Not for fear of offending the banks, but for fear of not getting any confidential information from the banks they regulate. Until the creation of the CFPB, institutions did not waive attorney-client privilege by providing privileged information to a regulator. Further, information provided as part of supervisory activities was not subject to FOIA.
DFA did not add the CFPB to the list of enumerated agencies to whom banks can provide information without waiving privilege. Some banks plan to withhold all privileged information from the CFPB until that is resolved.
Further, the CFPB has not made it clear that they will protect the exam exemption from FOIA. Giving exam information to state AGs that would not be entitled to it otherwise so that the AGs can go on fishing expeditions is a good way to keep the CFPB form getting the information it needs to perform its job.
By law, fair lending issues are referred to the DOJ, not to state AGs.
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Opinions are strictly my own, and have nothing to do with my employer.