83 FR 43680 - Proposed Agency Information Collection Activities; Comment Request

FEDERAL RESERVE SYSTEM

Federal Register Volume 83, Issue 166 (August 27, 2018)

The Board of Governors of the Federal Reserve System (Board) invites comment on a proposal to implement a new information collection, the Report of Institution-to-Aggregate Granular Data on Assets and Liabilities on an Immediate Counterparty Basis (FR 2510)(OMB No. 7100-to be assigned).

[Federal Register Volume 83, Number 166 (Monday, August 27, 2018)]
[Notices]
[Pages 43680-43683]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2018-18430]


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FEDERAL RESERVE SYSTEM


Proposed Agency Information Collection Activities; Comment 
Request

AGENCY: Board of Governors of the Federal Reserve System.

ACTION: Notice, request for comment.

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SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
invites comment on a proposal to implement a new information 
collection, the Report of Institution-to-Aggregate Granular Data on 
Assets and Liabilities on an Immediate Counterparty Basis (FR 2510)(OMB 
No. 7100-to be assigned).

DATES: Comments must be submitted on or before October 26, 2018.

ADDRESSES: You may submit comments, identified by FR 2510, by any of 
the following methods:
     Agency website: http://www.federalreserve.gov. Follow the 
instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
     Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
     Email: [email protected]. Include OMB 
number in the subject line of the message.
     Fax: (202) 452-3819 or (202) 452-3102.
     Mail: Ann E. Misback, Secretary, Board of Governors of the 
Federal Reserve System, 20th Street and Constitution Avenue NW, 
Washington, DC 20551.

All public comments are available from the Board's website at http://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted, unless 
modified for technical reasons. Accordingly, your comments will not be 
edited to remove any identifying or contact information. Public 
comments may also be viewed electronically or in paper form in Room 
3515, 1801 K Street (between 18th and 19th Streets NW) Washington, DC 
20006 between 9:00 a.m. and 5:00 p.m. on weekdays. For security 
reasons, the Board requires that visitors make an appointment to 
inspect comments. You may do so by calling (202) 452-3684. Upon 
arrival, visitors will be required to present valid government-issued 
photo identification and to submit to security screening in order to 
inspect and photocopy comments.
    Additionally, commenters may send a copy of their comments to the 
OMB Desk Officer--Shagufta Ahmed--Office of Information and Regulatory 
Affairs, Office of Management and Budget, New Executive Office 
Building, Room 10235, 725 17th Street NW, Washington, DC 20503 or by 
fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT: A copy of the PRA OMB submission, 
including the proposed reporting form and instructions, supporting 
statement, and other documentation will be placed into OMB's public 
docket files, once approved. These documents will also be made 
available on the Board's public website at: http://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested 
from the agency clearance officer, whose name appears below.
    Federal Reserve Board Clearance Officer--Nuha Elmaghrabi--Office of 
the Chief Data Officer, Board of Governors of the Federal Reserve 
System, Washington, DC 20551, (202) 452-3829. Telecommunications Device 
for the Deaf (TDD) users may contact (202) 263-4869, Board of Governors 
of the Federal Reserve System, Washington, DC 20551.

SUPPLEMENTARY INFORMATION: On June 15, 1984, the Office of Management 
and Budget (OMB) delegated to the Board authority under the Paperwork 
Reduction Act (PRA) to approve and assign OMB control numbers to 
collection of information requests and requirements conducted or 
sponsored by the Board. In exercising this delegated authority, the 
Board is directed to take every reasonable step to solicit comment. In 
determining whether to approve a collection of information, the Board 
will consider all comments received from the public and other agencies.

Request for Comment on Information Collection Proposal

    The Board invites public comment on the following information 
collection, which is being reviewed under authority delegated by the 
OMB under the PRA. Comments are invited on the following:
    a. Whether the proposed collection of information is necessary for 
the proper performance of the Board's functions; including whether the 
information has practical utility;
    b. The accuracy of the Board's estimate of the burden of the 
proposed information collection, including the validity of the 
methodology and assumptions used;
    c. Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    d. Ways to minimize the burden of information collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    e. Estimates of capital or startup costs and costs of operation, 
maintenance, and purchase of services to provide information.
At the end of the comment period, the comments and recommendations 
received will be analyzed to determine the extent to which the Board 
should modify the proposal prior to giving final approval.
    Proposal under OMB delegated authority to implement the following 
report:
    Report title: Report of Institution-to-Aggregate Granular Data on 
Assets and Liabilities on an Immediate Counterparty Basis.
    Agency form number: FR 2510.
    OMB control number: 7100-to be assigned.
    Frequency: Quarterly, beginning with the reporting period ending on 
March 31, 2019.
    Reporters: Bank holding companies headquartered in the United 
States that are global systemically important bank holding companies 
(U.S. G-SIBs) under the Board's rules.
    Estimated annual reporting hours: One-time implementation: 8,000 
hours; ongoing: 18,176 hours.
    Estimated average hours per response: One-time implementation: 
1,000 hours; ongoing: 568 hours.
    Number of respondents: 8
    General description of report: The proposed FR 2510 would collect 
granular exposure data on the assets, liabilities, and off-balance 
sheet holdings of U.S. G-SIBS, providing

[[Page 43681]]

breakdowns by instrument, currency, maturity, and sector. The FR 2510 
would also collect data covering detailed positions for the top 35 
countries of exposure, broken out by instrument and counterparty 
sector, with limited further break outs by remaining maturity, subject 
to a $2 billion minimum threshold for country exposure, on an 
immediate-counterparty basis, as reported in the consolidated Country 
Exposure Report of the Federal Financial Institutions Examination 
Council (FFIEC 009). Further, the report would collect information on 
financial derivatives by instrument type and foreign exchange 
derivatives by currency. The FR 2510 supports a more complete balance 
sheet analysis with richer details regarding common or correlated 
exposures and funding dependencies by providing more information about 
U.S. G-SIBs' consolidated exposures and funding positions to different 
countries according to instrument, counterparty sector, currency, and 
remaining maturity.
    Proposed Information Collection: The proposed FR 2510 would 
implement in the U.S. an internationally-agreed common data template 
for G-SIBs (global I-A template) designed to facilitate the aggregation 
and analysis of consistent and comparable data from G-SIBs based in 
different jurisdictions. The FR 2510 would consist of three schedules 
that each U.S. G-SIB would submit quarterly. The schedules would 
include consolidated balance sheet information about the U.S. G-SIB, 
including the G-SIB's foreign country exposures, broken out by 
instrument, currency, remaining maturity, counterparty country, and 
counterparty sector. The FR 2510 also would capture information on 
notional and fair-value amounts for financial derivatives and foreign 
exchange derivatives across underlying instruments and currencies.
    In implementing this internationally-agreed template for U.S. G-
SIBs, the FR 2510 is intended to build on, and complement, two existing 
data collections: the FFIEC 009 and the Consolidated Financial 
Statements for Holding Companies (FR Y 9C). Relative to the FFIEC 009 
and FR Y-9C, the FR 2510 would provide significantly more detail 
regarding the balance sheet and derivatives exposures of U.S. G-SIBs. 
This information would facilitate supervisory monitoring and analysis 
of common or correlated exposures and funding dependencies across G-
SIBs. In doing so, the FR 2510 (together with corresponding collections 
in other jurisdictions) would provide valuable systemic information to 
supervisors and policymakers and a heightened focus on improving firms' 
ability to aggregate and report their exposures and positions in a 
consistent, timely, and accurate manner.
    The proposed data collection has been developed in cooperation with 
the Financial Stability Board (FSB). Implementation is being 
coordinated with respective host-country jurisdictions for non-U.S. G-
SIBs under the aegis of the Multilateral Framework, a memorandum of 
understanding that governs the provision and reporting of confidential 
G-SIB data under tight security to the International Data Hub (IDH) 
hosted by the Bank for International Settlements (BIS). Through this 
mechanism, data collected via the FR 2510 would be gathered and 
transmitted securely to the IDH. These data would be combined by the 
IDH with corresponding data from other jurisdictions, and would be used 
by the IDH to produce analytical reports that would provide unique and 
authoritative aggregation and comparison of these banks' positions.
    For example, from a supervisory perspective, IDH reports would 
provide important comparative information across G-SIBs, detailed 
information on G-SIB exposures to central counterparties (CCPs) and 
fuller information than is otherwise available on how foreign banking 
organizations (FBOs) fund their U.S. operations. From a financial 
stability perspective, IDH reports help to reveal risks associated with 
key common counterparties (e.g., sovereign exposures) among G-SIBs, and 
illuminate volumes and patterns by which non-U.S. G-SIBs manage their 
dollar-based funding (and which in turn can have implications for 
dollar-based funding markets). The global I-A template would enhance 
that value by providing, for example, more detail on potential currency 
and maturity mismatches between assets and funding at the G-SIBs, which 
in turn could reveal emerging risk management needs at the individual 
institutions as well as the extent to which a crisis in a given 
currency might propagate through bank balance sheets.
    The global I-A template, which the FR 2510 would implement for U.S. 
G-SIBs, thus facilitates the compilation of consistent and comparable 
data from G-SIBs based in different jurisdictions. This template (and 
thus the FR 2510) was developed as a more detailed extension of, and 
complement to, existing aggregate data collections conducted by the BIS 
from national regulatory authorities for use in its Consolidated 
Banking Statistics (CBS). In the United States, these existing 
aggregated data are based on information collected using the FFIEC 009. 
The Board presently transmits data it collects through the FFIEC 009 at 
the consolidated bank holding company level from the U.S. G-SIBs to the 
IDH. The proposal would expand this existing process to encompass a 
larger set of more granular data items.
    As noted, the FFIEC 009 and FR Y-9C regulatory reports provide 
limited information about the foreign exposures and foreign exchange 
risk of U.S. banking organizations. The FFIEC 009 requires certain 
banks, savings associations, bank holding companies, savings and loan 
holding companies, and U.S. intermediate holding companies of foreign 
banks to report aggregate foreign exposure information on both an 
immediate-counterparty basis (on the basis of the country of residence 
of the borrower) and ultimate-risk basis (on the basis of the country 
of residence of any guarantor or collateral). The information reported 
on the FFIEC 009 is broken out by counterparty \1\ type, country, and 
sector, but without detailed information on the category of financial 
instrument. Rather, the information reported on the FFIEC 009 
represents a respondent's aggregate exposure to all counterparties of a 
particular type in a jurisdiction, regardless of the form of the 
exposure. In addition, the FFIEC 009 only collects liabilities of 
respondents' foreign domiciled offices and subsidiaries. The FR Y-9C 
requires bank holding companies to report more detailed balance sheet 
information than the FFIEC 009; however, the data reported on the FR Y 
9C includes only limited break-outs of data by maturity and no break-
outs of data by currency.
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    \1\ The instructions to the FFIEC 009 state that ``[t]he obligor 
on an immediate-counterparty basis is the entity that issued the 
security or otherwise incurred the liability. The obligor of a claim 
on an ultimate-risk basis is any person, business, institution, or 
instrument that provides any of the types of credit protection 
described in Section II.F, `Required Risk Transfers' and Section 
II.H `Reporting Credit Derivatives.' ''
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    The proposed FR 2510 represents significant simplifications 
compared to the previous draft versions shared with the industry (in 
2012, 2013, 2014, and 2015), including the removal of certain highly 
granular criteria that resulted in empty or not meaningful data. These 
revisions reflect lessons learned from the study itself, as well as 
feedback on costs and challenges received from the reporting G-SIBs, 
including through an industry meeting held in May 2015, and on expected 
benefits provided by potential users in July 2015.

[[Page 43682]]

    Data collected in the FR 2510 would facilitate the aggregation and 
analysis of data from G-SIBs based in different jurisdictions. Key 
examples of tangible near-term products that the Federal Reserve, other 
U.S. supervisors, and the IDH would be able to produce with the data 
from the FR 2510 include:
     Aggregate and comparative reports across G-SIBs showing 
potential currency or maturity imbalances covering the full balance 
sheet (except derivatives);
     An assessment of G-SIBs' funding needs; and
     An assessment of the concentration at the country, sector, 
or instrument level.
    Such products would provide significant value, both for supervision 
of U.S. G-SIBs and for broader analysis of the global financial system.

Detailed Discussion of Proposed FR 2510 Report

    Relative to existing data sources, the FR 2510 report would support 
a more complete balance-sheet analysis of common or correlated 
exposures and funding dependencies by providing more information about 
reporting banking organizations' consolidated exposures to, and funding 
positions with, different countries according to instrument, 
counterparty sector, currency, and remaining maturity. The FR 2510 
would be used in conjunction with other regulatory and statistical 
reports. Definitions and structure of the FR 2510, to the extent 
possible, have been aligned for U.S. implementation with these other 
U.S. regulatory and statistical reports to minimize reporting burden on 
U.S. respondents and to maximize analytical consistency with existing 
U.S. reports. These other reports include the FFIEC 009, the FR Y-9C, 
the Banking Organization Systemic Risk Report (FR Y-15), the Complex 
Institution Liquidity Monitoring Report (FR 2052a), and the Semiannual 
Report of Derivatives Activity (FR 2436).
    The FR 2510 would be comprised of three schedules that would give a 
full view of the reporting banking organization's operations and risks. 
An overview of the proposed information that would be collected in 
these three schedules is provided below.

(1) The I-A Immediate Counterparty Schedule

    The I-A Immediate Counterparty schedule (I-A IC) would be the 
report's main schedule. This draft schedule would capture information 
on banking organizations' asset positions, liability positions, and 
contingent liabilities on a combination of the following five 
dimensions:
    (1) Instrument,
    (2) Currency,
    (3) Remaining maturity,
    (4) Counterparty country, and
    (5) Counterparty sector.
    The I-A IC positions are allocated to the country and sector where 
the immediate counterparty resides. Immediate-counterparty positions 
would be reported in Tables 1 and 2. Table 1 is a consolidated balance 
sheet of the granular portfolio with total positions broken out by the 
following seven different currencies:
    (1) U.S. Dollar,
    (2) Euro,
    (3) Japanese Yen,
    (4) British Pound,
    (5) Swiss Franc,
    (6) Yuan Renminbi, and
    (7) Other currencies.
    The currencies would be broken out into four remaining maturity 
categories, as follows:
    (1) Non-maturity instruments,
    (2) Overnight to less than three months,
    (3) 3 months to less than 1 year, and
    (4) 1 year and over.
    Table 2 would be a consolidated balance sheet showing I-A exposures 
by instrument and counterparty sector to countries above the de minimis 
threshold of $2 billion, with banking organizations completing a table 
for each country above the threshold, with total positions by 
counterparty sector and by remaining maturity. At the time the global 
I-A template was developed, it was estimated that these de mimimis 
rules would nonetheless cover 97 percent of total claims extended to 
counterparties in 79 countries (based on BIS CBS). Maximum coverage 
would be provided for advanced economies (99 percent), while lower 
percentages would result for Africa and Middle East (65 percent) and 
Emerging Europe (85 percent).
    Positions would be reported along the following counterparty 
sectors:
    (1) Banks,
    (2) Non-bank financial institutions,
    (3) Non-financial corporations,
    (4) Households,
    (5) Government, and
    (6) Unallocated by sector.
    Positions would be broken out into the following three remaining 
maturity categories:
    (1) Non-maturity instruments,
    (2) Less than 1 year, and
    (3) 1 year and over.

(2) Financial Derivatives Schedule

    The Financial Derivatives schedule would capture details on the 
gross fair-value (mark-to-market) and notional amounts of financial 
derivatives broken out according to certain subcategories of derivative 
instruments. Information regarding gross fair values (mark-to-market) 
and notional amounts would facilitate cross-country comparisons and 
overcome substantially different offset requirements for derivatives 
between the accounting standards applied by reporting banking 
organizations. Derivatives would be reported along the following three 
categories:
    (1) Exchange-traded derivatives,
    (2) Centrally cleared over-the-counter (OTC) derivatives, and
    (3) Bilateral/uncleared OTC derivatives. Derivatives are reported 
according to the following six categories of risk:
    (1) Equity derivatives,
    (2) Interest rate derivatives,
    (3) Foreign exchange derivatives,
    (4) Credit derivatives,
    (5) Commodity derivatives, and
    (6) Other derivatives.

(3) Foreign Exchange Derivatives Schedule

    The Foreign Exchange Derivatives schedule would capture gross 
notional currency derivative positions (separated into short and long 
positions) for a limited number of foreign exchange derivatives, with 
details on remaining maturity and currency, but no detail concerning 
counterparty country and sector. The scope of foreign exchange 
derivatives would include the following:
    (1) Currency forwards,
    (2) Foreign exchange swaps,
    (3) Currency swaps, and
    (4) Cross-currency interest rate swaps.
    For each derivative type, the contract's remaining maturity would 
be broken out into the following maturity buckets:
    (1) Non-maturity instruments (on-demand and open positions),
    (2) Overnight to less than 3 months,
    (3) 3 months to less than 1 year, and
    (4) 1 year and over.
    Legal authorization and confidentiality: The information collection 
is authorized under section 5 of the Bank Holding Company Act (12 
U.S.C. 1844). The information collected in the FR 2510 would be 
collected as part of the Board's supervisory process, and therefore may 
be afforded confidential treatment pursuant to exemption 8 of the 
Freedom of Information Act (FOIA) (5 U.S.C. 552(b)(8)). In addition, 
individual respondents may request that certain data be afforded 
confidential treatment pursuant to exemption 4 of FOIA if the data has 
not previously been publically

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disclosed and the release of the data would likely cause substantial 
harm to the competitive position of the respondent (5 U.S.C. 
552(b)(4)). Determinations of confidentiality based on exemption 4 of 
FOIA would be made on a case-by-case basis.
    Consultation Outside the Agency: The Federal Reserve consulted with 
the Office of the Comptroller of the Currency as well as with potential 
respondent institutions in developing this proposed report. Several 
outreach meetings took place to help refine the data items in the 
proposed schedules and clarify the accompanying instructions.

    Board of Governors of the Federal Reserve System, August 21, 
2018.
Ann Misback,
Secretary of the Board.
[FR Doc. 2018-18430 Filed 8-24-18; 8:45 am]
 BILLING CODE 6210-01-P