The U.S. Department of Treasury building in Washington, D.C.

A U.S. banking regulator says an employee downloaded a large amount of data from its computer system a week before he retired and is now unable to locate the thumb drives he stored it on.

The Office of the Comptroller of the Currency, which is a part of the Department of the Treasury, said the loss represented "a major information security incident" as it reported the case to Congress on Friday.

The data was taken in November 2015, but its loss was only discovered in September this year as the agency reviewed downloads to removable media devices in the last two years.

The employee in question used two thumb drives to store the information, both of which he is unable to locate, the agency said.

It didn't say what information was downloaded but said it involved "controlled unclassified information, including privacy information" and numbered at least 10,000 records.

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