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pdfSupporting 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, with
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
organization identified as a global systemically important bank (G-SIB) based on their most
recent method 1 score calculation1 that does not otherwise meet the consolidated assets threshold
for BHCs. 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).2
The Federal Reserve proposes to revise the FR Y-15 by (1) adding eight new line items
concerning the calculation of total exposures and intra-financial system liabilities in accordance
with international standards; (2) adding four new line items in order to capture additional
dimensions of a firm’s systemic footprint; (3) deleting five line items that are no longer needed;
(4) revising the definitions for specific line items in accordance with international standards; (5)
allowing respondents to construct their own exchange rates for converting payments data; (6)
changing the total exposures metric so that it reflects average values over the previous three
months; (7) introducing a new schedule to capture short-term wholesale funding; (8) including
savings and loan holding companies (SLHCs) in the respondent panel; (9) moving from annual
to quarterly reporting; and, (10) incorporating instructional clarifications.
The proposed changes would be effective December 31, 2015. The annual burden for the
FR Y-15 report is estimated to be 9,735 hours. The proposed revisions would result in a net
increase in burden of 45,801 hours.
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 (G-SIB surcharge) that increases for G-SIBs 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
1
See 12 CFR 217.402. For the current list of G-SIBs, see 2015 update of list of global systemically important
banks (G–SIBs), 3 November 2015, available at www.financialstabilityboard.org/2015/11/2015-update-of-list-ofglobal-systemically-important-banks-g-sibs/.
2
12 U.S.C. § 5365.
(Basel III).3 Under the standard, a G-SIB must hold common equity tier 1 capital sufficient to
meet the capital conservation buffer, as increased by the G-SIB 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 G-SIB surcharge (the Basel capital
framework), are designed to fortify the capital positions of G-SIBs so that they can absorb losses
and remain going concerns even under stressed financial conditions.
In August 2015, the Federal Reserve published a final rule establishing a G-SIB
surcharge on the largest, most interconnected U.S. BHCs.4 The G-SIB identification
methodology uses an indicator-based approach that focuses on those aspects of a G-SIB’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 is based on a
banking organization’s results relevant to other banking organizations that are also calculating
the systemic risk measures.
The associated G-SIB surcharges, which start at 1 percent of risk-weighted assets,
increase in proportion with the firm’s systemic footprint. The G-SIB surcharge is to be phased in
along with the capital conservation buffer (i.e., between January 2016 and December 2018), so
that it is fully effective starting in January 2019.
The FR Y-15, which was implemented on December 31, 2012,5 was derived from a data
collection developed by the BCBS to assess the global systemic importance of banks. In
addition to (1) facilitating the implementation of the G-SIB surcharge , (2) identifying
institutions which may be designated as domestic systemically important institutions (D-SIBs)
under a future framework, and (3) 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 the DFA.
In 2013 the Federal Reserve revised the FR Y-15 by adding and removing line items,
revising several definitions, updating the reporting criteria to reflect assets as of June 30 instead
of December 31, and incorporating instructional clarifications.6
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 banks. The report consists of the following schedules,
which are each discussed in detail below:
3
The Basel III framework is available at www.bis.org/publ/bcbs189.htm.
4
See 80 FR 49082 (August 14, 2015).
5
The final Federal Register notice was published on December 28, 2012 (77 FR 76484).
6
See 78 FR 77128 (December 20, 2013).
2
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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 of the indicators to determine systemic importance has been outlined by the BCBS.7
It is important to note that some of the reporting requirements overlap with data already
collected in the Consolidated Financial Statements for 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 measures total exposures 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
counterparty exposure of SFTs, potential future exposure of derivative contracts, notional
amount of credit derivatives sold, credit derivatives sold net of related credit protection bought,
credit derivatives sold net of related credit protection bought and adjusted for maturity, the
notional amount of off-balance-sheet 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 offbalance-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 outstanding. Intrafinancial system assets are comprised of funds deposited with or lent to unaffiliated financial
institutions, certificates of deposit, 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,
7
See Global systemically important banks: updated assessment methodology and the higher loss absorbency
requirement, July 2013, available at www.bis.org/publ/bcbs255.htm.
3
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 net positive fair value and
the potential future exposure).
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 net negative fair value and the potential future
exposure).
Securities outstanding include secured debt securities, senior unsecured debt securities,
subordinated debt securities, commercial paper, certificates of deposit, common equity, and
preferred shares and other subordinated funding.
Schedule C - Substitutability Indicators
The Substitutability Indicators Schedule includes the value of payments sent by the
banking organization 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, British pounds, Hong Kong dollars, Indian rupees,
Japanese yen, Swedish krona, 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, available-for-sale (AFS) securities, trading and AFS securities that
meet the definition of level 1 liquid assets, trading and AFS securities that meet the definition of
level 2 liquid assets after haircuts, and assets valued for accounting purposes using Level 3
measurement inputs.8
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.
8
For definitions of level 1 and level 2 liquid assets, see Basel III: The Liquidity Coverage Ratio and liquidity risk
monitoring tools (Jan. 2013), available at 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).
4
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, held-to-maturity securities, and number of jurisdictions.
Proposed Revisions
Schedule A - Size Indicator
In September 2014, the Federal Reserve, together with the Federal Deposit Insurance
Corporation and the Office of the Comptroller of the Currency, revised the definition of “total
leverage exposure” used to calculate a BHC’s supplementary leverage ratio.9 To reflect the
revised leverage ratio standard and accompanying disclosure table, the Federal Reserve proposes
to collect 10 new items: gross-up for derivatives collateral (new item 1(c)), cash variation margin
included as an on-balance sheet receivable (new item 1(e)), exempted central counterparty legs
of client-cleared transactions included in on-balance sheet assets (new item 1(f)), effective
notional amount offsets and potential future exposure (PFE) adjustments for sold credit
protection (new item 1(g)), total derivative exposures (new item 1(h)), SFT indemnification and
other agent-related exposures (new item 2(c)), gross value of offsetting cash payables (new item
2(d)), total SFT exposures (new item 2(e)), other on-balance sheet assets (new item 3(a)), and the
credit exposure equivalent of other off-balance sheet items (new item 4(e)). To maintain
consistency with the exposures definition used in the international G-SIB methodology, the
Federal Reserve proposes to also collect total exposures prior to regulatory deductions (new
item 5).
The Federal Reserve proposes to remove nine line items that are not used in the
calculation. Four of these are provided by respondents [cash collateral netted against the
derivative exposures in item 1(c)(1) (item 1(c)(2)); credit derivatives sold net of related credit
protection bought, adjusted for maturity (item 2(b)(3)); unconditionally cancellable credit card
commitments (item 2(c)(1)); and other unconditionally cancellable commitments (item 2(c)(2))],
two are automatically retrieved from the FR Y-9C [total assets (item 1(a)) and net value of SFTs
(item 1(b)(1)], and three are automatically calculated on behalf of the respondent [total onbalance sheet items (item 1(d)), total off-balance sheet items (item 2(g)), and total exposures
(item 4)].
The Federal Reserve proposes to adjust the position and names of the remaining items to
conform to the revised presentation of the data. This includes moving three of the remaining
items which are not required for the exposures calculation to a new memoranda section.
9
See 79 FR 57725 (September 26, 2014).
5
Consistent with the supplementary leverage ratio adopted in September 2014, the Federal
Reserve proposes to collect average values over the reporting period from advanced approaches
banking organizations.10 For on-balance sheet items, the Federal Reserve proposes collecting
averages using daily data. For off-balance sheet items, the Federal Reserve proposes collecting
averages using monthly data. This would affect the definitions for all items in Schedule A
except for regulatory adjustments (item 3(b)), which would continue to be collected as a pointin-time value. The Federal Reserve proposes providing respondents not subject to the advanced
approaches banking capital framework the option to continue submitting Schedule A using pointin-time data. To allow data users to easily distinguish whether the provided information
represents point-in-time or average data, the Federal Reserve proposes adding a new “Yes/No”
item to Schedule A (item 6) that asks whether or not the holding company has reported the
subcomponents of item 5 using average values over the reporting period.
Schedule B - Interconnectedness Indicators
The intra-financial system assets (IFSA) indicator captures the amount of funds deposited
with and lent to other financial institutions (item 1), while intra-financial system liabilities
(IFSL) only captures deposits. In accordance with the international standard that will be adopted
starting with the end-2015 collection,11 the Federal Reserve proposes to correct this asymmetry
by adding a new item, borrowings obtained from other financial institutions (new item 8), to the
IFSL total.
Under the current definitions, certificates of deposit are included in both the IFSL and
securities outstanding indicators. To eliminate this double counting, the Federal Reserve
proposes to remove certificates of deposit from deposits due to depository institutions (item 7(a))
and deposits due to non-depository institutions (item 7(b)). This change is also scheduled to be
adopted in the international standard starting with the end-2015 collection.12
To capture a more holistic measure of securities holdings, the Federal Reserve proposes
to update the definition of holdings of securities issued by other financial institutions (item 3) to
include the historical cost of equity securities without readily determinable fair values (see FR Y9C, Schedule HC-F, item 4). To mirror the instructions used in the international G-SIB
methodology, the Federal Reserve also proposes to update the definitions for net positive current
exposure of SFTs with unaffiliated financial institutions (item 4) and net negative current
exposure of SFTs with unaffiliated financial institutions (item 10).
IFSA includes the unused portion of committed lines extended to other financial
institutions (item 2). The indicator does not, however, include financial and performance
standby letters of credit, which may represent an important source of intra-financial connectivity.
To capture this value without affecting the IFSA calculation, the Federal Reserve proposes to
10
11
12
See 79 FR 57726 (September 26, 2014).
See Appendix 6 of the Instructions for the end-2014 G-SIB assessment exercise, January 2015, available at
www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.
Ibid.
6
collect standby letters of credit extended to other financial institutions as a memorandum item
(new item M.1).
Schedule C - Substitutability Indicators
Starting with the end-2015 assessment, the international G-SIB methodology will no
longer use a fixed set of exchange rates in converting the payments totals to the reporting
currency.13 In accordance with this change, the Federal Reserve proposes allowing FR Y-15
respondents to construct their own exchange rates using a consistent series of exchange rate
quotations. This is the method already employed for payments data involving currencies that are
outside the scope of the international assessment.
Furthermore, the BCBS has identified three additional currencies that may be important
in measuring the overall substitutability of a firm: Mexican pesos, New Zealand dollars, and
Russian rubles. The Federal Reserve proposes capturing payments made in these currencies over
the last four quarters as memoranda items. For readability, the Federal Reserve also
recommends moving all currencies not listed above (from item 1(m) to item M.4) and unsecured
settlement/clearing lines provided (from Schedule F, item 11 to item M.5).
Schedule D - Complexity Indicators
Two of the items in Schedule D rely on the definitions for level 1 and level 2 liquid
assets. In finalizing the previous revisions to the FR Y-15, the Federal Reserve stated that, “after
the U.S. rule implementing the LCR is finalized, the Federal Reserve will consider aligning the
definitions of level 1 and level 2 assets used in the two items of the FR Y-15 with the definitions
in the U.S. rule.”14 Now that the rule implementing the liquidity coverage ratio (LCR) has been
finalized, the Federal Reserve proposes adopting the level 1, level 2A, and level 2B liquid asset
definitions used in the U.S. rule for the purpose of reporting trading and AFS securities that meet
the definition of level 1 assets (item 7) and trading and AFS securities that meet the definition of
level 2 assets with haircuts (item 8).15 While this revision aligns level 1 and level 2 liquid assets
with the definition of high-quality liquid assets in the U.S. LCR rule, this could, in turn, result in
a more stringent measure of the trading and AFS securities indicator relative to the international
standard.
To enhance readability, the Federal Reserve also proposes to change held-to-maturity
securities to a memoranda item.
Schedule E - Cross-Jurisdictional Activity Indicators
The Federal Reserve proposes no changes to this schedule.
13
Ibid.
14
See 78 FR 77130 (December 20, 2013).
15
See 79 FR 61440 (October, 10, 2014).
7
Schedule F - Ancillary Indicators
The Federal Reserve proposes adopting a more logical ordering of the revenue-related
items (items 3, 4, and 5). As peak equity market capitalization (item 6) is no longer being
captured in the international collection, the Federal Reserve proposes removing the item from the
FR Y-15. To help prevent potential misinterpretations, the Federal Reserve proposes to revise
the instructions for the gross value of cash provided and gross fair value of securities provided in
SFTs (renumbered item 6) and the gross value of cash received and gross fair value of securities
received in SFTs (renumbered item 7). The Federal Reserve proposes to move unsecured
settlement/clearing lines provided (item 11) and held-to-maturity securities (item 12) to other
schedules.
Schedule G – Short-Term Wholesale Funding Indicator
As explained in a recent notice of proposed rulemaking regarding implementation of a
capital requirement for G-SIBs,16 the financial crisis revealed dangers that can emerge as a result
of a firm’s reliance on short-term wholesale funding. During periods of stress, this reliance can
leave firms vulnerable to runs that undermine financial stability. When short-term creditors lose
confidence in a firm or believe other short-term creditors may lose confidence in that firm, those
creditors have a strong incentive to withdraw funding quickly before withdrawals by other
creditors drain the firm of its liquid assets. To meet its obligations, the borrowing firm may be
required to rapidly sell less liquid assets, which it may be able to do only at fire sale prices that
deplete the seller’s capital and drive down asset prices across the market. In a post-default
scenario, fire sale externalities could result if the defaulted firm’s creditors seize and rapidly
liquidate assets the defaulted firm has posted as collateral. Financial distress can spread among
firms as a result of counterparty relationships or because of perceived similarities among firms,
forcing firms to rapidly liquidate assets in a manner that places the financial system as a whole
under significant strain.
Consistent with the view that short-term wholesale funding is a critical component of a
firm’s systemic footprint, the Federal Reserve proposes adding a new schedule (Schedule G) that
captures a firm’s level of short-term wholesale funding. The new schedule would be reported
starting with the December 31, 2016, as-of date and would capture funding secured by level 1
liquid assets (item 1(a)), retail brokered deposits and sweeps (item 1(b)), unsecured wholesale
funding obtained outside of the financial sector (item 1(c)), firm short positions involving level
2B liquid assets or non-HQLA (item 1(d)), total first tier short-term wholesale funding (item
1(e)), funding secured by level 2A liquid assets (item 2(a)), , covered asset exchanges from level
1 to level 2A liquid assets (item 2(b)), total second tier short-term wholesale funding (item 2(c)),
funding secured by level 2B liquid assets (item 3(a)), other covered asset exchanges (item 3(b)),
unsecured wholesale funding obtained within the financial sector (item 3(c)), total third tier
short-term wholesale funding (item 3(d)), all other components of short-term wholesale funding
(item 4), and total short-term wholesale funding, by maturity, after applying the associated
weighting (item 5). Each of these items would be divided into four maturity buckets: funding
with a remaining maturity of 30 days or less (along with funding with no maturity date), funding
16
See 79 FR 75477 (December 18, 2014).
8
with a remaining maturity of 31 to 90 days, funding with a remaining maturity of 91 to 180 days,
and, funding with a remaining maturity of 181 to 365 days. Finally, the new schedule would also
capture total short-term wholesale funding (item 6) calculated as the sum of the subcomponents
in item 5, average risk-weighted assets (item 7), and the short-term wholesale funding metric
(item 8).
Changes to the Reporting Panel
While the original FR Y-15 proposal included SLHCs as respondents, the Federal
Reserve decided to provide an exemption and “publish a separate proposal for comment … after
the regulatory capital rules for SLHCs are finalized.”17 Now that these capital requirements are
in place, the Federal Reserve proposes to add covered SLHCs (i.e., those which are not
substantially engaged in insurance or commercial activities) to the FR Y-15 reporting panel.
Reporting Frequency
To improve the Federal Reserve’s ability to monitor the systemic risk profile of domestic
banking organizations throughout the year, the Federal Reserve proposes to switch from annual
to quarterly reporting starting June 30, 2016. Currently, the Federal Reserve assesses the overall
systemic importance of a firm using a single yearly observation. This snapshot may not
adequately represent the true systemic footprint of the firm throughout the year. Moreover,
should a firm’s systemic footprint change significantly during the year (e.g., due to a
fundamental change in business strategy), this move would not be fully assessed until the next
year-end. More frequent reporting would allow the Federal Reserve to better monitor the
systemic footprint of individual firms as well as the collective systemic footprint of the largest
banking organizations.
The increased frequency would simultaneously provide the market with additional data
on the overall systemic footprint of an institution, allowing market participants to better project
the potential future capital requirements for U.S. G-SIBs. The current international G-SIB
standard involves a relative methodology, where the values of all of the firms are needed in order
to calculate the scores. Thus, firms only have complete information about their surcharge once a
year. This makes it difficult for firms to see the benefits of incremental improvements in their
overall footprint throughout the year. By collecting the required data more frequently, firms
would have additional information about their own systemic footprint vis-à-vis other
respondents, and would be better positioned to predict individual assessment scores under the
BCBS methodology.18
One consequence of moving to quarterly reporting is that the items which measure total
activity over the reporting year would need to be reported over the previous four quarters.
17
18
See 77 FR 76485 (December 28, 2012).
See Global systemically important banks: updated assessment methodology and the higher loss absorbency
requirement, July 2013, available at www.bis.org/publ/bcbs255.htm.
9
Glossary of Terms
Many items are unique to the FR Y-15 (e.g., payments and assets under custody). As
such, there are certain terms that may have a different meaning in the context of the FR Y-15 or
otherwise may not be found in other regulatory reports. To help ensure uniform interpretation of
the instructions, the Federal Reserve proposes to introduce a new glossary of terms that would
contain definitions relevant to the completion of the FR Y-15 report.
Memoranda Items
To improve the readability of the report, the Federal Reserve proposes relabeling certain
items which are not included in the indicator calculations as memoranda items. This would
allow related metrics to be grouped together on the same schedule.
Confidentiality
To better align the timing of the disclosure of LCR-related liquidity data in the FR Y-15,
the revised FR Y-15 delays the release of certain data items until related LCR disclosure
requirements are in place. In particular, the revised FR Y-15 delays disclosing the more granular
short-term funding data (Schedule G, items 1 through 4) until the first reporting date after the
LCR disclosure standard has been implemented.19 However, items 5 through 8, which represent
highly aggregated data, will be publicly available starting with the December 31, 2016 reporting
date.
Instructional Clarifications
The Federal Reserve proposes to incorporate instructional clarifications in response to
comments and questions received from banking organizations over the last two reporting
periods. The Federal Reserve also proposes to integrate relevant definitional adjustments and
clarifications that have been incorporated into the instructions for the international G-SIB
assessment.20
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 the DFA. Given the threshold for enhanced prudential standards provided under DFA,
the reporting requirements 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 G-SIBs that do not otherwise meet the consolidated assets threshold.
Under the current proposal, the respondent panel would be widened to include SLHCs with total
19
Under this approach, should the standard be implemented in 2016, all data in Schedule G would be made
available to the public starting with the December 31, 2016 as-of date.
20
See Instructions for the end-2014 G-SIB assessment exercise, January 2015, available at
www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.
10
consolidated assets of $50 billion or more as of the June 30th prior to the December 31st as-of
date.
Based on data as of June 2015, the FR Y-15 would be filed by approximately 33
domestic BHCs and one SLHC.
Time Schedule for Information Collection and Publication
The FR Y-15 is required to be submitted as of December 31. The submission date for
banking organizations is 65 calendar days after the December 31 as-of-date. Under the current
proposal, banking organizations would also be required to submit data as of March 31, June 30,
and September 30. The submission date for these three quarters would be 50 calendar days after
the as-of date.
To allow extra time to implement and validate the revised calculations, the Federal
Reserve proposes to extend the submission date to 90 calendar days after the December 31,
2015, as-of date. The submission date for subsequent year-end reports will remain 65 days from
the December 31 as-of date. Recognizing the challenges inherent in updating the definitions of
flow variables in the middle of the observation period, the Federal Reserve further proposes
allowing known overestimates when precise totals are unavailable for Schedule C, items 4 and 5,
for the December 31, 2015, as-of date. The Federal Reserve also proposes allowing reasonable
estimates for the newly added memorandum items (Schedule B, item M.1, and Schedule C, items
M.1, M.2, and M.3) for the December 31, 2015, as-of date.
Respondents are required to submit the report electronically using the Federal Reserve’s
standard electronic submission application. 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 FR Y-15 data are made available to the public on the
FFIEC website (www.ffiec.gov/nicpubweb/nicweb/nichome.aspx).
Legal Status
The Federal Reserve Board’s Legal Division determined that the mandatory FR Y-15 is
authorized by the Dodd-Frank Act (sections 163, 165, and 604), the International Banking Act,
the Bank Holding Company Act, and the Home Owners’ Loan Act (12 U.S.C. sections 1467a,
1844, 3106, and 3108).
The Federal Reserve Board’s Legal Division also determined that data collected on the
FR Y-15 includes public information and confidential information. In this respect, data items on
the FR Y-15 that are retrieved from the public portions of the FR Y-9C, that are published only
in aggregate form on the FR Y-15, and other items the release of which has not been determined
to cause competitive harm are not confidential. However, items on the FR Y-15 that are
11
retrieved from non-public portions of the FR Y-9C for which the respondent requested and has
been accorded confidential treatment are exempt from disclosure under Exemption 4 of the
Freedom of Information Act (FOIA) (5 U.S.C. § 552(b)(4)) as confidential commercial
information. The same would be true for any items retrieved from the FFIEC 009 for which the
respondent has requested confidential treatment. To the extent confidential data collected under
the FR Y-15 will be used for supervisory purposes, it may be exempt from disclosure under
Exemption 8 of FOIA (5 U.S.C. § 552(b)(8)). Confidential supervisory information may be
disclosed only to “proper persons” as set forth in 12 U.S.C. § 326 and consistent with the
Board’s Rules Regarding the Availability of Information (12 CFR 261, subpart C). The Board’s
Legal Division will review all requests for disclosure under 12 U.S.C. § 326.
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. The revisions included in the January 2015
version of the international collection, which form the basis for many of the recommendations
made herein, were adopted after consultation with representatives from numerous national
supervisory authorities, including the Federal Reserve.21
On July 9, 2015, the Federal Reserve published a notice in the Federal Register (80 FR
39433) requesting public comment for 60 days on the proposed revisions to the FR Y-15. On
August 20, 2015, the Federal Reserve published a notice in the Federal Register (80 FR 50623)
that included changes to the proposed Schedule G of the FR Y-15 and extended the comment
period for the July 9 notice. The comment period for the FR Y-15 revisions that were proposed
in the two notices expired on October 19, 2015.
Public Comments
The Federal Reserve received four comment letters on the proposed revisions to the
FR Y-15: three letters from trade associations and one letter from a banking organization. The
comments focused on the implementation of the proposed changes, the confidentiality of
liquidity-related items, the move from annual to quarterly reporting, and the scope of application.
Commenters requested delayed implementation of the new definitions, confidential treatment of
liquidity data and quarterly reports, a phase-in of the quarterly reporting requirement, and an
increased reporting threshold.
A detailed discussion of the comments received and the Federal Reserve’s responses are
included below as well as in the “Detailed Discussion of Public Comments and the Federal
Reserve Responses” section of the final Federal Register notice for the FR Y-15 revisions (80
FR 77344).
21
See Instructions for the end-2014 G-SIB assessment exercise, January 2015, available at
www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.
12
Detailed Discussion of Public Comments:
A. Implementation of the Proposed Changes
Commenters expressed concern about the December 31, 2015, implementation date for
the proposed changes. One commenter argued that respondents need six-to-nine months after a
final notice is published to revise and validate their reporting systems, and that changes to items
which measure total activity over the reporting period are particularly difficult to implement
mid-year. Two of the commenters requested that the implementation date be delayed by six
months (to June 30, 2016), with initial submissions being semiannual and on a reasonable
estimates basis, while the other two commenters requested that the implementation date be
delayed by a full year (to December 31, 2016). One commenter suggested that delaying the
implementation date would better allow respondents to incorporate the changes into their capital
planning processes.
In response to the comment that respondents need six or more months to revise and
validate their reporting systems, the vast majority of the proposed changes either align
definitions with other existing regulatory requirements, such as the supplementary leverage ratio
(SLR) and the liquidity coverage ratio (LCR), or provide instructional clarifications that better
ensure uniform reporting. The harmonization of definitions across different regulatory
requirements should facilitate implementation as firms already are working with the definitions
and not pose the implementation challenges associated with reporting new data items. For
example, firms subject to the SLR have been publicly disclosing total leverage exposures
quarterly since March 31, 2015. Thus, these firms should already have the basic systems in
place for calculating the revised Schedule A, which captures the subcomponents of the total
exposures value. Furthermore, all of the data captured on the proposed new Schedule G is an
aggregation of information that respondents will already be collecting in connection with the
LCR22 or on the Consolidated Financial Statements for Bank Holding Companies (FR Y-9C;
OMB No. 7100-0128).
Delaying the implementation date of the proposed changes would cause data collected in
the United States to be inconsistent with the global data used for G-SIB identification and
calculation of the G-SIB surcharge.23 Using the revised indicators in the U.S. implementation of
the G-SIB surcharge, including, for example, the adoption of the SLR definition in Schedule A,
is essential for consistent G-SIB identification. Using indicator values under the old definitions
would undermine the G-SIB assessment, which relies on uniform reporting in order to measure
each institution’s activity on a relative basis.
Considering the number and type of changes being made, along with the need to remain
consistent with the international standard, the Board is maintaining an effective date of
22
23
See 80 FR 71795 (November 17, 2015).
The Basel Committee on Banking Supervision published in January a list of indicator changes that will take
effect starting with the end-2015 G-SIB assessment. See Appendix 6 of Instructions for the end-2014 G-SIB
assessment exercise, Basel Committee on Banking Supervision, January 2015, available at
www.bis.org/bcbs/gsib/instr_end14_gsib.pdf.
13
December 31, 2015, as proposed. However, to allow extra time to implement and validate the
revised calculations, the Board is extending the submission date for the end-2015 report from 65
calendar days to 90 calendar days after the December 31, 2015, as-of date. The submission date
for subsequent year-end reports is 65 days from the December 31 as-of date.
According to the proposal, the new schedule designed to capture short-term wholesale
funding (Schedule G) would be reported starting with the June 30, 2016, as-of date. This date
was chosen in coordination with the proposed July 1, 2015, implementation of the Complex
Institution Liquidity Monitoring Report (FR 2052a; OMB No. 7100-0361), as Schedule G relies
on observations made in this report over the previous four quarters. In the proposal, the Board
noted that “the effective date for banking organizations to report Schedule G may be delayed
pending the implementation of the requirement for such organizations to report data on the
FR 2052a”.24 With the liquidity reports now being implemented in December 2015,25 the
effective date of Schedule G needs to be adjusted accordingly. To reflect the final
implementation date of the FR 2052a, the Board is extending forward the effective date of
Schedule G (from June 30, 2016) to December 31, 2016.
According to the proposal, respondents with total assets of $700 billion or more or with
$10 trillion or more in assets under custody would be required to report average values on
Schedule G using daily data, with all other respondents reporting averages using monthly data.
The proposal further stated that respondents with $250 billion or more in on-balance sheet assets
or $10 billion or more in foreign exposures would begin reporting average values using daily
data starting with the end-June 2017 as-of date. These dates were chosen to correspond with the
proposed submission frequency of the FR 2052a, so that respondents would be reporting
averages commensurate with the availability of the underlying data.
The finalized FR 2052a reporting requirement no longer includes a transition from
monthly to daily data for firms with $250 billion or more in on-balance sheet assets or $10
billion or more in foreign exposures.26 Moreover, foreign banking organizations (FBOs)
identified as LISCC firms are required to provide FR 2052a data daily.27 To align the reporting
requirement for Schedule G with the availability of the FR 2052a data, the Board is requiring
respondents that have reported the FR 2052a data daily for the twelve months up to and
including the as-of date, to report average short-term wholesale funding values using daily data,
rather than monthly data. All other respondents would report average values using monthly data.
Importantly, this approach would ensure that the Schedule G reporting criteria matches data
availability even when a firm changes their FR 2052a reporting frequency.
Several commenters requested that the first submission after the effective date be made
on a reasonable-estimates basis. It would be inappropriate to allow respondents that have
24
See 80 FR 39435 (July 9, 2015).
25
See 80 FR 71795 (November 17, 2015).
26
Ibid.
27
A list of the LISCC firms can be found at www.federalreserve.gov/bankinforeg/large-institution-supervision.htm.
14
previously submitted data used in the G-SIB score calculations (i.e., method 1 and method 2 of
the U.S. G-SIB rule)28 to instead submit estimates for these items, unless such estimates are
explicitly permitted in the reporting instructions. However, the Board does recognize the
challenges inherent in updating the definitions of items which measure total activity over the
reporting period in the middle of the observation window. As known overestimates are already
permitted for the payments activity items (see instructions for Schedule C, item 1), the revised
FR Y-15 instructions temporarily extend this treatment to the underwriting data. Accordingly,
the Board is allowing firms to include known overestimates when precise totals are unavailable
for Schedule C, items 4 and 5, for the December 31, 2015, as-of date.
The revised FR Y-15 allows the newly added memorandum items to be submitted on a
reasonable-estimates basis, as they do not currently influence the G-SIB score calculation.
Specifically, reasonable estimates are allowed for Schedule B, item M.1, and Schedule C, items
M.1, M.2, and M.3, for the December 31, 2015, as-of date.
Under the proposal, the exposures data in Schedule A would have been calculated using
average values over the reporting period. This was done to align the FR Y-15 reporting
requirements with the SLR, as advanced approached institutions are already required to calculate
the related exposures metric using averages.29 One commenter noted that BHCs not subject to
the SLR requirement would only be calculating the SLR data for the purposes of the FR Y-15.
The shift from point-in-time measures to quarterly averages would represent a notable
increase in the reporting burden for these institutions. To mitigate the burden associated with the
total exposures calculation, the revised FR Y-15 provides respondents not subject to the
advanced approaches capital framework the option to continue submitting Schedule A using
point-in-time data. To allow data users to easily distinguish whether the provided information
represents point-in-time or average data, the revised FR Y-15 adds a new “Yes/No” item to
Schedule A (item 6) that asks whether or not the holding company has reported the
subcomponents of item 5 using average values over the reporting period.
One commenter argued that it would be difficult to calculate securities received as
collateral in securities lending (item M.1) as an average of daily data, and suggested that quarterend values may be sufficiently informative for monitoring systemic risk. To mitigate the burden
associated with the memoranda items, the revised FR Y-15 requires respondents to provide
Schedule A, items M.1, M.2, and M.3 as point-in-time values rather than averages.
IHC Reporting
On February 18, 2014, the Board adopted a final rule implementing enhanced prudential
standards for foreign banking organizations (FBOs),30 which, among other things, requires an
FBO with U.S. non-branch assets of greater than $50 billion to establish a U.S. intermediate
28
See 80 FR 49082 (August 14, 2015).
29
See 12 CFR 217.10.
30
See 79 FR 17239 (March 27, 2014).
15
holding company (IHC) by July 1, 2016, to which it must transfer its entire ownership interest in
all U.S. BHCs, U.S. insured depository institutions, and U.S. subsidiaries.31 Currently, the Board
has not proposed reporting requirements for IHCs, which, as noted in the preamble to the final
rule implementing enhanced prudential standards for FBOs, would be addressed at a later date.32
Nonetheless, two commenters argued that additional consideration should be given to an FBO
that is required to establish an IHC, but which will not be designating an existing U.S. BHC
subsidiary as its IHC. They noted that U.S. non-bank subsidiaries of FBOs not currently subject
to the FR Y-15 reporting requirements will need to be integrated into the consolidated figures
once the IHC is formed. The commenters requested that the implementation date for these IHCs
be delayed until June 30, 2017, with initial submissions being semiannual and on a reasonable
estimates basis.
At such time that the Board proposes reporting requirements for IHCs, it would invite
comment through the Federal Register notice and comment process, and would evaluate the
particular circumstances and challenges surrounding IHC formation vis-à-vis the full spectrum of
Board regulatory reporting requirements.
B. Confidentiality
Two commenters argued that Schedule G, which would collect data related to a firm’s
use of short-term wholesale funding, contains sensitive liquidity information. All of the
commenters noted that certain information in the schedule is expected to be added in the future
to a different regulatory reporting form, the FR 2052a, which is a confidential report. The
commenters requested that Schedule G be kept confidential, arguing that the confidentiality of
similar data elements should match across different regulatory reports. Alternatively, one
commenter suggested using a materiality threshold to determine when the data in Schedule G
would be publically disclosed. Two commenters requested that Schedule D, items 7 and 8 also
be kept confidential, as these items, under their revised definitions, would likewise be sourced
from the FR 2052a.
In contrast to the FR 2052a, which collects raw, daily liquidity and funding data that are
reported with a two-day delay, Schedule G collects aggregate funding data that are averaged over
a twelve-month period and reported with a 50-day delay for quarterly submissions and a 65-day
delays for annual submissions. For these reasons, the data reported in Schedule G is
fundamentally different from the related items that are reported in the FR 2052a. Disclosing the
data in Schedule G therefore does not present the same confidentiality concerns as would
disclosing the data in the FR 2052a, because the data in Schedule G are aggregate rather than
granular data, averaged over a 12-month period rather than not averaged, and reported with a 50day or 65-day delay rather than with a two-day delay.
31
32
See 12 CFR 252.153.
Under the current FR Y-15 reporting requirements, IHCs with a U.S. bank subsidiary and $50 billion or more in
total consolidated assets would be required to file the FR Y-15 starting with the first as of date after the IHC is
established.
16
Moreover, releasing the data reported in the FR Y-15, including the information captured
in Schedule G, serves the important policy goal of providing valuable insight into the domestic
systemic risk landscape. This data could be used by the U.S. financial markets to evaluate the
systemic footprint of individual firms. In particular, disclosing the short-term wholesale funding
data in Schedule G provides public insight into how the Board is evaluating the systemic
footprint of organizations subject to section 165 of DFA, including how enhanced prudential
standards are applied to these organizations in accordance with their relative systemic
importance. In addition to increasing transparency, providing this type of data to the public
encourages market discipline regarding incremental changes in systemic risk.
To better align the timing of the disclosure of LCR-related liquidity data in the FR Y-15,
the revised FR Y-15 maintains the confidentiality of certain data items (and delays the public
release of certain data items) until related LCR disclosure requirements are in place. In
particular, the revised FR Y-15 delays disclosing the more granular short-term funding data
(Schedule G, items 1 through 4) until the first reporting date after the LCR disclosure standard
has been implemented.33 However, for the reasons stated above, items 5 through 8 in Schedule
G, which represent highly aggregated data, will be publicly available starting with the
December 31, 2016 reporting date.
The items in Schedule D related to the LCR are essential components of the trading and
available-for-sale (AFS) securities indicator that are already disclosed publicly as part of the
FR Y-15. The proposed revisions to the FR Y-15 would have harmonized certain definitions in
Schedule D with the definitions used in the U.S. LCR to reduce reporting burden and enhance
regulatory consistency.34 Such harmonization should not significantly alter the sensitivity of the
information being collected. The data under the revised definitions are similar in nature to the
data captured currently, and the current data are already being publically disclosed. Moreover,
the submission deadlines allow for a 65-day and a 50-day reporting lag from the observation date
for annual and quarterly reporting, respectively. Thus, any potential insight into the liquidity
position of the respondent is generally very stale by the time the information is released to the
public, and the information therefore does not appear to represent a trade secret or confidential
business information at the time that it is made public. With these considerations, items 7 and 8
of Schedule D in the revised FR Y-15 will continue to be made available to the public.
C. Reporting Frequency
Under the proposal, the reporting frequency of the FR Y-15 would have been modified
from annual to quarterly starting with the reporting period ending March 31, 2016. Two
commenters argued that the increased frequency is unnecessary because the systemic footprint of
a BHC is unlikely to change significantly on a quarterly basis and that other supervisory
mechanisms exist that could be leveraged to assess the systemic risk profile of BHCs. One
33
Under this approach, should the standard be implemented in 2016, all data in Schedule G would be made
available to the public starting with the December 31, 2016 as-of date.
34
As noted in the initial Federal Register notice, “[w]hile this revision aligns level 1 and level 2 liquid assets with
the definition of high-quality liquid assets in the U.S. LCR rule, this could, in turn, result in a more stringent
measure of the trading and AFS securities indicator relative to the international standard” (80 FR 39433, July 9,
2015). This is due to the more narrow scope of the U.S. LCR definitions.
17
commenter further suggested that a large merger is the most likely source of a major short-term
change to the systemic risk profile of a non-G-SIB and that such changes will receive separate
scrutiny regarding systemic risk. The commenters requested that the annual reporting frequency
be maintained. To further alleviate reporting burden, one of the commenters suggested
staggering the due dates of the various schedules so that the report is collected in stages
throughout the year.
An institution’s systemic profile is not necessarily static throughout the year, especially
to the extent that a firm takes active steps to reduce their systemic footprint. Large year-overyear changes have been observed in the past and may continue to be observed in the future as
firms react to the implementation of the G-SIB framework. Under the current reporting regime,
any large changes in systemic footprint are only observed at year-end.
The supervisory mechanisms suggested by commenters such as the Comprehensive
Capital Analysis and Review (CCAR), the Dodd-Frank Act Stress Tests (DFAST), and
resolution planning, are not adequate substitutes for the FR Y-15 as they were not designed to
capture the systemic footprint of an institution. The FR Y-15 report provides consistent and
comparable measures of systemic risk that, unless otherwise noted, are unavailable from other
sources.35 Furthermore, the Board’s review of risks to financial stability for proposed mergers
and acquisitions relies, in part, on the data provided in the FR Y-15 report.
Staggering the due dates of the schedules would increase the collection frequency without
increasing the number of observations made in a single year. Thus, this approach would not
allow for the monitoring of changes in an institution’s systemic footprint throughout the year.
Finally, the year-end values currently being reported may not be indicative of an
institution’s systemic footprint throughout the year. Quarterly reporting would allow for a more
robust assessment of a firm’s overall systemic footprint. For all these reasons, the revised FR Y15 requires quarterly reporting, as proposed.
A number of commenters requested that non-year-end data be kept confidential. One
commenter noted that other jurisdictions do not require quarterly disclosures of the G-SIB data
and argued that releasing the quarterly information could put U.S. BHCs at a competitive
disadvantage compared to their foreign competitors who disclose the data on a less frequent
basis.
Releasing the data reported on the FR Y-15 helps promote important policy goals, such
as transparency and market discipline. As previously stated, the FR Y-15 currently provides
valuable information about the domestic systemic risk landscape that can be used by the market
to evaluate the systemic importance of individual institutions on a national level.36 An increased
disclosure frequency would provide the public with the ability to better monitor how firm actions
35
36
Items on the FR Y-15 that are available on other reports submitted to the Federal Reserve are populated
automatically (see General Instructions, Section H).
See 78 FR 77128 (December 20, 2013).
18
affect the systemic footprint of an institution throughout the year. Moreover, firms would be
better positioned to evaluate how changes in their systemic activities compare with those of other
respondents. This comparison is important as the G-SIB determination process relies on a
relative methodology.37 Furthermore, there are numerous examples where U.S. disclosure
requirements have extended beyond the requirements of other countries. U.S. institutions have
remained very competitive in international markets despite the more comprehensive disclosure
regime. Consistent with the current treatment of the annual data and considering the public
purposes that would be served by additional disclosure, the revised FR Y-15 requires that the
quarterly reports be made publicly available.
One commenter noted that the technical challenges associated with switching to a more
frequent data collection are compounded by the number of additional reporting requirements that
will be implemented in the coming year (e.g., the FR 2052a). Two commenters requested that
the quarterly reporting requirement be phased in, with semi-annual reporting in 2016 and
quarterly reporting beginning in 2017.
In light of the technical challenges associated with the shift to more frequent reporting,
including implementing and testing quarterly reporting systems, the revised FR Y-15 delays
implementation of the quarterly reporting requirement for three months, to June 30, 2016.
Two commenters requested that the submission deadline for quarterly reports be
extended to 65 calendar days after the quarter-end to avoid overlap with other reports that
contain source data for the FR Y-15. One commenter noted that such an extension would align
the quarter-end and year-end filing requirements.
Staff supports the use of staggered submission dates, where feasible, in order to ease
potential resource constraints. The proposed 50-day submission deadline was chosen after
considering the due dates of other major quarterly reports, including those which contain source
data for the FR Y-15.38 Extending the submission date an additional 15 days would make the
deadline substantially later than the deadline for other quarterly reports. To ensure the timely
availability of systemic risk data, the revised FR Y-15 maintains the proposed submission
deadline of 50 calendar days after the quarter-end.
There may be instances in the future where data is sourced from another report that is not
yet due to be submitted at the time the FR Y-15 is due.39 In these cases, the Board will allow
respondents to submit the FR Y-15 with the data items from the other report left blank.
Respondents will then need to resubmit the report after the source form has been filed so that the
missing data is automatically populated.
37
See 80 FR 49082 (August 14, 2015).
38
Certain items on the FR Y-15 are populated based on data reported on the FR Y-9C and the Country Exposure
Report (FFIEC 009; OMB No. 7100-0035). The FR Y-9C must be submitted within 40 calendar days after
quarter-end and the FFIEC 009 must be filed 45 days after quarter-end.
39
For example, should the leverage exposures data become available on a revised version of the Risk-Based Capital
Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101; OMB No. 71000319), the quarterly data would not be available until 60 days after the quarter-end for institutions in parallel run.
19
D. Reporting Criteria
The FR Y-15 is collected from BHCs with total consolidated assets of $50 billion or
more. One commenter argued that this threshold may not be appropriate as it scopes in many
BHCs that do not materially engage in the activities covered in the report. The commenter
further noted that these BHCs are not subject to the G-SIB capital rule, which relies on the data
captured in the FR Y-15 to inform G-SIB designation. The commenter requested that the
respondent panel be limited to only those institutions covered by the G-SIB rule (i.e., advanced
approaches banking organizations that are not subsidiaries of FBOs) or that smaller institutions
be permitted to only submit annually based on information already available in other regulatory
reports.
A second commenter argued that it may not be appropriate to include regional banking
organizations in the reporting panel as they have systemic scores that are significantly smaller
than those of the G-SIBs. To alleviate the reporting burden on smaller institutions, the
commenter suggested raising the reporting threshold to $300 billion so that only G-SIBs are
subject to the reporting requirement. A third commenter questioned the necessity of collecting
Schedule G data from BHC subsidiaries of FBOs, as these institutions are not subject to the U.S.
G-SIB rule.
While the data on the FR Y-15 is indeed used to inform G-SIB designation,40 the
information being captured has a broader purpose. The report was primarily designed to
monitor, on an ongoing basis, the systemic risk profile of institutions subject to enhanced
prudential standards under section 165 of DFA.41 This monitoring includes BHC subsidiaries of
FBOs, which can have substantial systemic footprints within the United States. The information
is also used to analyze the systemic risk implications of proposed mergers and acquisitions, and
to identify depository institutions that present potential systemic risks.
To maintain an informed view of the macroprudential risks associated with banking
organizations, it is important to look beyond the footprints of the eight U.S. G-SIBs. This
principal applies, for example, in the G-SIB designation process, where all U.S. top-tier bank
holding companies that are advanced approaches institutions must calculate a measure of
systemic importance.42 To identify institutions that may pose systemic risks at the domestic
level, it is essential to look at an even wider group.
Institutions not subject to the G-SIB capital rule can have material systemic footprints.
While systemic risk can arise due to the solitary actions of a very large firm, it may also arise due
to the interactions between firms. Through their interconnectedness, complexity, and facilitation
of critical banking activities, institutions which have not been designated as G-SIBs may still
play a systemically-important role in the U.S. banking system.
40
See 80 FR 49082 (August 14, 2015).
41
See 78 FR 77128 (December 20, 2013).
42
80 FR 49082 (August 14, 2015).
20
Moreover, reducing the reporting scope to only those institutions subject to the G-SIB
rule would dramatically limit the number of respondents. Adopting a more restricted reporting
requirement could incentivize non-respondents to pursue additional systemic activities,
especially those which would not affect their reporting status. Any increases in systemic
footprint that result may then go unobserved.
For the reasons outlined above, the revised FR Y-15 applies to all bank holding
companies with total consolidated assets of $50 billion or more, which is consistent with the
asset threshold in section 165 of DFA. Moreover, as short-term wholesale funding is a critical
component of the systemic risk profile that the FR Y-15 was designed to assess, Schedule G
applies to all respondents, including subsidiaries of FBOs.
E. Specific Data Items
General Instructions
The FR Y-15 instructions direct respondents to provide a brief explanation of any
unusual changes from the previous report. One commenter noted that unusual changes is not
explicitly defined. The commenter also suggested that it would reduce administrative burden if
explanations were submitted electronically.
The revised FR Y-15 instructions state that unusual changes are differences that are not
attributable to general organic growth and/or standard fluctuations in the business cycle. The
FR Y-15 is not the only report with the unusual changes provision (e.g., the FR Y-9C also
contains this concept).
One commenter requested that mapping information be made available for data elements
derived from other sources, such as a mapping between Schedule A and the SLR disclosures, and
a mapping between Schedule G and the FR 2052a.
Mapping information for data items automatically retrieved from other reports is already
provided in Section H of the General Instructions of the FR Y-15. Should additional items
become available in other regulatory reports, the instructions would be updated such that these
items are automatically retrieved and no additional reporting is required. To ease reporting
burden and ensure data comparability, the revised FR Y-15 includes additional information in the
reporting instructions regarding the connection between the items in Schedule A and the SLR
disclosure tables. The Board will provide information regarding the connection between
Schedule G and the FR 2052a prior to the Schedule G effective date.
Schedule A
Two commenters noted that the SLR rule permits the netting of certain on-balance sheet
securities financing transactions (SFTs), but that SFT items in the FR Y-15 require gross
reporting. They requested that SFTs be reported on a net basis throughout the report where the
underlying transaction meets the netting criteria specified in the SLR.
21
Schedule A, item 2(a) is intended to mirror the requirements under the SLR and the
revised reporting instructions clarify this point. However, Schedule F, item 6 and 7 are not
intended to mirror the requirements under the SLR. Therefore, the revised FR Y-15 maintains
the current reporting definitions for the SFT items in Schedule F, as they mirror the international
standard and thus promote comparability.
Under the proposal, regulatory adjustments (Schedule A, item 3(b)) would be reported as
a quarterly average of daily data. One commenter argued that this treatment diverges from the
method used for the purposes of the SLR and that the calculation would be challenging to
implement. The commenter requested that respondents be permitted to report regulatory
adjustments as point-in-time data. In response, the revised FR Y-15 collects regulatory
adjustments using point-in-time data, consistent with the requirement in the SLR.
Schedule B
One commenter noted that the instructions for Schedule B, item 3(f) appear to exclude
the short legs of derivatives used to hedge the equity securities reported in Schedule B, item 3(e).
The commenter requested that the instructions be amended to explicitly include these
derivatives, as doing so would be consistent with the international standard. In response, the
instructions to the FR Y-15 have been revised to include these derivatives.
Two commenters noted that the proposed revisions appear to expand the scope of items
capturing over-the-counter (OTC) derivatives to also include exchange-traded derivatives. The
commenters expressed concern that the derivative items under an expanded scope would be
inconsistent with the international standard.
The revisions in question were not intended to alter the scope of the OTC derivatives
items. In response, the revised FR Y-15 reverts to the original line names for the OTC derivative
items throughout the report to make it clear that exchange-traded derivatives should not be
reported.
One commenter argued that including in Schedule B special purpose entities (SPEs) that
are a part of a consolidated financial institution would be very difficult to operationalize, as the
consolidation status of such entities is not generally public information. Considering this
operational challenges, the revised FR Y-15 removes this requirement. The Board may revisit
reporting requirements for SPEs in the future.
Schedule D
One commenter noted that Level 3 trading assets are being counted both in the trading
and AFS securities indicator and in the Level 3 assets indicator. The commenter expressed
concern that this results in counting the same assets twice within a single indicator.
The trading and AFS securities indicator is a separate and distinct indicator from the one
capturing Level 3 assets. Thus, Level 3 trading assets are not being double counted within the
22
same indicator. Accordingly, the revised FR Y-15 maintains the current treatment of Level 3
assets in the trading and AFS securities indicator.
Technical Clarifications
Commenters asked for a number of technical clarifications regarding specific data items
on the FR Y-15 form. The revised FR Y-15 instructions address these questions and others that
have been received.
Estimate of Respondent Burden
As shown in the following table, the current annual burden for the report is estimated to
be 9,735 hours and would increase to 55,536 hours with the proposed revisions. This change is
due primarily to the increased reporting frequency. The revised estimate is also influenced by an
increased average response time (attributable to the new data items) and an increase in the size of
the respondent panel by one respondent. The Federal Reserve estimates that, with the proposed
revisions, each respondent would require 401 hours to complete the FR Y-15. The total annual
burden for the FR Y-15 represents less than one percent of the total Federal Reserve System
paperwork burden.
Estimated
Estimated
Number of
Annual
average
hours
annual
burden
respondents43 frequency
per response
hours
FR Y-15
Current
BHCs
Proposed
Implementation Burden:
SLHCs
Ongoing Burden:
BHCs and SLHCs
33
1
295
9,735
1
1
1,000
1,000
34
4
401
54,536
Change
45,801
The current annual cost to the public for this report is estimated to be $503,786 and
would increase to $2,873,988 with the proposed changes.44
43
Of the 34 respondents required to comply with this information collection, none are considered small entities as
defined by the Small Business Administration (i.e., entities with less than $550 million in total assets).
44
Total cost to the public was estimated using the following formula: percent of staff time, multiplied by annual
burden hours, multiplied by hourly rates (30% Office & Administrative Support at $17, 45% Financial Managers
at $63, 15% Lawyers at $64, and 10% Chief Executives at $87). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and
Wages May 2014, published March 25, 2015, www.bls.gov/news.release/ocwage.nr0.htm. Occupations are
defined using the BLS Occupational Classification System, www.bls.gov/soc/.
23
Sensitive Questions
This collection of information contains no questions of a sensitive nature as defined by
OMB guidelines.
Estimate of Cost to the Federal Reserve System
The estimated cost to the Federal Reserve System for collecting and processing this
report are $7,500 for one-time costs and $130,200 for ongoing costs.
24
| File Type | application/pdf |
| File Modified | 2015-12-17 |
| File Created | 2015-12-17 |