FRY15_20140307_omb_final

Supporting Statement for the
Banking Organization Systemic Risk Report
(FR Y-15; OMB No. 7100-0352)

Summary
The Board of Governors of the Federal Reserve System (Federal Reserve), under
delegated authority from the Office of Management and Budget (OMB), proposes to revise,
without extension, the mandatory Banking Organization Systemic Risk Report (FR Y-15; OMB
No. 7100-0352). The FR Y-15 annual report collects systemic risk data from U.S. Bank Holding
Companies (BHCs) with total consolidated assets of $50 billion or more, and any U.S.-based
organizations identified as global systemically important banks (GSIBs) 1 that do not otherwise
meet the consolidated assets threshold for BHCs. 2 The Federal Reserve uses the FR Y-15 data
primarily to monitor, on an ongoing basis, the systemic risk profile of the institutions which are
subject to enhanced prudential standards under section 165 of the Dodd-Frank Wall Street
Reform and Consumer Protection Act (DFA). 3
The Federal Reserve proposes to revise the FR Y-15 by: (1) adding five new line items
consistent with revisions to international standards concerning the calculation of total exposures,
securities outstanding, and trading and available-for-sale (AFS) securities; (2) deleting nine
current line items that are no longer needed; (3) revising the definitions for six specific line items
to be consistent with international standards; (4) revising the definition of financial institution
used in Schedule B; (5) using total consolidated assets as of the June 30th prior to the December
31st as-of date to determine the reporting panel; (6) temporarily delaying disclosure of certain
items on Schedules A, C, and D; (7) extending the submission window to 65 days after the as-of
date; and (8) incorporating instructional clarifications. 4
The proposed changes would be effective December 31, 2013. The annual burden for the
FR Y-15 report is estimated to be 9,900 hours. The proposed revisions would result in a net
decrease in burden of 165 hours.

1

See Update of group of global systemically important banks (G–SIBs), available at
www.financialstabilityboard.org/publications/r_121031ac.pdf.

2

To allow additional time for compliance, the Federal Reserve limited the FR Y–15 reporting panel for the
December 31, 2012, as-of date to the eight U.S. top-tier BHCs that were designated as GSIBs by the Financial
Stability Board on November 1, 2012 (77 FR 76484).
3
4

See 12 U.S.C. 5365.

In addition, certain derived data items that had to be reported previously would be calculated for the reporting
institutions automatically once the data are submitted.

Background and Justification
In response to the financial crisis, the Basel Committee on Banking Supervision (BCBS)
adopted a series of reforms to improve the resilience of banks and banking systems. Among
those reforms is a capital surcharge (GSIB surcharge) that increases for GSIBs the “capital
conservation buffer” the BCBS included in the revised international standards it published in
2010, Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems
(Basel III). 5 Under the standard, a GSIB must hold tier 1 common equity capital sufficient to
meet the capital conservation buffer, as increased by the GSIB surcharge, in order to avoid
restrictions on capital distributions and discretionary bonus payments to executive officers. The
standards established in Basel III, as modified by the GSIB surcharge (the Basel capital
framework), are designed to fortify the capital positions of GSIBs so that they can absorb losses
and remain going concerns even under stressed financial conditions.
The BCBS developed an indicator-based approach for determining the GSIB surcharge
that focuses on those aspects of a GSIB’s operations that are likely to generate negative
externalities in the case of its failure. The methodology assesses five components of a bank’s
systemic footprint: size, interconnectedness, substitutability, complexity, and cross-jurisdictional
activity. The surcharge, which may be influenced by supervisory judgment, is based on a
banking organization’s results relative to other banking organizations that are also calculating the
systemic risk measures.
Initially, GSIBs will be assigned to one of four surcharges, which range from 1 percent to
2.5 percent of risk-weighted assets. Going forward, a GSIB’s surcharge could be raised if a GSIB
sufficiently increases its systemic footprint. The GSIB surcharge is phased into the Basel
framework beginning in January 2016 and becomes fully effective in January 2019.
The FR Y-15, which was derived from a Basel data collection aimed at measuring
systemic importance, was implemented on December 31, 2012. 6 In addition to (i) facilitating the
future implementation of the GSIB surcharge through regulation, (ii) identifying institutions that
may be DSIBs under a future framework, and (iii) analyzing the systemic risk implications of
proposed mergers and acquisitions, the Federal Reserve uses the FR Y-15 data to monitor, on an
ongoing basis, the systemic risk profile of the institutions which are subject to enhanced
prudential standards under section 165 of DFA. The Federal Reserve also submits data to the
BCBS for use in determining whether an institution is a GSIB and, if so, which GSIB surcharge
would be applicable to it. 7
5

The Basel III framework is available at www.bis.org/publ/bcbs189.htm.

6

The final Federal Register notice was published on December 28, 2012 (77 FR 76484).

7

Data for BHCs with total exposures in excess of 100 billion euros are submitted to the BCBS for potential
inclusion in the GSIB assessment methodology.

2

Filing of year-end 2012 data was limited to the eight U.S. BHCs that the Financial
Stability Board designated as GSIBs on November 1, 2012. 8 Other BHCs subject to the reporting
requirement are not required to file under the FR Y-15 until year-end 2013.
Description of Information Collection
The data items collected in this report mirror those that were developed by the BCBS to
assess the global systemic importance of banking organizations. The report consists of the
following schedules, which are each discussed in detail below:
•
•
•
•
•
•

Schedule A – Size Indicator;
Schedule B – Interconnectedness Indicators;
Schedule C – Substitutability Indicators;
Schedule D – Complexity Indicators;
Schedule E – Cross-Jurisdictional Activity Indicators; and,
Schedule F – Ancillary Indicators.

Each schedule consists of one or more systemic risk indicators. The rationale for using
each type of indicator in determining systemic importance has been outlined by the BCBS. 9
It is important to note that some of the reporting requirements overlap with data already
collected in the Consolidated Financial Statements for Bank Holding Companies (FR Y-9C;
OMB No. 7100-0128) and the Country Exposure Report (FFIEC 009; OMB No. 7100-0035).
Where relevant data are already being reported on the FR Y-9C or the FFIEC 009, the FR Y-15
automatically retrieves those amounts. Automatically-retrieved items are listed in the general
instructions of the FR Y-15 under section H, titled “Data Items Automatically Retrieved from
Other Reports.”
Schedule A - Size Indicator
The size indicator (total exposures) is calculated using both on- and off-balance-sheet
data. On-balance-sheet items include total assets, net and gross securities financing transactions
(SFTs), securities received as collateral in securities lending, cash collateral received in conduit
securities lending transactions, derivative exposures with a net positive fair value, and cash
collateral netted against net positive derivative exposures. Off-balance-sheet items include
potential future exposure of derivative contracts, the notional amount of credit derivatives sold,
8

See Update of group of global systemically important banks (G-SIBs), available at
http://www.financialstabilityboard.org/publications/r_121031ac.pdf.

9

See Global systemically important banks: updated assessment methodology and the additional loss absorbency
requirement, July 2013, available at http://www.bis.org/publ/bcbs255.htm.

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credit derivatives sold net of related credit protection bought, the notional amount of off-balancesheet items with a 0 percent credit conversion factor (CCF) under the standardized approach to
risk-based capital, unconditionally cancellable credit card commitments, other unconditionally
cancellable commitments, the notional amount of off-balance-sheet items with a 20 percent CCF,
the notional amount of off-balance-sheet items with a 50 percent CCF, and the notional amount
of off-balance-sheet items with a 100 percent CCF. Certain regulatory adjustments to tier 1
capital are also collected.
Schedule B - Interconnectedness Indicators
The Interconnectedness Indicators Schedule is comprised of three subcategories: intrafinancial system assets, intra-financial system liabilities, and securities issued. Intra-financial
system assets are comprised of funds deposited with or lent to unaffiliated financial institutions,
undrawn committed lines extended to unaffiliated financial institutions, holdings of securities
issued by unaffiliated financial institutions (including secured debt securities, senior unsecured
debt securities, subordinated debt securities, commercial paper, certificates of deposit, and stock
(including par and surplus of common and preferred shares)), offsetting short positions in
relation to specific stock holdings, net positive current exposure of SFTs with unaffiliated
financial institutions, and information about over-the-counter (OTC) derivatives with unaffiliated
financial institutions that have a net positive fair value (including the fair value of the
derivatives, the potential future exposure, and the fair value of collateral that is held outside of
master netting agreements).
Intra-financial system liabilities include deposits due to depository institutions, deposits
due to non-depository financial institutions, undrawn committed lines obtained from unaffiliated
financial institutions, net negative current exposure of SFTs with unaffiliated financial
institutions, and information about OTC derivatives with unaffiliated financial institutions that
have a net negative fair value (including the fair value of the derivatives, the potential future
exposure, and the fair value of collateral that is provided outside of the master netting
agreements).
Securities issued include secured debt securities, senior unsecured debt securities,
subordinated debt securities, commercial paper, certificates of deposit, and equity market
capitalization.
Schedule C - Substitutability Indicators
The Substitutability Indicators Schedule includes the value of payments sent by the bank
over the reporting year via large value payment systems or through an agent. These payments are
reported by currency (Australian dollars, Brazilian real, Canadian dollars, Swiss francs, Chinese
yuan, euros, Pound sterling, Hong Kong dollars, Indian rupees, Japanese yen, Swedish krona,
4

United States dollars, and all other currencies not specifically listed). The schedule also includes
assets held as a custodian on behalf of customers, equity underwriting activity, and debt
underwriting activity.
Schedule D - Complexity Indicators
The Complexity Indicators Schedule includes the notional amount of OTC derivatives
cleared through a central counterparty, the notional amount of OTC derivatives settled
bilaterally, trading securities, trading securities for which the fair value option is elected, AFS
securities, level 1 assets, level 1 assets that are trading or AFS securities, level 2 assets, level 2
assets that are trading or AFS securities, adjustment to high quality liquid assets (HQLA) due to
cap on level 2 assets, held-to-maturity securities, and assets valued using Level 3 measurement
inputs. 10
Schedule E - Cross-Jurisdictional Activity Indicators
The Cross-Jurisdictional Activity Indicators Schedule includes foreign claims on an
ultimate-risk basis, foreign liabilities (excluding local liabilities in local currency), any foreign
liabilities to related offices included in the reported foreign liabilities total, and local liabilities in
local currency.
Schedule F - Ancillary Indicators
The Ancillary Indicators Schedule includes total liabilities, retail funding, total net
revenue, foreign net revenue, total gross revenue, peak equity market capitalization, gross value
of cash lent and gross fair value of securities lent in SFTs, gross value of cash borrowed and
gross fair value of securities borrowed in SFTs, gross positive fair value of OTC derivatives
transactions, gross negative fair value of OTC derivatives transactions, unsecured
settlement/clearing lines provided, and number of jurisdictions.

10

For definitions of level 1 and level 2 assets, see Basel III: The Liquidity Coverage Ratio and liquidity risk
monitoring tools (Jan. 2013), available at http://www.bis.org/publ/bcbs238.pdf. For a definition of Level 3
measurement inputs see FASB ASC Topic 820, Fair Value Measurements and Disclosures (formerly FASB
Statement No. 157, Fair Value Measurements).

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Description of Proposed Revisions
Schedule A
To reflect the current definition of the Basel III leverage ratio, the Federal Reserve
proposes to collect counterparty exposure of SFTs and credit derivatives sold net of related credit
protection bought after adjusting for maturity.
Schedule B
The current version of the FR Y-15 does not capture all types of possible outstanding
securities. For completeness in assessing the systemic risk associated with the securities
outstanding indicator, the Federal Reserve proposes to collect preferred shares and other forms of
subordinated funding. The Federal Reserve also proposes to delete the fair value of collateral that
is held outside of the master netting agreements from both the intra-financial system assets and
intra-financial system liabilities sections as they are not required for the calculation of the two
indicators. The Federal Reserve also proposes to revise the definition of financial institution to
match the definition used in the BCBS GSIB methodology. This change would affect the values
reported in data items 1 through 10. Also, undrawn committed lines extended to unaffiliated
financial institutions will no longer be able to be pulled from the FR Y-9C and thus would need
to be reported. The Federal Reserve also proposes to revise the definition for equity market
capitalization. This line item would be retitled common equity. For clarity, the Federal Reserve
proposes renaming securities issued to securities outstanding. Finally, the Federal Reserve
proposes to move certificates of deposit so that it is a subcomponent of funds deposited with or
lent to unaffiliated financial institutions.
Schedule C
To reflect the latest definitions adopted in the BCBS GSIB methodology, the Federal
Reserve proposes to revise the reporting instructions for payments made in the reporting year and
assets held as a custodian on behalf of customers.
Schedule D
To capture an alternative method for calculating the HQLA adjustment to trading and
AFS securities, the Federal Reserve proposes to collect trading and AFS securities that meet the
definition of level 1 assets and trading and AFS securities that meet the definition of level 2
assets after applying haircuts. After the U.S. rule implementing the liquidity coverage ratio

6

(LCR) is finalized, the Federal Reserve will consider aligning the definitions of level 1 and level
2 assets used in these two items of the FR Y–15 with the definitions in the U.S. rule. 11
The Federal Reserve also proposes to delete the following items from Schedule D that are
no longer being used in the BCBS GSIB methodology: trading securities for which the fair value
option is elected, level 1 assets, level 1 assets that are trading or AFS securities, level 2 assets,
level 2 assets that are trading or AFS securities, adjustment to HQLA due to cap on level 2
assets, adjustment to HQLA attributable to trading and AFS securities. Finally, the Federal
Reserve proposes to move held-to-maturity securities to Schedule F.
Schedule F
To correct an instructional typo that resulted in the reporting of overstated figures, the
Federal Reserve proposes to revise the reporting instructions for retail funding.
Change to Reporting Criteria
Currently the reporting panel is determined based on total consolidated assets as of
December 31st. The Federal Reserve proposes to determine the reporting panel using total
consolidated assets as of the June 30th prior to the December 31st as-of date. This would afford
new reporters lead time to update their systems to capture the FR Y-15 data.
Considering the fact that several regulatory reports are due 60 days after the December 31
as-of date, the Federal Reserve proposes extending the submission window to 65 days after the
as-of date. This should ease potential resource constrains while simultaneously ensuring timely
availability of the systemic risk data.
Confidentiality
The Federal Reserve proposes to delay, until the 2014 reporting period, the public release
of non-aggregate Schedule A (size indicator) items that are not derived from public portions of
the FR Y–9C. This information is correspondent or related to the information that U.S. BHCs
subject to the Federal Reserve’s advanced approaches framework (advanced approaches BHCs)
will report beginning in 2015 on the revised FR Y–9C and the revised Risk-Based Capital
Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101;
OMB No. 7100–0319). This reported information is related to the international (supplementary)
leverage ratio requirement and other requirements in the Federal Reserve’s revised capital rule
(12 CFR part 217), adopted in 2013 (capital rule). 12 Since advanced approaches BHCs will be
11
12

See 78 FR 71818 (November 29, 2013).
78 FR 62018 (October 11, 2013).

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reporting this information quarterly on the FR Y–9C and FFIEC 101 in 2015, delaying the
release of the associated information on the FR Y–15 until the 2014 reporting period would
better align the public disclosure of the information across the multiple reports. In addition, this
would provide additional time for respondents to ensure that consistent and comparable data is
provided across reports. The Federal Reserve further proposes that the delayed disclosure also
apply to BHCs that are not advanced approaches BHCs. As with the advanced approaches BHCs,
the delay would allow these institutions to fully develop their systems and refine the accuracy of
the data associated with the FR Y–15 and the 2015 capital-related reporting requirements. Thus,
the aggregated total exposures figure and those items derived from public portions of the FR Y–
9C would be the only Schedule A items released for the 2013 reporting period.
The two new Schedule D items would identify a subset of trading and AFS securities as
level 1 or level 2 assets under the BCBS standard. These items are necessary to calculate
consistently across jurisdictions the systemic importance of a reporting institution’s trading and
AFS portfolio. The Federal Reserve observes that these items are not equivalent to an
institution’s liquidity buffer as calculated under the BCBS LCR, or under the U.S. proposed
implementation of the LCR which was released as a notice of proposed rulemaking earlier in
2013. 13 To avoid potential market confusion with respect to these line items while the
rulemaking to implement the LCR is ongoing, the Federal Reserve proposes to delay disclosure
of those two line items until the U.S. rulemaking is finalized.
The Federal Reserve proposes to also delay the disclosure of items on Schedule C that
specify payments activity in individual currencies until the 2014 reporting period. The Federal
Reserve has observed that these items have been among the most difficult for institutions to
collect and believes it is reasonable to keep this information confidential for an additional year
while reporting institutions continue to develop and enhance their reporting capabilities for these
items. By adopting this delay, the two aggregated payments figures would be the only payments
data released for the 2013 reporting period.
To address concerns about potential misinterpretation of the data, the Federal Reserve
proposes giving respondents the opportunity to provide an optional narrative as part of their FR
Y–15 submission. This would allow respondents to include brief explanatory comments about
any data disclosure within the report which they feel may be subject to misinterpretation or
otherwise cause confusion among investors. These statements would be made available to the
public.

13

See 78 FR 71818 (November 29, 2013).

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Instructional Clarifications
The Federal Reserve also proposes to incorporate instructional clarifications in response
to feedback and questions received from banking organizations that filed the FR Y-15 for yearend 2012.
Respondent Panel
The Federal Reserve uses the FR Y-15 data to monitor, on an ongoing basis, the systemic
risk profile of the institutions which are subject to enhanced prudential standards under section
165 of DFA. Given the threshold for enhanced prudential standards provided under DFA, the
reporting requirements would apply to U.S. BHCs that have total consolidated assets of $50
billion or more as of the June 30th prior to the December 31st as-of date, and any U.S.-based
organizations designated as GSIBs that do not otherwise meet the consolidated assets threshold.
Based on data as of June 2013, the FR Y-15 would be filed by approximately 33
domestic BHCs.
Time Schedule for Information Collection and Publication
The Federal Reserve approved an initial submission window of 90 days for those
institutions submitting the FR Y–15 for the December 31, 2012, as-of date. 14 This was done to
allow extra time for the eight initial respondents to develop and test the systems required to
collect the FR Y–15 data. An ongoing window of 60 days after the as-of date for FR Y–15
submissions, beginning with the December 31, 2013, as-of date, was approved by the Federal
Reserve last year. 15 This is 15 days beyond the deadline associated with the FR Y–9C and 10
days beyond the deadline associated with the FFIEC 009, which are both source documents for
the FR Y–15. This staggered submission schedule made it easier for banks to ensure that the
forms properly reconciled. The 60 day window was chosen, in part, based on the
recommendations of several commenters on the first FR Y–15 proposal in 2012.
Considering the fact that several regulatory reports are due 60 days after the December 31
as-of date, 16 the Federal Reserve proposes to extend the submission window to 65 days. This
would ease potential resource constraints while simultaneously ensuring the timely availability
of the systemic risk data.

14

See 77 FR 76486 (December 28, 2012).

15

Id.

16

Examples of reports due 60 days after December 31 include the FFIEC 101 and Form 10–K (10–K; OMB No.
3235–0063).

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Respondents are required to submit the report electronically using one of the Federal
Reserve’s standard electronic submission applications. The Federal Reserve believes this to be
the most efficient and least burdensome method of submission. The application validates the
report data for mathematical and logical consistency and provides the reporting institution with a
confirmation of receipt of its submission. The application also allows institutions to provide
written comments, if needed.
In the interest of transparency, the public portions of the FR Y-15 are made available on
the FFIEC website (www.ffiec.gov/nicpubweb/nicweb/nichome.aspx).
Legal Status
The FR Y-15 is mandatory pursuant to section 5 of the BHC Act (12 U.S.C. 1844(c)).
Except for those items subject to a delayed release, the individual data items collected on the FR
Y-15 will be made available to the public for report dates beginning December 31, 2013.
Though confidential treatment will not be routinely given to the financial data collected
on the FR Y-15, respondents may request such treatment for any information that they believe is
subject to an exemption from disclosure pursuant to sections (b)(4) or (b)(8) of the Freedom of
Information Act (FOIA) (5 U.S.C. 522(b)(4) and (b)(8)).
Consultation Outside of Agency
The FR Y-15 was derived directly from a data collection developed by the BCBS to
assess the global systemic importance of banks. This data collection was created in consultation
with representatives from numerous national supervisory authorities, including the Federal
Reserve.
On August 30, 2013, the Federal Reserve published a notice in the Federal Register (78
FR 53759) requesting public comment for 60 days on the proposed revisions to the FR Y-15.
The comment period for this notice expired on October 29, 2013.
Public Comments
The Federal Reserve received three comment letters on the proposed revisions to the FR
Y–15: a joint comment letter from three trade associations, another comment letter from a
different trade association, and a comment letter from a banking organization. The comments
focused on the confidential treatment of data submitted on the FR Y–15 (partially with respect to
items based on the Basel LCR) and the submission deadline. Several commenters suggested that
the Federal Reserve rely on other existing data collections in order to reduce reporting burden.
Other comments expressed concern about using Basel II CCF definitions for off-balance-sheet
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items. Commenters requested delayed implementation of the requirements, elimination of the
attestation requirement, and continued confidential treatment of certain FR Y–15 data.
For a detailed discussion of the comments received and the Federal Reserve’s responses,
please refer to the “Detailed Discussion of Public Comments and Federal Reserve Responses”
section of the final Federal Register (78 FR 77128) notice for the FR Y-15.
Sensitive Questions
This collection of information contains no questions of a sensitive nature, as defined by
OMB guidelines.
Estimate of Respondent Burden
The total annual burden for the report is estimated to be 9,900 hours, and would decrease
to 9,735 hours with the proposed revisions, as shown in the following table. The decrease is due
to the elimination of existing data items, which is partially offset by the introduction of new data
items. The Federal Reserve estimates that, with the proposed revisions, each respondent would
take 295 hours annually to complete the FR Y-15. These reporting requirements represent less
than 1 percent of total Federal Reserve System paperwork burden.

Number
of respondents 17

Estimated annual
frequency

Estimated average
hours per response

Estimated annual
burden hours

Current

33

1

300

9,900

Proposed

33

1

295

9,735
Change

-165

The current annual cost to the public for this report is estimated to be $494,010, and
would decrease to $485,777, with the proposed changes. 18

17

Of the 33 respondents required to comply with this information collection, none are small entities as defined by
the Small Business Administration (i.e., entities with less than $500 million in total assets).
18

Total cost to the public was estimated using the following formula: percent of staff time, multiplied by annual
burden hours, multiplied by hourly rate (30% Office & Administrative Support at $18, 45% Financial Managers at
$59, 15% Lawyers at $63, and 10% Chief Executives at $85). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages
2012, www.bls.gov/news.release/ocwage.nr0.htm. Occupations are defined using the BLS Occupational
Classification System, www.bls.gov/soc/.

11

Estimate of Cost to the Federal Reserve System
The estimated cost to the Federal Reserve System for collecting and processing this
report is $28,820.

12