FR2510_20220524_omb

Supporting Statement for the
Report of Institution-to-Aggregate Granular Data on
Assets and Liabilities on an Immediate Counterparty Basis
(FR 2510; OMB No. 7100-0376)
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,
without revision, the Report of Institution-to-Aggregate Granular Data on Assets and Liabilities
on an Immediate Counterparty Basis (FR 2510; OMB No. 7100-0376). The FR 2510 collects
granular exposure data on the assets, liabilities, and off-balance sheet holdings of certain large
banking organizations, providing breakdowns by country, instrument, currency, maturity, sector,
and other factors, and also collects country exposure data on an immediate counterparty basis
and detailed information on firms’ derivatives exposures. The respondent panel consists of bank
holding companies (BHCs) headquartered in the United States that are global systemically
important BHCs (U.S. G-SIBs) under the Board’s Regulation Q - Capital Adequacy of Bank
Holding Companies, Savings and Loan Holding Companies, and State Member Banks (12 CFR
Part 217).1 The information collected by the FR 2510 supports the Board’s supervision of U.S.
G-SIBs by allowing for a more complete balance sheet analysis of these firms and allows the
Board to more closely monitor the systemic impacts of such firms’ activities and investments.
The estimated total annual burden for FR 2510 is 18,176 hours. The form and instructions
are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/default.aspx.
Background and Justification
Section 5(c) of the Bank Holding Company Act of 1956 (12 U.S.C. § 1844(c)) authorizes
the Board to require an BHC, and any subsidiaries thereof, to submit reports on its financial
condition, systems for monitoring and controlling financial and operating risks, and transactions
with depository institution subsidiaries of the BHC. Additionally, promoting financial stability is
a key element in meeting the Federal Reserve’s dual statutory mandate for monetary policy
regarding full employment and stable prices.
In 2019, the FR 2510 was implemented in the United States as an internationally agreed
upon common data template for G-SIBs (global Institution-to-Aggregate (I-A) template)
designed to facilitate the aggregation and analysis of consistent and comparable data from
G-SIBs based in different jurisdictions. The global I-A template was developed by the Board in
cooperation with the Financial Stability Board. Implementation of the global I-A template was
1

See 12 CFR Part 217, Subpart H; see also 12 CFR 217.400(b)(1) (applying Subpart H to an BHC that is an
advanced approaches Board-regulated institution or a Category III Board-regulated institution but is not a
consolidated subsidiary of an BHC and is not a consolidated subsidiary of a foreign banking organization). As of
November 2020, the U.S. G-SIBs are JP Morgan Chase & Co., Bank of America Corporation, Wells Fargo &
Company, Citigroup Inc., the Goldman Sachs Group, Inc., Morgan Stanley, the Bank of New York Mellon
Corporation, and State Street Corporation.

coordinated with respective host-country jurisdictions for G-SIBs through an International Data
Hub (IDH) hosted by the Bank for International Settlements (BIS). Through this mechanism,
data collected via the FR 2510 is gathered and transmitted securely to the IDH. The IDH
combines the data with corresponding data from other jurisdictions to produce analytical reports
containing unique and authoritative aggregation and comparisons of banks’ positions.
The information collected via the FR 2510 facilitates supervisory monitoring and analysis
of common or correlated exposures and funding dependencies across G-SIBs. In doing so, the
FR 2510 (together with corresponding collections in other jurisdictions) provides valuable
systemic information to supervisors and policymakers and promotes improvements in firms’
ability to aggregate and report their exposures and positions in a consistent, timely, and accurate
manner. Since the initial batch of the FR 2510 data were delivered to IDH in early 2020,
summary reports and analysis of the combined set of global data are already underway and being
shared. These outputs provide significant value, both for supervision of U.S. G-SIBs and for
broader analysis of the global financial system, that will increase over time as IDH and member
jurisdictions continue to build a time series and gain experience with the data.
The FR 2510 was intended to build on, and complement, the Country Exposure Report
(FFIEC 009; OMB No. 7100-0035), as well as certain balance sheet and off-balance sheet
information collected on the Consolidated Financial Statements for Holding Companies
(FR Y-9C; OMB No. 7100-0128). Relative to the FFIEC 009 and FR Y-9C, the FR 2510
provides significantly more detail regarding the balance sheet and derivatives exposures of U.S.
G-SIBs. The global I-A template enhances the value of such reports by providing more detail on
potential currency and maturity mismatches between assets and funding at the G-SIBs, which
could reveal emerging risk management needs at individual institutions as well as the extent to
which a crisis in a given currency might propagate through bank balance sheets. The information
collected by the FR 2510 also facilitates the aggregation and analysis of data from G-SIBs based
in different jurisdictions. This information is not available from other sources.
Description of Information Collection
The FR 2510 collects granular exposure data on the assets, liabilities, and off-balance
sheet holdings of U.S. G-SIBs, providing breakdowns by instrument, currency, maturity, and
sector. The FR 2510 also collects data covering detailed positions for each U.S. G-SIB’s top 35
countries of exposure, on an immediate-counterparty basis, as reported in the FFIEC 009, broken
out by instrument and counterparty sector, with limited further breakouts by remaining maturity,
subject to a $2 billion minimum threshold for country exposure. Further, the FR 2510 collects
information on financial derivatives by instrument type and foreign exchange derivatives by
currency.
Relative to other data sources, the FR 2510 supports a more complete balance-sheet
analysis by providing more information about reporting banking organizations’ consolidated
exposures to, and funding positions with, different countries according to instrument,
counterparty sector, currency, and remaining maturity. The FR 2510 is used in conjunction with
data collected from other report forms. The definitions and structure of the FR 2510, to the extent
feasible, are aligned for U.S. implementation with these other U.S. regulatory and statistical

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reports to minimize reporting burden on U.S. respondents and to maximize analytical
consistency with existing U.S. reports. These other reports include the FFIEC 009, the FR Y-9C,
the Banking Organization Systemic Risk Report (FR Y-15; OMB No. 7100-0352), the Complex
Institution Liquidity Monitoring Report (FR 2052a; OMB No. 7100-0361), and the Semiannual
Report of Derivatives Activity (FR 2436; OMB No. 7100-0286).
The FR 2510 is comprised of three schedules, as described below.
(1) The I-A Immediate Counterparty Schedule
The I-A Immediate Counterparty Schedule (I-A IC) is the main schedule of the FR 2510.
The schedule captures information on banking organizations’ asset positions, liability positions,
and contingent liabilities on a combination of the following five dimensions:
(1) Instrument,
(2) Currency,
(3) Remaining maturity,
(4) Counterparty country, and
(5) Counterparty sector.
The I-A IC positions are allocated to the country and sector where the immediate
counterparty resides. Immediate-counterparty positions are reported in Tables 1 and 2. Table 1 is
a consolidated balance sheet of the granular portfolio with total positions broken out by the
following seven different currencies:
(1) U.S. Dollar,
(2) Euro,
(3) Japanese Yen,
(4) British Pound,
(5) Swiss Franc,
(6) Yuan Renminbi, and
(7) Other currencies.
The instruments and currencies are broken out into four remaining maturity categories, as
follows:
(1) Non-maturity instruments,
(2) Overnight to less than three months,
(3) 3 months to less than 1 year, and
(4) 1 year and over.
Table 2 is a consolidated balance sheet showing I-A exposures by instrument and
counterparty sector to countries above a de minimis threshold of $2 billion, with banking
organizations completing a table for each country above the threshold, with total positions by
counterparty sector and by remaining maturity. The de minimis rules cover an estimated 97
percent of total claims extended to counterparties in 79 countries (based on the Bank for
International Settlements Consolidated Banking Statistics). Maximum coverage is provided for
advanced economies (99 percent), with lower percentages for Africa and Middle East (65
percent) and Emerging Europe (85 percent).

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Positions are reported along the following counterparty sectors:
(1) Banks,
(2) Non-bank financial institutions,
(3) Non-financial corporations,
(4) Households,
(5) Government, and
(6) Unallocated by sector.
Positions are broken out into the following three remaining maturity categories:
(1) Non-maturity instruments,
(2) Less than 1 year, and
(3) 1 year and over.
(2) Financial Derivatives Schedule
The Financial Derivatives Schedule captures details on the gross fair-value (mark-tomarket) and notional amounts of financial derivatives broken out according to certain
subcategories of derivative instruments. Information regarding gross fair values (mark-tomarket) and notional amounts facilitates cross-country comparisons and the ability to overcome
substantially different offset requirements for derivatives between the accounting standards
applied by reporting banking organizations.
Derivatives are reported along the following three categories:
(1) Exchange-traded derivatives,
(2) Centrally cleared over-the-counter (OTC) derivatives, and
(3) Bilateral/uncleared OTC derivatives.
Derivatives are reported according to the following six categories of risk:
(1) Equity derivatives,
(2) Interest rate derivatives,
(3) Foreign exchange derivatives,
(4) Credit derivatives,
(5) Commodity derivatives, and
(6) Other derivatives.
(3) Foreign Exchange Derivatives Schedule
The Foreign Exchange Derivatives Schedule captures gross notional currency derivative
positions (separated into short and long positions) for a limited number of foreign exchange
derivatives, with details on remaining maturity and currency, but no detail concerning
counterparty country and sector.
The scope of foreign exchange derivatives includes the following:
(1) Currency forwards,
(2) Foreign exchange swaps,
(3) Currency swaps, and

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(4) Cross-currency interest rate swaps.
For each derivative type, the contract’s remaining maturity is broken out into the
following maturity categories:
(1) Non-maturity instruments (on-demand and open positions),
(2) Overnight to less than 3 months,
(3) 3 months to less than 1 year, and
(4) 1 year and over.
Respondents generally submit the FR 2510 electronically to the Federal Reserve, and the
data is then gathered and transmitted to the IDH.
Respondent Panel
The FR 2510 panel comprises any bank holding company that is organized under the
laws of the United States or any U.S. state and that is identified as a global systemically
important BHC under the Board’s Regulation Q.2
Time Schedule for Information Collection
The FR 2510 is submitted quarterly as of the end of March, June, September, and
December. The filing deadline is 50 calendar days after the March 31, June 30, and September
30 as of dates, and 65 calendar days after the December 31 as of date.
Public Availability of Data
No data collected by this information collection are published.
Legal Status
The FR 2510 is authorized by section 5 of the Bank Holding Company Act of 1956 (BHC
Act). Section 5 of the BHC Act authorizes the Board to require a bank holding company and any
subsidiary of such company to submit reports under oath to keep the Board informed as to its
financial condition, systems for monitoring and controlling financial and operating risks, and
transactions with depository institution subsidiaries of the bank holding company (12 U.S.C. §
1844(c)(1)(A)). The FR 2510 is mandatory for U.S. G-SIBs.
The information collected in the FR 2510 is collected as part of the Board’s supervisory
process and is therefore considered confidential pursuant to exemption 8 of the Freedom of
Information Act (FOIA), which protects information contained in “examination, operating, or
condition reports” obtained in the bank supervisory process (5 U.S.C. § 552(b)(8)). In addition,
individual respondents may request that information be kept confidential pursuant to exemption
4 of the FOIA, which protects nonpublic commercial or financial information, which is both
customarily and actually treated as private by the respondent (5 U.S.C. § 552(b)(4)).
2

See 12 CFR 217.402.

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Determinations of confidentiality based on exemption 4 of the FOIA would be made on a caseby-case basis.
Consultation Outside the Agency
There has been no consultation outside the Federal Reserve System.
Public Comments
On October 18, 2021, the Board published an initial notice in the Federal Register (86
FR 57672) requesting public comment for 60 days on the extension, without revision, of the
FR 2510. The comment period for this notice expired on December 17, 2021. The Board
received one comment from a banking trade association.
First, the commenter identified certain reporting differences between the FFIEC 009 and
the FR 2510 and argued that reporting of similar items between the two reports should be more
aligned in order to minimize reporting burden. Specifically, the commenter highlighted the
difference in remaining maturity on debt securities held for trading between the FFIEC 009 and
the FR 2510. On the FFIEC 009, only a single bucket containing maturities of one year or less is
required, whereas the FR 2510 requires four maturity buckets across the entire term structure.
While the Board acknowledges the additional burden in reporting all maturity buckets in the
FR 2510, this was part of the original design of the report and was meant to “provide
significantly more detail regarding the balance sheet and derivatives exposures of U.S. G-SIBs.”3
This original design was part of an internationally agreed upon process to facilitate the
aggregation and analysis of consistent and comparable data from G-SIBs globally. In addition,
the FR 2510 collects a more fulsome set of remaining maturity information to better understand
the credit market and liquidity profiles of U.S. G-SIBs, which may have systemic implications at
the individual institution level or the aggregate level. The FFIEC 009, on the other hand, collects
overall country risk exposures for banks of all sizes and such detail is not needed for smaller
institutions.
The commenter also noted that the FR 2510 instructions allow respondents to use either
the final contractual maturity or the next repricing date, where applicable, for reporting the
remaining maturity of debt securities. In contrast, the FFIEC 009 instructions do not offer firms
this option and require the use of final contractual maturity. The Board recognizes that on the
FR 2510, firms are allowed to report next repricing date; however, firms are not required to do
so. FR 2510 respondents are free to report remaining maturity of debt securities data on the same
basis as the FFIEC 009. Also, the option to use final contractual maturity or next repricing date is
comparable to how remaining maturity of debt securities is reported on the Consolidated
Financial Statements for Holding Companies (FR Y-9C; OMB No. 7100-0128), specifically on
the Securities Schedule HC-B, line items M2 and M2(a) – M2(c).
Additionally, the commenter identified an inconsistency between the FR 2510 and the
FFIEC 009 with respect to the sector utilized for the reporting of central bank exposures. On the
FR 2510, claims on central banks are reported in the “Unallocated” sector, which is designated
3

See 83 FR 42680 (August 27, 2018).

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for positions for which the sector of the counterparty is unknown or the sector information does
not need to be reported. However, the reporting instructions to the FFIEC 009 require
respondents to include central banks in the “Public” sector, which includes government
departments and agencies. While the Board acknowledges that this difference can cause issues
with comparability and can be burdensome for the reporting institutions, this distinction was
intentional, as to avoid lumping claims on central banks together with claims banks have on
governments such as sovereign bond and municipal security holdings.
Second, the commenter highlighted a concern with the inconsistency of reporting debt
securities on the FR 2510 and the FR Y-9C. The FR 2510 requires debt securities to be broken
out into the following three categories: Asset-backed securities (ABS), Other secured debt
securities, and unsecured debt securities. This segmentation is not the same as found on the
FR Y-9C, which requires respondents to break down debt securities into the following six
groupings: U.S. Treasury securities, U.S. government agency and sponsored agency obligations,
Securities issued by states and political subdivisions in the U.S., Mortgage-back securities
(MBS), Asset-backed securities and structured financial products, and Other debt securities. The
commenter pointed out that this discrepancy requires firms to look through and track features of
securities that are not captured on other reports in great detail, creating significant burden. The
commenter requested that the FR 2510 be modified to adopt the debt securities classification
from the FR Y-9C. While the Board acknowledges the burden entailed in having two different
classifications for the same debt securities, the internationally-agreed template for G-SIBs
includes a different and less detailed breakdown than that which U.S. regulators have specified in
various regulatory reports including the FR Y-9C, which is aggregated around several classes of
securities that are idiosyncratic to and proportionately more important in U.S. debt markets.
Finally, the commenter raised several process issues regarding rounding differences
between the data reported on the FR 2510 and the FFIEC 009, synchronizing proposed future
changes to these reports, and providing adequate lead time for any proposed revisions to the
FR 2510.4 With respect to the rounding differences, the Federal Reserve regularly reviews and
updates operational controls associated with Reporting Central outside of the clearance process
and will review this recommendation accordingly. To the degree that there are future proposed
changes to the FR 2510 or the FFIEC 009, which apply to both reports, the Board will strive to
make these changes on similar timelines and provide adequate lead time for such changes. The
Board does not plan at this time to propose changes to the FR 2510 that are consistent with the
current FFIEC 009 proposal.5 Those proposed changes to the FFIEC 009 are not applicable to the
FR 2510.
The Board believes that the differences in reporting between the FR 2510, the
FFIEC 009, and the FR Y-9C are warranted for the reasons described above. Therefore, the
Board will not adopt any revisions to the FR 2510 as part of the extension of this collection.
On May 10, 2022, the Board published a final notice in the Federal Register (87 FR
28009).
4

Specifically, the commenter asked for a delayed effective date of any changes made to the FR 2510. This comment
is not applicable to the current extension of the FR 2510, as no revisions were proposed or are being adopted.
5
87 FR 3170 (January 20, 2022).

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Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FR 2510 is 18,176
hours. The estimated average hours per response for this information collection is 568 hours. The
estimated burden for completing Table 1 and Table 2 of the I-A IC Schedule is 85 hours and 469
hours, respectively. The estimated burden for completing the Financial Derivatives Schedule is 4
hours. The estimated burden for completing the Foreign Exchange Derivatives Sched ule is 10
hours. These reporting requirements represent less than 1 percent of the Board’s total paperwork
burden.

FR 2510
Current

Estimated
Estimated
Estimated
Annual
number of
average hours annual burden
frequency
respondents6
per response
hours
8

4

568

18,176

The estimated total annual cost to the public for the FR 2510 is $1,098,739.7
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 $31,900.

6

Of these respondents, none are considered small entities as defined by the Small Business Administration (i.e.,
entities with less tha n $600 million in total assets), https://www.sba.gov/document/support--table-size-standards.
7
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 $21, 45% Financial Managers at
$74, 15% Lawyers at $71, and 10% Chief Executives at $102). 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 2021, published March 31, 2022, https://www.bls.gov/news.release/ocwage.t01.htm. Occupations are
defined using the BLS Standard Occupational Classification System, https://www.bls.gov/soc/.

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