic Research, 2021.
---------------------------------------------------------------------------

    Additionally, the proposed collection would define the start date 
as the date on which a settlement obligation related to the exchange of 
cash and securities for a transaction first exists. The end date refers 
to the date on which the cash lenders to the transaction are obliged to 
return the cash and securities. For trades with optionality, the Office 
seeks to collect information on the minimum maturity of the trade, or 
first date in which either party has the option to terminate a trade, 
such as the call date for a callable trade or the next day for a daily 
open trade. For trades with optionality the end date would represent 
the date at which the trade would terminate if no option were exercised 
and would be left blank for open trades which have no prespecified end 
date.
    For repos with optionality, the optionality field indicates how the 
maturity of a transaction can be changed after initial agreement. This 
information is important for determining the pricing of repurchase 
agreements, since repo rates often depend on the options offered in the 
agreement. Therefore, without data on optionality, comparisons may be 
made between two

[[Page 1167]]

transactions with fundamentally different pricing, leading to erroneous 
inferences by regulators.
Questions
    1. Would there be any advantages to reporting end date and minimum 
maturity separately? Would the inclusion of this additional field 
impose significant costs on covered reporters?
    2. Are there alternative definitions of trading timestamps that 
would better capture the economics of the trade or correspond to 
industry practice?
Trade Direction, Trade Size, and Rate
    The proposed rule would involve reporting of the cash borrower and 
the cash lender, and indicate whether the covered reporter is either of 
those. The reported fields would indicate whether the trade is 
guaranteed by the covered reporter. Additionally, the fields would 
indicate the amounts of cash lent and borrowed by the cash lender and 
cash borrower, respectively. This information is critical for 
determining the net exposures of covered reporters to individual 
securities as well as their overall cash position.
    The proposed table would also include two fields on the exchange of 
cash in these repo transactions. Information would be required on the 
amount of cash exchanged by the cash borrowers and lenders at the 
initiation and close of the trade. Where trades do not have a defined 
close date, the proposed rule would require that the amount that would 
be due at the first opportunity that either counterparty has the option 
to end the trade be reported as the close leg amount. In addition, the 
current cash amount field tracks the current amount of cash in the 
trade after any adjustments to principal and the accrual of interest, 
which allows researchers to assess the balance outstanding on open 
trades for which the start leg may no longer be relevant.
    The table would also require information on the agreed-upon rate 
for the trade, which is the interest rate at which the cash provider 
agrees to lend to the securities provider. This rate must be expressed 
as the annualized rate based on an actual/360-day count. Since some 
term trades in non-centrally cleared bilateral repo are based on 
floating rates, additional information is required for these trades. 
This information includes the underlying benchmark interest rate used 
for the trade, the spread used above this benchmark rate, and the reset 
frequency of the benchmark. These fields give necessary detail on how 
the trade has been priced, and on the reliance of repo trades on 
specific benchmarks, which could lead to spillovers from the markets 
used to calculate benchmarks into the repo market.
Risk Management
    The proposed rule would require information on a covered reporter's 
netting practices. This field would indicate whether the covered 
reporter when acting as cash lender or cash borrower offsets, or nets, 
repo exposures with the same counterparty across asset classes and 
instrument types not restricted to the non-centrally cleared bilateral 
repo market. Alternately, when netting occurs within the non-centrally 
cleared bilateral repo market, the field would indicate the repo terms 
on which netting occurs. These terms can include a variety of terms 
including, but not limited to, repo maturity, collateral security, 
counterparty, and optionality. Regarding these netting practices, the 
field would indicate whether netting occurs across asset classes and 
instruments outside of the non-centrally cleared bilateral repo market, 
or at a transactional level within this market and when so, on what 
repo terms.
Trade Venue
    Finally, for trades which are placed through electronic trading 
platforms, the proposed collection would require the name of the 
platform used. This field allows the Office to capture information on 
material service providers in the repo market. It also allows the 
Office to assess the extent to which electronic platforms have been 
adopted, since these platforms potentially allow for greater price 
transparency and may lead to more flexibility in counterparty 
relationships in the event of a crisis.
Questions
    1. Are the proposed reporting fields generally appropriate? Do any 
particular proposed reporting fields raise specific questions or 
concerns?
    2. Are there any additional fields not currently being requested 
that the Office should consider including in order to better accomplish 
the Office's or Council's goals presented in this proposal?
    3. Are the definitions in the proposed regulatory text clear, or 
should any definitions be modified or added?

d. Submission Process and Implementation

    The Office is currently reviewing options for the submission 
process and implementation of the collection and, if the proposed rule 
is adopted, may require submission either through the Office or through 
a collection agent.
    The Office proposes to require submissions no later than 11:00 a.m. 
on the business day following the transaction. The proposed submission 
process would allow for the secure, automated transmission of files. 
The Office expects that, if the proposal is adopted, the final rule 
would go into effect 60 days after its publication in the Federal 
Register and is proposing that covered reporters begin to comply with 
the final rule 90 days after its effective date. The Office believes 
this implementation period would provide adequate time for covered 
reporters to comply with the proposed requirements.
Questions
    1. Does the proposed 90-day compliance period for a financial 
company that is a covered reporter on the effective date of the rule 
provide sufficient time to comply with the data reporting requirements?
    2. Are there any additional costs associated with data reporting as 
contemplated by this proposed collection? If so, please provide 
estimates of those costs.
    3. Would increasing the time period between the effective date of a 
final rule and the subsequent compliance date substantially reduce 
burdens for covered reporters or repo market participants, or improve 
the quality of the data reported under this proposed collection? Are 
there any aspects of the proposed collection that a phased-in reporting 
requirement would be particularly useful for?
    4. What, if any, difficulties could a non-centrally cleared 
bilateral repo collection pose for placing non-centrally cleared 
bilateral repo transactions? What, if any, consequences would this 
collection have for repo market volumes or rates?

VI. Administrative Law Matters

a. Paperwork Reduction Act

    The collection of information contained in this proposed collection 
has been submitted to the Office of Management and Budget (OMB) in 
accordance with the Paperwork Reduction Act of 1995 (PRA).\65\ Comments 
on the collection of information should be sent to the Office of 
Management and Budget, Attention: Desk Officer for the Department of 
the Treasury/Office of Financial Research, Office of Information and 
Regulatory Affairs, Washington, DC 20503 (or by email to 
[email protected]), with copies to the Office of Financial

[[Page 1168]]

Research at 717 14th Street NW, Washington, DC 20220.
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    \65\ 44 U.S.C. 3501, et seq.
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    The proposal would establish the permanent collection of certain 
information on repo transactions and is a ``collection of information'' 
pursuant to the PRA. The Office is an independent regulatory agency 
under the PRA \66\ and for purposes of OMB review. In accordance with 
the requirements of the PRA, the Office may not conduct or sponsor, and 
a covered reporter is not required to respond to, an information 
collection unless it displays a currently valid OMB control number.
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    \66\ 44 U.S.C. 3502(5).
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    The Office anticipates that this proposed collection would require 
submission by 40 covered reporters, who would be required to submit 
data daily in accordance with the table in the proposed regulatory 
text. The Office anticipates an annual burden of 756 hours per covered 
reporter. This figure is arrived at by estimating the daily reporting 
time to be approximately 3 hours for submission and multiplying that 
figure by an average of 252 business days in a year, the typical number 
of days per year that do not fall either on weekends or on holidays 
widely observed by the market.
    To estimate hourly wages, the Office used data from the May 2021 
Bureau of Labor Statistics Occupational Employment Statistics for 
credit intermediation and related activities (North American Industry 
Classification System (NAICS) 522000). For hourly compensation, a 
figure of $84 per hour was used, which is an average of the 90th 
percentile wages in seven different categories of employment 
(compliance officers, accountants and auditors, lawyers, management 
occupations, financial analysts, software developers, and 
statisticians), plus an additional 50.4% to cover subsequent wage gains 
and non-wage benefits, which yields an estimate of $126 per hour. Each 
covered reporter must also obtain and maintain an LEI, which typically 
costs $65, and then $50 annually. Using these assumptions, the Office 
estimates the recurring operational costs for the submissions under 
this proposed collection to be $95,306 annually for each covered 
reporter and the total estimated annual costs for all expected covered 
reporters is $3,812,240.
    The Office also estimates that approximately 2,000 financial firms 
would need to determine whether they are covered reporters on a 
quarterly basis. The Office estimates this would take 3 hours per 
quarter. The total estimated annual cost for these 2,000 financial 
firms is $3,024,000. Combining the costs of the 40 covered reporters 
and the 2,000 financial firms, the total recurring annual cost of the 
data collection is estimated at $6,836,240.
Office Estimates Summary
    Title: Ongoing Data Collection of Non-Centrally Cleared Bilateral 
Transactions in the U.S. Repurchase Agreement Market.
    Office: Office of Financial Research.
    Frequency of Response: Daily (12 CFR 1610.11(d)).
    Affected Public: Businesses or other for-profit.
    Scope of Covered Reporters: Any party to a non-centrally cleared 
bilateral repurchase agreement transaction that meets the definition of 
financial company set forth in 12 U.S.C. 5341(2) and is: (i) A 
Securities Broker, securities dealer, government securities broker, or 
government securities dealer, each as defined under and registered 
pursuant to the Securities Exchange Act of 1934 whose average daily 
total outstanding commitments to borrow in non-centrally cleared 
bilateral repurchase agreement transaction (prior to netting) with all 
counterparties over all business days during the prior calendar quarter 
is at least $10 billion; or (ii) any other entity whose assets or 
assets under management are over $1 billion and whose average daily 
outstanding commitments to borrow in non-centrally cleared bilateral 
repurchase agreement transactions with counterparties that are not 
included in (i) over all business days during the prior calendar 
quarter is at least $10 billion. (12 CFR 1610.11(a), (b)(2)).
    Number of Covered Reporters: 40 covered reporters.
    Estimated Time per Covered Reporter per Submission: 3 hours.
    Number of Submissions: Daily submission (12 CFR 1610.11(c)(3)).
    Anticipated Annual Submissions: 252.
    Total Estimated Annual Burden: 756 hours.
    In addition to recurring reporting costs, the Office anticipates 
covered reporters would experience one-time initial start-up costs to 
account for data management systems and software, operations, and 
alignment of reporting schedules for ease of data transmission. The 
estimate of these initial costs is approximately 500 hours per covered 
reporter. Because the Office anticipates 40 covered reporters the 
estimated initial start-up cost of all required reporting is 
$2,520,000.
    The Office invites comments on the following: (a) Whether the 
proposed collection of information is necessary for the proper 
performance of the Office, including whether the information would have 
practical utility; (b) the accuracy of the estimate of the burden of 
the proposed collection of information; (c) ways to enhance the 
quality, utility, and clarity of the information required to be 
maintained; (d) ways to minimize the burden of the required collection 
of information, including through the use of automated collection 
techniques or other forms of information technology; and (e) estimates 
of capital or start-up costs and costs of operation, maintenance, and 
purchase of services to report the information.

b. Regulatory Flexibility Act

    Congress enacted the Regulatory Flexibility Act (the ``RFA'') to 
address concerns related to the effects of agency rules on small 
entities.\67\ The Office is sensitive to the impact its rules may 
impose on small entities. The RFA requires agencies either to provide 
an initial regulatory flexibility analysis with a proposed rule for 
which general notice of proposed rulemaking is required, or to certify 
that the proposed rule will not have a significant economic impact on a 
substantial number of small entities.\68\ In accordance with section 
3(a) of the RFA, the Office is certifying that this proposed collection 
will not have a significant economic impact on a substantial number of 
small entities.
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    \67\ 5 U.S.C. 601 et seq.
    \68\ 5 U.S.C. 603(a).
---------------------------------------------------------------------------

    As discussed above, this proposed collection would only apply to 
certain brokers and dealers whose average daily borrowing in non-
centrally cleared bilateral repo contracts over the prior calendar 
quarter is at least $10 billion and to other financial companies with 
over $1 billion in assets or assets under management and greater than 
$10 billion whose average daily borrowing in non-centrally cleared 
bilateral repo contracts over the prior calendar quarter from 
counterparties who are also non-securities broker, non-securities 
dealers, non-government securities brokers, or non-Government 
securities dealers is at least $10 billion.
    Under regulations issued by the Small Business Administration, a 
``small entity'' includes those firms within the ``Finance and 
Insurance'' sector with asset sizes that vary from $7.5 million in 
assets to $750 million or less in assets.\69\ For purposes of the RFA, 
entities that are banks are considered small entities if their assets 
are less than or equal to $750 million. The size of the exposure-based 
threshold in this

[[Page 1169]]

proposed collection ensures that any respondent will be well beyond 
these small entity definitions.
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    \69\ 13 CFR 121.201.
---------------------------------------------------------------------------

    Pursuant to the Regulatory Flexibility Act, 5 U.S.C. 605(b), it is 
hereby certified that this proposed collection will not have a 
significant economic impact on a substantial number of small entities.

c. Plain Language

    The Office has sought to present this proposed collection in a 
simple and straightforward manner. The Office invites comments on how 
to make this proposal, the regulatory text, or the reporting schedules 
easier to understand. The Office specifically invites comments on the 
following questions:
Questions
    1. Are the requirements in the proposal clearly stated? If not, how 
could the proposed rule be more clearly stated?
    2. Does the proposed rule contain language or jargon that is not 
clear? If so, which language requires clarification?
    3. Would a different format (e.g., groupings, ordering of sections, 
use of headings, paragraphing) make the proposed rule easier to 
understand? If so, what changes to the format would make the proposed 
rule easier to understand?

List of Subjects in 12 CFR Part 1610

    Clearing, Confidential business information, Data collection, 
Economic statistics, No central counterparty, Reference rates, 
Repurchase agreements, No central counterparty.

    For the reasons stated in the preamble, the Office of Financial 
Research proposes to amend 12 CFR part 1610 as set forth below:

PART 1610--REGULATORY DATA COLLECTIONS

0
1. The authority citation for part 1610 continues to read as follows:

    Authority: 12 U.S.C. 5343 and 5344.

0
2. Add Sec.  1610.11 to read as follows:


Sec.  1610.11   Non-centrally cleared Bilateral Repurchase Agreement 
Data.

    (a) Definitions. The following definitions are applicable in this 
section:
    Covered reporter means any financial company that meets the 
criteria set forth in paragraph (b)(2) of this section; provided, 
however, that any covered reporter shall cease to be a covered reporter 
only if it does not meet the dollar thresholds specified in paragraph 
(b)(2) of this section for at least four consecutive calendar quarters.
    Financial company has the same meaning as in 12 U.S.C. 5341(2).
    Government securities broker means any institution registered as a 
government securities broker with the Securities and Exchange 
Commission under the Securities Exchange Act of 1934.
    Government securities dealer means any institution registered as a 
government securities dealer with the Securities and Exchange 
Commission under the Securities Exchange Act of 1934.
    Investment adviser means any institution registered as an 
investment adviser with the Securities and Exchange Commission under 
the Investment Advisers Act of 1940.
    Non-centrally cleared bilateral repurchase agreement transaction 
means an agreement of one party to sell securities to a second party in 
exchange for the receipt of cash, and the simultaneous agreement of the 
former party to later reacquire the same securities (or any 
subsequently substituted securities) from that same second party in 
exchange for the payment of cash; or an agreement of a party to acquire 
securities from a second party in exchange for the payment of cash, and 
the simultaneous agreement of the former party to later transfer back 
the same securities (or any subsequently substituted securities) to the 
latter party in exchange for the receipt of cash. The agreement does 
not involve a tri-party custodian and is not cleared with a central 
counterparty. This definition includes, but is not limited to, 
transactions that are executed under a Master Repurchase Agreement 
(MRA) or Global Master Repurchase Agreement (GMRA), or which are agreed 
to by the parties as subject to the provisions of 11 U.S.C. 559. 
Notwithstanding the above, transactions conducted under a Securities 
Lending Agreement (SLA) or a Master Securities Lending Agreement (MSLA) 
are not considered repurchase agreements, nor are repurchase agreements 
arising from either participation in a commercial mortgage loan or the 
initial securitization of a residential mortgage loan.
    Outstanding commitment: The amount of financial obligations entered 
into pursuant to any repurchase agreement which opens on, or is 
outstanding as of, the file observation date, including transactions 
which both opened and closed on the file observation date. These 
financial obligations include all of those that exist prior to netting.
    Securities broker means any institution registered as a broker with 
the Securities and Exchange Commission under the Securities Exchange 
Act of 1934.
    Securities dealer means any institution registered as a dealer with 
the Securities and Exchange Commission under the Securities Exchange 
Act of 1934.
    (b) Purpose and Scope--(1) Purpose. The purpose of this data 
collection is to require the reporting of certain information to the 
Office about non-centrally cleared bilateral repurchase agreement 
transactions. The information will be used by the Office to fulfill its 
responsibilities under title I of the Dodd-Frank Wall Street Reform and 
Consumer Protection Act, including support of the Council and Council 
member agencies by facilitating financial stability monitoring and 
research consistent with support of the Council and its member 
agencies.
    (2) Scope of Application. Reporting under this section is required 
by any financial company that is party to a non-centrally cleared 
bilateral repurchase agreement transaction that is:
    (i) A Securities Broker, securities dealer, government securities 
broker, or government securities dealer whose average daily outstanding 
commitments to borrow and extend guarantees in non-centrally cleared 
bilateral repurchase agreement transactions with counterparties over 
all business days during the prior calendar quarter is at least $10 
billion; and
    (ii) Any other financial company with over $1 billion in assets or 
assets under management whose average daily outstanding commitments to 
borrow and extend guarantees in non-centrally cleared bilateral 
repurchase agreement transactions, including commitments of all funds 
for which the company serves as an investment adviser, with 
counterparties that are not securities broker, securities dealers, 
government securities brokers, or government securities dealers over 
all business days during the prior calendar quarter is at least $10 
billion.
    (c) Data Required. (1) Covered reporters shall report trade and 
collateral information on all non-centrally cleared bilateral 
repurchase agreement transactions, subject to paragraph (c)(2) of this 
section, in accordance with the prescribed reporting format in this 
section.
    (2) Covered reporters shall only report trade and collateral 
information with respect to any non-centrally cleared bilateral 
repurchase agreement transaction which opens on, or is outstanding as 
of, the file observation

[[Page 1170]]

date, including transactions which both opened and closed on the file 
observation date.
    (3) Covered reporters shall submit the following data elements for 
all transactions:

                       Table 1 to Paragraph (c)(3)
------------------------------------------------------------------------
         Data element                         Explanation
------------------------------------------------------------------------
(1) File observation date....  The observation date of the file.
(2) Covered reporter LEI.....  The Legal Entity Identifier of the
                                covered reporter.
(3) Cash lender LEI..........  The Legal Entity Identifier of the cash
                                lender.
(4) Cash lender name.........  The legal name of the cash lender.
(5) Cash borrower name.......  The legal name of the cash borrower.
(6) Cash borrower LEI........  The Legal Entity Identifier of the cash
                                borrower.
(7) Guarantee................  Indicator for whether the covered
                                reporter issued a guarantee with respect
                                to the transaction.
(8) Netting set..............  A descriptor to indicate for the
                                transaction whether the covered reporter
                                nets counterparty exposures across asset
                                classes and instruments outside of
                                repurchase agreements. When the covered
                                reporter does not net counterparty
                                exposures across asset classes and
                                instruments outside of repurchase
                                agreements, the descriptor indicates the
                                repurchase agreement terms on which
                                netting occurs.
(9) Transaction id...........  The respondent-generated unique
                                transaction identifier in an
                                alphanumeric string format.
(10) Unique transaction ID...  If available, the Unique Transaction ID
                                (UTI).
(11) Trading platform........  For transactions arranged using an
                                outside vendor's platform, the provider
                                of the platform.
(12) Trade timestamp.........  The timestamp that the trade became an
                                obligation of the covered reporter or
                                the covered reporter's subsidiary.
(13) Start date..............  The start date of the repo.
(14) End date................  The date the repo matures.
(15) Minimum maturity date...  The earliest possible date on which the
                                transaction could end in accordance with
                                its contractual terms (taking into
                                account optionality).
(16) Cash lender internal      The internal identifier assigned to the
 identifier.                    cash lender by the covered reporter, if
                                the covered reporter is not the cash
                                lender.
(17) Cash borrower internal    The internal identifier assigned to the
 identifier.                    cash borrower by the covered reporter,
                                if the covered reporter is not the cash
                                borrower.
(18) Start leg amount........  The amount of cash transferred to the
                                cash borrower on the open leg of the
                                transaction at inception of the
                                repurchase.
(19) Close leg amount........  The amount of cash to be transferred by
                                the cash borrower on the end date of the
                                transaction.
(20) Current cash amount.....  The amount of cash to be transferred by
                                the cash borrower, inclusive of accrued
                                interest and principal as of the file
                                observation date.
(21) Start leg currency......  The currency which is used in the ``start
                                leg'' field.
(22) Rate....................  The rate of interest paid by the cash
                                borrower on the transaction, expressed
                                as an annual percentage rate on an
                                actual/360-day basis.
(23) Floating rate...........  The benchmark interest rate upon which
                                the transaction is based.
(24) Floating rate reset       The time period, in calendar days,
 frequency.                     describing the frequency of the floating
                                rate resets.
(25) Spread..................  The contractual spread over the benchmark
                                rate referenced in the repurchase
                                agreement.
(26) Securities identifier     The identifier type for the securities
 type.                          transferred between cash borrower and
                                cash lender.
(27) Security identifier.....  The identifier of securities transferred
                                between the cash borrower and the cash
                                lender in the repo.
(28) Securities quantity.....  For fixed-income instruments, the par
                                amount of the transferred securities as
                                of the report date.
(29) Securities value........  The market value of the transferred
                                securities as of the close of business
                                on the file observation date, inclusive
                                of accrued interest.
(30) Securities value at       The market value of the transferred
 inception.                     securities at the inception of the
                                transaction, inclusive of accrued
                                interest.
(31) Securities value          The currency which is used in the
 currency.                      ``securities value'' and ``securities
                                value at inception'' fields.
(32) Haircut.................  The difference between the market value
                                of the transferred securities and the
                                purchase price paid at the inception of
                                the transaction.
(33) Special instructions      The covered reporter may characterize any
 notes or comments.             collateral with special instructions
                                notes or comments.
------------------------------------------------------------------------

    (d) Reporting Process. The Office may either collect the data 
itself or designate a collection agent for that purpose. Covered 
reporters shall submit the required data for each business day by 11 
a.m. Eastern time on the following business day.
    (e) Compliance Date. (1) Any financial company that is a covered 
reporter as of the effective date of this section shall comply with the 
reporting requirements pursuant to this section 90 days after the 
effective date of this section. Any such covered reporter's first 
submission shall be submitted on the first business day after such 
compliance date.
    (2) Any financial company that becomes a covered reporter after the 
effective date of this section shall comply with the reporting 
requirements pursuant to this section on the first business day of the 
third full calendar quarter following the calendar quarter in which 
such financial company becomes a covered reporter.

James D. Martin,
Deputy Director for Operations Performing the Duties of the OFR 
Director.
[FR Doc. 2022-28615 Filed 1-6-23; 8:45 am]
BILLING CODE 4810-AK-P