Libor Self-Assessment

ICR 202106-1557-002

OMB: 1557-0349

Federal Form Document

Forms and Documents
Document
Name
Status
Form
Unchanged
Supporting Statement A
2021-06-23
IC Document Collections
IC ID
Document
Title
Status
245291 Unchanged
ICR Details
1557-0349 202106-1557-002
Received in OIRA 202101-1557-007
TREAS/OCC
Libor Self-Assessment
Extension without change of a currently approved collection   No
Regular 07/13/2021
  Requested Previously Approved
36 Months From Approved 07/31/2021
1,096 1,096
8,768 8,768
0 0

The expected cessation of the London InterBank Offered Rate (Libor) by the end of 2021 prompted the OCC to create a self-assessment tool that banks may use in preparing for the expected Libor cessation. The self-assessment tool may be used when a bank is assessing the appropriateness of its Libor transition plan, execution of the plan by its management, and related matters. The Intercontinental Exchange Libor is a reference rate that is intended to reflect the cost of unsecured interbank borrowing. Libor is published daily in five currencies with seven maturities ranging from overnight to 12 months. It is used globally in the over-the-counter derivatives market, bonds, loan products, and securitizations. As of the end of 2016, $199 trillion of financial instruments were exposed to U.S. dollar (USD) Libor as the primary reference rate. While reference rates have ceased to be reported in the past, the significant exposure to Libor creates the need to assess whether a bank is identifying applicable risks, preparing for the cessation, and successfully transitioning to replacement rates. Libor is referenced globally, and its cessation could affect banks of all sizes through direct or indirect exposure. There is risk of market disruptions, litigation, and destabilized balance sheets if acceptable replacement rate(s) do not attract sufficient market-wide acceptance, or if contracts cannot seamlessly transition to new rate(s). A bank’s risk exposure from expected Libor cessation depends on the bank’s specific circumstances. Many community banks may not offer products or services that use Libor. Community banks could, however, have Libor exposure in such positions as Federal Home Loan Banks (FHLB) borrowings, mortgage-backed securities, or bonds in the banks’ investment portfolios. Libor exposure can exist on or off the balance sheet, including assets, liabilities, , and asset management activities. Risk can also emanate from third-party relationships because Libor is often used in pricing models, financial models, and other parts of banks’ infrastructure, such as core processing. The ubiquity of LIBOR, present in over $200T notional contracts, makes moving off the rate incredibly complicated. Many existing contracts do not include sufficient provisions in the event that Libor becomes unavailable (known as fallback provisions). Without preparation, Libor cessation could cause market disruption and present risks to banks and their customers. In addition, the fallback language does not sufficiently account for a permanent cessation of LIBOR. The banking agencies published a statement dictating that banks should discontinue making LIBOR exposure by the end of 2021, but as soon as practicable (with a few exceptions for orderly market support).

None
None

Not associated with rulemaking

  86 FR 14681 03/17/2021
86 FR 36863 07/13/2021
No

1
IC Title Form No. Form Name
Libor Self-Assessment Tool N/A Libor Self-Assessment Tool

  Total Request Previously Approved Change Due to New Statute Change Due to Agency Discretion Change Due to Adjustment in Estimate Change Due to Potential Violation of the PRA
Annual Number of Responses 1,096 1,096 0 0 0 0
Annual Time Burden (Hours) 8,768 8,768 0 0 0 0
Annual Cost Burden (Dollars) 0 0 0 0 0 0
No
No

No
    No
    No
No
No
No
No
Christopher McBride 202 649-6402

  No

On behalf of this Federal agency, I certify that the collection of information encompassed by this request complies with 5 CFR 1320.9 and the related provisions of 5 CFR 1320.8(b)(3).
The following is a summary of the topics, regarding the proposed collection of information, that the certification covers:
 
 
 
 
 
 
 
    (i) Why the information is being collected;
    (ii) Use of information;
    (iii) Burden estimate;
    (iv) Nature of response (voluntary, required for a benefit, or mandatory);
    (v) Nature and extent of confidentiality; and
    (vi) Need to display currently valid OMB control number;
 
 
 
If you are unable to certify compliance with any of these provisions, identify the item by leaving the box unchecked and explain the reason in the Supporting Statement.
07/13/2021


© 2021 OMB.report | Privacy Policy