Fed proposes new, ‘granular’ GSIB reporting on exposures

New, more detailed reporting of exposure data by the eight U.S. global systemically important bank holding companies (GSIBs) would be required via a new information collection the Federal Reserve Board is proposing and issuing for a 60-day comment period.

The collection would provide supervisors granular data on U.S. GSIBs’ balance sheets and exposures. It would be shared securely under the Multinational Framework to facilitate analytical reports that would “provide unique and authoritative aggregation and comparison” of the positions of GSIBs in the U.S. and other jurisdictions, according to a notice scheduled for publication Monday in the Federal Register.

Developed in cooperation with the Financial Stability Board (FSB), the new collection, titled Report of Institution-to-Aggregate Granular Data on Assets and Liabilities on an Immediate Counterparty Basis (FR 2510), “supports a more complete balance sheet analysis with richer details regarding common or correlated exposures and funding dependencies,” according to the notice.

FR 2510 would have three schedules, each one submitted quarterly. The schedules would include consolidated balance sheet information about the GSIB, including foreign country exposures, broken out by instrument, currency, remaining maturity, counterparty country, and counterparty sector. It would also capture information on notional and fair-value amounts for financial derivatives and foreign exchange derivatives across underlying instruments and currencies.

The collection would cover detailed positions for the top 35 countries of exposure, broken out by instrument and counterparty sector, with limited further breakouts by remaining maturity, subject to a $2 billion minimum threshold for country exposure, on an immediate-counterparty basis, as reported in the consolidated Country Exposure Report of the Federal Financial Institutions Examination Council (FFIEC 009). It would also collect information on financial derivatives by instrument type and foreign exchange derivatives by currency.

The Fed says the FR 2510 is intended to build on and complement the FFIEC 009 and the FR Y 9C (Consolidated Financial Statements for Holding Companies). The new collection would provide “significantly more detail” regarding U.S. GSIB exposures than is provided through the other two collections, the Fed notes.

Reporting would begin in the first quarter of 2019. The Fed’s estimate of annual reporting hours per participant includes 1,000 hours for one-time implementation; and ongoing, 568 hours.

Comments are sought on the following:

a. Whether the proposed collection of information is necessary for the proper performance of the Board’s functions; including whether the information has practical utility;

b. The accuracy of the Board’s estimate of the burden of the proposed information collection, including the validity of the methodology and assumptions used;

c. Ways to enhance the quality, utility, and clarity of the information to be collected;

d. Ways to minimize the burden of information collection on respondents, including through the use of automated collection techniques or other forms of information technology; and

e. Estimates of capital or startup costs and costs of operation, maintenance, and purchase of services to provide information.

Proposed Agency Information Collection Activities; Comment Request