This section of the FEDERAL REGISTER

contains notices to the public of the proposed

issuance of rules and regulations. The

purpose of these notices is to give interested

persons an opportunity to participate in the

rule making prior to the adoption of the final

rules.

Proposed Rules Federal Register

31896 

Vol. 83, No. 132 

Tuesday, July 10, 2018 

1See Minutes of the Financial Stability Oversight 

Council (September 22, 2016), https://

www.treasury.gov/initiatives/fsoc/council-meetings/ 

Documents/September222016_minutes.pdf and 12 

U.S.C. § 5344(b)(1)(B)(iii). 

DEPARTMENT OF THE TREASURY 

Office of Financial Research 

12 CFR Part 1610 

RIN 1505–AC58 

Ongoing Data Collection of Centrally 

Cleared Transactions in the U.S. 

Repurchase Agreement Market 

AGENCY: Office of Financial Research, 

Treasury. 

ACTION: Proposed rule. 

SUMMARY: The U.S. Department of the 

Treasury’s Office of Financial Research 

(the ‘‘Office’’) is requesting comment on 

a proposed rule establishing a data 

collection covering centrally cleared 

transactions in the U.S. repurchase 

agreement market. This proposed 

collection will require daily reporting to 

the Office by covered central 

counterparties. The Office expects that 

the Board of Governors of the Federal 

Reserve System will act as the Office’s 

collection agent, with required data to 

be submitted directly to the Federal 

Reserve Bank of New York. The 

collected data will be used to support 

the Financial Stability Oversight 

Council and as inputs to reference rates. 

DATES: Comments must be received by 

September 10, 2018. 

ADDRESSES: You may submit comments, 

identified by [RIN 1505–AC58], by any 

of the following methods: 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

• Mail: Matthew Reed, Chief Counsel, 

or Patrick Bittner, Senior Counsel, 

Office of the Chief Counsel, Office of 

Financial Research, 717 14th Street NW, 

Washington, DC 20220. 

Instructions: All submissions received 

must include the agency name and RIN 

1505–AC58 for this rulemaking. Because 

paper mail in the Washington, DC, area 

may be subject to delay, it is 

recommended that comments be 

submitted electronically. In general, all 

comments received will be posted 

without change to http://

www.regulations.gov, including any 

personal information provided. 

For access to the docket to read 

background documents or comments 

received, go to http://

www.regulations.gov. 

FOR FURTHER INFORMATION CONTACT: 

Patrick Bittner, Senior Counsel, (202) 

927–0035, patrick.bittner@

ofr.treasury.gov; Matthew McCormick, 

Research Economist, (202) 927–8215, 

matthew.mccormick@ofr.treasury.gov. 

SUPPLEMENTARY INFORMATION: 

I. Executive Summary 

II. Repurchase Agreement Market 

Background 

a. Importance of Repurchase Agreement 

Markets and Associated Vulnerabilities 

i. Low-Risk Option for Cash Investment/ 

Deposit Substitute 

ii. Monetizing Liquid Assets 

iii. Transformation of Collateral 

iv. Facilitating Hedging 

v. Supporting Secondary Market Efficiency 

and Liquidity 

b. Structure of the U.S. Repurchase 

Agreement Market 

c. Data Available on U.S. Repurchase 

Agreement Activity 

i. Tri-Party Repurchase Agreements 

ii. Centrally Cleared General Collateral 

Repurchase Agreements 

iii. Centrally Cleared Specific-Security 

Repurchase Agreements 

iv. Uncleared Bilateral Repurchase 

Agreements 

III. Alternative Reference Rate Background 

IV. Justification for Proposed Collection 

a. Collection of Centrally Cleared 

Repurchase Agreement Data 

i. Importance of Centrally Cleared 

Repurchase Agreement Data for 

Monitoring Financial Stability Risks 

ii. Importance of Centrally Cleared 

Repurchase Agreement Data to 

Alternative Reference Rates 

b. Uses of the Data Collection 

c. Legal Authority 

V. Collection Design 

a. Scope of Application 

b. Information Required 

i. Legal Entity Identifier Usage 

ii. Transaction Information 

iii. Date and Tenor Information 

iv. Trade Size and Rate 

v. Price of Collateral/Security 

c. Submission Process and Implementation 

VI. Administrative Law Matters 

a. Paperwork Reduction Act 

b. Regulatory Flexibility Act 

c. Plain Language 

I. Executive Summary 

The Office of Financial Research 

(‘‘Office’’) is requesting comment on a 

proposed rule establishing a data 

collection covering centrally cleared 

transactions in the U.S. repurchase 

agreement market (‘‘proposed 

collection’’). This proposed collection 

will require reporting by certain U.S. 

central counterparties (‘‘CCPs’’) for 

repurchase agreement (‘‘repo’’) 

transactions. This proposed collection 

will serve two primary purposes: (1) 

Enhance the ability of the Financial 

Stability Oversight Council (‘‘Council’’) 

and the Office to identify and monitor 

risks to financial stability; and (2) 

support the calculation of certain 

reference rates. Under the Dodd-Frank 

Wall Street Reform and Consumer 

Protection Act (‘‘Dodd-Frank Act’’), the 

Office is authorized to issue rules and 

regulations in order to collect and 

standardize data to support the Council 

in fulfilling its duties and purposes, 

such as identifying risks to U.S. 

financial stability. The Council 

recommended a permanent collection of 

repo data in its 2016 annual report to 

Congress and, as required by law, the 

Office consulted with the Council on 

the schedule of collection in September 

2016.1 The Council maintained this 

recommendation in its 2017 annual 

report. This proposed collection will 

require reporting on centrally cleared 

repo transactions, which comprise 

approximately one-quarter of all repo 

market transactions, marking an 

important step toward fully addressing 

the Council recommendation. 

The expanded monitoring of the repo 

market made possible by this proposed 

collection appropriately helps fulfill the 

Council’s duties and purposes because 

of this market’s crucial role in providing 

short-term funding and performing 

other functions for U.S. markets, making 

it important for financial stability 

monitoring. The data will also support 

the calculation of the Secured Overnight 

Funding Rate (‘‘SOFR’’), which was 

selected by the Alternative Reference 

Rates Committee (‘‘ARRC’’) as its 

preferred alternative rate to U.S. dollar 

London Interbank Offered Rate 

(‘‘LIBOR’’), as well as the Broad General 

Collateral Rate (‘‘BGCR’’), helping fulfill 


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2See Financial Stability Oversight Council, 2014 

Annual Report, p. 10; 2015 Annual Report, p. 17; 

2016 Annual Report, pp. 14–15; and 2017 Annual 

Report, pp. 12–13, https://www.treasury.gov/ 

initiatives/fsoc/studies-reports/Pages/2017-AnnualReport.aspx. 

3See Lorie K. Logan, Federal Reserve Bank of 

New York, ‘‘Operational Perspectives on Monetary 

Policy Implementation: Panel Remarks on ‘The 

Future of the Central Bank Balance Sheet’ ’’ (2018), 

https://www.newyorkfed.org/newsevents/speeches/ 

2018/log180504. 

4See Gary Gorton and Andrew Metrick, 

‘‘Securitized Banking and the Run on Repo,’’ 

Journal of Financial Economics (June 2012), pp, p. 

425–451. 

5See Bank for International Settlements, study 

group report, Repo Market Functioning (April 

2017), https://www.bis.org/publ/cgfs59.htm. 

6See Bank for International Settlements (April 

2017). 

7Repos are generally subject to an exemption 

from the automatic stay in bankruptcy, meaning 

that if a cash provider’s counterparty were to 

default, the cash provider could liquidate the 

collateral, recovering its value. 11 U.S.C. 559. In 

2017, the Board of Governors of the Federal Reserve 

System and Federal Deposit Insurance Corporation 

adopted a final rule requiring U.S. global 

systemically important banks (G–SIBs) and their 

subsidiaries to amend their repo contracts to 

temporarily stay the exercise of default rights 

caused by the bankruptcy of an affiliate. See 82 FR 

42882 (September 12, 2017). 

8For example, greater demand for high-quality 

assets makes them more difficult to procure, which 

can lead to failures to return the repo collateral. 

This phenomenon can become self-perpetuating, as 

when failures rise, market participants become less 

likely to lend securities to avoid the possibility that 

they may not get them back. This further reduces 

the supply of securities, exacerbating the situation. 

As a result, an initial shock to asset markets that 

reduces the supply of acceptable alternatives to 

cash providers can be amplified through repo 

market dynamics, further reducing firms’ options 

for deposit substitutes due to rising transaction 

fails. 

9The maturity of Bear Stearns’ repo funding 

deteriorated over several months before the firm 

experienced a run that first occurred on its bilateral 

repos secured by lower-quality assets, and then 

spread to its repos backed by U.S. Treasury 

securities. A similar dynamic occurred at a major 

European bank during the crisis, where the 

institution’s bilateral repos backed by government 

securities dried up and only repos that were 

centrally cleared remained available to the firm. See 

Bank for International Settlements, Liqudity Stress 

Testing: A Survey of Theory, Empirics and Current 

Industry and Supervisory Practices (October 2013), 

https://www.bis.org/publ/bcbs_wp24.htm. 

another Council recommendation on the 

creation of alternative reference rates.2

II. Repurchase Agreement Market 

Background 

A repo transaction is the sale of 

assets, combined with an agreement to 

repurchase the assets on a specified 

future date at a prearranged price. Repos 

are commonly used as a form of secured 

borrowing. The assets underlying the 

repo are used as collateral to protect the 

cash provider against the risk that the 

securities provider fails to repurchase 

the assets underlying the repurchase 

agreement. Market participants use 

repos for many reasons, such as using 

cash as collateral to borrow securities 

and to finance securities holdings. 

Central banks also use repos as an 

important monetary policy tool.3 The 

interest rate on repo borrowing is 

calculated from the difference between 

the sale price and the repurchase price 

of the assets underlying the repo. 

To protect the cash provider against a 

decline in the value of the securities 

subject to repurchase, cash providers 

typically require over-collateralization 

from borrowers. In an uncleared 

bilateral repo, the value of the securities 

pledged as collateral is discounted, 

which is referred to as a haircut. In a 

centrally cleared repo, 

overcollateralization is accomplished 

via initial margin. If the market value of 

the collateral falls during the life of the 

repo, the cash provider or, if cleared, the 

clearing firm, has the right to call on its 

counterparty to deliver additional 

collateral, known as variation margin, so 

that the loan remains over-collateralized 

against future adverse price movements. 

Repo transaction documentation 

specifies the terms, including the types 

of securities that are acceptable to the 

cash provider as collateral, and the 

associated haircuts or initial margin 

requirements. Repos can be entered into 

with a range of fixed maturities, though 

repos are often overnight transactions. 

For term repos, repo rates can be 

negotiated on either a fixed or on a 

floating basis. There are also open tenor 

repos that do not have a fixed maturity 

and are instead renewed by mutual 

agreement. 

a. Importance of Repurchase Agreement 

Markets and Associated Vulnerabilities 

A stable and well-functioning repo 

market is critical to U.S. financial 

markets and the U.S. economy, and thus 

U.S. financial stability. The repo market 

is the largest short-term wholesale 

funding market in the United States. In 

2008–09, runs on repos contributed to 

the financial crisis and helped lead to 

official sector intervention.4 The repo 

market is important to facilitating the 

flow of cash and securities through the 

financial system. There are four 

functions that repo transactions can 

serve for individual participants: Lowrisk cash investment, monetization of 

assets, transformation of collateral, and 

facilitation of hedging.5 Repos also 

benefit financial markets broadly by 

supporting secondary market efficiency 

and liquidity.6 These functions are 

described in the following paragraphs to 

provide a framework for understanding 

activity in the repo market and the 

associated vulnerabilities, and the need 

for the information this proposed 

collection will provide. Understanding 

the benefits and vulnerabilities of the 

repo market as a whole is important 

both in demonstrating the need for this 

proposed collection and determining 

which data elements are appropriate for 

inclusion. 

i. Low-Risk Option for Cash Investment; 

Deposit Substitute 

One of the functions repos offer is an 

alternative to insured deposits that 

provides similar, though less, liquidity 

and security. Financial market 

participants desire low-risk, money-like 

claims in order to meet demand for 

access to cash. Money and money-like 

claims can take a number of forms, 

including deposits and money market 

mutual fund investments. Because 

deposit insurance is capped in the 

United States, institutions seek repos 

backed by high-quality assets to place 

excess cash over the deposit insurance 

limit. The securities provided in the 

trade protect the cash provider against 

counterparty credit risk, while use of 

overcollateralization provides 

protection against market risk.7 In 

general, higher-quality collateral and 

larger haircuts reduce the risk to the 

cash provider. 

Repo markets can become less 

effective in providing deposit 

substitutes in times of market stress.8 In 

certain circumstances, although repo 

claims are secured, they may still lose 

favor as collateral values drop or 

counterparty risk increases. This risk 

was realized for Bear Stearns in 2008, 

when a run on Bear Stearns’ funding 

spread to its repo borrowing against 

high-quality collateral.9 This example 

demonstrates that even repos backed by 

high-quality collateral can become 

sensitive to counterparty risk, 

potentially resulting in a run on the 

institution’s funding. 

ii. Monetizing Liquid Assets 

Just as repos offer cash providers a 

deposit substitute, they allow cash 

borrowers to obtain funding in a costefficient manner. The monetization of 

assets achieved via repos offers a source 

of liquidity to firms that hold securities 

in inventory. For this reason, repos play 

an important role in the government 

securities market, as dealers often use 

repos to fund their purchases of 

Treasury securities at auction. 

The ability to monetize assets enables 

firms to engage in maturity 

transformation, in which a firm funds 

long-term assets using short-term 

liabilities. For example, a firm can 

borrow cash in the repo market with 

overnight maturity, using the cash 


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10This can occur when some securities become 

information-sensitive. Because cash providers seek 

to avoid gathering costly information about the 

quality of individual securities, increases in 

uncertainty as to the value of securities cause them 

to increase asset class-level haircuts in an attempt 

to recover their information-insensitivity. This 

reduces the ability of securities providers to borrow 

in repo against their portfolios. See Gary Gorton and 

Guillermo Ordon ̃ ez, ‘‘Collateral Crises,’’ American 

Economic Review, Vol. 104, no. 2 (February 2014), 

https://www.aeaweb.org/articles?id=10.1257/ 

aer.104.2.343. 

11See Gary B. Gorton, ‘‘Information, Liquidity, 

and the (Ongoing) Panic of 2007,’’ NBER Working 

Paper no. 14649 (January 2009), http://

www.nber.org/papers/w14649. 

12See Rajkamal Iyer and Marco Macchiavelli, 

‘‘Primary Dealers’ Behavior During the 2007–08 

Crisis: Part II, Intermediation and Deleveraging,’’ 

FEDS Notes (June 28, 2017), https://

www.federalreserve.gov/econres/notes/feds-notes/ 

primary-dealers-behavior-during-the-2007-08-crisispart-II-intermediation-and-deleveraging20170628.htm. 

13This approach is of particular importance to 

firms that hold lower-quality assets and engage in 

trades in, for example, derivatives, where higherquality assets are required for margining. 

14See Section II.A.ii, Repurchase Agreement 

Background, Monetizing Liquid Assets. 

15See Markus K. Brunnermeier and Lasse Heje 

Pedersen, ‘‘Market Liquidity and Funding 

Liquidity,’’ The Review of Financial Studies, Vol. 

22, no. 6 (June 2009), https://doi.org/10.1093/rfs/ 

hhn098. 

received to fund its holdings of longterm assets, which it provides as 

collateral. While maturity 

transformation is an essential function 

of the financial system, the assetliability maturity mismatch gives rise to 

rollover risk. 

As a result of the maturity mismatch 

that can arise from the monetization of 

liquid assets, this function, while a 

benefit of repos, is also a potential 

source of fragility. When the repo 

market is impaired, the ability of 

securities providers to borrow against 

their portfolios can be reduced.10 An 

example of this dynamic occurred in 

2007, when haircuts on repos backed by 

private-label mortgage-backed securities 

(‘‘MBS’’) began to rise as a result of 

doubts about the value of the underlying 

collateral. As haircuts rose, leveraged 

firms were forced to sell difficult-tovalue assets, often to buyers that were 

even less able to value the assets. Those 

buyers required steeper discounts as a 

result, creating strong fire sale dynamics 

that further undermined the value of 

private-label MBS.11 These runs passed 

through from dealers to leveraged funds, 

increasing the likelihood that those 

funds would be forced to dispose of 

assets in a fire sale, further reinforcing 

the fire sale dynamics.12

iii. Transformation of Collateral 

Another function of repos is to 

exchange securities currently held for 

other securities. This type of transaction 

allows firms to exchange one asset for 

another asset, effecting a form of 

collateral transformation. For example, a 

firm may want to temporarily exchange 

lower-quality equity collateral for 

higher-quality Treasury securities that 

can be posted as margin. This goal can 

be accomplished through a pair of repo 

transactions in which the firm lends the 

equities in one repo transaction and 

uses the cash proceeds to borrow 

Treasury securities in a second repo 

transaction, effectively transforming the 

quality of its assets.13

Because high-quality collateral can 

become scarce in times of stress, risks 

can increase for leveraged firms that rely 

on repos to obtain margin-eligible 

securities. Potential difficulties in 

obtaining high-quality collateral during 

large market movements that trigger 

margin increases illustrate how 

collateral transformation transactions 

can compound risks. For leveraged 

firms that engage in strategies in both 

cash and derivatives markets, the 

inability to obtain collateral to post 

margin could undermine their ability to 

maintain a hedged position, and could 

force a disorderly unwind. This use of 

repos can therefore create linkages that 

can enable the propagation of shocks 

through securities financing, 

derivatives, and securities markets. 

iv. Facilitating Hedging 

Repos can be used as a lower-cost way 

to hedge specific risks than individually 

buying and selling assets. For example, 

by allowing underwriters to borrow and 

short an issuer’s outstanding securities, 

repo markets let underwriters hedge the 

risk associated with holding newly 

issued securities that they have 

underwritten but not yet placed. This 

decreases the risk to underwriters and 

may reduce the cost to issuers. The 

reduced capacity of the repo market to 

facilitate hedging during periods of 

market stress can therefore make it more 

difficult for firms to manage exposures 

and engage in financial intermediation. 

v. Supporting Secondary Market 

Efficiency and Liquidity 

This final function of repos refers to 

their potential benefits for financial 

markets as a whole. Repo markets 

support secondary market efficiency 

and liquidity in securities markets both 

by funding dealer inventories and by 

helping dealers to source securities. 

Both allow dealers to quote prices on a 

broader range of securities more readily, 

thereby increasing asset market 

liquidity. Additionally, the ability of 

market participants to use repos to 

obtain securities for short sales 

improves pricing efficiency. 

Repos allow dealers to quote prices 

more readily, improving market 

liquidity in two ways. First, because the 

repo market helps dealers to more 

effectively monetize assets on their 

balance sheet,14 dealers are able to 

maintain larger inventories at a lower 

cost, which may allow them to quote 

prices on (i.e., offer to sell) a larger 

volume or wider array of securities. 

Second, by enabling dealers to borrow 

securities on a short-term basis, repo 

markets allow dealers to quote prices for 

securities they do not currently hold in 

inventory but know they can access—a 

virtual inventory. Without repos, a 

dealer would have to maintain larger 

inventories at increased capital costs to 

make markets, adding to costs for the 

dealer and, by extension, issuers and 

investors. Thus, repo markets are 

critical to dealer trading and supporting 

market efficiency and liquidity. 

The secondary market efficiency and 

liquidity provided by repos depend on 

a funding market with relatively stable 

collateral values. Repos create a tight 

coupling between funding liquidity and 

market liquidity. This can create a 

situation where a negative shock to the 

value of assets in dealers’ portfolios 

reduces their ability to fund those 

portfolios. That reduces market 

liquidity, which can further reduce 

dealers’ ability to fund their portfolios. 

Market liquidity provided by repos 

reinforces and is reinforced by the 

funding liquidity available to traders. 

Shocks to either market liquidity or 

funding liquidity can negatively affect 

both, potentially leading to liquidity 

spirals.15 In extreme scenarios, liquidity 

spirals can manifest as fire sales in 

which firms are forced to deleverage 

with no ready buyers. That may cause 

prices to plummet below assets’ 

fundamental value, which, in turn, may 

force further deleveraging. 

b. Structure of the U.S. Repurchase 

Agreement Market 

In the United States, repos are often 

described as occurring in either the triparty or bilateral market. However, a 

more precise way of describing the 

segments of the U.S. repo market is to 

distinguish between transactions that 

are settled on the books of tri-party 

custodian banks, and repos that are 

settled on a delivery-versus-payment 

(‘‘DVP’’) basis. There are two market 

segments that rely on tri-party custodian 

banks for settlement. First, there is a 

non-centrally cleared segment, 

traditionally referred to as ‘‘tri-party 

repo.’’ Second, there is a centrally 

cleared segment, consisting of the 


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16Additionally, the settlement bank acts as 

custodian for the securities held as collateral and 

allocates collateral to trades at the close of the 

business day. This ensures that the party receiving 

securities receives the correct asset class, value, and 

haircut, while confirming that any newly posted 

collateral substituted during the life of the 

transaction meets the cash provider’s collateral 

requirements. 

17See Paul Agueci, Leyla Alkan, Adam Copeland, 

Isaac Davis, Antoine Martin, Kate Pingitore, 

Caroline Prugar, and Tyisha Rivas, ‘‘A Primer on 

the GCF Repo® Service,’’ Federal Reserve Bank of 

New York Staff Reports no. 671 (2014), https://

www.newyorkfed.org/research/staff_reports/ 

sr671.html. 

18 15 U.S.C. 80a–1 et seq. 

19See David Bowman, Joshua Louria, Matthew 

McCormick, and Mary-Frances Styczynski, ‘‘The 

Cleared Bilateral Repo Market and Proposed Repo 

Benchmark Rates,’’ FEDS Notes (February 27, 2017), 

https://doi.org/10.17016/2380-7172.1940. 

20Novation in this context refers to the process 

by which the clearinghouse becomes the 

counterparty to both of the participants to the 

transaction. Novation is the substitution or swap of 

two parties in a contractual agreement., according 

to Black’s Law Dictionary (10th ed., 2014). 

21See Viktoria Baklanova, Cecilia Caglio, Marco 

Cipriani, and Adam Copeland, ‘‘The U.S. Bilateral 

Repo Market: Lessons from a New Survey,’’ OFR 

Brief Series no. 16–01 (January 13, 2016), https:// 

www.financialresearch.gov/briefs/files/OFRbr-2016- 

01_US-Bilateral-Repo-Market-Lessons-fromSurvey.pdf. 

22As measured by U.S. dollar volume. 

23Bank of New York Mellon (‘‘BNYM’’) and 

JPMorgan Chase (‘‘JPMC’’) currently serve as the 

two clearing banks in the tri-party repo market. 

JPMC announced in July 2016 that it plans to exit 

government securities settlement for broker-dealers 

by the end of 2018. After 2018, BNYM may become 

the sole clearing bank in the tri-party repo market 

for Treasury securities. See Federal Reserve Board, 

Request for Information Relating to Production of 

Rates, 82 FR 41259, 41260 (August 30, 2017). 

24See 82 FR 41259, 41260 (August 30, 2017). 

25See Federal Reserve Bank of New York, ‘‘TriParty-GCF Repo,’’ undated online content, https:// 

www.newyorkfed.org/data-and-statistics/datavisualization/tri-party-repo#interactive/volume/ 

collateral_value. 

General Collateral Financial Repurchase 

Agreement service (‘‘GCF Repo’’), that 

provides trade matching and netting 

services on general collateral repos. DVP 

transactions also occur in two segments: 

Centrally cleared DVP repos; and 

uncleared DVP repos, typically referred 

to as bilateral repos, which involve two 

parties contracting directly without a 

central counterparty. 

In tri-party repo, settlement occurs 

through a bank that provides collateral 

valuation, margining, and management 

services. The settlement bank provides 

back-office support to both parties in the 

trade by settling the repo on its books 

and confirming the terms of the repo, 

such as eligible collateral and haircuts, 

are met.16 Agreements in tri-party repo 

are between specified counterparties 

and are made on a general collateral 

basis. In general collateral transactions, 

cash providers accept classes of 

securities at set haircuts rather than 

specific securities. 

In GCF Repo, qualified members of 

the Fixed Income Clearing Corporation 

(‘‘FICC’’) Government Securities 

Division can trade repos on a general 

collateral basis without revealing their 

identities to counterparties. FICC, a 

subsidiary of the Depository Trust & 

Clearing Corporation (‘‘DTCC’’), 

provides the GCF Repo service. GCF 

Repo-eligible collateral consists of 

government and agency securities 

eligible for settlement via Fedwire, the 

Federal Reserve’s payment and 

settlement system.17 FICC acts as a CCP 

for participating members. Interposing a 

common counterparty for all 

transactions allows broker-dealers to 

limit counterparty risk and provides 

netting benefits. Transacting in GCF 

Repo is efficient because participants do 

not have to assign collateral for each 

specific trade; instead, collateral held at 

a tri-party clearing bank is allocated to 

net positions at the end of the day. The 

elimination of trade-by-trade DVP 

delivery requirements reduces 

participants’ operational costs. The GCF 

Repo service recently was expanded to 

include Centrally Cleared Institutional 

Triparty (‘‘CCIT’’), a channel through 

which institutional counterparties 

(other than investment companies 

registered under the Investment 

Company Act of 1940, as amended 18) 

can participate as cash providers in GCF 

Repo on a specified counterparty basis. 

This new service may lead to a tighter 

coupling between the GCF Repo and triparty repo market segments, because it 

enables tri-party lenders that previously 

could not participate in the GCF repo 

market to lend directly to a cash 

borrower in the GCF repo market. 

Outside the tri-party custodian banks, 

FICC operates the DVP Service as an 

additional repo platform for qualified 

members of its Government Securities 

Division.19 Through this platform, 

bilateral repo transactions are novated 

to FICC, which then acts as a central 

counterparty to the transactions.20 This 

platform provides settlement netting for 

legs of repo transactions occurring after 

the initial date of the agreement. 

Participants execute bilateral repos with 

other FICC members and submit 

security-specific trades for matching, 

comparison, and settlement. While 

some of these trades are negotiated on 

a general collateral basis, their 

settlement occurs on a specific-security 

basis. 

Finally, there are uncleared bilateral 

repos, in which counterparties negotiate 

repo transactions directly with one 

another. A firm engaging in uncleared 

bilateral repos must manage the 

collateral flow, processing, settlement, 

valuation, and margining itself. 

Analysis of data on primary dealer 

positions suggests that dealers act as 

cash providers in $3.0 trillion of 

bilateral repos, including those 

conducted through the DVP Service.21

c. Data Available on U.S. Repurchase 

Agreement Activity 

While some members of the Council 

have access to certain data about the 

repo market, the data are insufficient to 

draw a complete picture of U.S. repo 

market activity and the associated 

vulnerabilities. As the financial crisis 

demonstrated, high-quality information 

is one of the best tools for identifying 

the build-up of risk. While 

improvements have been made, a full 

picture of all segments of the U.S. repo 

market is still largely unavailable. This 

proposed collection will cover certain 

centrally cleared repo transactions, 

allowing the Office to gather data on a 

mandatory basis on what it estimates to 

be approximately one-quarter of the U.S. 

repo market.22 While this proposed 

collection will not yet provide a full 

picture of the entire U.S. repo market, 

when taken together with information 

collected about other types of repos by 

other regulators, discussed below, this 

proposed collection will enable access 

to transactional data on approximately 

half of U.S. repo market activity. 

i. Tri-Party Repurchase Agreements 

The Board of Governors of the Federal 

Reserve System (‘‘Federal Reserve 

Board’’), through the Federal Reserve 

Bank of New York (‘‘FRBNY’’), 

supervises the two tri-party custodian 

banks and, on a mandatory basis 

pursuant to its supervisory authority, 

collects daily data on transactions in 

these markets.23 The data include 

information on: The interest rate; the 

counterparties; the collateral pledged; 

the type of transaction; the transaction 

initiation date; the transaction effective 

date; the transaction maturity date; 

whether the transaction is open-ended; 

the value of the funds borrowed; 

whether the transaction includes an 

option; and, if the transaction includes 

an option (e.g., the ability to extend or 

terminate early), the minimum notice 

period required to exercise it.24

Additionally, the FRBNY makes some 

aggregated data on tri-party repo 

publicly available. As of April 2018, 

daily tri-party repo volumes totaled 

about $1.8 trillion.25

ii. Centrally Cleared General Collateral 

Repurchase Agreements 

A centrally cleared general collateral 

repo is a transaction that is cleared by 


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26See 82 FR 41259, 41260 (August 30, 2017). 

27 Id. 

28See Federal Reserve Bank of New York, ‘‘TriParty-GCF Repo,’’ undated online content, https:// 

www.newyorkfed.org/data-and-statistics/datavisualization/tri-party-repo#interactive/tripartygcf. 

29CUSIP is a nine-character alphanumeric code 

that identifies a North American financial security 

for the purposes of facilitating clearing and 

settlement of trades. The CUSIP system is owned 

by the American Bankers Association and is 

operated by S&P Global Market Intelligence. The 

International Securities Identification Number 

(ISIN) is a 12-character alphanumeric code that 

serves for uniform identification of a security 

through normalization of the assigned National 

Number. CUSIP serves as the National Securities 

Identification Number for products issued in the 

United States and Canada. 

30See 82 FR 41259, 41261 (August 30, 2017). 

31See Bowman, Louria, McCormick, and 

Styczynski (February 27, 2017). 

32See Office, Bilateral Repo Data Collection Pilot 

Project, undated online content, https://

www.financialresearch.gov/data/repo-data-project/. 

Nine bank holding companies voluntarily provided 

data on their outstanding bilateral repo and 

equivalent securities lending trades for three days. 

33See Baklanova, Caglio, Cipriani, and Copeland 

(January 13, 2016). 

34See Office’s 2017 Financial Stability Report, 

pp. 27–28. 

35See ICE Benchmark Administration’s ICE 

LIBOR Quarterly Volume Report, Q1 2018, https:// 

www.theice.com/publicdocs/ICE_Libor_Quarterly_

Volume_Report_Q1_2018.pdf. 

36See Financial Conduct Authority, ‘‘Powers in 

Relation to LIBOR Contributions’’ (June 2017), pp. 

15–16, https://www.fca.org.uk/publication/ 

consultation/cp17-15.pdf. 

37See Financial Conduct Authority, ‘‘FCA 

Statement on LIBOR Panels’’ (November 24, 2017), 

https://www.fca.org.uk/news/statements/fcastatement-libor-panels. 

38See Financial Stability Oversight Council, 

recommendations in 2014, 2015, 2016, and 2017 

annual reports, https://www.treasury.gov/ 

initiatives/fsoc/studies-reports/Pages/2017-AnnualReport.aspx. 

a CCP where the settlement obligation is 

for an acceptable asset class as opposed 

to a specific security. Currently, only 

FICC offers this type of centrally cleared 

U.S. service, through its GCF Repo 

service. While the FRBNY has entered 

into a voluntary agreement with an 

affiliate of FICC, DTCC Solutions LLC 

(‘‘DTCC Solutions’’), to obtain limited 

daily data regarding GCF Repo 

transactions,26 there is no mandatory 

collection of detailed transaction data 

from GCF Repo. The data set provided 

under the voluntary agreement includes: 

The interest rate of the transaction; 

information on the collateral that may 

be pledged in the transaction; the date 

the transaction is initiated; the date the 

transaction becomes effective; the date 

the transaction matures; the value of 

funds borrowed in the transaction; and 

an indicator differentiating between 

repos and reverse repos in relation to 

the CCP.27 Notably, the data submission 

to the FRBNY does not include the 

identities of counterparties, although 

the FICC platform collects this 

information as a consequence of its 

trade processing. As of September 2017, 

daily GCF Repo volumes totaled about 

$400 billion on a gross basis.28

iii. Centrally Cleared Specific-Security 

Repurchase Agreements 

A centrally cleared specific-security 

repo is a transaction that is cleared by 

a CCP where the settlement obligation is 

for a mutually agreed upon specific 

security, such as a security identified by 

a particular CUSIP or ISIN.29 In the 

United States, currently only FICC offers 

this type of centrally cleared repo 

service through its DVP Service, through 

which bilateral repo transactions 

become centrally cleared. As is the case 

with existing centrally cleared general 

collateral repo, there is no mandatory 

regulatory collection of data on centrally 

cleared specific-security repo. Like GCF 

Repo, DTCC Solutions also provides 

limited daily data on transactions under 

FICC’s DVP Service to the FRBNY under 

a voluntary agreement. The data include 

information only on repos backed by 

U.S. Treasury securities. For each trade, 

information is provided on the interest 

rate of the transaction; the specific 

collateral that is pledged in the 

transaction; the date the transaction is 

initiated; the value of funds borrowed in 

the transaction; and a field indicating 

whether the CCP is lending cash or 

securities.30 As with the GCF Repo 

service, FICC’s DVP Service data 

submission does not include 

counterparty information. FICC’s DVP 

Service is estimated to clear about $400 

billion in same-day-start overnight repos 

collateralized by Treasury securities 

alone.31

iv. Uncleared Bilateral Repurchase 

Agreements 

Unlike the other three repo market 

segments, the wholly bilateral nature of 

uncleared repo means there is no central 

source for comprehensive data. To 

better understand the bilateral repo 

market, determine the value of a 

potential data collection, and gain 

insights into the design of such a 

collection, the Office and the Federal 

Reserve, with input from the Securities 

and Exchange Commission (‘‘SEC’’), 

conducted a pilot program collecting 

information on both centrally cleared 

and uncleared bilateral repo 

transactions. The pilot collection took 

place in 2015 and gathered data from a 

subset of U.S.-based broker dealers. The 

results and lessons learned were 

published in January 2016.32 While the 

pilot did not survey all market 

participants, the paper summarizing the 

results of the pilot used data from the 

Federal Reserve’s FR 2004 report, which 

collects information on market activity 

from primary dealers in U.S. 

government securities, to estimate that 

dealers provide on a daily basis about 

$3.0 trillion in cash in cleared and 

uncleared bilateral repo combined.33

Significant lessons were learned about 

the uncleared bilateral repo market from 

the pilot. The Office is considering a 

separate rulemaking in the future to 

collect data on an ongoing basis about 

the uncleared bilateral segment of the 

U.S. repo market. 

III. Alternative Reference Rate 

Background 

LIBOR is a set of widely-used 

reference rates for different currencies 

and maturities that is intended to 

represent the cost of unsecured 

borrowing in the interbank market. The 

sustainability of U.S. dollar LIBOR is 

uncertain. In the wake of scandals 

arising from misconduct related to 

LIBOR submissions, banks have become 

increasingly reluctant to participate in 

the U.S. dollar LIBOR panel, and market 

participants generally have trended 

away from unsecured funding and 

toward secured funding transactions.34

Only about one-quarter of current 

benchmark 3-month U.S. dollar LIBOR 

submissions are based on actual 

transactions because of the low volume 

of unsecured funding transactions.35

With fewer transactions, panel members 

are less able to rely on arm’s-length 

transactions as the basis for their 

submissions, which subjects 

participating firms to possible criticism 

or litigation risk. For these reasons, 

some U.S. dollar LIBOR participants 

have questioned their continued 

involvement. Recognizing the need to 

continue LIBOR publication while 

alternatives are identified and 

operationalized, the U.K. Financial 

Conduct Authority (‘‘FCA’’) released a 

consultation paper discussing its ability 

to compel banks to continue providing 

submissions to the LIBOR panel.36 The 

paper concluded that the FCA’s powers 

are time-limited and cannot guarantee 

the ongoing viability of LIBOR. 

Subsequently, the FCA secured a 

voluntary agreement with the LIBOR 

panel banks for their continued 

participation in LIBOR panels through 

2021.37

For several years, the Council has 

recommended the identification of 

alternative reference rates.38 Most 

recently, in its 2017 annual report, the 

Council encouraged the completion of 

work to develop a credible 


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39See Financial Stability Oversight Council, 2017 

Annual Report, p. 13, https://www.treasury.gov/ 

initiatives/fsoc/studies-reports/Documents/FSOC_

2017_Annual_Report.pdf. 

40See Financial Stability Board report, Reforming 

Major Interest Rate Benchmarks (July 22, 2014), 

http://www.fsb.org/2014/07/r_140722/. See 

Financial Stability Oversight Council, 2014, 2015, 

2016, and 2017 annual reports, https://

www.treasury.gov/initiatives/fsoc/studies-reports/ 

Documents/FSOC%202016%20

Annual%20Report.pdf. 

41See Alternative Reference Rates Committee, 

minutes for December 2014 meeting, and list of 

initial ARRC representatives (December 12, 2014), 

https://www.newyorkfed.org/medialibrary/ 

microsites/arrc/files/2015/Dec-12-2014-ARRCMinutes.pdf. The committee’s current membership 

is available at https://www.newyorkfed.org/arrc/ 

governance.html. 

42See Federal Reserve Board, Production of Rates 

Based on Data for Repurchase Agreements, 82 FR 

58397 (December 12, 2017). 

43See Federal Reserve Bank of New York, 

Statement Introducing the Treasury Repo Reference 

Rates (April 3, 2018), https://www.newyorkfed.org/ 

markets/opolicy/operating_policy_180403. 

44Production of this new rate, in addition to 

addressing a financial stability issue, may improve 

market liquidity, as benchmark regulation has been 

found to do. See Matteo Aquilina, Gbenga Ibikunle, 

Vito Mollica, and Tom Steffen, ‘‘Benchmark 

Regulation and Market Quality,’’ U.K. Financial 

Conduct Authority Occasional Paper no. 27 (July 3, 

2017), https://www.fca.org.uk/publication/ 

occasional-papers/op17-27.pdf. 

45See Alternative Reference Rates Committee, 

The ARRC Selects a Broad Repo Rate as its 

Preferred Alternative Reference Rate, (June 22, 

2017), http://www.newyorkfed.org/medialibrary/ 

microsites/arrc/files/2017/ARRC-press-release-Jun22-2017.pdf. 

46See Financial Stability Oversight Council, 2017 

Annual Report, p. 14, https://www.treasury.gov/ 

initiatives/fsoc/studies-reports/Documents/FSOC_

2017_Annual_Report.pdf and 2016 Annual Report, 

p. 14, https://www.treasury.gov/initiatives/fsoc/ 

studies-reports/Documents/FSOC%202016%20

Annual%20Report.pdf. 

47See Depository Trust & Clearing Corporation, 

DVP Repo Transactions, undated online content, 

https://www.dtcclearning.com/products-andservices/fixed-income-clearing/governmentsecurities-division-gsd/dvp-service/dvp-repotransactions.html. 

48See Baklanova, Caglio, Cipriani, and Copeland 

(January 13, 2016), using a method first outlined in 

Copeland, et al., ‘‘Lifting the Veil on the U.S. 

Bilateral Repo Market.’’ Liberty Street Economics: 

http://libertystreeteconomics.newyorkfed.org/2014/ 

07/lifting-the-veil-on-the-us-bilateral-repomarket.html. 

49 During the financial crisis, the repo market first 

began to show stress in the summer of 2007, and 

runs on repos played a central role in the failures 

of Bear Stearns and Lehman Brothers. These threats 

can manifest quickly; the run on Bear Stearns took 

place over less than a week. See Financial Crisis 

Inquiry Commission, ‘‘Conclusions of the Financial 

Crisis Inquiry Commission,’’ (January 2011) pp. 

286–290. 

50See Adam Copeland, Antoine Martin, and 

Martin Walker, ‘‘Repo Runs: Evidence from the TriParty Repo Market’’ (2011), Federal Reserve Bank of 

New York Staff Reports. 

implementation plan to achieve a 

smooth transition to the new rate.39

Following a report by the Financial 

Stability Board, the U.S. effort to 

identify alternative interest rate 

benchmarks to U.S. dollar LIBOR was 

coordinated by the Federal Reserve and 

supported by the Council.40 The Federal 

Reserve convened the ARRC in 

November 2014, with representation 

from many of the largest dealers.41 This 

body, a voluntary, industry-led effort, 

worked to identify a preferred 

alternative reference rate and lay out a 

roadmap for a transition to that rate. 

In December 2017, the Federal 

Reserve Board announced that the 

FRBNY, in cooperation with the Office, 

would begin producing three new 

reference rates based on repo 

transaction data during the second 

quarter of 2018.42 These three rates are 

the tri-party general collateral rate, the 

BGCR, and the SOFR. Publication of 

these rates began on April 3, 2018.43

The BGCR consists of overnight repos 

backed by Treasury securities that occur 

in tri-party repo and the GCF Repo 

service. The SOFR consists of overnight 

repos backed by Treasury securities that 

occur in the tri-party repo market, the 

GCF Repo service, and the DVP 

Service.44 The ARRC selected the SOFR 

as its preferred alternative to U.S. dollar 

LIBOR.45 The FRBNY is currently 

producing the SOFR and BGCR using 

the tri-party repo data it collects from 

BNYM through the Federal Reserve 

Board’s supervisory authority and the 

data it obtains through the voluntary 

agreement with DTCC Solutions, 

discussed above. This proposed 

collection is expected to provide an 

ongoing and expanded source of data to 

support rates such as the SOFR and 

BGCR, helping to fulfill the Council’s 

recommendation for the identification 

of alternative reference rates. 

IV. Justification for Proposed Collection 

a. Collection of Centrally Cleared 

Repurchase Agreement Data 

i. Importance of Centrally Cleared 

Repurchase Agreement Data for 

Monitoring Financial Stability Risks 

The collection of data on the centrally 

cleared segments of the repo market 

marks an important step in carrying out 

the Council’s recommendation to 

expand and make permanent the 

collection of data on the U.S. repo 

market. The Council recommended a 

permanent collection of repo data in its 

2016 annual report to improve 

transparency and risk monitoring which 

was reiterated in the 2017 annual 

report.46 The Office believes that the 

proposed approach of collecting certain 

cleared repo data from CCPs, which 

already collect most or all of the 

requested data during trade processing, 

will result in lower aggregate costs to 

market participants than a collection 

from individual participants. FICC has 

indicated that on average, it matches, 

nets, settles, and risk-manages centrally 

cleared repo transactions valued at more 

than $1.7 trillion per day.47 This 

proposed collection is expected to result 

initially in reporting only from two 

FICC services: The GCF Repo Service (a 

general collateral repo service), 

including CCIT; and the DVP Service (a 

specific-security repo service). This 

proposed collection, together with 

existing data collected on tri-party 

repos, will allow about half of the 

estimated activity in the U.S. repo 

market by volume to be analyzed and 

monitored.48

The collection of transactional data on 

centrally cleared repos is key to the 

Council’s effective identification and 

monitoring of emerging threats to the 

stability of the U.S. financial system. 

The repo market plays a number of 

critical functions which have associated 

vulnerabilities that could give rise to 

conditions that impair the ability of 

repo markets to perform. These 

functions also create linkages between 

different financial markets and 

institutions, and therefore potential 

channels for the propagation of shocks. 

These vulnerabilities have developed in 

the past into threats to U.S. financial 

stability, most notably during the 2007– 

09 financial crisis.49

Despite the vulnerabilities, only one 

of the four segments of the U.S. repo 

market, the tri-party repo segment, is 

currently subject to a mandatory 

regulatory data collection. Data gaps and 

the absence of mandatory collections are 

a significant impediment to the 

Council’s and its member agencies’ 

ongoing ability to monitor 

developments in the repo market and 

potential emerging threats to financial 

stability. The lack of comprehensive 

data on repos creates material blind 

spots with regard to the most active 

short-term funding market in the U.S. 

financial system. This proposed 

collection is an important step in 

eliminating these blind spots. 

From a financial stability perspective, 

it is important to monitor transactions 

in centrally cleared repo for three 

reasons. First, repos that are transacted 

through a CCP on a blind-brokered basis 

can act as a critical market for repo 

borrowers that are under stress. Even 

uncleared repos backed by high-quality 

collateral can become sensitive to 

counterparty risk, potentially resulting 

in a run on the institution’s funding.50

Shifts in activity from specificcounterparty repos to blind-brokered 


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51The linkages between funding and asset 

markets creates risk of spillovers from one market 

to another because of the shared use of collateral. 

Price impacts on collateral arising from the forced 

sale of collateral due to the lack of confidence in 

the collateral or a particular counterparty can have 

widespread effects beyond the original transactions, 

leading to contagion that can culminate in fire sales 

and potential threats to financial stability. The 

shared use of collateral between different segments 

of the repo market therefore creates a channel 

through which centrally cleared repo transactions 

can be impacted by activity in other portions of the 

repo market. 

52See Financial Stability Oversight Council, 2017 

Annual Report, pp. 123–4, https://

www.treasury.gov/initiatives/fsoc/studies-reports/ 

Documents/FSOC_2017_Annual_Report.pdf. 

53See infra Section V(b), information required, 

for a discussion of individual data fields. 

54 12 U.S.C. 5343(b). 

55 12 U.S.C. 5344(b)(5). 

transactions can therefore indicate 

market perceptions that a firm may be 

under stress. 

Second, while counterparty risk is 

mitigated by the use of CCPs, adverse 

changes in the value of collateral can 

propagate shocks arising elsewhere in 

the financial system to CCP members by 

impacting their ability to borrow in 

centrally cleared repo.51 Further, 

collateral held at tri-party custodian 

banks that is used in centrally cleared 

repos within the tri-party system is not 

available for delivery outside of the triparty system, making information on the 

collateral used in this venue important 

for understanding broader market 

dynamics. 

Third, while CCPs offer benefits in 

terms of settlement and risk 

management, they may also propagate 

shocks to their members. If a repo CCP 

were to fail, the repo intermediation 

capacity of the financial system would 

be limited during a period of market 

stress. Even if this risk were judged to 

be remote, in a circumstance where, as 

here, there may be only one CCP, 

disruption of such a critical service 

could have severe implications. For 

these reasons, and as noted by the 

Council in its 2017 annual report, 

further analysis of risks related to CCPs 

is appropriate.52

Questions: 

1. Is a data collection on centrally 

cleared repo transactions as proposed 

appropriate? Does a centrally cleared 

repo collection support the Council’s 

recommendations? 

2. To what extent may collecting 

counterparty information improve 

financial stability monitoring? 

ii. Importance of Centrally Cleared 

Repurchase Agreement Data to 

Alternative Reference Rates 

This proposed collection is expected 

to support the calculation of the SOFR, 

the ARRC’s preferred alternative 

reference rate. The SOFR relies on 

Treasury repo data from three of the 

four segments of the U.S. repo market. 

The Federal Reserve collects data for the 

tri-party portion through its supervisory 

authority over the clearing banks. While 

data on some GCF Repo and DVP 

Service transactions are available to the 

FRBNY through a voluntary agreement 

with DTCC Solutions, a permanent 

collection of these data will increase 

confidence that the alternative reference 

rate’s inputs will continue to be 

available. This viability is important 

because the long-term success of any 

alternative reference rate relies on the 

confidence market participants place in 

it. 

Another benefit of this proposed 

collection is the ability to require 

specific data fields from centrally 

cleared general collateral repo and 

centrally cleared specific-security repo 

services for use in reference rate 

calculation.53 The Office has reviewed 

these data fields with the FRBNY and 

believes the information would help to 

improve and ensure the ongoing quality 

of the SOFR and BCGR. From an early 

stage, the Office has contributed to the 

development of alternative reference 

rates and has designed this proposed 

collection to maximize its compatibility 

with alternative reference rates. Some of 

the data fields in this proposed 

collection that are not currently 

received under the voluntary agreement 

between the FRBNY and DTCC 

Solutions would help ensure the 

continued quality of the rates. Most 

notably, the identity of transaction 

counterparties is important for rate 

calculation as it allows the calculation 

agent to identify and, as appropriate, 

exclude, transactions (e.g., affiliate 

transactions) that may not be 

representative of market activity. 

Further, by making available data on 

trades that are outside the current scope 

of the voluntary data collection that 

supports the rates, this proposed 

collection would allow the Federal 

Reserve and the Office to better monitor 

the evolution of markets and ensure that 

the rates continue to target their 

intended underlying interests. 

Finally, this proposed collection 

would help ensure the long-term 

viability of the SOFR and BGCR by 

including within its scope reporting 

from certain central counterparties that 

meet the $50 billion activity-based 

materiality threshold. This assures rate 

production will be able to include new 

comparable transactions in the 

calculation of the rate as U.S. repo 

markets evolve in the future. This is of 

particular importance given that trading 

in products tied to the new rate might 

eventually subsume most volume that is 

currently tied to U.S. dollar LIBOR. This 

proposed collection will help ensure a 

continued source of standardized data 

on centrally cleared repos regardless of 

potential changes in market structure. 

Questions: 

3. Would establishing a regulatory 

reporting requirement to collect data on 

centrally cleared repos help ensure the 

continued availability and quality of the 

ARRC’s selected alternative reference 

rate? 

b. Uses of the Data Collection 

This proposed collection will be used 

by the Office to improve the Council’s 

and member agencies’ monitoring of the 

U.S. repo market and identifying and 

assessing potential financial stability 

risks. The additional daily transaction 

data this proposed collection will 

provide will facilitate identification of 

potential repo market vulnerabilities 

and will also help identify shifting repo 

market trends that could be 

destabilizing or indicate stresses 

elsewhere in the financial system. Such 

trends might be reflected in indicators 

of the volume and price of funding in 

the repo market at different tenors, 

differentiated by the type and credit 

quality of participants and the quality of 

underlying collateral. Further, analyzing 

the collateral data from this collection 

together with other data available to the 

Office, the Council, and member 

agencies will enable a clearer 

understanding of collateral flows in 

securities markets and potential 

financial stability risks. 

The Office expects, consistent with 

the Dodd-Frank Act, to share data and 

information with the Council and 

member agencies, and such data and 

information must be maintained with at 

least the same level of security as used 

by the Office and may not be shared 

with any individual or entity without 

the permission of the Council.54

Consistent with this authority, the 

Office expects to make available the 

data from this proposed collection to the 

Federal Reserve Board and the FRBNY 

for purposes of meeting the above 

alternative reference rate and 

monitoring objectives as well as other 

market analysis and research. The Office 

will also make data collected and 

maintained under this proposed 

collection available to the Council and 

member agencies, as necessary to 

support their regulatory 

responsibilities.55 The sharing of any 

data from this proposed collection will 

be subject to the confidentiality and 


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56E.g., 12 U.S.C. 5343(b), 5344(b)(3). 

57 12 U.S.C. 5343(b), 5322(d)(5). 

58See Financial Stability Oversight Council, 

Council’s 2017 Annual Report, p. 16, https://

www.treasury.gov/initiatives/fsoc/studies-reports/ 

Documents/FSOC%202016%20

Annual%20Report.pdf. 

59 12 U.S.C. 5343(b)(2). 

60 12 U.S.C. 5344(b) discusses the Office’s Data 

Center, and 12 U.S.C. 5344(c) discusses the various 

uses of data by the Office’s Research and Analysis 

Center to support the Council. 

61 12 U.S.C. 5344(b)(1)(B)(iii). 

62See Financial Stability Oversight Council, 

meeting minutes (September 22, 2016), https://

www.treasury.gov/initiatives/fsoc/council-meetings/ 

Documents/September222016_minutes.pdf. 

63See Financial Stability Oversight Council, 

meeting minutes (November 16, 2017), https://

www.treasury.gov/initiatives/fsoc/council-meetings/ 

Documents/November162017_minutes.pdf, and 

Office, OFR Update on Bilateral Repo Collection 

(November 22, 2017), https://

www.financialresearch.gov/from-the-managementteam/2017/11/22/ofr-update-on-bilateral-repocollection/. 

64 12 U.S.C. 5343(a), (c)(1). 

65 12 U.S.C. 5343(a). The Council’s purposes and 

duties include identifying risks to U.S. financial 

stability; responding to emerging threats to the 

stability of the U.S. financial system; monitoring the 

financial services marketplace in order to identify 

potential threats to U.S. financial stability; making 

recommendations in such areas that will enhance 

the integrity, efficiency, competitiveness, and 

stability of the U.S. financial markets; and 

identifying gaps in regulation that could pose risks 

to the financial stability of the United States. 12 

U.S.C. 5322(a). 

66 12 U.S.C. 5343(c)(1). 

67See supra, discussion in Section IV(a) about the 

importance of collecting repo data. 

68 12 U.S.C. 5344(b)(1)(B)(iii). 

69 12 U.S.C. 5341(2). 

70 12 U.S.C. 1843(k). 

71A ‘‘financial company’’ also includes a bank 

holding company or a nonbank financial company 

supervised by the Federal Reserve Board. 12 U.S.C. 

5381(a)(11). 

72 12 CFR 380.8(a). 

security requirements of applicable 

laws, including the Dodd-Frank Act.56

Pursuant to the Dodd-Frank Act, the 

submission of any non-publicly 

available data to the Office under this 

proposed collection will not constitute 

a waiver of, or otherwise affect, any 

privilege arising under federal or state 

law to which the data or information is 

otherwise subject.57

Aggregate or summary data from this 

proposed collection might be provided 

to the public to increase market 

transparency and facilitate research on 

the financial system, to the extent that 

intellectual property rights are not 

violated, business confidential 

information is properly protected, and 

the sharing of such information poses 

no significant threats to the U.S. 

financial system. The potential sharing 

of aggregate or summary data collected 

under this proposed collection would 

help fulfill a recommendation of the 

Council to make appropriately 

aggregated securities financing data 

available to the public.58

The Office may also use the data to 

sponsor and conduct additional 

research.59 This research may include 

the use of these data to help fulfill the 

duties and purposes under the DoddFrank Act relating to the responsibility 

of the Office’s Research and Analysis 

Center to develop and maintain 

independent analytical capabilities to 

support the Council and relating to the 

programmatic functions of the Office’s 

Data Center.60 For example, access to 

data on centrally cleared repos will 

allow the Office to conduct research 

related to the Council’s analysis of 

potential risks arising from securities 

financing activities. 

c. Legal Authority 

The ability of the Office to collect 

centrally cleared repo data in this 

proposed collection derives in part from 

the authority to promulgate regulations 

regarding the type and scope of 

financial transaction and position data 

from financial companies on a schedule 

determined by the Director in 

consultation with the Council.61 The 

Office consulted with the Council on 

the proposed permanent collection of 

repo data at the Council’s September 22, 

2016, meeting.62 The Office also 

provided a public update to the Council 

on November 16, 2017.63

The Office also has authority to 

promulgate regulations pursuant to the 

Office’s general rulemaking authority 

under Dodd-Frank Act section 153, 

which authorizes the Office to issue 

rules, regulations, and orders to the 

extent necessary to carry out certain 

purposes and duties of the Office.64 In 

particular, the purposes and duties of 

the Office include supporting the 

Council in fulfilling its duties and 

purposes, and supporting member 

agencies, by collecting data on behalf of 

the Council and providing such data to 

the Council and member agencies, and 

standardizing the types and formats of 

data reported and collected.65 The 

Office must consult with the 

Chairperson of the Council prior to the 

promulgation of any rules under section 

153 66—this consultation occurred prior 

to the publication of this proposed 

collection. 

This proposed collection will support 

the Council and member agencies by 

addressing the Council’s 

recommendation to expand and make 

permanent the collection of data on the 

U.S. repo market; helping the Council 

and member agencies identify, monitor, 

and respond to risks to financial 

stability; identifying gaps in regulation 

that could pose risks to U.S. financial 

stability; and assisting in the production 

of alternative reference rates.67 The 

Office understands that the full scope of 

transaction information on the centrally 

cleared repo market required to fulfill 

the purposes of this proposed collection 

is not currently available to the Council 

or member agencies, including the 

primary financial regulatory agency for 

clearing agencies. The Council has 

recognized in its annual reports that 

weaknesses in LIBOR raised financial 

stability concerns and recommended the 

identification of alternative reference 

rates such as the secured, transactionsbased rates this proposed collection will 

bolster. Thus, by supporting the 

production of alternative reference rates, 

this proposed collection will support 

the Council in fulfilling its duties and 

purposes. 

The Office’s statutory authority allows 

for the collection of transaction or 

position data from financial 

companies.68 ‘‘Financial company,’’ for 

purposes of Office authority, has the 

same meaning as in Title II of the DoddFrank Act.69 For this proposed 

collection, the Office expects that CCPs 

for repos, as defined in this proposed 

collection, will typically be ‘‘financial 

companies’’ as defined in Title II 

because they are incorporated or 

organized under federal or state law and 

are companies ‘‘predominantly 

engaged’’ in activities that the Federal 

Reserve Board has determined are 

financial in nature or incidental thereto 

for purposes of section 4(k) of the Bank 

Holding Company Act of 1956 70 (or 

they are a subsidiary thereof).71 For a 

company to be ‘‘predominantly 

engaged’’ in activities that are financial 

in nature or incidental thereto, either (1) 

at least 85 percent of the total 

consolidated revenues of the company 

for either of its two most recently 

completed fiscal years must be derived, 

directly or indirectly, from financial 

activities; or (2) based upon all the 

relevant facts and circumstances, the 

consolidated revenues of the company 

from financial activities must constitute 

85 percent or more of the total 

consolidated revenues of the 

company.72

Dodd-Frank Act section 201(b) 

required the Federal Deposit Insurance 

Corporation (‘‘FDIC’’) to issue a rule 

establishing the criteria for determining 

whether a company is predominantly 

engaged in activities that are financial in 

nature or incidental thereto for purposes 

of Title II. The final rule adopted by the 

FDIC indicates that the determination of 

whether an activity is financial in 

nature is based upon Section 4(k) of the 

Bank Holding Company Act of 1956, 


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73For the final version of each rule, see Federal 

Reserve System, Definitions of ‘‘Predominantly 

Engaged In Financial Activities’’ and ‘‘Significant’’ 

Nonbank Financial Company and Bank Holding 

Company, Final Rule, 78 FR 20756 (March 29, 

2013); and Federal Deposit Insurance Corporation, 

Definition of ‘‘Predominantly Engaged in Activities 

That Are Financial in Nature or Incidental 

Thereto,’’ Final Rule, 78 FR 34712 (June 4, 2013). 

74 12 CFR 380.8(b). 

75The Office has reviewed the disclosures of the 

expected covered reporter and its parent under this 

proposed collection and believes it is 

predominantly engaged in financial activities and is 

therefore a financial company. 

76This definition of ‘‘central counterparty’’ is 

consistent with the definitions used by the 

Committee on Payment and Market Infrastructures 

and the International Organization of Securities 

Commissions (‘‘CPMI–IOSCO’’), see Principles for 

Financial Market Infrastructures (April 2012), p. 9, 

https://www.bis.org/cpmi/publ/d101a.pdf, and the 

Financial Stability Board, see Guidance on Central 

Counterparty Resolution and Resolution Planning, 

p. 22, http://www.fsb.org/wp-content/uploads/ 

P050717-1.pdf. 

77 15 U.S.C. 78c(a)(23). 

78See Regulatory Text § 1610.10(a). 

and that since the Federal Reserve 

Board is the agency with primary 

responsibility for interpreting and 

applying Section 4(k), the FDIC 

coordinated its rulemaking pursuant to 

§ 201(b) of the Dodd-Frank Act with the 

Federal Reserve Board’s rulemaking 

defining the term ‘‘predominantly 

engaged in financial activities’’ for 

purposes of Title I of the Dodd-Frank 

Act.73 Consistent with the Federal 

Reserve Board’s final rule, the FDIC’s 

final rule interpreting how to evaluate 

whether an entity is a ‘‘financial 

company’’ for purposes of Title II of the 

Dodd-Frank Act includes the activities 

of repo clearing including transferring 

money or securities; providing any 

device or other instrumentality for 

transferring money or other financial 

assets; providing financial data 

processing, storage and transmission 

services; arranging, effecting, or 

facilitating financial transactions for the 

account of third parties; and providing 

to customers as agent transactional 

services with respect to government 

obligations.74 Given the necessary 

experience, expertise and market 

credibility, entities that clear repos will 

typically be predominantly engaged in 

these or related financial activities, and 

therefore will be financial companies 

and potentially covered reporters under 

this proposal. The one expected covered 

reporter appears to be predominately 

engaged in these financial activities, 

making it a financial company.75

V. Collection Design 

This proposed collection will be the 

first recurring and mandatory data 

collection from the Office. The proposed 

regulatory text includes two sub-parts: 

the first sets out general requirements 

for data collection necessary for this 

proposal and any future Office proposed 

collections, and the second lists the 

requirements specifically relevant to 

this proposed collection. The first 

regulatory text sub-part cites the 

statutory authority of the Office to 

require the submission of information. 

The second regulatory text sub-part is 

designed to describe individual 

collections by the Office. This proposed 

collection will be the first section under 

this sub-part. The section includes three 

tables that describe the data elements 

that covered reporters will be required 

to submit. The Office expects to publish 

filing instructions regarding matters 

such as data submission mechanics and 

formatting in connection with any final 

rule on the Office’s website. 

a. Scope of Application 

This proposed collection will require 

the submission of transaction 

information by any CCP whose average 

daily total open commitments in repo 

contracts across all services over all 

business days during the prior calendar 

quarter is at least $50 billion. ‘‘Open 

commitments’’ refers to the CCP’s gross 

cash positions, prior to netting. For 

example, a CCP might clear two trades 

beginning on the same day with an 

overnight maturity; in the first trade, 

Firm A lends $100 million to Firm B in 

exchange for $100 million of securities, 

and in the second trade, Firm C lends 

Firm A $100 million in exchange for 

$100 million of securities. The total 

open commitments for the CCP for these 

two trades is $200 million. A CCP is 

defined in this proposed collection as ‘‘a 

clearing agency that interposes itself 

between the counterparties to 

transactions, acting functionally as the 

buyer to every seller and the seller to 

every buyer.’’ 76 The Office proposes 

defining ‘‘clearing agency’’ the same 

way as in the Securities Exchange Act 

of 1934, as amended, which defines a 

clearing agency as ‘‘any person who acts 

as an intermediary in making payments 

or deliveries or both in connection with 

transactions in securities or who 

provides facilities for comparison of 

data respecting the terms of settlement 

of securities transactions, to reduce the 

number of settlements of securities 

transactions, or for the allocation of 

securities settlement responsibilities.’’ 77

Only CCPs that are clearing agencies 

and that perform the central clearing 

function for repo transactions at or 

above the volume threshold are required 

to report as covered reporters under this 

proposed collection. The regulatory text 

also defines ‘‘repurchase agreement.’’ 78

Requiring submission of transactionlevel repo data from CCPs allows for a 

more efficient collection than a data 

submission from each clearing member. 

As noted above, this proposed 

collection establishes a $50 billion 

volume threshold for determining 

whether a CCP is a covered reporter and 

is therefore required to report. The 

Office believes the proposed $50 billion 

activity-based threshold indicates 

sufficient volume for the CCP to be 

considered a material CCP in the repo 

market. One of the benefits of a CCP is 

the netting it provides to clearing 

members, which increases with the size 

of the CCP’s services. As a result, CCPs 

in a given market tend to be few in 

number and large. 

While the Office understands that 

there is only one reporter currently 

covered by this proposed collection’s 

scope, any other CCP would be required 

to start submitting data under this rule 

beginning on the first business day of 

the third calendar quarter after the 

calendar quarter in which the CCP 

meets the $50 billion activity-based 

materiality threshold. For example, if a 

CCP were to surpass the threshold 

beginning with the quarter ending on 

March 31 of a given year, that CCP 

would become subject to the reporting 

requirements of the rule on the first 

business day of the calendar quarter that 

begins after two intervening calendar 

quarters—in this case, October 1. 

A covered reporter whose volume 

falls below the $50 billion threshold for 

at least four consecutive calendar 

quarters will have its reporting 

obligations cease. For example, if a 

covered reporter ceases to meet the $50 

billion threshold beginning with the 

quarter ending June 30 of a given year, 

and remains below the $50 billion 

threshold in each of the following three 

quarters (in this example, through the 

quarter ending March 31 of the 

following year), its reporting obligations 

would cease as of April 1. 

This proposed collection will require 

CCPs that meet the aforementioned repo 

volume thresholds to report all repos 

they clear. Given the existing 

differences between how general 

collateral and specific-security trades 

are reported to repo clearing services, 

this proposed collection separates the 

reporting information required into 

distinct schedules for each type of 

centrally cleared repo service. 

Questions: 

4. The covered reporter definition 

seeks to include in the rule’s scope only 

current or future material repo CCPs. 

The definition also seeks to exclude triparty custodian banks already required 

to report on another portion of the repo 


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79See Baklanova, Caglio, Cipriani, and Copeland 

(January 13, 2016). 

80See Global Legal Entity Identifier Foundation, 

Introducing the Legal Entity Identifier, undated 

online content, https://www.gleif.org/en/about-lei/ 

introducing-the-legal-entity-identifier-lei/. 

81For purposes of the data reporting schedules, 

a broker is an entity that is an SEC-registered broker 

and is arranging a covered transaction for the 

accounts of other entities acting as cash providers 

or securities providers. 

82See generally, McKinsey & Company and 

Global Legal Entity Identifier Foundation, ‘‘The 

Legal Entity Identifier: The Value of the Unique 

Counterparty ID,’’ (October 2017), pp. 4, 14, and 17, 

https://www.gleif.org/en/about-lei/mckinseycompany-and-gleif-creating-business-value-withthe-lei/. 

market from reporting under this 

proposal. Does the proposed covered 

reporter definition meet this objective 

and if not, what might the Office 

consider as an alternative? 

5. Is the $50 billion activity-based 

volume threshold for identifying covered 

reporters clear and appropriate for 

ensuring the inclusion of only current or 

future material repo CCPs? 

6. Is collecting centrally cleared repo 

transactions from CCPs more efficient 

than collecting these transactions from 

individual counterparties? How could 

the collection be made more efficient? 

7. Are the definitions of general 

collateral trade and specific-security 

trade in the proposed regulatory text 

sufficiently clear to allow reporters to 

determine on which schedules they 

should be reporting? 

b. Information Required 

This proposed collection has three 

schedules: the first covers details on 

general collateral trades, the second 

covers details on the securities used to 

collateralize net positions in general 

collateral repo, and the third covers 

specific-security trades. Each schedule 

is tailored to capture specific 

information regarding covered 

transactions in a manner that the Office 

believes reflects the data exchanged 

with CCPs in the ordinary course of 

business. The required data elements in 

these schedules are listed in Tables 1, 2, 

and 3 of Section § 1610(c) of the 

proposed regulatory text. Each table lists 

each required element and a brief 

description of that element. Below is a 

description of the general categories of 

information covered by the collection 

and further detail on certain key data 

fields. 

i. Legal Entity Identifier Usage 

The Office’s published brief on the 

interagency bilateral repo pilot 

collection noted difficulties in working 

with the data due to the absence of 

standardized counterparty 

information.79 Authorities from around 

the world, including those in the United 

States, have established a global legal 

entity identifier (‘‘LEI’’) system, with 

oversight effected by a Regulatory 

Oversight Committee, composed of 

those same authorities, to coordinate 

and oversee a global system of legal 

entity identification. A Swiss nonprofit 

foundation, the Global LEI Foundation 

(‘‘GLEIF’’), was established to provide 

operational governance and 

management of local operating units 

that issue LEIs. The LEI is a 20-character 

identifier based on the ISO 17442 

standard that identifies distinct legal 

entities that engage in financial 

transactions. An LEI allows for 

unambiguous identification of firms and 

affiliates.80

The Office proposes to require 

reporting of an LEI. The LEI reported 

must be properly maintained, meaning 

it must be kept current and up to date 

according to the standards implemented 

by the GLEIF. The Office believes that 

while requiring the LEI may result in 

some additional compliance costs, 

doing so is reasonable and appropriate 

due to the added clarity and substantial 

benefit for the monitoring it provides 

and rate production. Based on a review 

of the public membership lists of 

counterparties to the one expected 

covered reporter, the Office estimates 

that under the proposed collection, 

approximately 800 counterparties will 

need to acquire an LEI at a cost of 

approximately $100 per instance 

initially and approximately $50 on an 

annual basis thereafter, for a total 

aggregate cost of $80,000 to market 

participants the first year and $40,000 

annually thereafter. Each legal entity 

transacting with a covered reporter will 

be required to obtain only one LEI 

regardless of the number of reported 

transactions. The Office recognizes that 

the LEI acquisition cost may be only a 

portion of the total compliance cost for 

repo counterparties, and that firms may 

incur additional costs stemming from 

the inclusion of the LEI in their trade 

reporting systems. In this regard, there 

are two viable options for including an 

LEI in the data fields. The first option 

is to amend the messaging system to 

include the LEI. The second option is to 

add LEIs of reporting entities and 

counterparties after the transactions take 

place but prior to submission of data to 

the Office. While this second option 

would require fewer parties to update 

their systems, it is possible that market 

participants may desire access to the 

LEIs of their counterparties for risk 

management purposes, thus making the 

first option preferable to member firms. 

Either option would be acceptable to the 

Office. 

Identification of the entities involved 

in a covered repo transaction is 

important to enhance the ability of the 

Council and the Office to identify risks 

to U.S. financial stability by allowing it 

to understand repo market participants’ 

exposures, concentrations, and network 

structures. This proposed collection 

requires the submission of the LEI of 

each covered reporter, direct clearing 

member, counterparty, and broker 

involved in a covered transaction.81 The 

LEIs of these entities will facilitate 

evaluation of the covered transaction 

and whether a covered transaction was 

conducted on an arm’s-length basis or 

between affiliates. Further, these LEIs 

will reduce the need for manual 

intervention in matching identical 

participants that supply different 

naming conventions depending on the 

sponsoring broker reporting, and 

eventually, when the LEI system fully 

produces this capacity, in helping to 

identify parent and affiliate 

relationships. 

Mandatory adoption of the LEI will 

also benefit firms and regulators by 

improving the ability to combine repo 

information with other information 

necessary to monitor system or firm 

risk. This is particularly so given that 

more than 1 million firms have obtained 

an LEI and are therefore becoming 

capable of obtaining these benefits. The 

aggregate cost savings for the financial 

service industry upon broader adoption 

of the LEI have been estimated in the 

hundreds of millions of dollars.82

This proposed collection includes 

reporting fields for the LEIs of the direct 

clearing members that are parties to a 

covered transaction. This proposed 

collection also includes reporting fields 

for the LEIs of any cash or securities 

provider that is a counterparty to the 

transaction. For these fields, 

respondents should indicate the LEI of 

the indirect clearing member if one 

exists, and otherwise the LEI of the 

direct clearing member, that has 

provided cash or securities. When a 

registered broker is a counterparty to a 

transaction, it should be listed both as 

the broker and as a cash provider or 

securities provider. 

Questions: 

8. What, if any, challenges do 

participants in centrally cleared repo 

markets anticipate regarding obtaining 

and maintaining an LEI? 

9. What, if any, challenges do 

potential respondents anticipate in 

reporting the LEIs of participants in 

centrally cleared repo markets? 


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83The Unique Transaction Identifier (‘‘UTI’’), 

alternatively called Unique Swap Identifier (‘‘USI’’), 

is a globally unique identifier for individual 

transactions in financial markets. USIs were 

introduced in late 2012 in the United States, when 

reporting transactions to trade repositories became 

mandatory under the Dodd-Frank Act. The term 

USI is specific to U.S. regulation, while the UTI 

represents the output of a global effort among 

regulators to harmonize transaction reporting 

standards across jurisdictions. The method for 

creating and maintaining UTIs was designed to 

support existing USIs and provide a global 

regulatory approach. Large trading firms reporting 

under multiple regulatory regimes may use the 

terms interchangeably. See CPMI–IOSCO, 

Consultative Report on Harmonization of the 

Unique Transaction Identifier (August 2015), http:// 

www.iosco.org/library/pubdocs/pdf/ 

IOSCOPD500.pdf. 

10. Would respondents and repo 

market participants prefer to amend the 

messaging system to include LEIs, or to 

add LEIs of reporting entities and 

counterparties after the transactions 

take place but prior to submission of 

data to the Office? 

ii. Transaction Information 

Transaction-level data coupled with 

counterparty information permit an 

understanding of detailed exposures 

among firms and across asset markets. 

Transaction-level data are also 

necessary inputs to calculate the SOFR 

and BGCR. Transaction-level data will 

require a unique identifier for each 

transaction. This identifier must be 

assigned by the covered reporter and 

never re-used for another transaction 

over the life of this proposed collection. 

The transaction identifier must be 

persistent throughout the life cycle of 

the transaction, regardless of any 

subsequent amendments to the 

transaction, such as substitutions of 

collateral. Because CCPs currently must 

track the life cycle of each trade for 

settlement purposes, some type of 

unique identification scheme already 

exists. Any CCP required to report 

under this rule would be required to 

submit its own unique, persistent 

transaction identifier. As an alternative 

to a reporter-generated transaction 

identifier, the Office encourages, but is 

not requiring, respondents to coordinate 

with their counterparties to adopt and 

report using the Unique Transaction 

Identifier.83

In all cases where securities 

identifiers are used, the type of 

identifier must be reported, such as ISIN 

or CUSIP. General collateral trade 

submissions must contain information 

on the security asset class in order to 

identify the correct transactions for rate 

production. This field must consist of 

an identifier that corresponds to a set of 

agreed-upon securities. Collateral 

delivered against net exposures between 

firms and CCPs must also be identified 

using a specific security identifier. This 

provides information on how CCP 

exposures are collateralized, as well as 

the quantity of securities that have been 

delivered against net exposures. The 

general collateral trades also must 

indicate whether the securities were 

delivered to the CCP against a net 

security delivery obligation or received 

from the CCP as collateral against a net 

cash loan. 

Reporting on specific-security repos 

will require a security identifier as well 

as information on the quantity of 

securities delivered against a position, 

and whether substitution of collateral is 

permitted. Knowing the quantity of 

securities delivered will help determine 

levels of over-collateralization in the 

market and the flow of securities as 

firms engage in security transformation 

and acquire specific securities for 

delivery or sale. Indicating whether 

substitution of collateral is allowed may 

indicate the motivation for a trade. In 

the case of transactions allowing 

collateral substitution, covered reporters 

are required to supply an identifier 

indicating the securities that are 

acceptable to the cash provider as 

substitutes under the repo for the 

initially pledged collateral. 

Questions: 

11. The Office is not proposing the 

reporting of a standardized transaction 

identifier at this point. Is this the 

appropriate decision and if so, at which 

point should such an identifier be 

required? 

12. Should the UTI be required at this 

point in the event that another covered 

reporter comes into existence in order to 

harmonize transactions across clearing 

platforms? 

iii. Date and Tenor Information 

This proposed collection will require 

information on the start and end dates 

of transactions; the date that each 

transaction was agreed to; whether a 

trade has optionality; and, for repos that 

are open or have optionality, the first 

possible maturity of the transaction. 

Existing CCPs do not presently allow for 

optionality in repos or for open 

transactions, but if offered in the future, 

these features would be important to 

capture. 

There are a number of proposed fields 

regarding date and tenor information. 

The agreement timestamp is the date 

and time on which a covered 

transaction was agreed to. This field is 

critical for differentiating same-day-start 

trades from forward-settling trades. The 

information is essential to 

understanding how a transaction is 

priced and determining whether the 

transaction should be included in an 

alternative reference rate. The start date 

is the date on which a settlement 

obligation related to the exchange of 

cash and securities for a covered 

transaction first exists. The match 

timestamp refers to the time and date on 

which the covered transaction is 

matched by the covered reporter. The 

end date refers to the date on which the 

cash providers and securities providers 

to the covered transaction are obliged to 

return the cash and securities. 

For an open trade, no end date is to 

be specified, and the optionality field 

must indicate that the transaction has an 

open maturity. The minimum maturity 

field in this case must be used to 

indicate the next date that the interest 

rate is to be reset. 

For repos with optionality, the end 

date for a transaction must continue to 

be specified as the date that the 

transaction would terminate if no option 

were exercised. The optionality field 

indicates how the maturity of a 

transaction can be changed after initial 

agreement. Minimum maturity in this 

case refers to the earliest possible date 

on which the parties could be obliged to 

return the cash and securities, taking 

optionality into account. 

Observation days consist of all days 

on which a covered reporter accepts and 

processes covered transactions. For 

every observation day, covered reporters 

are required to submit a file of all 

outstanding transactions to the Office’s 

collection agent by 6:00 a.m. Eastern 

time the following business day. 

iv. Trade Size and Rate 

The principal amount in the centrally 

cleared general collateral trades 

schedule is the amount of cash 

borrowed or lent. This schedule also 

requires information on the agreed-upon 

rate for the trade, which is the interest 

rate at which the cash provider agrees 

to lend to the securities provider. This 

rate must be expressed as the 

annualized rate based on an actual/360- 

day count. 

The securities quantity field in the 

general collateral net exposure schedule 

for the general collateral repo collection 

and the specific-security trades 

schedule is defined as the principal 

amount or par value of the securities 

pledged in a repo transaction. 

The specific-security trades schedule 

includes four fields on the exchange of 

cash in these repo transactions. 

Information is required on the amount 

of cash exchanged by the cash and 

securities providers at the initiation and 

close of the trade. This schedule also 

requires information on the rates 

reported by the cash and securities 

providers. 


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84 44 U.S.C. 3501 et seq. 

85 5 CFR 1320.3(c)(4)(ii). 

86 44 U.S.C. 3502(5). 

87The estimate includes an assumed additional 2 

percent for subsequent wage gains from 2016 to 

2017, and 30 percent for non-wage employee 

benefits, according to the Bureau of Labor Statistics’ 

June 2017 Employer Costs for Employee 

Compensation, https://www.bls.gov/news.release/ 

archives/ecec_09082017.htm. 

v. Price of Collateral/Security 

The securities value field in the 

general collateral net exposure schedule 

requires the reporting of the market 

value of the securities pledged, 

inclusive of accrued interest. The 

market value of securities is, in 

combination with the identifier, 

important for understanding how CCP 

exposures are collateralized. 

Questions: 

13. Are the proposed reporting fields 

generally appropriate? Do any 

particular proposed reporting fields 

raise specific questions or concerns? 

14. Are there any additional fields not 

currently being requested that the Office 

should consider including in order to 

better accomplish the Office’s or 

Council’s goals presented in this 

proposal? 

15. The proposed regulatory text 

contains definitions the Office believes 

are necessary. Are these definitions 

clear? 

c. Submission Process and 

Implementation 

The Office intends to require 

submission through a collection agent. 

The Office believes this approach will 

decrease the costs of compliance for 

covered reporters and allow data 

reporting to commence sooner than 

would otherwise be possible. The Office 

expects that the Federal Reserve Board 

will act as the Office’s collection agent, 

with required data to be submitted 

directly by covered reporters to the 

FRBNY. The FRBNY will transmit 

collected data to the Office. 

Additionally, the Office expects the 

FRBNY will have access to the reported 

data for purposes of the daily SOFR and 

BGCR rate production. To produce this 

alternative reference rate calculation, 

data on covered transactions must be 

submitted by respondents to the FRBNY 

no later than 6:00 a.m. Eastern time on 

the business day following the 

transaction. The submission process 

will allow for the secure, automated 

transmission of files. The Office expects 

that the final rule will go into effect 60 

days after its publication in the Federal 

Register and is proposing that covered 

reporters begin to comply with the final 

rule 60 days after its effective date. The 

Office believes this implementation 

period will provide adequate time for 

covered reporters to comply with the 

proposed requirements. 

Questions: 

16. Would respondents incur 

additional costs due to the requirement 

for unique transaction identification? If 

so, please provide estimates of those 

costs. 

17. Does the proposed 60-day 

compliance period for a central 

counterparty that is a covered reporter 

on the effective date of the rule provide 

sufficient time to comply with the data 

reporting requirements? 

18. Does the two quarter phase in 

period for a central counterparty that 

becomes a covered reporter after the 

effective date of the rule provide 

sufficient time to comply with the data 

reporting requirements? 

19. Are there any additional costs 

associated with data reporting as 

contemplated by this proposed 

collection? If so, please provide 

estimates of those costs. 

20. Would increasing the time period 

between the effective date of a final rule 

and the subsequent compliance date 

substantially reduce burdens for 

covered reporters or repo market 

participants, or improve the quality of 

the data reported under this proposed 

collection? Are there any aspects of the 

proposed collection that a phased-in 

reporting requirement would be 

particularly useful for? 

21. What, if any, barriers to entry 

could the requirements of this proposed 

collection create for future CCPs for 

repo? 

VI. Administrative Law Matters 

a. Paperwork Reduction Act 

The collection of information 

contained in this proposed collection 

has been submitted to the Office of 

Management and Budget (‘‘OMB’’) in 

accordance with the Paperwork 

Reduction Act of 1995 (‘‘PRA’’).84

Comments on the collection of 

information should be sent to the Office 

of Management and Budget, Attention: 

Desk Officer for the Department of the 

Treasury/Office of Financial Research, 

Office of Information and Regulatory 

Affairs, Washington, DC 20503 (or by 

email to oirasubmission@omb.eop.gov), 

with copies to the Office of Financial 

Research at 717 14th Street NW, 

Washington, DC 20220. 

The proposed collection establishes 

the permanent collection of certain 

information on repo transactions and is 

a ‘‘collection of information’’ pursuant 

to the PRA. Any collection of 

information addressed to all or a 

substantial majority of an industry is 

presumed to involve 10 or more covered 

reporters.85 While the Office estimates 

there is only one covered reporter, the 

Office has undertaken a PRA analysis to 

ensure that the proposed collection will 

continue to be PRA compliant in the 

event additional central counterparties 

become subject to the rule’s reporting 

requirements. The Office is an 

independent regulatory agency under 

the PRA 86 and for purposes of OMB 

review. In accordance with the 

requirements of the PRA, the Office may 

not conduct or sponsor, and a covered 

reporter is not required to respond to, an 

information collection unless it displays 

a currently valid OMB control number. 

The Office anticipates that this 

proposed collection will require 

submission by one covered reporter, 

which will be required to make a 

general collateral and specific-security 

submission daily in accordance with the 

tables in the proposed regulatory text. 

The Office anticipates an annual burden 

of 1,512 hours per covered reporter. 

This figure is arrived at by estimating 

the daily reporting time to be 

approximately 3 hours for each general 

collateral and specific-security 

submission, multiplied by 2 to reflect 

both types of submissions by the 

covered reporter, and multiplying that 

figure by an average of 252 business 

days in a year, the typical number of 

days per year that do not fall either on 

weekends or on holidays widely 

observed by the market. 

To estimate hourly wages, the Office 

used data from the May 2016 Bureau of 

Labor Statistics Occupational 

Employment Statistics for credit 

intermediation and related activities 

(NAICS 522000). For hourly 

compensation, a figure of $75 per hour 

was used, which is an average of the 

90th percentile wages in seven different 

categories of employment (compliance 

officers, accountants and auditors, 

lawyers, management occupations, 

financial analysts, software developers, 

and statisticians), plus an additional 32 

percent to cover subsequent wage gains 

and non-wage benefits, which yields an 

estimate of $99 per hour.87 Using these 

assumptions, the Office estimates the 

recurring operational costs for general 

collateral and specific-security 

submissions to be $74,844 annually, for 

a total estimated annual cost to the 

covered reporter of $149,688. 

Office Estimates Summary: 

Title: Ongoing Data Collection of 

Centrally Cleared Transactions in the 

U.S. 


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88 5 U.S.C. 601 et seq. 

89 5 U.S.C. 603(a). 

90See DTCC, ‘‘DTCC Condensed Consolidated 

Financial Statements as of March 31, 2018 and 

December 31, 2017 and for the three months ended 

March 31, 2018 and 2017,’’ http://www.dtcc.com/∼/ 

media/Files/Downloads/legal/financials/2018/ 

DTCC-Condensed-Consolidated-FinancialStatements-Q1-2018.pdf. 

91 13 CFR 121.201. 

Repurchase Agreement Market 

Office: Office of Financial Research. 

Frequency of Response: Daily (12 CFR 

1610.10(d)). 

Affected Public: Businesses or other 

for-profit. 

Scope of Covered Reporters: Any 

central counterparty, defined as a 

clearing agency that interposes itself 

between the counterparties to 

transactions, whose average daily total 

open commitments in repurchase 

agreement contracts across all services 

over the prior calendar quarter is at least 

$50 billion. (12 CFR 1610.10(a), (b)(2)). 

Number of Covered Reporters: One 

covered reporter submitting information 

on two clearing services. 

Estimated Time Per Covered Reporter 

Per Submission: 6 hours. 

Number of Submissions: 

Daily submission containing both 

general collateral transactions (12 CFR 

1610.10(c)(3), (4)) and specific security 

trades (12 CFR 1610.10(c)(5)). 

Anticipated Annual Submissions: 

252. 

Total Estimated Annual Burden: 

1,512 hours. 

In addition to recurring reporting 

costs, the Office anticipates the covered 

reporter will experience one-time initial 

start-up costs to account for data 

management systems and software, 

operations, and alignment of reporting 

schedules for ease of data transmission. 

The estimate of these initial costs is 

2,500 hours for the two general 

collateral schedules, and 2,500 hours for 

the specific-security schedule, per 

covered reporter. Because the Office 

anticipates one covered reporter 

submitting both the general collateral 

schedules and the specific-security 

schedule, the estimated initial start-up 

cost of required reporting for both 

submissions is $495,000. 

The Office invites comments on the 

following: (a) Whether the proposed 

collection of information is necessary 

for the proper performance of the Office, 

including whether the information 

would have practical utility; (b) the 

accuracy of the estimate of the burden 

of the proposed collection of 

information; (c) ways to enhance the 

quality, utility, and clarity of the 

information required to be maintained; 

(d) ways to minimize the burden of the 

required collection of information, 

including through the use of automated 

collection techniques or other forms of 

information technology; and (e) 

estimates of capital or start-up costs and 

costs of operation, maintenance, and 

purchase of services to report the 

information. 

b. Regulatory Flexibility Act 

Congress enacted the Regulatory 

Flexibility Act (the ‘‘RFA’’) to address 

concerns related to the effects of agency 

rules on small entities.88 The Office is 

sensitive to the impact its rules may 

impose on small entities. The RFA 

requires agencies either to provide an 

initial regulatory flexibility analysis 

with a proposed rule for which general 

notice of proposed rulemaking is 

required, or to certify that the proposed 

rule will not have a significant 

economic impact on a substantial 

number of small entities.89 In 

accordance with section 3(a) of the RFA, 

the Office is certifying that this 

proposed collection will not have a 

significant economic impact on a 

substantial number of small entities. 

As discussed above, this proposed 

collection will only apply to CCPs for 

repos whose average daily total open 

commitments in repo contracts across 

all services over the prior calendar 

quarter is at least $50 billion. Currently, 

under this scope, this proposed 

collection would apply only to one 

entity, whose corporate parent’s total 

consolidated assets were $39 billion as 

of March 31, 2018.90 Reporting will be 

required of additional central 

counterparties beginning on the first 

business day of the third calendar 

quarter after the calendar quarter in 

which such central counterparties meet 

the $50 billion activity-based materiality 

threshold. If a covered reporter ceases to 

meet this threshold for at least four 

consecutive calendar quarters, its 

reporting obligations under this rule 

would cease. 

Under regulations issued by the Small 

Business Administration, a ‘‘small 

entity’’ includes those firms within the 

‘‘Finance and Insurance’’ sector with 

asset sizes that vary from $7.5 million 

in assets to $550 million or less in 

assets.91 For purposes of the RFA, 

entities that are banks are considered 

small entities if their assets are less than 

or equal to $550 million. The size of the 

activity-based threshold in this 

proposed collection ensures that any 

respondent will be well beyond these 

small entity definitions. 

Pursuant to the Regulatory Flexibility 

Act, 5 U.S.C. 605(b), it is hereby 

certified that this proposed collection 

will not have a significant economic 

impact on a substantial number of small 

entities. 

c. Plain Language 

The Office has sought to present this 

proposed collection in a simple and 

straightforward manner. The Office 

invites comments on how to make this 

proposal, the regulatory text, or the 

reporting schedules easier to 

understand. The Office specifically 

invites comments on the following 

questions: 

22. Are the requirements in the 

proposal clearly stated? If not, how 

could the proposed rule be more clearly 

stated? 

23. Does the proposed rule contain 

language or jargon that is not clear? If 

so, which language requires 

clarification? 

24. Would a different format (e.g., 

groupings, ordering of sections, use of 

headings, paragraphing) make the 

proposed rule easier to understand? If 

so, what changes to the format would 

make the proposed rule easier to 

understand? 

List of Subjects in 12 CFR Part 1610 

Confidential business information, 

Economic statistics, Reference rates, 

Repurchase agreements, Clearing, 

Central counterparty, Data collection. 

■ For the reasons stated in the preamble, 

the Office of Financial Research 

proposes to add 12 CFR Part 1610 as set 

forth below: 

PART 1610—REGULATORY DATA 

COLLECTIONS 

Subpart A—Collections Generally 

Sec. 

1610.1 General Authority 

1610.2 General Definitions 

1610.3 Treatment of Collected Information 

1610.4–9 [Reserved] 

Subpart B—Specific Collections 

Sec. 

1610.10 Centrally Cleared Repurchase 

Agreement Data 

Authority: 12 U.S.C. 5343 and 5344 

Subpart A—Collections Generally 

§ 1610.1 General Authority. 

The collections under this part are 

made pursuant to the authority 

contained in 12 U.S.C. 5343(a) and (c)(1) 

and 5344(b). 

§ 1610.2 General Definitions. 

Council means the Financial Stability 

Oversight Council. 

Legal Entity Identifier or LEI for an 

entity shall mean the global legal entity 

identifier maintained for such entity by 


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a utility accredited by the Global LEI 

Foundation or by a utility endorsed by 

the Regulatory Oversight Committee 

that satisfies the standards implemented 

by the Global LEI Foundation. As used 

in this definition: 

(1) Regulatory Oversight Committee 

means the Regulatory Oversight 

Committee (of the Global LEI System), 

whose charter was set forth by the 

Finance Ministers and Central Bank 

Governors of the Group of Twenty and 

the Financial Stability Board, or any 

successor thereof; and 

(2) Global LEI Foundation means the 

not-for-profit organization organized 

under Swiss law by the Financial 

Stability Board in 2014, or any 

successor thereof. 

Office means the U.S. Department of 

the Treasury’s Office of Financial 

Research. 

§ 1610.3 Treatment of Collected 

Information. 

The Office will treat any financial 

transaction data or position data 

submitted to the Data Center under this 

part in accordance with the relevant 

provisions of law, including 12 U.S.C. 

5343(b) and 5344(b). 

§ 1610.4–9 [Reserved] 

Subpart B—Specific Collections 

§ 1610.10 Centrally-Cleared Repurchase 

Agreement Data. 

(a) Definitions. 

Central counterparty means a clearing 

agency that interposes itself between the 

counterparties to transactions, acting 

functionally as the buyer to every seller 

and the seller to every buyer. 

Clearing agency has the same 

meaning as set forth in 15 U.S.C. 

78c(a)(23). 

Covered reporter means any central 

counterparty for repurchase agreement 

transactions that meets the criteria set 

forth in Paragraph (b)(2); provided, 

however, that any covered reporter shall 

cease to be a covered reporter only if it 

does not meet the dollar threshold 

specified in Paragraph (b)(2) for at least 

four consecutive calendar quarters. 

General collateral trade means a 

repurchase agreement transaction in 

which the trade reported to the central 

counterparty is for a category of 

securities as opposed to a specific 

security. 

Repurchase agreement transaction 

means an agreement of a counterparty to 

transfer securities to another 

counterparty in exchange for the receipt 

of cash, and the simultaneous agreement 

of the former counterparty to later 

reacquire the same securities (or any 

subsequently substituted securities) 

from that same counterparty in 

exchange for the payment of cash; or an 

agreement of a counterparty to acquire 

securities from another counterparty in 

exchange for the payment of cash, and 

the simultaneous agreement of the 

former party to later transfer back the 

same securities (or any subsequently 

substituted securities) to the latter 

counterparty in exchange for the receipt 

of cash. 

Specific-security trade means a 

repurchase agreement transaction where 

the trade as reported to the central 

counterparty is for a mutually agreed 

upon specific security. 

(b) Purpose and Scope. (1) Purpose: 

The purpose of this data collection is to 

require the reporting of certain 

information to the Office about 

repurchase agreement transactions 

cleared through a central counterparty. 

The information will be used by the 

Office to support the Council and 

member agencies by facilitating 

financial stability monitoring including 

research consistent with support of the 

Council and its member agencies and 

for the publication of alternative 

reference rates. 

(2) Scope of Application: Reporting 

under this Section is required by any 

central counterparty for repurchase 

agreement transactions whose average 

daily total open commitments in 

repurchase agreement contracts (gross 

cash positions prior to netting) across all 

services over all business days during 

the prior calendar quarter is at least $50 

billion. 

(c) Data Required. (1) Covered 

reporters shall report trade and 

collateral information on all repurchase 

agreement transactions, subject to 

Paragraph (c)(2), in accordance with the 

prescribed reporting format in this 

section. 

(2) Covered reporters shall only report 

trade and collateral information with 

respect to any repurchase agreement 

transaction for which there is a current 

or future delivery obligation as of the 

file observation date, including forwardstarting transactions. 

(3) Covered reporters shall submit the 

following data elements for all general 

collateral transactions: 

TABLE 1—GENERAL COLLATERAL TRADES

Data element Explanation 

File Observation Date ......................................... The observation date of the file (typically one business day before the day the file is submitted). 

Covered Reporter LEI ......................................... The Legal Entity Identifier of the covered reporter. 

Transaction ID .................................................... Respondent-generated unique transaction identifier. 

Submission Timestamp ...................................... Time that trade is first submitted to clearing service. 

Match Timestamp ............................................... Time that trade is matched by clearing service. 

Securities Asset Class Identifier ......................... Asset class identifier. 

Securities Asset Class Identifier Type ................ Type of securities identifier used. 

Cash Provider LEI .............................................. The Legal Entity Identifier of the cash provider. 

Cash Provider Direct Clearing Member LEI ....... The Legal Entity Identifier of the direct clearing member through which the cash provider 

accessed the clearing service. 

Securities Provider LEI ....................................... The Legal Entity Identifier of the securities provider. 

Securities Provider Direct Clearing Member LEI The Legal Entity Identifier of the direct clearing member through which the securities provider 

accessed the clearing service. 

Broker LEI ........................................................... The Legal Entity Identifier of the broker. 

Start Date ............................................................ The start date of the repurchase agreement. 

End Date ............................................................. The date the repurchase agreement matures. 

Rate .................................................................... The repurchase agreement rate, expressed as an annual percentage rate on an actual/360- 

day basis. 

Principal .............................................................. The amount of cash borrowed or lent. 

Optionality ........................................................... The type of optionality, if any, in the repurchase agreement. 

Minimum Maturity ............................................... The earliest possible date on which the transaction could end in accordance with its contractual terms (taking into account optionality). 


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1For example, if this Section becomes effective 

on March 15, a central counterparty that meets the 

dollar threshold specified in Paragraph (b)(2) for the 

calendar quarter ending the previous December 31 

will be required to submit its first report on the first 

business day after May 14. 

(4) Covered reporters shall submit the 

following data elements on the 

collateral delivered against net general 

collateral exposures for all general 

collateral transactions: 

TABLE 2—GENERAL COLLATERAL NET EXPOSURE

Data element Explanation 

File Observation Date ......................................... The observation date of the file (typically one business day before the day the file is submitted). 

Covered Reporter LEI ......................................... The Legal Entity Identifier of the covered reporter. 

Direct Clearing Member LEI ............................... The Legal Entity Identifier of the direct clearing member of the clearing service. 

Transaction Side ................................................. Indicates the side of the transaction: collateral was received by or delivered from the covered 

reporter. 

Securities Identifier ............................................. Identifier of securities transferred. 

Securities Identifier Type .................................... Type of securities identifier used. 

Securities Quantity .............................................. Par value or quantity (as applicable) of securities transferred. 

Securities Value .................................................. The market value as of most recent valuation of securities transferred, including accrued interest. 

(5) Covered reporters shall submit the 

following data elements for all specificsecurity trades: 

TABLE 3—SPECIFIC-SECURITY TRADES

Data element Explanation 

File Observation Date ......................................... The observation date of the file (typically one business day before the day the file is submitted). 

Covered Reporter LEI ......................................... The Legal Entity Identifier of the covered reporter. 

Transaction ID .................................................... Respondent-generated unique transaction identifier. 

Cash Provider LEI .............................................. The Legal Entity Identifier of the cash provider. 

Cash Provider Direct Clearing Member LEI ....... The Legal Entity Identifier of the direct clearing member through which the cash provider 

accessed the clearing service. 

Securities Provider LEI ....................................... The Legal Entity Identifier of the securities provider. 

Securities Provider Direct Clearing Member LEI The Legal Entity Identifier of the direct clearing member through which the securities provider 

accessed the clearing service. 

Broker LEI ........................................................... The Legal Entity Identifier of the broker. 

Submission Timestamp ...................................... Time that trade is first submitted to clearing service. 

Match Timestamp ............................................... Time that trade is matched by clearing service. 

Start Date ............................................................ The start date of the repurchase agreement. 

End Date ............................................................. The date when the repurchase agreement matures; the close leg settlement date. 

Optionality ........................................................... The type of optionality, if any. 

Minimum Maturity ............................................... The earliest possible date on which the transaction could end in accordance with its contractual terms (taking into account optionality). 

Security Identifier ................................................ Identifier of pledged security. 

Securities Identifier Type .................................... Type of securities identifier used. 

Securities Quantity .............................................. Par value or quantity (as applicable) of securities transferred. 

Substitution Collateral Identifier .......................... Asset class identifier or no substitution. 

Substitution Collateral Identifier Type ................. Type of securities identifier used. 

Cash Provider Start Leg Amount ....................... The amount of cash transferred by the cash provider on the open leg of the transaction. 

Securities Provider Start Leg Amount ................ The amount of cash received by the securities provider on the open leg of the transaction. 

Cash Provider Rate ............................................ The rate of interest received by the cash provider, expressed as an annual percentage rate on 

an actual/360-day basis. 

Securities Provider Rate ..................................... The rate of interest paid by the securities provider, expressed as an annual percentage rate 

on an actual/360-day basis. 

Cash Provider Close Leg Settlement Amount ... The amount of cash received by the cash provider on the close leg of the transaction. 

Securities Provider Close Leg Settlement 

Amount.

The amount of cash paid by the securities provider on the close leg of the transaction. 

(d) Reporting Process and Collection 

Agent. The Office may designate a 

collection agent for the data reporting. 

Covered reporters shall submit the 

required data for the previous business 

day by 6:00 a.m. Eastern time on the 

following business day. 

(e) Compliance. (1) Any central 

counterparty that is a covered reporter 

as of the effective date of this Section 

shall comply with the reporting 

requirements pursuant to this Section 

60 days after the effective date of this 

Section. Any such covered reporter’s 

first submission shall be submitted on 

the first business day after such 

compliance date.1

(2) Any central counterparty that 

becomes a covered reporter after the 

effective date of this Section shall 

comply with the reporting requirements 

pursuant to this Section on the first 


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2For example, a central counterparty that meets 

the dollar threshold specified in Paragraph (b)(2) in 

a calendar quarter ending March 31 will become a 

covered reporter subject to the reporting 

requirements pursuant to this Section on the 

following October 1 and will be required to submit 

its first report on that date. 

business day of the third calendar 

quarter following the calendar quarter in 

which such central counterparty meets 

the dollar threshold specified in 

Paragraph (b)(2).2

Kenneth J. Phelan, 

Acting Director, Office of Financial Research. 

[FR Doc. 2018–14706 Filed 7–9–18; 8:45 am] 

BILLING CODE 4810–25–P–P 

DEPARTMENT OF TRANSPORTATION 

Federal Aviation Administration 

14 CFR Part 39 

[Docket No. FAA–2018–0589; Product 

Identifier 2018–NM–021–AD] 

RIN 2120–AA64 

Airworthiness Directives; Airbus SAS 

Airplanes 

AGENCY: Federal Aviation 

Administration (FAA), DOT. 

ACTION: Notice of proposed rulemaking 

(NPRM). 

SUMMARY: We propose to adopt a new 

airworthiness directive (AD) for certain 

Airbus SAS Model A318 and A319 

series airplanes; Model A320–211, –212, 

–214, –231, –232, and –233 airplanes; 

and Model A321–111, –112, –131, –211, 

–212, –213, –231, and –232 airplanes. 

This proposed AD was prompted by 

reports of false resolution advisories 

(RAs) from certain traffic collision 

avoidance systems (TCASs). This 

proposed AD would require 

modification or replacement of certain 

TCAS processors. We are proposing this 

AD to address the unsafe condition on 

these products. 

DATES: We must receive comments on 

this proposed AD by August 24, 2018. 

ADDRESSES: You may send comments, 

using the procedures found in 14 CFR 

11.43 and 11.45, by any of the following 

methods: 

• Federal eRulemaking Portal: Go to 

http://www.regulations.gov. Follow the 

instructions for submitting comments. 

• Fax: 202–493–2251. 

• Mail: U.S. Department of 

Transportation, Docket Operations, M– 

30, West Building Ground Floor, Room 

W12–140, 1200 New Jersey Avenue SE, 

Washington, DC 20590. 

• Hand Delivery: Deliver to Mail 

address above between 9 a.m. and 5 

p.m., Monday through Friday, except 

Federal holidays. 

For service information identified in 

this NPRM, contact Honeywell 

Aerospace, Technical Publications and 

Distribution, M/S 2101–201, P.O. Box 

52170, Phoenix, AZ 85072–2170; phone: 

602–365–5535; fax: 602–365–5577; 

internet: http://www.honeywell.com. 

You may view this service information 

at the FAA, Transport Standards 

Branch, 2200 South 216th St., Des 

Moines, WA. For information on the 

availability of this material at the FAA, 

call 206–231–3195. 

Examining the AD Docket 

You may examine the AD docket on 

the internet at http://

www.regulations.gov by searching for 

and locating Docket No. FAA–2018– 

0589; or in person at the Docket 

Management Facility between 9 a.m. 

and 5 p.m., Monday through Friday, 

except Federal holidays. The AD docket 

contains this NPRM, the regulatory 

evaluation, any comments received, and 

other information. The street address for 

the Docket Operations office (telephone 

800–647–5527) is in the ADDRESSES

section. Comments will be available in 

the AD docket shortly after receipt. 

FOR FURTHER INFORMATION CONTACT: 

Steven Dzierzynski, Aerospace 

Engineer, Avionics and Administrative 

Services Section, FAA, New York ACO 

Branch, 1600 Stewart Avenue, Suite 

410, Westbury, NY 11590; telephone 

516–228–7367; fax 516–794–5531. 

SUPPLEMENTARY INFORMATION: 

Comments Invited 

We invite you to send any written 

relevant data, views, or arguments about 

this proposal. Send your comments to 

an address listed under the ADDRESSES

section. Include ‘‘Docket No. FAA– 

2018–0589; Product Identifier 2018– 

NM–021–AD’’ at the beginning of your 

comments. We specifically invite 

comments on the overall regulatory, 

economic, environmental, and energy 

aspects of this NPRM. We will consider 

all comments received by the closing 

date and may amend this NPRM based 

on those comments. 

We will post all comments we 

receive, without change, to http://

www.regulations.gov, including any 

personal information you provide. We 

will also post a report summarizing each 

substantive verbal contact we receive 

about this NPRM. 

Discussion 

The European Aviation Safety Agency 

(EASA), which is the Technical Agent 

for the Member States of the European 

Union, has issued EASA AD 2017–0196, 

dated October 5, 2017 (referred to after 

this as the Mandatory Continuing 

Airworthiness Information, or ‘‘the 

MCAI’’), to correct an unsafe condition 

for certain Airbus SAS Model A318 and 

A319 series airplanes; Model A320–211, 

–212, –214, –231, –232, and –233 

airplanes; and Model A321–111, –112, 

–131, –211, –212, –213, –231, and –232 

airplanes. The MCAI states: 

Since 2012, a number of false TCAS 

resolution advisories (RA) have been 

reported by various European Air Navigation 

Service Providers. EASA has published 

certification guidance material for collision 

avoidance systems (AMC 20–15) which 

defines a false TCAS RA as an RA that is 

issued, but the RA condition does not exist. 

It is possible that more false (or spurious) RA 

events have occurred, but were not recorded 

or reported. The known events were mainly 

occurring on Airbus single-aisle (A320 

family) aeroplanes, although several events 

have also occurred on Airbus A330 

aeroplanes. Investigation determined that the 

false RAs are caused on aeroplanes with a 

Honeywell TPA–100B TCAS processor 

installed, P/N [part number] 940–0351–001. 

This was caused by a combination of three 

factors: (1) Hybrid surveillance enabled; (2) 

processor connected to a hybrid GPS [global 

positioning system] source, without a direct 

connection to a GPS source; and (3) an 

encounter with an intruder aeroplane with 

noisy (jumping) ADS–B Out position. 

EASA previously published Safety 

Information Bulletin (SIB) 2014–33 to inform 

owners and operators of affected aeroplanes 

about this safety concern. At that time, the 

false RAs were not considered an unsafe 

condition. Since the SIB was issued, further 

events have been reported, involving a third 

aeroplane. 

This condition, if not corrected, could lead 

to a loss of separation with other aeroplanes, 

possibly resulting in a mid-air collision. 

Prompted by these latest findings, and after 

review of the available information, EASA 

reassessed the severity and rate of occurrence 

of false RAs and has decided that mandatory 

action must be taken to reduce the rate of 

occurrence, and the risk of loss of separation 

with other aeroplanes. Honeywell 

International Inc. published Service Bulletin 

(SB) 940–0351–34–0005 [Publication Number 

D201611000002] to provide instructions for 

an upgrade, introducing software version 05/ 

01, changing the processor unit to P/N 940– 

0351–005. 

EASA previously issued AD 2017–0091 

(later revised) to address the unsafe condition 

on aeroplanes that had the P/N 940–0351– 

001 processor installed by Airbus major 

change or SB. However, part of the fleet had 

the same P/N installed by STC [supplemental 

type certificate]. The relevant STC approval 

holders (see section Remarks of this [EASA] 

AD for contact details) have been notified 

and modification instructions (see section 

Ref. Publications of this [EASA] AD) can be 

obtained from those companies. 

For the reason described above, this 

[EASA] AD requires modification or 


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