July 6 -- The Board of Governors of the Federal Reserve System (Board) invites comment on a proposal to extend for three years, without revision, the Systemic Risk Report (FR Y-15). Comments must be submitted on or before September 6, 2022.
The FR Y-15 panel is comprised of top-tier U.S. bank holding companies (BHCs) and covered savings and loan holding companies (SLHCs) with $100 billion or more in total consolidated assets, foreign banking organizations (FBOs) with $100 billion or more in total combined U.S. assets, and any U.S. BHC designated as a global systemically important bank (GSIB) based on its method 1 score calculated under 12 CFR 217.404 as of December 31 of the previous calendar year. Estimated number of respondents: 52.
The Board uses the FR Y-15 data to monitor, on an ongoing basis, the systemic risk profile of certain financial institutions that are subject to enhanced prudential standards under section 165 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act).3 In addition, the FR Y-15 is used to (i) facilitate the implementation of the surcharge for GSIBs, (ii) identify other financial institutions which may present significant systemic risk, and (iii) analyze the systemic risk implications of proposed mergers and acquisitions.
Section 165 of the Dodd-Frank Act directs the Board to establish enhanced prudential standards, including risk-based capital requirements, for certain large financial institutions. These standards must be more stringent than the standards applicable to other financial institutions that do not present similar risks to U.S. financial stability. Further, these standards must increase in stringency based on several factors, including the size and risk characteristics of a company subject to the rule, and the Board must take into account the differences among BHCs and nonbank financial companies. Additionally, the Board has subjected covered SLHCs to supervisory and company-run stress testing requirements; risk-management and risk-committee requirements; liquidity risk management, stress testing, and buffer requirements; and singlecounterparty credit limits, pursuant to section 10(g) of the Home Owners’ Loan Act.
One such standard is the GSIB surcharge, which is calculated using an indicator-based approach that focuses on those aspects of a BHC’s operations that are likely to generate negative externalities in the case of its failure or distress. The GSIB surcharge rule’s methodologies assess six components of a BHC’s systemic footprint: size, interconnectedness, substitutability, complexity, cross-jurisdictional activity, and reliance on short-term wholesale funding. The indicators comprising these six components are reported on the FR Y-15. The FR Y-15 report is also used to monitor the systemic risk profile of the financial institutions that are subject to enhanced prudential standards under Section 165.
Additionally, the Dodd-Frank Act requires that the Board consider the extent to which a proposal would result in greater or more concentrated risks to the stability of the United States banking or financial system as part of its review of certain banking applications. The data reported on the FR Y-15 are used by the Board to analyze the systemic risk implications of such applications.
The report consists of the following schedules:
• Schedule A - Size Indicator
• Schedule B - Interconnectedness Indicators
• Schedule C - Substitutability Indicators
• Schedule D - Complexity Indicators
• Schedule E - Cross-Jurisdictional Activity Indicators
• Schedule F - Ancillary Indicators
• Schedule G - Short-term Wholesale Funding Indicator
• Schedule H - FBO Size Indicator
• Schedule I - FBO Interconnectedness Indicators
• Schedule J - FBO Substitutability Indicators
• Schedule K - FBO Complexity Indicators
• Schedule L - FBO Cross-Jurisdictional Activity Indicators
• Schedule M - FBO Ancillary Indicators
• Schedule N - FBO Short-term Wholesale Funding Indicator
FR Y-15 data collection: https://www.ffiec.gov/npw/FinancialReport/FRY15Reports
Draft supporting statement: https://www.federalreserve.gov/reportforms/formsreview/FR%20Y-15%20OMB%20SS%202022.pdf