This report collects systemic risk data from large U.S. bank holding companies (BHCs), covered savings and loan holding companies (SLHCs), and intermediate holding companies (IHCs).
Purpose: In addition to (i) facilitating the implementation of the surcharge for global systemically important banks (G-SIBs), (ii) identifying institutions which may be designated as domestic systemically important institutions (D-SIBs) under a future framework, and (iii) analyzing the systemic risk implications of proposed mergers and acquisitions, the Federal Reserve uses the FR Y-15 data to monitor, on an ongoing basis, the systemic risk profile of the institutions which are subject to enhanced prudential standards under section 165 of the Dodd-Frank Wall Street Reform and Consumer Protection Act.
In response to the financial crisis, the Basel Committee on Banking Supervision (BCBS) adopted a series of reforms to improve the resilience of banks and banking systems. Among those reforms is a capital surcharge (G-SIB surcharge) that increases for G-SIBs the "capital conservation buffer" the BCBS included in the revised international standards it published in 2010, Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems (Basel III). Under the standard, a G-SIB must hold tier 1 common equity capital sufficient to meet the capital conservation buffer, as increased by the G-SIB surcharge, in order to avoid restrictions on capital distributions and discretionary bonus payments to executive officers. The standards established in Basel III, as modified by the G-SIB surcharge (the Basel capital framework), are designed to fortify the capital positions of G-SIBs so that they can absorb losses and remain going concerns even under stressed financial conditions.
In August 2015, the Federal Reserve published a final rule establishing a G-SIB surcharge on the largest, most interconnected U.S. BHCs. The G-SIB identification methodology uses an indicator-based approach that focuses on those aspects of a G-SIB's operations that are likely to generate negative externalities in the case of its failure. The methodology assesses six components of a bank's systemic footprint: size, interconnectedness, substitutability, complexity, cross-jurisdictional activity, and short-term wholesale funding. The indicators comprising these six components are reported on the FR Y-15.
The panel consists of U.S. BHCs, SLHCs, and IHCs with $50 billion or more of total consolidated assets and any U.S.-based organizations designated as G-SIBs that do not otherwise meet the consolidated assets threshold. Only the top tier of a multi-tiered holding company that meets these criteria must file.
The FR Y-15 is required to be submitted as of March 31, June 30, September 30, and December 31. The submission date is 50 calendar days after the March 31, June 30, and September 30 as-of dates and 65 calendar days after the December 31 as-of date. The quarterly reporting requirement became effective starting with the June 30, 2016 as-of date.
Except as otherwise noted, the information collected on the FR Y-15 will be made available to the public via the National Information Center website (). The following line items will be kept confidential until the first reporting date after the liquidity coverage ratio (LCR) disclosure standard has been implemented: Schedule G, items 1 through 4.