Proposed Agency Information Collection Activities, 58048-58052 [2020-20547]

Download as PDF 58048 Federal Register / Vol. 85, No. 181 / Thursday, September 17, 2020 / Notices By the Appraisal Subcommittee. James R. Park, Executive Director. [FR Doc. 2020–20457 Filed 9–16–20; 8:45 am] BILLING CODE 6700–01–P Proposed Agency Information Collection Activities Board of Governors of the Federal Reserve System. ACTION: Temporary approval of information collection. AGENCY: FEDERAL MARITIME COMMISSION The Board has temporarily revised the Capital Assessments and Stress Testing Reports (FR Y–14A/Q/M; OMB No. 7100–0341) pursuant to the AGENCY: Federal Maritime Commission. authority delegated to the Board by the ACTION: Notice of release of the Federal Office of Management and Budget Maritime Commission’s FY 2018 (OMB). The temporary revisions, which Service Contract Inventory Analysis. would require firms to submit data necessary for the Board to conduct SUMMARY: The Federal Maritime additional analysis in connection with Commission (Commission) is publishing resubmission of firms’ capital plans, this notice to advise the public of the including consideration of the global availability of its FY 2018 Service market shock (GMS) component, require Contract Inventory Analysis. The FY the reporting of certain additional data 2018 Service Contract Inventory as of June 30, 2020. Analysis includes Background, DATES: Comments must be submitted on Methodology, Agency Analysis of or before November 16, 2020. Contracts, Contract Services and ADDRESSES : You may submit comments, Agency. identified by FR Y–14A, FR Y–14Q, or FR Y–14M, by any of the following DATES: The inventory is available on the methods: Commission’s website as of July 16, 2020. • Agency Website: https:// www.federalreserve.gov/. Follow the FOR FURTHER INFORMATION CONTACT: instructions for submitting comments at Katona Bryan-Wade, Director, Office of https://www.federalreserve.gov/apps/ Management Services, 202–523–5900, foia/proposedregs.aspx. omsmaritime@fmc.gov. • Email: regs.comments@ federalreserve.gov. Include the OMB SUPPLEMENTARY INFORMATION: Acting in number in the subject line of the compliance with Sec. 743 of Division C message. of the Consolidated Appropriations Act • Fax: (202) 452–3819 or (202) 452– 2010, the Federal Maritime Commission 3102. (Commission) is publishing this notice • Mail: Ann E. Misback, Secretary, to advise the public of the availability Board of Governors of the Federal of its FY 2018 Service Contract Reserve System, 20th Street and Inventory Analysis. The FY 2018 Constitution Avenue NW, Washington, Service Contract Inventory Analysis DC 20551. includes Background, Methodology, All public comments are available Agency Analysis of Contracts, Contract from the Board’s website at https:// Services and Agency. www.federalreserve.gov/apps/foia/ Objectives, and Agency Findings proposedregs.aspx as submitted, unless modified for technical reasons or to This analysis was developed in accordance with guidance issued by the remove personally identifiable information at the commenter’s request. Office of Management and Budget Accordingly, comments will not be (OMB), Office of Procurement Policy edited to remove any identifying or (OFPP), and in accordance with FAR contact information. Public comments subpart 4.17—Service Contracts may also be viewed electronically or in Inventory. The Federal Maritime paper in Room 146, 1709 New York Commission has posted its FY 2018 Avenue NW, Washington, DC 20006, Service Contract Inventory Analysis at the following link: https://www.fmc.gov/ between 9 a.m. and 5 p.m. on weekdays. For security reasons, the Board requires about-the-fmc/governmentwide-lawsthat visitors make an appointment to regulations/service-contract-analysis/. inspect comments. You may do so by Rachel Dickon, calling (202) 452–3684. Upon arrival, Secretary. visitors will be required to present valid [FR Doc. 2020–20449 Filed 9–16–20; 8:45 am] government-issued photo identification and to submit to security screening in BILLING CODE 6730–02–P Service Contract Inventory Analysis; Fiscal Year 2018 jbell on DSKJLSW7X2PROD with NOTICES FEDERAL RESERVE SYSTEM VerDate Sep<11>2014 17:37 Sep 16, 2020 Jkt 250001 SUMMARY: PO 00000 Frm 00016 Fmt 4703 Sfmt 4703 order to inspect and photocopy comments. Additionally, commenters may send a copy of their comments to the Office of Management and Budget (OMB) Desk Officer—Shagufta Ahmed—Office of Information and Regulatory Affairs, Office of Management and Budget, New Executive Office Building, Room 10235, 725 17th Street NW, Washington, DC 20503, or by fax to (202) 395–6974. A copy of the Paperwork Reduction Act (PRA) OMB submission, including the reporting form and instructions, supporting statement, and other documentation will be placed into OMB’s public docket files, if approved. These documents will also be made available on the Board’s public website at https://www.federalreserve.gov/apps/ reportforms/review.aspx or may be requested from the agency clearance officer, whose name appears below. Federal Reserve Board Clearance Officer—Nuha Elmaghrabi—Office of the Chief Data Officer, Board of Governors of the Federal Reserve System, Washington, DC 20551, (202) 452–3829. FOR FURTHER INFORMATION CONTACT: On June 15, 1984, OMB delegated to the Board authority under the PRA to approve and assign OMB control numbers to collections of information conducted or sponsored by the Board. In exercising this delegated authority, the Board is directed to take every reasonable step to solicit comment. In determining whether to approve a collection of information, the Board will consider all comments received from the public and other agencies. Pursuant to its delegated authority, the Board may temporarily approve a revision to a collection of information, without providing opportunity for public comment, if the Board determines that a change in an existing collection must be instituted quickly and that public participation in the approval process would defeat the purpose of the collection or substantially interfere with the Board’s ability to perform its statutory obligation. As discussed below, the Board has made certain temporary revisions to the FR Y–14A/Q/M information collection. The Board’s delegated authority requires that the Board, after temporarily approving a collection, publish a notice soliciting public comment. Therefore, the Board is also inviting comment on a proposal to extend the FR Y–14A/Q/ M information collection for three years, with revision. SUPPLEMENTARY INFORMATION: E:\FR\FM\17SEN1.SGM 17SEN1 Federal Register / Vol. 85, No. 181 / Thursday, September 17, 2020 / Notices Request for Comment on Information Collection Proposal The Board invites public comment on the following information collection, which is being reviewed under authority delegated by the OMB under the PRA. Comments are invited 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. At the end of the comment period, the comments and recommendations received will be analyzed to determine the extent to which the Board should modify the proposal. Final Approval Under OMB Delegated Authority of the Temporary Revision of the Following Information Collection: jbell on DSKJLSW7X2PROD with NOTICES Report title: Capital Assessments and Stress Testing Reports. Agency form number: FR Y–14A/Q/ M. OMB control number: 7100–0341. Frequency: Annually, quarterly, and monthly. Respondents: These collections of information are applicable to bank holding companies (BHCs), U.S. intermediate holding companies (IHCs), and covered savings and loan holding companies (SLHCs) 1 with $100 billion or more in total consolidated assets, as based on: (i) The average of the firm’s total consolidated assets in the four most recent quarters as reported quarterly on the firm’s Consolidated Financial Statements for Holding Companies (FR Y–9C; OMB No. 7100– 1 Covered SLHCs are those which are not substantially engaged in insurance or commercial activities. For more information, see the definition of ‘‘covered savings and loan holding company’’ provided in 12 CFR 217.2 and 12 CFR 238.2(ee). SLHCs with $100 billion or more in total consolidated assets become members of the FR Y– 14Q and FR Y–14M panels effective June 30, 2020, and the FR Y–14A panel effective December 31, 2020. See 84 FR 59032 (November 1, 2019). VerDate Sep<11>2014 17:37 Sep 16, 2020 Jkt 250001 0128); or (ii) if the firm has not filed an FR Y–9C for each of the most recent four quarters, then the average of the firm’s total consolidated assets in the most recent consecutive quarters as reported quarterly on the firm’s FR Y–9Cs. Reporting is required as of the first day of the quarter immediately following the quarter in which the respondent meets this asset threshold, unless otherwise directed by the Board. Estimated number of respondents: FR Y–14A/Q: 36; FR Y–14M: 34.2 Estimated average hours per response: FR Y–14A: 926 hours; FR Y–14Q: 2,152 hours; FR Y–14M: 1,072 hours; June 30, 2020, submission: 572 hours; Capital plan resubmission: 957 hours; FR Y–14 On-going Automation Revisions: 480 hours; FR Y–14 Attestation, On-going Attestation: 2,560 hours. Estimated annual burden hours: FR Y–14A: 33,336 hours; FR Y–14Q: 309,888 hours; FR Y–14M: 437,376 hours; June 30, 2020, submission: 20,583 hours; Capital plan resubmission: 9,570 hours; FR Y–14 Ongoing Automation Revisions: 17,280 hours; FR Y–14 Attestation, On-going Attestation: 33,280 hours. General description of report: This family of information collections is composed of the following three reports: • The annual 3 FR Y–14A collects quantitative projections of balance sheet, income, losses, and capital across a range of scenarios and qualitative information on methodologies used to develop internal projections of capital across scenarios.4 • The quarterly FR Y–14Q collects granular data on various asset classes, including loans, securities, trading 2 The estimated number of respondents for the FR Y–14M is lower than for the FR Y–14Q and FR Y– 14A because, in recent years, certain respondents to the FR Y–14A and FR Y–14Q have not met the materiality thresholds to report the FR Y–14M due to their lack of mortgage and credit activities. The Board expects this situation to continue for the foreseeable future. 3 In certain circumstances, a BHC or IHC may be required to re-submit its capital plan. See 12 CFR 225.8(e)(4). Firms that must re-submit their capital plan generally also must provide a revised FR Y– 14A in connection with their resubmission. 4 On October 10, 2019, the Board issued a final rule that eliminated the requirement for firms subject to Category IV standards to conduct and publicly disclose the results of a company-run stress test. See 84 FR 59032 (Nov. 1, 2019). That final rule maintained the existing FR Y–14A/Q/M substantive reporting requirements for these firms in order to provide the Board with the data it needs to conduct supervisory stress testing and inform the Board’s ongoing monitoring and supervision of its supervised firms. However, as noted in the final rule, the Board intends to provide greater flexibility to banking organizations subject to Category IV standards in developing their annual capital plans and consider further change to the FR Y–14A/Q/M forms as part of a separate proposal. See 84 FR 59032, 59063. PO 00000 Frm 00017 Fmt 4703 Sfmt 4703 58049 positions, and PPNR for the reporting period. • The monthly FR Y–14M is comprised of three retail portfolio- and loan-level schedules, and one detailed address-matching schedule to supplement two of the portfolio and loan-level schedules. The data collected through the FR Y– 14A/Q/M reports provide the Board with the information needed to help ensure that large firms have strong, firm-wide risk measurement and management processes supporting their internal assessments of capital adequacy and that their capital resources are sufficient given their business focus, activities, and resulting risk exposures. The reports are used to support the Board’s annual CCAR and DFAST exercises, which complement other Board supervisory efforts aimed at enhancing the continued viability of large firms, including continuous monitoring of firms’ planning and management of liquidity and funding resources, as well as regular assessments of credit, market and operational risks, and associated risk management practices. Information gathered in this data collection is also used in the supervision and regulation of respondent financial institutions. Respondent firms are currently required to complete and submit up to 17 filings each year: One annual FR Y–14A filing, four quarterly FR Y–14Q filings, and 12 monthly FR Y–14M filings. Compliance with the information collection is mandatory. Current actions and proposed revisions: The Board has temporarily revised the FR Y–14A/Q/M reports to implement changes necessary to collect information used to conduct additional analysis in connection with the resubmission of firms’ capital plans, including consideration of the GMS component, using data as of June 30, 2020. Specifically, the Board has temporarily revised the FR Y–14A/Q/M reports to collect an additional full or partial FR Y–14A submission that includes stressed largest counterparty default data submitted on FR Y–14A, Schedule A (Summary), as well as additional stressed counterparty data submitted on FR Y–14Q, Schedule L (Counterparty), both as of June 30, 2020. The Board notes that the information associated with the temporary revisions to the FR Y–14A/Q/M reports are not available from other sources, such as the FR Y–9C. The temporary revisions require the submission of data as of June 30, 2020, and all data associated with these temporary revisions are due to the Board 45 calendar days following the publication of the scenarios. In addition, E:\FR\FM\17SEN1.SGM 17SEN1 58050 Federal Register / Vol. 85, No. 181 / Thursday, September 17, 2020 / Notices all data associated with these temporary revisions must be accompanied by an attestation signed by the chief financial officer or equivalent senior officer. See the FR Y–14A and FR Y–14Q instructions for more information regarding attestations. The Board has determined that these revisions to the FR Y–14A/Q/M reports must be instituted quickly in order that the Board may conduct additional analysis using data as of June 30, 2020, and that public participation in the approval process would defeat the purpose of the collection of information. Conducting additional analysis with data as of that date will enable the Board to ensure that firms subject to the stress test are adequately capitalized and able to withstand the economic effects of the coronavirus disease (COVID–19). The Board also proposes to extend the FR Y–14A/Q/M reports for three years, with revisions that would allow the Board to require the submission of this additional FR Y–14A and FR Y–14Q data in connection with a firm’s resubmission of its capital plan. Temporary Revisions to the FR Y–14A/ Q/M On June 25, 2020, the Board notified certain large firms that they would be required to resubmit and update their capital plans later this year and announced 5 that it will conduct additional analysis in connection with that resubmission as economic conditions evolve. The Board has decided to conduct this additional analysis using data as of June 30, 2020. This additional analysis will enable the Board to ensure that firms subject to the stress test are adequately capitalized and able to withstand the economic effects of COVID–19. This additional analysis will include GMS and largest counterparty default (LCPD) components. jbell on DSKJLSW7X2PROD with NOTICES Additional FR Y–14A Submission The Board uses data collected on the FR Y–14A/Q/M reports to conduct its CCAR and DFAST exercises. The FR Y– 14Q and FR Y–14M are currently submitted for the June 30, 2020, as-of date. However, the FR Y–14A is currently only submitted for the fourth quarter of a given year. In order for the Board to conduct additional analysis using data as of June 30, 2020, the Board has required firms to submit FR Y–14A data as of June 30, 2020. Specifically, firms subject to Category I–III 5 See https://www.federalreserve.gov/ publications/files/2020-sensitivity-analysis20200625.pdf. VerDate Sep<11>2014 17:37 Sep 16, 2020 Jkt 250001 standards 6 are required to submit the entire FR Y–14A report, while firms subject to Category IV standards 7 are required to submit FR Y–14A, Schedule C (Regulatory Capital Instruments).8 Global Market Shock (GMS) The GMS is a set of hypothetical shocks to a large set of risk factors reflecting general market distress and heightened uncertainty. Firms with significant trading activity must consider the global market shock as part of their supervisory severely adverse scenario, and recognize associated losses in the first quarter of the planning period.9 In addition, certain large and highly interconnected firms must apply the same GMS to project losses under the counterparty default scenario component. The global market shock is applied to asset positions held by the firms on a given as-of date. These shocks do not represent a forecast of the Federal Reserve. The design and specification of the global market shock differ from that of the macroeconomic scenarios for several reasons. First, profits and losses from trading and counterparty credit are measured in mark-to-market terms, while revenues and losses from traditional banking are generally measured using the accrual method. Another key difference is the timing of loss recognition. The GMS affects the mark-to-market value of trading positions and counterparty credit losses in the first quarter of the projection 6 Category I standards apply to firms that qualify as U.S. GSIBs. Category II standards apply to firms with $700 billion or more in assets, or firms with $75 billion or more in cross-jurisdictional activity and $100 billion or more in assets, that do not qualify as U.S. GSIBs. Category III standards apply to firms with $250 billion or more in assets, or firms with $100 billion or more in assets and at least $75 billion in (1) nonbank assets, (2) weighted shortterm wholesale funding, or (3) off-balance sheet exposure, that are not subject to Category I or II standards. 7 Category IV standards apply to firms with $100 billion or more in total consolidated assets that do not meet the criteria for Categories I, II or III. 8 The FR Y–14A submission as of June 30, 2020, would include certain revisions to the FR Y–14A, Schedules A.1.c.1 (Standardized RWA) and A.1.d (Capital) that allow eligible firms to incorporate the effects of the tailoring rule, the capital simplifications rule, and the standardized approach for counterparty credit risk (SA–CCR). See 84 FR 59230 (November 1, 2019) (tailoring rule); 84 FR 35234 (July 22, 2019) (capital simplifications rule); 85 FR 4362 (January 24, 2020) (SA–CCR). These revisions also include the removal of FR Y–14A, Schedules A.1.c.2 (Advanced RWA) and A.7.c (PPNR Metrics), and were recently adopted by the Board. 9 Bank of America Corporation, Barclays U.S. LLC, Citigroup Inc., Credit Suisse Holding (USA), DB USA Corporation, The Goldman Sachs Group, Inc., HSBC North America Holdings Inc., JPMorgan Chase & Co., Morgan Stanley, UBS Americas Holdings LLC, and Wells Fargo & Company. PO 00000 Frm 00018 Fmt 4703 Sfmt 4703 horizon. This timing is based on an observation that market dislocations can happen rapidly and unpredictably any time under stress conditions. Typically, the GMS is applicable only to FR Y–14 data associated with the fourth quarter submission of a given year. However, the Board has required firms subject to the GMS component to submit the stressed data portion of FR Y–14Q, Schedule L (Counterparty), as well as to incorporate the GMS component into their FR Y–14A submissions, for data as of June 30, 2020, so that the Board can conduct additional analysis (i.e., June 30, 2020, is the GMS as-of date). All firms that were subject to the GMS component for the 2020 DFAST and CCAR exercises are also subject to the GMS component for the additional analysis in connection with the resubmission of firms’ capital plans. Largest Counterparty Default (LCPD) The Board has required certain firms 10 to incorporate a LCPD component in the severely adverse scenario used for the additional analysis that is conducted using data as of June 30, 2020. The LCPD component is intended to assess the potential losses and capital impact associated with the default of each applicable firm’s largest counterparty. The Board will include a substantially similar largest counterparty default scenario component in its additional analysis for each firm in the severely adverse scenario. The counterparty default scenario component will allow the Board and each firm to evaluate whether the firm has sufficient capital to withstand the default of its largest counterparty. The counterparty default scenario component will account for the possibility that a firm experiences counterparty losses from certain activities that are not captured in supervisory macroeconomic scenarios. Generally, firms are subject to the counterparty default scenario component in addition to the GMS. The counterparty default scenario component must be treated as an addon to the macroeconomic environment specified in the severely adverse scenario. Any potential losses from the counterparty default scenario component must be assumed to occur 10 Bank of America Corporation, The Bank of New York Mellon, Barclays U.S. LLC, Citigroup Inc., Credit Suisse Holding (USA), DB USA Corporation, The Goldman Sachs Group, Inc., HSBC North America Holdings Inc., JPMorgan Chase & Co., Morgan Stanley, State Street Corporation, UBS Americas Holdings LLC, and Wells Fargo & Company. E:\FR\FM\17SEN1.SGM 17SEN1 Federal Register / Vol. 85, No. 181 / Thursday, September 17, 2020 / Notices jbell on DSKJLSW7X2PROD with NOTICES instantaneously and must be included in projected losses for the first quarter of the planning horizon. The largest total net stressed loss amount associated with a single counterparty default must be reported as the loss associated with the counterparty default scenario component. The counterparty default scenario component for the additional analysis using data as of June 30, 2020, is generally similar to the component provided for the stress test cycle that began on January 1, 2020. It requires each firm to assume an instantaneous and unexpected default of its largest counterparty, where the largest counterparty is identified based on net stressed losses. In selecting its largest counterparty, each firm is required to not consider certain sovereign entities (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) or qualifying central counterparties (QCCP).11 For an IHC, affiliates, as defined by 12 CFR 252.71(b), are also excluded from the selection of a firm’s largest counterparty. Furthermore, each firm is required to aggregate net stressed losses across securities lending and repurchase agreement (collectively, ‘‘Securities Financing Transactions,’’ or ‘‘SFT’’ 12) activities and derivatives for each counterparty.13 In selecting the largest counterparty, each firm is required to aggregate net stressed losses across SFT activities and derivatives for each counterparty, taking into account close-out netting agreements in place for the derivatives and SFT activities with each legal entity of that counterparty. For SFT and derivatives transactions where a netting agreement is legally enforceable in the jurisdiction where the counterparty legal entity is located, a firm is authorized to assume close-out netting such that estimated losses reflects the difference between the stressed value of securities or cash transferred to the counterparty legal entity and the stressed value of securities or cash received from the same counterparty legal entity, within each master netting 11 Any state-owned enterprise backed by the full faith and credit of an excluded sovereign entity should also be excluded. See definition of QCCP at 12 CFR 217.2. 12 SFT activities subject to the counterparty default scenario component include repurchase agreements, reverse repurchase agreements, securities lending, and securities borrowing. 13 All exposures within a consolidated organization, including to any subsidiaries and related companies, will be treated as exposures to a single counterparty. However, losses should first be computed at the subsidiary or related company level, accounting for legal netting agreements at that level, and then aggregated to the consolidated organization. VerDate Sep<11>2014 17:37 Sep 16, 2020 Jkt 250001 agreement. For SFT activities, each firm is required to include potential losses associated with acting as a principal as well as potential losses that could result from transactions where each firm is acting as an agent but provides borrower-default indemnification in the event of a counterparty default. In estimating net stressed losses of a counterparty, each firm is required to revalue its exposures and collateral (securities or cash) using the hypothetical GMS scenario. Certain large and highly interconnected firms not subject to the GMS component must also apply the same global market shock to project losses under the counterparty default scenario component. Each firm must apply the global market shock to stress the current exposure, collateral, and value of derivatives-related transactions. Each firm must assume a recovery rate that the firm views as appropriate, based on its own internal analysis, for purposes of the counterparty default scenario component in the severely adverse scenario used in its additional analysis. A firm should not assume any additional recovery in subsequent quarters of the planning horizon. Reinvestment of collateral should be included to the extent that the reinvested collateral is part of another SFT agreement. The total net stressed losses should be calculated as follows: First, firms should compute the total stressed net current exposure (‘‘Total Stressed Net CE’’), as defined in the instructions for FR Y– 14Q, Schedule L (Counterparty). ‘‘Total Stressed Net CE’’ represents the stressed current exposures to a counterparty after applying the GMS to any derivatives and SFT assets (securities/collateral) exchanged under repo-style transactions, as defined in section 2 of 12 CFR part 217, associated with the counterparty after taking all applicable netting agreements into account. Next, firms should subtract the notional amount of any single-name Credit Default Swap (‘‘CDS’’) hedges.14 Exclude from the trading book stress results the mark-to-market gain related to these single-name CDS hedges. Then, firms should multiply the result by one minus the recovery rate. Finally, firms should subtract the stressed Credit Value Adjustment (‘‘CVA’’) attributed to the counterparty.15 14 When reporting gains associated with CVA hedges on Trading Schedule A.4 of the FR Y–l4A for all counterparties, firm s are instructed to exclude gains from name-specific credit default swaps associated with the counterparty default scenario component. 15 This is to reflect the fact that stressed CVA loss and baseline CVA are already incorporated in the PO 00000 Frm 00019 Fmt 4703 Sfmt 4703 58051 The LCPD component is generally only applicable to FR Y–14 data associated with the fourth quarter submission of a given year. However, in order to be able to conduct additional analysis, the Board has required firms subject to the LCPD component to incorporate the LCPD component into their FR Y–14A submissions for data as of June 30, 2020 (i.e., June 30, 2020, is the LCPD as-of date). To maintain continuity, all firms that were subject to the LCPD component for the 2020 DFAST and CCAR exercises are also subject to the LCPD component for the additional analysis in connection with the resubmission of firms’ capital plans. Proposed Revisions to the FR Y–14A/Q/ M In the event the Board needs to conduct additional analysis in connection with the resubmission of a firm’s capital plan in the future, the Board would need certain data. Therefore, the Board proposes to revise the FR Y–14A instructions to indicate that the Board may require submission of the full or partial FR Y–14A report, including stressed data associated with LCPD, in connection with the resubmission of a firm’s capital plan. The Board also proposes to revise the FR Y–14Q instructions to indicate that the Board may require submission of stressed FR Y–14Q, Schedule L (Counterparty) data in connection with the resubmission of a firm’s capital plan. Legal authorization and confidentiality: The Board has the authority to require BHCs to file the FR Y–14A/Q/M reports pursuant to section 5(c) of the Bank Holding Company Act (‘‘BHC Act’’), (12 U.S.C. 1844(c)), and pursuant to section 165(i) of the DoddFrank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) (12 U.S.C. 5365(i)) as amended by section 401(a) and (e) of the Economic Growth, Regulatory Relief, and Consumer Protection Act (EGRRCPA).16 The Board has authority to require SLHCs to file the FR Y–14A/Q/M reports pursuant to section 10(b) of the Home Owners’ Loan Act (12 U.S.C. 1467a(b)), as amended by section 369(8) and 604(h)(2) of the Dodd-Frank Act. Lastly, the Board has authority to require U.S. IHCs of FBOs to file the FR Y–14A/Q/M reports pursuant to section 5 of the BHC Act, as well as pursuant to sections 102(a)(1) and 165 of the Dodd-Frank Act (12 FR Y–14A Summary Schedule and the firm’s balance sheet, respectively. 16 Public Law 115–174, Title IV 401(a) and (e), 132 Stat. 1296, 1356–59 (2018). E:\FR\FM\17SEN1.SGM 17SEN1 58052 Federal Register / Vol. 85, No. 181 / Thursday, September 17, 2020 / Notices jbell on DSKJLSW7X2PROD with NOTICES U.S.C. 5311(a)(1) and 5365).17 In addition, section 401(g) of EGRRCPA (12 U.S.C. 5365 note) provides that the Board has the authority to establish enhanced prudential standards for foreign banking organizations with total consolidated assets of $100 billion or more, and clarifies that nothing in section 401 ‘‘shall be construed to affect the legal effect of the final rule of the Board . . . entitled ‘Enhanced Prudential Standard for [BHCs] and Foreign Banking Organizations’ (79 FR 17240 (March 27, 2014)), as applied to foreign banking organizations with total consolidated assets equal to or greater than $100 million.’’ 18 The FR Y–14A/ Q/M reports are mandatory. The information collected in the FR Y–14A/ Q/M reports is collected as part of the Board’s supervisory process, and therefore, such information is afforded confidential treatment pursuant to exemption 8 of the Freedom of Information Act (FOIA) (5 U.S.C. 552(b)(8)). In addition, confidential commercial or financial information, which a submitter actually and customarily treats as private, and which has been provided pursuant to an express assurance of confidentiality by the Board, is considered exempt from disclosure under exemption 4 of the FOIA (5 U.S.C. 552(b)(4)).19 17 Section 165(b)(2) of the Dodd-Frank Act (12 U.S.C. 5365(b)(2)) refers to ‘‘foreign-based bank holding company.’’ Section 102(a)(1) of the DoddFrank Act (12 U.S.C. 5311(a)(1)) defines ‘‘bank holding company’’ for purposes of Title I of the Dodd-Frank Act to include foreign banking organizations that are treated as bank holding companies under section 8(a) of the International Banking Act of 1978 (12 U.S.C. 3106(a)). The Board has required, pursuant to section 165(b)(1)(B)(iv) of the Dodd-Frank Act (12 U.S.C. 5365(b)(1)(B)(iv)) certain foreign banking organizations subject to section 165 of the Dodd-Frank Act to form U.S. intermediate holding companies. Accordingly, the parent foreign-based organization of a U.S. IHC is treated as a BHC for purposes of the BHC Act and section 165 of the Dodd-Frank Act. Because Section 5(c) of the BHC Act authorizes the Board to require reports from subsidiaries of BHCs, section 5(c) provides additional authority to require U.S. IHCs to report the information contained in the FR Y– 14A/Q/M reports. 18 The Board’s Final Rule referenced in section 401(g) of EGRRCPA specifically stated that the Board would require IHCs to file the FR Y–14A/Q/ M reports. See 79 FR 17240, 17304 (March 27, 2014). 19 Please note that the Board publishes a summary of the results of the Board’s CCAR testing pursuant to 12 CFR 225.8(f)(2)(v), and publishes a summary of the results of the Board’s DFAST stress testing pursuant to 12 CFR 252.46(b) and 12 CFR 238.134, which includes aggregate data. In addition, under the Board’s regulations, covered companies must also publicly disclose a summary of the results of the Board’s DFAST stress testing. See 12 CFR 252.58; 12 CFR 238.146. The public disclosure requirement contained in 12 CFR 252.58 for covered BHCs and covered IHCs is separately accounted for by the Board in the Paperwork Reduction Act clearance for FR YY (OMB No. 7100– 0350) and the public disclosure requirement for VerDate Sep<11>2014 17:37 Sep 16, 2020 Jkt 250001 Consultation outside the agency: There has been no consultation outside the agency. Board of Governors of the Federal Reserve System, September 14, 2020. Michele Taylor Fennell, Assistant Secretary of the Board. [FR Doc. 2020–20547 Filed 9–16–20; 8:45 am] BILLING CODE 6210–01–P FEDERAL RESERVE SYSTEM Proposed Agency Information Collection Activities; Comment Request Board of Governors of the Federal Reserve System. ACTION: Notice, request for comment. AGENCY: The Board of Governors of the Federal Reserve System (Board) invites comment on a proposal to extend for three years, with revision, the Notifications Related to Community Development and Public Welfare Investments of State Member Banks (FR H–6; OMB No. 7100–0278). DATES: Comments must be submitted on or before November 16, 2020. ADDRESSES: You may submit comments, identified by FR H–6, by any of the following methods: • Agency Website: https:// www.federalreserve.gov/. Follow the instructions for submitting comments at https://www.federalreserve.gov/apps/ foia/proposedregs.aspx. • Email: regs.comments@ federalreserve.gov. Include the OMB number in the subject line of the message. • Fax: (202) 452–3819 or (202) 452– 3102. • Mail: Ann E. Misback, Secretary, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551. All public comments are available from the Board’s website at https:// www.federalreserve.gov/apps/foia/ proposedregs.aspx as submitted, unless modified for technical reasons or to remove personally identifiable information at the commenter’s request. Accordingly, comments will not be edited to remove any identifying or contact information. Public comments may also be viewed electronically or in paper in Room 146, 1709 New York Avenue NW, Washington, DC 20006, between 9:00 a.m. and 5:00 p.m. on SUMMARY: covered SLHCs is separately accounted for in by the Board in the Paperwork Reduction Act clearance for FR LL (OMB No. 7100–0380). PO 00000 Frm 00020 Fmt 4703 Sfmt 4703 weekdays. For security reasons, the Board requires that visitors make an appointment to inspect comments. You may do so by calling (202) 452–3684. Upon arrival, visitors will be required to present valid government-issued photo identification and to submit to security screening in order to inspect and photocopy comments. Additionally, commenters may send a copy of their comments to the Office of Management and Budget (OMB) Desk Officer—Shagufta Ahmed—Office of Information and Regulatory Affairs, Office of Management and Budget, New Executive Office Building, Room 10235, 725 17th Street NW, Washington, DC 20503, or by fax to (202) 395–6974. FOR FURTHER INFORMATION CONTACT: A copy of the Paperwork Reduction Act (PRA) OMB submission, including the reporting form and instructions, supporting statement, and other documentation will be placed into OMB’s public docket files, if approved. These documents will also be made available on the Board’s public website at https://www.federalreserve.gov/apps/ reportforms/review.aspx or may be requested from the agency clearance officer, whose name appears below. Federal Reserve Board Clearance Officer—Nuha Elmaghrabi—Office of the Chief Data Officer, Board of Governors of the Federal Reserve System, Washington, DC 20551, (202) 452–3829. SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board authority under the PRA to approve and assign OMB control numbers to collections of information conducted or sponsored by the Board. In exercising this delegated authority, the Board is directed to take every reasonable step to solicit comment. In determining whether to approve a collection of information, the Board will consider all comments received from the public and other agencies. Request for Comment on Information Collection Proposal The Board invites public comment on the following information collection, which is being reviewed under authority delegated by the OMB under the PRA. Comments are invited 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; E:\FR\FM\17SEN1.SGM 17SEN1

Agencies

[Federal Register Volume 85, Number 181 (Thursday, September 17, 2020)]
[Notices]
[Pages 58048-58052]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-20547]


=======================================================================
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FEDERAL RESERVE SYSTEM


Proposed Agency Information Collection Activities

AGENCY: Board of Governors of the Federal Reserve System.

ACTION: Temporary approval of information collection.

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SUMMARY: The Board has temporarily revised the Capital Assessments and 
Stress Testing Reports (FR Y-14A/Q/M; OMB No. 7100-0341) pursuant to 
the authority delegated to the Board by the Office of Management and 
Budget (OMB). The temporary revisions, which would require firms to 
submit data necessary for the Board to conduct additional analysis in 
connection with resubmission of firms' capital plans, including 
consideration of the global market shock (GMS) component, require the 
reporting of certain additional data as of June 30, 2020.

DATES: Comments must be submitted on or before November 16, 2020.

ADDRESSES: You may submit comments, identified by FR Y-14A, FR Y-14Q, 
or FR Y-14M, by any of the following methods:
     Agency Website: https://www.federalreserve.gov/. Follow 
the instructions for submitting comments at https://www.federalreserve.gov/apps/foia/proposedregs.aspx.
     Email: [email protected]. Include the OMB 
number in the subject line of the message.
     Fax: (202) 452-3819 or (202) 452-3102.
     Mail: Ann E. Misback, Secretary, Board of Governors of the 
Federal Reserve System, 20th Street and Constitution Avenue NW, 
Washington, DC 20551.
    All public comments are available from the Board's website at 
https://www.federalreserve.gov/apps/foia/proposedregs.aspx as 
submitted, unless modified for technical reasons or to remove 
personally identifiable information at the commenter's request. 
Accordingly, comments will not be edited to remove any identifying or 
contact information. Public comments may also be viewed electronically 
or in paper in Room 146, 1709 New York Avenue NW, Washington, DC 20006, 
between 9 a.m. and 5 p.m. on weekdays. For security reasons, the Board 
requires that visitors make an appointment to inspect comments. You may 
do so by calling (202) 452-3684. Upon arrival, visitors will be 
required to present valid government-issued photo identification and to 
submit to security screening in order to inspect and photocopy 
comments.
    Additionally, commenters may send a copy of their comments to the 
Office of Management and Budget (OMB) Desk Officer--Shagufta Ahmed--
Office of Information and Regulatory Affairs, Office of Management and 
Budget, New Executive Office Building, Room 10235, 725 17th Street NW, 
Washington, DC 20503, or by fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT: A copy of the Paperwork Reduction Act 
(PRA) OMB submission, including the reporting form and instructions, 
supporting statement, and other documentation will be placed into OMB's 
public docket files, if approved. These documents will also be made 
available on the Board's public website at https://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested 
from the agency clearance officer, whose name appears below. Federal 
Reserve Board Clearance Officer--Nuha Elmaghrabi--Office of the Chief 
Data Officer, Board of Governors of the Federal Reserve System, 
Washington, DC 20551, (202) 452-3829.

SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board 
authority under the PRA to approve and assign OMB control numbers to 
collections of information conducted or sponsored by the Board. In 
exercising this delegated authority, the Board is directed to take 
every reasonable step to solicit comment. In determining whether to 
approve a collection of information, the Board will consider all 
comments received from the public and other agencies. Pursuant to its 
delegated authority, the Board may temporarily approve a revision to a 
collection of information, without providing opportunity for public 
comment, if the Board determines that a change in an existing 
collection must be instituted quickly and that public participation in 
the approval process would defeat the purpose of the collection or 
substantially interfere with the Board's ability to perform its 
statutory obligation.
    As discussed below, the Board has made certain temporary revisions 
to the FR Y-14A/Q/M information collection. The Board's delegated 
authority requires that the Board, after temporarily approving a 
collection, publish a notice soliciting public comment. Therefore, the 
Board is also inviting comment on a proposal to extend the FR Y-14A/Q/M 
information collection for three years, with revision.

[[Page 58049]]

Request for Comment on Information Collection Proposal

    The Board invites public comment on the following information 
collection, which is being reviewed under authority delegated by the 
OMB under the PRA. Comments are invited 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.
    At the end of the comment period, the comments and recommendations 
received will be analyzed to determine the extent to which the Board 
should modify the proposal.

Final Approval Under OMB Delegated Authority of the Temporary Revision 
of the Following Information Collection:

    Report title: Capital Assessments and Stress Testing Reports.
    Agency form number: FR Y-14A/Q/M.
    OMB control number: 7100-0341.
    Frequency: Annually, quarterly, and monthly.
    Respondents: These collections of information are applicable to 
bank holding companies (BHCs), U.S. intermediate holding companies 
(IHCs), and covered savings and loan holding companies (SLHCs) \1\ with 
$100 billion or more in total consolidated assets, as based on: (i) The 
average of the firm's total consolidated assets in the four most recent 
quarters as reported quarterly on the firm's Consolidated Financial 
Statements for Holding Companies (FR Y-9C; OMB No. 7100-0128); or (ii) 
if the firm has not filed an FR Y-9C for each of the most recent four 
quarters, then the average of the firm's total consolidated assets in 
the most recent consecutive quarters as reported quarterly on the 
firm's FR Y-9Cs. Reporting is required as of the first day of the 
quarter immediately following the quarter in which the respondent meets 
this asset threshold, unless otherwise directed by the Board.
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    \1\ Covered SLHCs are those which are not substantially engaged 
in insurance or commercial activities. For more information, see the 
definition of ``covered savings and loan holding company'' provided 
in 12 CFR 217.2 and 12 CFR 238.2(ee). SLHCs with $100 billion or 
more in total consolidated assets become members of the FR Y-14Q and 
FR Y-14M panels effective June 30, 2020, and the FR Y-14A panel 
effective December 31, 2020. See 84 FR 59032 (November 1, 2019).
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    Estimated number of respondents: FR Y-14A/Q: 36; FR Y-14M: 34.\2\
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    \2\ The estimated number of respondents for the FR Y-14M is 
lower than for the FR Y-14Q and FR Y-14A because, in recent years, 
certain respondents to the FR Y-14A and FR Y-14Q have not met the 
materiality thresholds to report the FR Y-14M due to their lack of 
mortgage and credit activities. The Board expects this situation to 
continue for the foreseeable future.
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    Estimated average hours per response: FR Y-14A: 926 hours; FR Y-
14Q: 2,152 hours; FR Y-14M: 1,072 hours; June 30, 2020, submission: 572 
hours; Capital plan resubmission: 957 hours; FR Y-14 On-going 
Automation Revisions: 480 hours; FR Y-14 Attestation, On-going 
Attestation: 2,560 hours.
    Estimated annual burden hours: FR Y-14A: 33,336 hours; FR Y-14Q: 
309,888 hours; FR Y-14M: 437,376 hours; June 30, 2020, submission: 
20,583 hours; Capital plan resubmission: 9,570 hours; FR Y-14 On-going 
Automation Revisions: 17,280 hours; FR Y-14 Attestation, On-going 
Attestation: 33,280 hours.
    General description of report: This family of information 
collections is composed of the following three reports:
     The annual \3\ FR Y-14A collects quantitative projections 
of balance sheet, income, losses, and capital across a range of 
scenarios and qualitative information on methodologies used to develop 
internal projections of capital across scenarios.\4\
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    \3\ In certain circumstances, a BHC or IHC may be required to 
re-submit its capital plan. See 12 CFR 225.8(e)(4). Firms that must 
re-submit their capital plan generally also must provide a revised 
FR Y-14A in connection with their resubmission.
    \4\ On October 10, 2019, the Board issued a final rule that 
eliminated the requirement for firms subject to Category IV 
standards to conduct and publicly disclose the results of a company-
run stress test. See 84 FR 59032 (Nov. 1, 2019). That final rule 
maintained the existing FR Y-14A/Q/M substantive reporting 
requirements for these firms in order to provide the Board with the 
data it needs to conduct supervisory stress testing and inform the 
Board's ongoing monitoring and supervision of its supervised firms. 
However, as noted in the final rule, the Board intends to provide 
greater flexibility to banking organizations subject to Category IV 
standards in developing their annual capital plans and consider 
further change to the FR Y-14A/Q/M forms as part of a separate 
proposal. See 84 FR 59032, 59063.
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     The quarterly FR Y-14Q collects granular data on various 
asset classes, including loans, securities, trading positions, and PPNR 
for the reporting period.
     The monthly FR Y-14M is comprised of three retail 
portfolio- and loan-level schedules, and one detailed address-matching 
schedule to supplement two of the portfolio and loan-level schedules.
    The data collected through the FR Y-14A/Q/M reports provide the 
Board with the information needed to help ensure that large firms have 
strong, firm[hyphen]wide risk measurement and management processes 
supporting their internal assessments of capital adequacy and that 
their capital resources are sufficient given their business focus, 
activities, and resulting risk exposures. The reports are used to 
support the Board's annual CCAR and DFAST exercises, which complement 
other Board supervisory efforts aimed at enhancing the continued 
viability of large firms, including continuous monitoring of firms' 
planning and management of liquidity and funding resources, as well as 
regular assessments of credit, market and operational risks, and 
associated risk management practices. Information gathered in this data 
collection is also used in the supervision and regulation of respondent 
financial institutions. Respondent firms are currently required to 
complete and submit up to 17 filings each year: One annual FR Y-14A 
filing, four quarterly FR Y-14Q filings, and 12 monthly FR Y-14M 
filings. Compliance with the information collection is mandatory.
    Current actions and proposed revisions: The Board has temporarily 
revised the FR Y-14A/Q/M reports to implement changes necessary to 
collect information used to conduct additional analysis in connection 
with the resubmission of firms' capital plans, including consideration 
of the GMS component, using data as of June 30, 2020. Specifically, the 
Board has temporarily revised the FR Y-14A/Q/M reports to collect an 
additional full or partial FR Y-14A submission that includes stressed 
largest counterparty default data submitted on FR Y-14A, Schedule A 
(Summary), as well as additional stressed counterparty data submitted 
on FR Y-14Q, Schedule L (Counterparty), both as of June 30, 2020. The 
Board notes that the information associated with the temporary 
revisions to the FR Y-14A/Q/M reports are not available from other 
sources, such as the FR Y-9C. The temporary revisions require the 
submission of data as of June 30, 2020, and all data associated with 
these temporary revisions are due to the Board 45 calendar days 
following the publication of the scenarios. In addition,

[[Page 58050]]

all data associated with these temporary revisions must be accompanied 
by an attestation signed by the chief financial officer or equivalent 
senior officer. See the FR Y-14A and FR Y-14Q instructions for more 
information regarding attestations.
    The Board has determined that these revisions to the FR Y-14A/Q/M 
reports must be instituted quickly in order that the Board may conduct 
additional analysis using data as of June 30, 2020, and that public 
participation in the approval process would defeat the purpose of the 
collection of information. Conducting additional analysis with data as 
of that date will enable the Board to ensure that firms subject to the 
stress test are adequately capitalized and able to withstand the 
economic effects of the coronavirus disease (COVID-19).
    The Board also proposes to extend the FR Y-14A/Q/M reports for 
three years, with revisions that would allow the Board to require the 
submission of this additional FR Y-14A and FR Y-14Q data in connection 
with a firm's resubmission of its capital plan.

Temporary Revisions to the FR Y-14A/Q/M

    On June 25, 2020, the Board notified certain large firms that they 
would be required to resubmit and update their capital plans later this 
year and announced \5\ that it will conduct additional analysis in 
connection with that resubmission as economic conditions evolve. The 
Board has decided to conduct this additional analysis using data as of 
June 30, 2020. This additional analysis will enable the Board to ensure 
that firms subject to the stress test are adequately capitalized and 
able to withstand the economic effects of COVID-19. This additional 
analysis will include GMS and largest counterparty default (LCPD) 
components.
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    \5\ See https://www.federalreserve.gov/publications/files/2020-sensitivity-analysis-20200625.pdf.
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Additional FR Y-14A Submission

    The Board uses data collected on the FR Y-14A/Q/M reports to 
conduct its CCAR and DFAST exercises. The FR Y-14Q and FR Y-14M are 
currently submitted for the June 30, 2020, as-of date. However, the FR 
Y-14A is currently only submitted for the fourth quarter of a given 
year. In order for the Board to conduct additional analysis using data 
as of June 30, 2020, the Board has required firms to submit FR Y-14A 
data as of June 30, 2020. Specifically, firms subject to Category I-III 
standards \6\ are required to submit the entire FR Y-14A report, while 
firms subject to Category IV standards \7\ are required to submit FR Y-
14A, Schedule C (Regulatory Capital Instruments).\8\
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    \6\ Category I standards apply to firms that qualify as U.S. 
GSIBs. Category II standards apply to firms with $700 billion or 
more in assets, or firms with $75 billion or more in cross-
jurisdictional activity and $100 billion or more in assets, that do 
not qualify as U.S. GSIBs. Category III standards apply to firms 
with $250 billion or more in assets, or firms with $100 billion or 
more in assets and at least $75 billion in (1) nonbank assets, (2) 
weighted short-term wholesale funding, or (3) off-balance sheet 
exposure, that are not subject to Category I or II standards.
    \7\ Category IV standards apply to firms with $100 billion or 
more in total consolidated assets that do not meet the criteria for 
Categories I, II or III.
    \8\ The FR Y-14A submission as of June 30, 2020, would include 
certain revisions to the FR Y-14A, Schedules A.1.c.1 (Standardized 
RWA) and A.1.d (Capital) that allow eligible firms to incorporate 
the effects of the tailoring rule, the capital simplifications rule, 
and the standardized approach for counterparty credit risk (SA-CCR). 
See 84 FR 59230 (November 1, 2019) (tailoring rule); 84 FR 35234 
(July 22, 2019) (capital simplifications rule); 85 FR 4362 (January 
24, 2020) (SA-CCR). These revisions also include the removal of FR 
Y-14A, Schedules A.1.c.2 (Advanced RWA) and A.7.c (PPNR Metrics), 
and were recently adopted by the Board.
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Global Market Shock (GMS)

    The GMS is a set of hypothetical shocks to a large set of risk 
factors reflecting general market distress and heightened uncertainty. 
Firms with significant trading activity must consider the global market 
shock as part of their supervisory severely adverse scenario, and 
recognize associated losses in the first quarter of the planning 
period.\9\ In addition, certain large and highly interconnected firms 
must apply the same GMS to project losses under the counterparty 
default scenario component. The global market shock is applied to asset 
positions held by the firms on a given as-of date. These shocks do not 
represent a forecast of the Federal Reserve.
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    \9\ Bank of America Corporation, Barclays U.S. LLC, Citigroup 
Inc., Credit Suisse Holding (USA), DB USA Corporation, The Goldman 
Sachs Group, Inc., HSBC North America Holdings Inc., JPMorgan Chase 
& Co., Morgan Stanley, UBS Americas Holdings LLC, and Wells Fargo & 
Company.
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    The design and specification of the global market shock differ from 
that of the macroeconomic scenarios for several reasons. First, profits 
and losses from trading and counterparty credit are measured in mark-
to-market terms, while revenues and losses from traditional banking are 
generally measured using the accrual method. Another key difference is 
the timing of loss recognition. The GMS affects the mark-to-market 
value of trading positions and counterparty credit losses in the first 
quarter of the projection horizon. This timing is based on an 
observation that market dislocations can happen rapidly and 
unpredictably any time under stress conditions.
    Typically, the GMS is applicable only to FR Y-14 data associated 
with the fourth quarter submission of a given year. However, the Board 
has required firms subject to the GMS component to submit the stressed 
data portion of FR Y-14Q, Schedule L (Counterparty), as well as to 
incorporate the GMS component into their FR Y-14A submissions, for data 
as of June 30, 2020, so that the Board can conduct additional analysis 
(i.e., June 30, 2020, is the GMS as-of date). All firms that were 
subject to the GMS component for the 2020 DFAST and CCAR exercises are 
also subject to the GMS component for the additional analysis in 
connection with the resubmission of firms' capital plans.

Largest Counterparty Default (LCPD)

    The Board has required certain firms \10\ to incorporate a LCPD 
component in the severely adverse scenario used for the additional 
analysis that is conducted using data as of June 30, 2020. The LCPD 
component is intended to assess the potential losses and capital impact 
associated with the default of each applicable firm's largest 
counterparty. The Board will include a substantially similar largest 
counterparty default scenario component in its additional analysis for 
each firm in the severely adverse scenario.
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    \10\ Bank of America Corporation, The Bank of New York Mellon, 
Barclays U.S. LLC, Citigroup Inc., Credit Suisse Holding (USA), DB 
USA Corporation, The Goldman Sachs Group, Inc., HSBC North America 
Holdings Inc., JPMorgan Chase & Co., Morgan Stanley, State Street 
Corporation, UBS Americas Holdings LLC, and Wells Fargo & Company.
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    The counterparty default scenario component will allow the Board 
and each firm to evaluate whether the firm has sufficient capital to 
withstand the default of its largest counterparty. The counterparty 
default scenario component will account for the possibility that a firm 
experiences counterparty losses from certain activities that are not 
captured in supervisory macroeconomic scenarios. Generally, firms are 
subject to the counterparty default scenario component in addition to 
the GMS.
    The counterparty default scenario component must be treated as an 
add-on to the macroeconomic environment specified in the severely 
adverse scenario. Any potential losses from the counterparty default 
scenario component must be assumed to occur

[[Page 58051]]

instantaneously and must be included in projected losses for the first 
quarter of the planning horizon. The largest total net stressed loss 
amount associated with a single counterparty default must be reported 
as the loss associated with the counterparty default scenario 
component.
    The counterparty default scenario component for the additional 
analysis using data as of June 30, 2020, is generally similar to the 
component provided for the stress test cycle that began on January 1, 
2020. It requires each firm to assume an instantaneous and unexpected 
default of its largest counterparty, where the largest counterparty is 
identified based on net stressed losses. In selecting its largest 
counterparty, each firm is required to not consider certain sovereign 
entities (Canada, France, Germany, Italy, Japan, the United Kingdom, 
and the United States) or qualifying central counterparties (QCCP).\11\ 
For an IHC, affiliates, as defined by 12 CFR 252.71(b), are also 
excluded from the selection of a firm's largest counterparty. 
Furthermore, each firm is required to aggregate net stressed losses 
across securities lending and repurchase agreement (collectively, 
``Securities Financing Transactions,'' or ``SFT'' \12\) activities and 
derivatives for each counterparty.\13\
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    \11\ Any state-owned enterprise backed by the full faith and 
credit of an excluded sovereign entity should also be excluded. See 
definition of QCCP at 12 CFR 217.2.
    \12\ SFT activities subject to the counterparty default scenario 
component include repurchase agreements, reverse repurchase 
agreements, securities lending, and securities borrowing.
    \13\ All exposures within a consolidated organization, including 
to any subsidiaries and related companies, will be treated as 
exposures to a single counterparty. However, losses should first be 
computed at the subsidiary or related company level, accounting for 
legal netting agreements at that level, and then aggregated to the 
consolidated organization.
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    In selecting the largest counterparty, each firm is required to 
aggregate net stressed losses across SFT activities and derivatives for 
each counterparty, taking into account close-out netting agreements in 
place for the derivatives and SFT activities with each legal entity of 
that counterparty. For SFT and derivatives transactions where a netting 
agreement is legally enforceable in the jurisdiction where the 
counterparty legal entity is located, a firm is authorized to assume 
close-out netting such that estimated losses reflects the difference 
between the stressed value of securities or cash transferred to the 
counterparty legal entity and the stressed value of securities or cash 
received from the same counterparty legal entity, within each master 
netting agreement. For SFT activities, each firm is required to include 
potential losses associated with acting as a principal as well as 
potential losses that could result from transactions where each firm is 
acting as an agent but provides borrower-default indemnification in the 
event of a counterparty default.
    In estimating net stressed losses of a counterparty, each firm is 
required to revalue its exposures and collateral (securities or cash) 
using the hypothetical GMS scenario. Certain large and highly 
interconnected firms not subject to the GMS component must also apply 
the same global market shock to project losses under the counterparty 
default scenario component. Each firm must apply the global market 
shock to stress the current exposure, collateral, and value of 
derivatives-related transactions. Each firm must assume a recovery rate 
that the firm views as appropriate, based on its own internal analysis, 
for purposes of the counterparty default scenario component in the 
severely adverse scenario used in its additional analysis. A firm 
should not assume any additional recovery in subsequent quarters of the 
planning horizon. Reinvestment of collateral should be included to the 
extent that the reinvested collateral is part of another SFT agreement.
    The total net stressed losses should be calculated as follows: 
First, firms should compute the total stressed net current exposure 
(``Total Stressed Net CE''), as defined in the instructions for FR Y-
14Q, Schedule L (Counterparty). ``Total Stressed Net CE'' represents 
the stressed current exposures to a counterparty after applying the GMS 
to any derivatives and SFT assets (securities/collateral) exchanged 
under repo-style transactions, as defined in section 2 of 12 CFR part 
217, associated with the counterparty after taking all applicable 
netting agreements into account. Next, firms should subtract the 
notional amount of any single-name Credit Default Swap (``CDS'') 
hedges.\14\ Exclude from the trading book stress results the mark-to-
market gain related to these single-name CDS hedges. Then, firms should 
multiply the result by one minus the recovery rate. Finally, firms 
should subtract the stressed Credit Value Adjustment (``CVA'') 
attributed to the counterparty.\15\
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    \14\ When reporting gains associated with CVA hedges on Trading 
Schedule A.4 of the FR Y-l4A for all counterparties, firm s are 
instructed to exclude gains from name-specific credit default swaps 
associated with the counterparty default scenario component.
    \15\ This is to reflect the fact that stressed CVA loss and 
baseline CVA are already incorporated in the FR Y-14A Summary 
Schedule and the firm's balance sheet, respectively.
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    The LCPD component is generally only applicable to FR Y-14 data 
associated with the fourth quarter submission of a given year. However, 
in order to be able to conduct additional analysis, the Board has 
required firms subject to the LCPD component to incorporate the LCPD 
component into their FR Y-14A submissions for data as of June 30, 2020 
(i.e., June 30, 2020, is the LCPD as-of date). To maintain continuity, 
all firms that were subject to the LCPD component for the 2020 DFAST 
and CCAR exercises are also subject to the LCPD component for the 
additional analysis in connection with the resubmission of firms' 
capital plans.

Proposed Revisions to the FR Y-14A/Q/M

    In the event the Board needs to conduct additional analysis in 
connection with the resubmission of a firm's capital plan in the 
future, the Board would need certain data. Therefore, the Board 
proposes to revise the FR Y-14A instructions to indicate that the Board 
may require submission of the full or partial FR Y-14A report, 
including stressed data associated with LCPD, in connection with the 
resubmission of a firm's capital plan. The Board also proposes to 
revise the FR Y-14Q instructions to indicate that the Board may require 
submission of stressed FR Y-14Q, Schedule L (Counterparty) data in 
connection with the resubmission of a firm's capital plan.
    Legal authorization and confidentiality: The Board has the 
authority to require BHCs to file the FR Y-14A/Q/M reports pursuant to 
section 5(c) of the Bank Holding Company Act (``BHC Act''), (12 U.S.C. 
1844(c)), and pursuant to section 165(i) of the Dodd-Frank Wall Street 
Reform and Consumer Protection Act (Dodd-Frank Act) (12 U.S.C. 5365(i)) 
as amended by section 401(a) and (e) of the Economic Growth, Regulatory 
Relief, and Consumer Protection Act (EGRRCPA).\16\ The Board has 
authority to require SLHCs to file the FR Y-14A/Q/M reports pursuant to 
section 10(b) of the Home Owners' Loan Act (12 U.S.C. 1467a(b)), as 
amended by section 369(8) and 604(h)(2) of the Dodd-Frank Act. Lastly, 
the Board has authority to require U.S. IHCs of FBOs to file the FR Y-
14A/Q/M reports pursuant to section 5 of the BHC Act, as well as 
pursuant to sections 102(a)(1) and 165 of the Dodd-Frank Act (12

[[Page 58052]]

U.S.C. 5311(a)(1) and 5365).\17\ In addition, section 401(g) of EGRRCPA 
(12 U.S.C. 5365 note) provides that the Board has the authority to 
establish enhanced prudential standards for foreign banking 
organizations with total consolidated assets of $100 billion or more, 
and clarifies that nothing in section 401 ``shall be construed to 
affect the legal effect of the final rule of the Board . . . entitled 
`Enhanced Prudential Standard for [BHCs] and Foreign Banking 
Organizations' (79 FR 17240 (March 27, 2014)), as applied to foreign 
banking organizations with total consolidated assets equal to or 
greater than $100 million.'' \18\ The FR Y-14A/Q/M reports are 
mandatory. The information collected in the FR Y-14A/Q/M reports is 
collected as part of the Board's supervisory process, and therefore, 
such information is afforded confidential treatment pursuant to 
exemption 8 of the Freedom of Information Act (FOIA) (5 U.S.C. 
552(b)(8)). In addition, confidential commercial or financial 
information, which a submitter actually and customarily treats as 
private, and which has been provided pursuant to an express assurance 
of confidentiality by the Board, is considered exempt from disclosure 
under exemption 4 of the FOIA (5 U.S.C. 552(b)(4)).\19\
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    \16\ Public Law 115-174, Title IV 401(a) and (e), 132 Stat. 
1296, 1356-59 (2018).
    \17\ Section 165(b)(2) of the Dodd-Frank Act (12 U.S.C. 
5365(b)(2)) refers to ``foreign-based bank holding company.'' 
Section 102(a)(1) of the Dodd-Frank Act (12 U.S.C. 5311(a)(1)) 
defines ``bank holding company'' for purposes of Title I of the 
Dodd-Frank Act to include foreign banking organizations that are 
treated as bank holding companies under section 8(a) of the 
International Banking Act of 1978 (12 U.S.C. 3106(a)). The Board has 
required, pursuant to section 165(b)(1)(B)(iv) of the Dodd-Frank Act 
(12 U.S.C. 5365(b)(1)(B)(iv)) certain foreign banking organizations 
subject to section 165 of the Dodd-Frank Act to form U.S. 
intermediate holding companies. Accordingly, the parent foreign-
based organization of a U.S. IHC is treated as a BHC for purposes of 
the BHC Act and section 165 of the Dodd-Frank Act. Because Section 
5(c) of the BHC Act authorizes the Board to require reports from 
subsidiaries of BHCs, section 5(c) provides additional authority to 
require U.S. IHCs to report the information contained in the FR Y-
14A/Q/M reports.
    \18\ The Board's Final Rule referenced in section 401(g) of 
EGRRCPA specifically stated that the Board would require IHCs to 
file the FR Y-14A/Q/M reports. See 79 FR 17240, 17304 (March 27, 
2014).
    \19\ Please note that the Board publishes a summary of the 
results of the Board's CCAR testing pursuant to 12 CFR 
225.8(f)(2)(v), and publishes a summary of the results of the 
Board's DFAST stress testing pursuant to 12 CFR 252.46(b) and 12 CFR 
238.134, which includes aggregate data. In addition, under the 
Board's regulations, covered companies must also publicly disclose a 
summary of the results of the Board's DFAST stress testing. See 12 
CFR 252.58; 12 CFR 238.146. The public disclosure requirement 
contained in 12 CFR 252.58 for covered BHCs and covered IHCs is 
separately accounted for by the Board in the Paperwork Reduction Act 
clearance for FR YY (OMB No. 7100-0350) and the public disclosure 
requirement for covered SLHCs is separately accounted for in by the 
Board in the Paperwork Reduction Act clearance for FR LL (OMB No. 
7100-0380).
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    Consultation outside the agency: There has been no consultation 
outside the agency.


    Board of Governors of the Federal Reserve System, September 14, 
2020.
Michele Taylor Fennell,
Assistant Secretary of the Board.
[FR Doc. 2020-20547 Filed 9-16-20; 8:45 am]
BILLING CODE 6210-01-P