FRY15_20191223_omb

Supporting Statement for the
Systemic Risk Report
(FR Y-15; OMB No. 7100-0352)
Prudential Standards for Large Bank Holding Companies,
Savings and Loan Holding Companies, and Foreign Banking Organizations
(Docket No. R-1658; RIN 7100-AF45)
Summary
The Board of Governors of the Federal Reserve System (Board), under authority
delegated by the Office of Management and Budget (OMB), has extended for three years, with
revision, the Systemic Risk Report (FR Y-15; OMB No. 7100-0352). The FR Y-15 quarterly
report collects systemic risk data from U.S. bank holding companies (BHCs), covered savings
and loan holding companies (SLHCs),1 intermediate holding companies (IHCs) with total
consolidated assets of $50 billion or more, and any U.S. BHC designated as a global systemically
important bank holding company (GSIB).2 Among other purposes, the Board uses the FR Y-15
data to monitor, on an ongoing basis, the systemic risk profile of certain institutions that are
subject to enhanced prudential standards under section 165 of the Dodd-Frank Wall Street
Reform and Consumer Protection Act (Dodd-Frank Act).3
The Board adopted a final rule that establishes risk-based categories for determining
prudential standards for large U.S. banking organizations and foreign banking organizations
(FBOs), consistent with section 165 of the Dodd-Frank Act, as amended by the Economic
Growth, Regulatory Relief, and Consumer Protection Act (EGRRCPA), and with the Home
Owners’ Loan Act (HOLA). The final rule amends certain prudential standards, including
standards relating to liquidity, risk management, stress testing, and single-counterparty credit
limits, to reflect the risk profile of banking organizations under each category; applies prudential
standards to certain large SLHCs using the same categories; makes corresponding changes to
reporting forms; and makes additional modifications to the Board’s company-run stress test and
supervisory stress test rules, consistent with section 401 of EGRRCPA. The final rule is effective
December 31, 2019. Consistent with the final rule, the FR Y-15 has been amended to require
U.S. bank holding companies and U.S. covered savings and loan holding companies with $100
billion or more in total consolidated assets to file the form, as well as foreign banking
organizations with $100 billion or more in combined U.S. assets. These foreign banking
organizations will file all schedules of the FR Y-15 on behalf of their U.S. intermediate holding
companies (Column A) and combined U.S. operations (Column B). The final form also includes
revisions to the title, Schedules A and E, and new Schedules H through N for FBOs. The first asof date for the amended FR Y-15 is June 30, 2020.

1

Covered SLHCs are those that are not substantially engaged in insurance or commercial activities. See 12 CFR
217.2.
2
See 12 CFR 217.402. A U.S. top-tier holding company with total consolidated assets of $50 billion or more that is
a subsidiary of a foreign banking organization must file the FR Y-15. Only the top tier of a multi-tiered holding
company with total consolidated assets of $50 billion or more must file the FR Y-15.
3
Pub. L. No. 111-203 (2010); 12 U.S.C. § 5365.

The current estimated total annual burden for the FR Y-15 is 59,348 hours, and would
increase to 69,316 hours. The adopted revisions would result in an increase of 9,968 hours. The
forms and instructions for the FR Y-15 are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/default.aspx.
Background and Justification
Section 165 of the Dodd-Frank Act directs the Board to establish enhanced prudential
standards, including risk-based capital requirements, for certain large financial institutions.
These standards must be more stringent than the standards applicable to other financial intuitions
that do not present similar risks to U.S. financial stability. Additionally, these standards must
increase in stringency based on several factors, including the size and risk characteristics of a
company subject to the rule, and the Board must take into account the differences among bank
holding companies and nonbank financial companies.
Pursuant to the requirement to establish enhanced risk-based capital standards under
section 165 of the Dodd-Frank Act, the Board published a final rule establishing a GSIB
surcharge on the largest, most interconnected U.S. BHCs in August 2015.4 The GSIB surcharge
is calculated using an indicator-based approach that focuses on those aspects of a BHC’s
operations that are likely to generate negative externalities in the case of its failure or distress.
The rule’s methodologies assess six components of a BHC’s systemic footprint: size,
interconnectedness, substitutability, complexity, cross-jurisdictional activity, and reliance on
short-term wholesale funding. The indicators comprising these six components are reported on
the FR Y-15. More generally, the FR Y-15 report is used to monitor the systemic risk profile of
the institutions that are subject to enhanced prudential standards under section 165.
Additionally, the Dodd-Frank Act requires that the Board consider the extent to which a
proposal would result in greater or more concentrated risks to the stability of the United States
banking or financial system as part of its review of certain banking applications.5 The data
reported on the FR Y-15 are used by the Board to analyze the systemic risk implications of such
applications.
Description of Information Collection
The report consists of the following schedules:
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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
Schedule F - Ancillary Indicators
Schedule G - Short-term Wholesale Funding Indicator

80 FR 49082 (August 14, 2015).
12 U.S.C. §§ 1842(c)(7) and 1828(c)(5).

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Some of the reporting requirements within the schedules overlap with data already
collected in the Consolidated Financial Statements for Holding Companies (FR Y-9C; OMB No.
7100-0128), Country Exposure Report (FFIEC 009; OMB No. 7100-0035), and Regulatory
Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework
(FFIEC 101; OMB No. 7100-0319). Where relevant data are already collected by those reports,
the FR Y-15 automatically populates items based on the source form so that the information does
not need to be reported twice. Automatically-retrieved items are listed in the general instructions
of the FR Y-15 under section H, titled “Data Items Automatically Retrieved from Other
Reports.”
Schedule A - Size Indicator
The Size Indicator Schedule includes items addressing derivative exposures and
securities financing transaction (SFT) exposures. The schedule also includes other on-balance
sheet assets, regulatory adjustments, gross notional amounts of items subject to different credit
conversion factors (0%, 20%, 50%, and 100%) under section 217.33 of the Board’s Regulation Q
- Capital Adequacy of Bank Holding Companies, Savings and Loan Holding Companies, and
State Member Banks (12 CFR 217), securities received as collateral in securities lending, cash
collateral received in conduit securities lending transactions, and credit derivatives sold net of
related credit production bought.
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, unused portion of committed lines extended to other financial
institutions, holdings of securities issued by other financial institutions, net positive current
exposure of SFTs with other financial institutions, and information about over-the-counter
(OTC) derivatives with other financial institutions that have a net positive fair value.
Intra-financial system liabilities include deposits due to depository institutions, deposits
due to non-depository financial institutions, borrowings obtained from other financial
institutions, unused portions of committed lines obtained from other financial institutions, net
negative current exposure of SFTs with other financial institutions, and information about OTC
derivatives with other financial institutions that have a net negative fair value.
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 forms of subordinated funding. Standby letters of credit extended to
other financial institutions are reported as a memorandum item.
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

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agent. These payments are reported by currency. Additional currencies are reported as
memorandum items. Payments made in currencies not listed are also collected. The schedule also
includes assets held as a custodian on behalf of customers, equity underwriting activity, debt
underwriting activity, and unsecured settlement/clearing lines provided.
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, assets valued for accounting purposes using level 3
measurement inputs, and held-to-maturity securities.6
Schedule E - Cross-Jurisdictional Activity Indicators
The Cross-Jurisdictional Activity Indicators Schedule includes foreign claims on an
ultimate-risk basis (i.e., immediate-counterparty claims that have been adjusted, where relevant,
based on the country of residence of the guarantor or collateral provided), 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 gross
revenue, total net revenue, foreign net revenue, gross value of cash provided and gross fair value
of securities provided in SFTs, gross value of cash received and gross fair value of securities
received in SFTs, gross positive fair value of OTC derivative contracts, gross negative fair value
of OTC derivative contracts, and number of jurisdictions where the banking organization has a
branch, a subsidiary, or other entity that is consolidated under U.S. generally accepted
accounting principles.
Schedule G – Short-Term Wholesale Funding Indicator
The Short-Term Wholesale Funding Indicator Schedule captures first, second, and third
tier funding and all other components of short-term wholesale funding. First-tier funding consists
of funding secured by level 1 liquid assets, retail brokered deposits and sweeps, unsecured
wholesale funding obtained outside of the financial sector, and firm short positions involving
level 2B liquid assets or assets that do not qualify as high-quality liquid assets (HQLA).7 Secondtier funding consists of funding secured by level 2A liquid assets and covered asset exchanges.8
6

For definitions of level 1 and level 2 liquid assets, see 12 CFR 249.20. For a definition of level 3 measurement
inputs see Financial Accounting Standards Board (FASB) Accounting Standards Topic 820, Fair Value
Measurements and Disclosures (formerly FASB Statement No. 157, Fair Value Measurements).
7
For the list of assets that are level 2B liquid assets and a definition of HQLA, see 12 CFR 249.20 and 249.3,
respectively.
8
For the list of assets that are level 2A liquid assets, see 12 CFR 249.20.

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Third-tier funding consists of funding secured by level 2B liquid assets, other covered asset
exchanges, and unsecured wholesale funding obtained within the financial sector. The schedule
also captures average risk-weighted assets.
Respondent Panel
The FR Y-15 panel is comprised of top-tier U.S. BHCs, covered SLHCs, IHCs with total
consolidated assets of $50 billion or more, and any U.S. BHC designated as a GSIB.
Adopted Revisions to the FR Y-15
The Board adopted a final rule that establishes risk-based categories for determining
prudential standards for large U.S. banking organizations and foreign banking organizations,
consistent with section 165 of the Dodd-Frank, as amended by the EGRRCPA, and with the
HOLA. The final rule amends certain prudential standards, including standards relating to
liquidity, risk management, stress testing, and single-counterparty credit limits, to reflect the risk
profile of banking organizations under each category; applies prudential standards to certain
large savings and loan holding companies using the same categories; makes corresponding
changes to reporting forms; and makes additional modifications to the Board’s company-run
stress test and supervisory stress test rules, consistent with section 401 of EGRRCPA. The final
rule is effective December 31, 2019.
Consistent with the final rule, the FR Y-15 has been amended to require U.S. bank
holding companies and U.S. covered savings and loan holding companies with $100 billion or
more in total consolidated assets to file the form, as well as foreign banking organizations with
$100 billion or more in combined U.S. assets. These foreign banking organizations will file all
schedules of the FR Y-15 on behalf of their U.S. intermediate holding companies (Column A)
and combined U.S. operations (Column B). The final form also includes revisions to the title,
Schedules A and E, and new Schedules H through N for FBOs. The first as-of date for the
amended FR Y-15 is June 30, 2020.
Time Schedule for Information Collection
The FR Y-15 must be submitted as of the last calendar day of March, June, September,
and December. The submission date for the March, June, and September reports is 50 calendar
days after the as-of date. The submission date for the December report is 65 calendar days after
the as-of date.
Respondents are required to submit the report electronically using the Board’s standard
electronic submission application, Reporting Central. The application validates the report data
for mathematical and logical consistency and provides the reporting institution with a
confirmation of receipt of its submission.

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Public Availability of Data
The FR Y-15 data collection is made available to the public through the National
Information Center at https://www.ffiec.gov/npw, except for items deemed confidential, as
discussed below.
Legal Status
The Board has the authority to require BHCs, SLHCs, FBOs, and IHCs to file the
FR Y-15 pursuant to, respectively, section 5 of the Bank Holding Company Act of 1956 (BHC
Act) (12 U.S.C. § 1844), section 10(b) of the HOLA (12 U.S.C. § 1467a(b)), and section 5 of the
BHC Act, in conjunction with section 8 of the International Banking Act of 1978 (12 U.S.C. §
3106). The FR Y-15 reports are mandatory.
The data collected on the FR Y-15 are made public unless a specific request for
confidentiality is submitted by the reporting entity, either on the FR Y-15 or on the form from
which the data item is obtained. Determinations regarding confidential treatment will be made on
a case-by-case basis based on exemption 4 of the Freedom of Information Act (FOIA), which
protects from disclosure trade secrets and commercial or financial information (5 U.S.C. §
552(b)(4)) A number of the items in the FR Y-15 are retrieved from the FR Y-9C and other items
may be retrieved from the FFIEC 101 and FFIEC 009. Confidential treatment will also extend to
any automatically-calculated items on the FR Y-15 that have been derived from confidential data
items and that, if released, would reveal the underlying confidential data. To the extent
confidential data collected under the FR Y-15 will be used for supervisory purposes, it may be
exempt from disclosure under exemption 8 of the FOIA (5 U.S.C. § 552(b)(8)).
Consultation Outside the Agency
There has been no consultation outside the agency.
Public Comments
On November 29, 2018, the Board published a notice of proposed rulemaking for U.S.
banking organizations in the Federal Register (83 FR 61408) for public comment. The comment
period for this notice expired on January 22, 2019. On May 15, 2019, the Board published a
notice of proposed rulemaking for foreign banking organizations in the Federal Register
(84 FR 21988) for public comment. The comment period for this notice expired on June 21,
2019. The Board did not receive any specific comments related to the Paperwork Reduction Act
(PRA) analysis. On November 1, 2019, the Board published a final rule in the Federal Register
(84 FR 59032). The final rule is effective on December 31, 2019.
Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FR Y-15 is 59,348
hours, and would increase to 69,316 hours with the adopted revisions. The Board estimates that
the changes to the FR Y-15 would increase the respondent count by 6 respondents. The Board

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also estimates that the revisions to the FR Y-15 would increase the estimated average hours per
response by 2 hours and would increase the estimated annual burden by 9,968 hours. These
reporting requirements represent less than 1 percent of the Board’s total paperwork burden.
Estimated
Estimated
Annual
number of
average hours
frequency
respondents9
per response
37
4
401

FR Y-15
Current
Proposed

43

4

Change

403

Estimated
annual burden
hours
59,348
69,316
9,968

The current estimated total annual cost to the public for this collection of information is
$3,418,445 and would increase to $3,992,602 with the adopted revisions.10
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 is $314,400.

9

Of these respondents, none are considered small entities as defined by the Small Business Administration (i.e.,
entities with less than $600 million in total assets), https://www.sba.gov/document/support--table-size-standards.
10
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 $19, 45% Financial Managers at
$71, 15% Lawyers at $69, and 10% Chief Executives at $96). 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 2018, published March 29, 2019, https://www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined
using the BLS Occupational Classification System, https://www.bls.gov/soc/.

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