[Federal Register Volume 62, Number 213 (Tuesday, November 4, 1997)]
[Notices]
[Pages 59704-59706]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 97-29148]
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FEDERAL RESERVE SYSTEM
Agency Information Collection Activities: Proposed Collection;
Comment Request
AGENCY: Board of Governors of the Federal Reserve System (Board)
ACTION: Notice and request for comment.
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SUMMARY: In accordance with the requirements of the Paperwork Reduction
Act of 1995 (44 U.S.C. chapter 35), the Board, the Federal Deposit
Insurance Corporation (FDIC), and the Office of the Comptroller of the
Currency (OCC) (the ``Agencies'') may not conduct or sponsor, and the
respondent is not required to respond to, an information collection
that has been extended, revised, or implemented on or after October 1,
1995, unless it displays a currently valid Office of Management and
Budget (OMB) control number. Proposed revisions to the following
currently approved collection of information have received approval
from the Federal Financial Institutions Examination Council (FFIEC), of
which the Agencies are members, and are hereby published for comment by
the Board on behalf of the Agencies. At the end of the comment period,
the comments and recommendations received will be analyzed to determine
the extent to which the proposed revisions should be modified prior to
the Board's submission of them to OMB for review and approval. Comments
are invited on:
(a) Whether the proposed revisions to the following collection of
information are necessary for the proper performance of the Agencies'
functions, including whether the information has practical utility;
(b) The accuracy of the Agencies' estimate of the burden of the
information collection as it is proposed to be revised, including the
validity of the methodology and assumptions used;
(c) Ways to enhance the quality, utility, and clarity of the
information to be collected; and
(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.
DATES: Comments must be submitted on or before January 5, 1998.
ADDRESSES: Interested parties are invited to submit written comments to
the agency listed below. All comments, which should refer to the OMB
control number, will be shared among the Agencies.
Written comments should be addressed to Mr. William W. Wiles,
[[Page 59705]]
Secretary, Board of Governors of the Federal Reserve System, 20th and C
Streets, N.W., Washington, D.C. 20551, or delivered to the Board's mail
room between 8:45 a.m. and 5:15 p.m., and to the security control room
outside of those hours. Both the mail room and the security control
room are accessible from the courtyard entrance on 20th Street between
Constitution Avenue and C Street, N.W. Comments received may be
inspected in room M-P-500 between 9:00 a.m. and 5:00 p.m., except as
provided in section 261.8 of the Board's Rules Regarding Availability
of Information, 12 CFR 261.8(a).
A copy of the comments may also be submitted to the OMB desk
officer for the Agencies: Alexander Hunt, Office of Information and
Regulatory Affairs, Office of Management and Budget, New Executive
Office Building, Room 3208, Washington, D.C. 20503.
FOR FURTHER INFORMATION CONTACT: A copy of the proposed revisions to
the collection of information may be requested from the agency
clearance officer whose name appears below.
Mary M. McLaughlin, Board Clearance Officer, (202) 452-3829,
Division of Research and Statistics, Board of Governors of the Federal
Reserve System, 20th and C Streets, N.W., Washington, D.C. 20551.
Telecommunications Device for the Deaf (TDD) users may contact Diane
Jenkins, (202) 452-3544, Board of Governors of the Federal Reserve
System, 20th and C Streets, N.W., Washington, D.C. 20551.
SUPPLEMENTARY INFORMATION:
Proposal to revise the following currently approved collection of
information:
Title: Report of Assets and Liabilities of U.S. Branches and Agencies
of Foreign Banks
Form Number: FFIEC 002
OMB Number: 7100-0032.
Frequency of Response: Quarterly.
Affected Public: U.S. branches and agencies of foreign banks.
Number of Respondents: 513
Total Annual Responses: 2,052
Estimated Time per Response: 23.25 burden hours.
Total Annual Burden: 47,709 burden hours.
General Description of Report: This information collection is
mandatory: 12 U.S.C. 3105(b)(2), 1817(a)(1) and (3), and 3102(b).
Except for select sensitive items, this information collection is not
given confidential treatment (5 U.S.C. 552(b)(8)).
Small businesses (that is, small U.S. branches and agencies of
foreign banks) are affected.
Abstract: On a quarterly basis, all U.S. branches and agencies of
foreign banks (U.S. branches) are required to file detailed schedules
of assets and liabilities in the form of a condition report and a
variety of supporting schedules. This balance sheet information is used
to fulfill the supervisory and regulatory requirements of the
International Banking Act of 1978. The data are also used to augment
the bank credit, loan, and deposit information needed for monetary
policy and other public policy purposes. The report is collected and
processed by the Federal Reserve on behalf of all three Agencies.
Current Actions:
The proposed revisions to the Report of Assets and Liabilities of
U.S. Branches and Agencies of Foreign Banks (FFIEC 002) that are the
subject of this notice have been approved by the FFIEC for
implementation as of the March 31, 1998, report date. Nonetheless, as
is customary for FFIEC 002 reporting changes, U.S. branches are advised
that, for the March 31, 1998, report date, reasonable estimates may be
provided for any new or revised item for which the requested
information is not readily available.
The proposed revisions are summarized as follows:
Investment Securities With High Price Volatility
In December 1991, the FFIEC approved and the Agencies adopted a
Supervisory Policy Statement on Securities Activities which became
effective on February 10, 1992 (57 FR 4029, February 3, 1992). Under
this policy statement, prior to purchase and at subsequent testing
dates, U.S. branches must test mortgage derivative products to
determine whether they are ``high-risk'' or ``non high-risk.'' These
tests measure the expected weighted average life, average life
sensitivity, and price sensitivity of mortgage derivative securities
for specified changes in interest rates. During 1994, the Agencies
issued supervisory guidance concerning U.S. branch investments in
``structured notes'' which, in general, are debt securities (other than
mortgage-backed securities) whose cash flow characteristics (coupon
rate, redemption amount, or stated maturity) depend upon one or more
indices and/or that have embedded forwards or options. Beginning in
1995, U.S. branches began to report the fair value and the amortized
cost of their investment portfolio holdings of high-risk mortgage
securities (Schedule RAL, Memoranda items 5 and 6) and structured notes
(Schedule RAL, Memoranda items 7 and 8).
With regard to structured notes, supervisory attention has
primarily focused on ensuring that institutions understand and evaluate
the market risks associated with these instruments. Instruments that
have high market value or fair value sensitivity to changes in interest
rates or other appropriate market risk factors, such as foreign
exchange rates, have been the primary targets of such attention.
However, some of the structured notes currently reported in Schedule
RAL, Memoranda items 7 and 8, may not have high market risk profiles
and, in some cases, may have lower market risk volatility profiles than
generic U.S. Treasury and U.S. Government agency securities. As a
consequence, the Agencies are considering revising the information
collected on these instruments for supervisory purposes to reflect
information based on significant price volatility under specific
interest rate or major factor scenarios, e.g., an estimated change in
value of 20 percent or more due to an immediate and sustained parallel
shift in the yield curve of plus or minus 300 basis points. When the
Agencies develop the specific tests for significant price volatility,
existing Memorandum items 7 and 8 on Schedule RAL would be replaced
with revised items requesting the amortized cost and fair value of
securities (other than mortgage-backed securities backed by closed-end
first lien 1-4 family residential mortgages) whose price volatility
exceeds the specified threshold level under the specified interest rate
or major factor scenario.
For consistency, Schedule RAL, Memoranda items 5 and 6, which
currently collect information on ``high-risk'' mortgage securities
would be similarly replaced with items requesting the amortized cost
and fair value of mortgage-backed securities backed by closed-end first
lien 1-4 family residential mortgages whose price volatility exceeds a
specified threshold level under a specified interest rate or major
factor scenario. These mortgage-backed securities would be either the
same as, or a subset of, the mortgage-backed securities currently
reported in Schedule RAL, Memorandum items 5 and 6.
If the Agencies' specific tests for significant price volatility
have not been developed in time to implement this proposed reporting
change as of the March 31, 1998, report date, this FFIEC 002 revision
would take effect at a report date later in 1998 (or thereafter) after
the volatility tests have been devised.
Balances Due from Banks in Home Country and Home Country Central Bank
[[Page 59706]]
The Agencies use various quantitative screens to identify U.S.
branches with potentially significant liquidity risk exposure. These
screens primarily rely on data collected in the FFIEC 002. The Agencies
have determined that the existing data collected on Schedule A, item
4.b, for balances due from banks in foreign countries and foreign
central banks is not adequate for assessing U.S. branches liquidity
exposure associated with their involvement with home country banks. The
Agencies are therefore proposing to breakout balances due from banks in
the U.S. branches home country from balances due from banks in other
foreign countries.
The existing data collected in item 4.b. on balances due from Other
banks in foreign countries and foreign central banks would be modified
to exclude data on balances due from banks in the U.S. branches home
country. This modified data would be collected in renumbered item 4.c.
A new item 4.b. for balances due from Banks in home country and home
country central bank would be added to collect the information needed
for liquidity analysis. The Agencies believe that the proposed break
out will improve their ability to assess significant liquidity
exposures without adding undue reporting burden on U.S. branches.
Pledged Securities
The Agencies are also proposing to add a new memorandum item to
Schedule RAL for pledged securities. The new item would identify the
amount of U.S. government securities included in Schedule RAL items
1.b.(1), U.S. Treasury securities, and 1.b.(2), U.S. Government agency
obligations, that are pledged to secure deposits, repurchase
transactions, borrowings, or for any other purpose. Based on a review
of the manner in which information on pledged securities collected in
the domestic bank Call Report has been used, the Agencies believe that
this data would assist in determining whether securities held by a U.S.
branch represent an actual source of liquidity to pay depositors or
creditors or are already pledged to secure other branch obligations.
The Agencies believe that the proposed item will improve their ability
to assess significant liquidity exposures without adding undue
reporting burden on U.S. branches.
Request for Comment
Comments submitted in response to this Notice will be summarized or
included in the Board's request for OMB approval. All comments will
become a matter of public record. Written comments should address the
accuracy of the burden estimates and ways to minimize burden including
the use of automated collection techniques or the use of other forms of
information technology as well as other relevant aspects of the
information collection request.
Comments also are requested on the expected effects on information
currently reported in the FFIEC 002 report resulting from the
implementation of those portions of Financial Accounting Standards
Board Statement No. 125, ``Accounting for Transfers and Servicing of
Financial Assets and Extinguishments of Liabilities,'' that have had
their effective date delayed until after December 31, 1997. The
agencies are evaluating the need for additional data in this area.
These portions of Statement No. 125 address collateral and secured
borrowings, repurchase agreements, dollar-rolls, securities lending,
and similar transactions.
In addition, comments are requested on the extent to which U.S.
branches are engaged in guaranteed certificate of deposit and
confirmation certificate of deposit transactions. Guaranteed
certificates of deposit are certificates of deposit issued by non-U.S.
branches that are guaranteed payable by U.S. branches. In contrast,
confirmation certificates of deposit are certificates of deposit issued
by U.S. branches that are guaranteed payable by the non-U.S. branches.
The agencies are interested in obtaining information on the volume and
prevalence of such transactions among U.S. branches.
Insured U.S. branches should note that the FDIC is considering
amendments to its regulations on the deposit insurance assessment base
(12 CFR Part 327) which may require certain changes to the FFIEC 002.
Should the FDIC adopt amendments that necessitate changes to the FFIEC
002 in 1998, those changes will be separately published for public
comment as required under the Paperwork Reduction Act of 1995.
Board of Governors of the Federal Reserve System, October 30,
1997.
William W. Wiles,
Secretary of the Board.
[FR Doc. 97-29148 Filed 11-3-97; 8:45 am]
BILLING CODE 6210-01-F