[Federal Register Volume 77, Number 169 (Thursday, August 30, 2012)]
[Notices]
[Pages 52718-52721]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-21417]
=======================================================================
-----------------------------------------------------------------------
FEDERAL DEPOSIT INSURANCE CORPORATION
RIN 3064-AD91
Agency Information Collection Activities: Proposed Information
Collection; Comment Request
AGENCY: Federal Deposit Insurance Corporation (FDIC).
ACTION: Notice and request for comment.
-----------------------------------------------------------------------
SUMMARY: The FDIC, as part of its continuing effort to reduce paperwork
and respondent burden, invites the general public and other Federal
agencies to comment on this proposed information collection, as
required by the Paperwork Reduction Act of 1995. An agency may not
conduct or sponsor, and a respondent is not required to respond to, an
information collection unless it displays a currently valid
[[Page 52719]]
Office of Management and Budget (OMB) control number. Currently, the
FDIC is soliciting comment concerning a proposed new regulatory
reporting requirement for state nonmember banks and state savings
associations titled, ``Annual Stress Test Reporting Template and
Documentation for Covered Banks with Total Consolidated Assets of $50
Billion or More under the Dodd-Frank Wall Street Reform and Consumer
Protection Act.'' The proposal describes the scope of reporting and the
proposed reporting requirements.
DATES: Comments must be received by October 29, 2012
ADDRESSES: You may submit written comments by any of the following
methods:
Agency Web Site: http://www.fdic.gov/regulations/laws/federal/propose.html. Follow the instructions for submitting comments
on the FDIC Web site.
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
Email: [email protected]. Include RIN 3064-AD91 on the
subject line of the message.
Mail: Robert E. Feldman, Executive Secretary, Attention:
Comments, FDIC, 550 17th Street NW., Washington, DC 20429.
Hand Delivery/Courier: Guard station at the rear of the
550 17th Street Building (located on F Street) on business days between
7 a.m. and 5 p.m.
Public Inspection: All comments received will be posted without
change to http://www.fdic.gov/regulations/laws/federal/propose.html
including any personal information provided. Comments may be inspected
at the FDIC Public Information Center, 3501 North Fairfax Drive, Room
E-1002, Arlington, VA 22226 between 9 a.m. and 4:30 p.m. on business
days.
Additionally, please send a copy of your comments to: By mail to
the U.S. Office of Management and Budget, 725 17th Street NW.,
10235, Washington, DC 20503 or by facsimile to 202.395.6974,
Attention: Federal Banking Agency Desk Officer.
FOR FURTHER INFORMATION CONTACT: You can request additional information
from Gary Kuiper, 202.898.3877, Legal Division, Federal Deposit
Insurance Corporation, 550 17th Street NW., NYA-5046, Washington, DC
20429. In addition, copies of the templates referenced in this notice
can be found on the FDIC's Web site (http://www.fdic.gov/regulations/laws/federal/propose.html).
SUPPLEMENTARY INFORMATION: The FDIC is requesting comment on the
following new proposed information collection:
Title: Annual Stress Test Reporting Template and Documentation for
Covered Banks with Total Consolidated Assets of $50 Billion or More
under the Dodd-Frank Wall Street Reform and Consumer Protection Act.
OMB Control No.: 3064-NEW
Description: Section 165(i)(2) of the Dodd-Frank Wall Street Reform
and Consumer Protection Act \1\ (Dodd-Frank Act) requires certain
financial companies, including state nonmember banks and state savings
associations, to conduct annual stress tests \2\ and requires the
primary financial regulatory agency \3\ of those financial companies to
issue regulations implementing the stress test requirements.\4\ A state
nonmember bank or state savings association is a financial company and
therefore subject to the stress test requirements if its total
consolidated assets are more than $10 billion and it is regulated by
the FDIC (``covered bank''). Under section 165(i)(2), a covered bank is
required to submit to the Board of Governors of the Federal Reserve
System (Board) and to its primary financial regulatory agency a report
at such time, in such form, and containing such information as the
primary financial regulatory agency may require.\5\ On January 23,
2012, the FDIC published in the Federal Register a notice of proposed
rulemaking (NPR) implementing the section 165(i)(2) annual stress test
requirement.\6\ This notice describes the reports and information
required to meet the reporting requirements under section 165(i)(2).
These information collections will be given confidential treatment (5
U.S.C. 552(b)(4)).
---------------------------------------------------------------------------
\1\ Public Law 111-203, 124 Stat. 1376, July 2010.
\2\ 12 U.S.C. 5365(i)(2)(A).
\3\ 12 U.S.C. 5301(12).
\4\ 12 U.S.C. 5365(i)(2)(C).
\5\ 12 U.S.C. 5365(i)(2)(B).
\6\ 77 FR 3166, Jan. 23, 2012.
---------------------------------------------------------------------------
The FDIC intends to use the data collected through this proposal to
assess the reasonableness of the company-run stress test results and to
provide forward-looking information to the FDIC regarding a covered
bank's capital adequacy. The FDIC also may use the results of the
stress tests to determine whether additional analytical techniques and
exercises could be appropriate to identify, measure, and monitor risks
at the covered bank. The stress test results are expected to support
ongoing improvement in a covered bank's stress testing practices with
respect to its internal assessments of capital adequacy and overall
capital planning.
The Dodd-Frank Act stress testing requirements apply to all covered
banks, but the FDIC recognizes that many covered banks with
consolidated total assets of $50 billion or more have been subject to
stress testing requirements under the Board's Comprehensive Capital
Analysis and Review (CCAR) or Capital Plan Review (CapPR). The FDIC
also recognizes that these banks' stress tests will be applied to more
complex portfolios and therefore warrant a broader set of reports to
adequately capture the results of the company-run stress tests. These
reports will necessarily require more detail than would be appropriate
for smaller, less complex banks. Therefore, the FDIC will propose
simplified and separate reporting templates for covered banks with
total consolidated assets more than $10 billion and less than $50
billion and for covered banks with total consolidated assets of $50
billion or more. In cases where a covered bank with assets less than
$50 billion is affiliated with an organization with assets of $50
billion or more, the FDIC reserves the authority to require that
covered bank use the reporting template for larger banks. The FDIC may
also, on a case-by-case basis, require a covered bank to report stress
test results using a simpler format to be specified by the FDIC. The
reporting templates for banks with assets of $50 billion or more are
described below.
The FDIC has worked closely with the Board and the Office of the
Comptroller of the Currency (OCC) to make the agencies' respective
rules implementing annual stress testing under the Dodd-Frank Act
consistent and comparable by requiring similar standards for scope of
application, scenarios, data collection and reporting forms. The FDIC
has worked to minimize any potential duplication of effort related to
the annual stress test requirements. The FDIC also recognizes that many
covered banks with total consolidated assets of $50 billion or more are
required to submit reports using CCAR reporting form FR Y-14A.\7\
Therefore, the FDIC is proposing to base reporting requirements closely
on the Board's form FR Y-14A for covered banks with total consolidated
assets of $50 billion or more. The FDIC recognizes the Board has a
proposal to modify the FR Y-14A out for comment and, to the extent
practical, the FDIC will keep its reporting requirements consistent
with the Board's FR Y-14A in order to
[[Page 52720]]
minimize burden on covered institutions.\8\
---------------------------------------------------------------------------
\7\ http://www.federalreserve.gov/reportforms.
\8\ 77 FR 40051, July 6, 2012.
---------------------------------------------------------------------------
Description of Reporting Templates for Banks With $50 Billion or More
in Assets
The FDIC DFAST-14A Summary Schedule includes data collection
worksheets necessary for the FDIC to assess the company-run stress test
results for baseline, adverse and severely adverse scenarios as well as
any other scenario specified in accordance with regulations specified
by the FDIC. The DFAST-14A Summary Schedule includes worksheets that
collect information on the following areas:
1. Income Statement;
2. Balance Sheet;
3. Capital Statement;
4. Retail Risk;
5. Available-for-Sale/Held to Maturity Securities (AFS/HTM);
6. Trading;
7. Counterparty Credit Risk;
8. Operational Risk; and
9. Pre-Provision Net Revenue (PPNR).
Each covered bank reporting to the FDIC using this form would be
required to submit to the FDIC a separate DFAST-14A Summary Schedule
for each scenario provided to covered banks in accordance with
regulations implementing Section 165(i)(2) as specified by the FDIC.
Worksheets: Income Statement
This income statement collects data for the quarter preceding the
planning horizon and for each quarter of the planning horizon for the
stress test on projected losses and revenues in the following
categories.
1. Loan losses;
2. Losses due to contingent commitments and liabilities;
3. Other Than Temporary Impairments (OTTI) on assets held to
maturity and available for sale;
4. Trading account losses;
5. Allowance for loan and lease losses;
6. Pre-provision net revenue; and
7. Repurchase reserve/liability for reps and warranties.
This schedule provides information used to assess losses that covered
banks can sustain in adverse and severely adverse stress scenarios.
Worksheets: Balance Sheet
The balance sheet statement collects data for the quarter preceding
the planning horizon and for each quarter of the planning horizon for
the stress test on projected equity capital, as well as on assets and
liabilities in the following categories.
1. HTM securities;
2. AFS securities;
3. Loans;
4. Trading Assets;
5. Intangibles;
6. Deposits; and
7. Trading Liabilities.
The FDIC intends to use this worksheet to assess the projected changes
in assets and liabilities that a covered bank can sustain in an adverse
and severely adverse stress scenario. This worksheet will also be used
to assess the revenue and loss projections identified in the income
statement worksheet.
Worksheets: Capital Worksheet
The capital statement collects data for the quarter preceding the
planning horizon and for each quarter of the planning horizon for the
stress test on the following areas:
1. Changes to Equity Capital;
2. Changes to Regulatory capital; and
3. Capital Actions.
The FDIC intends to use this worksheet to assess the impact on capital
of the projected losses and projected changes in assets that the
covered bank can sustain in a stressed scenario. In addition to
reviewing the worksheet in the context of the balance sheet and income
statement projections, the FDIC also intends to use this worksheet to
assess the adequacy of the capital plans and capital planning processes
for each covered bank with total consolidated assets of $50 billion or
more.
Worksheets: Retail Projections
The Retail projections worksheets collects data for each quarter of
the planning horizon for the stress test on projected balances and
losses for major retail portfolios: Residential real estate, credit
card, automobile, student loans, small business loans, and other
consumer. For residential real estate, the worksheets collect data for
first lien mortgages, home equity lines of credit, and home equity
loans. For all major retail portfolios, the worksheets contain separate
segments for domestic and international loans for various product
types. Within each broad product-type segment, the reporting for the
portfolio is divided into a number of sub-segments that embody unique
risk characteristics. This modular product-type design of the Retail
worksheet allows for a targeted data collection that encompasses only
the material portfolios in a given product area for a particular
covered bank. A covered bank with total consolidated assets of $50
billion or more would be required to complete only the segments and
sub-segments material for that bank. This design is intended to limit
burden while maximizing the supervisory information produced from the
collection.
Worksheets: Trading and Counterparty Risk
The Trading and Counterparty Risk worksheets collect projected
losses associated with a specified global market risk shock from
covered banks with total consolidated assets of $50 billion or more
with large trading operations. The FDIC provides a set of hypothetical
shocks to the risk factors most relevant to the trading and
counterparty positions of respondent covered banks.
Worksheets: Operational Risk
The Operational Risk worksheets collect data on covered banks' with
total consolidated assets of $50 billion or more projections of
operational losses for each quarter of planning horizon for the stress
test. Operational losses are defined as losses arising from inadequate
or failed internal processes, people, and systems or from external
events including legal losses. Some examples of operational loss events
are losses related to improper business practices (including class
action lawsuits), execution errors, and fraud. Additional detail may be
requested in order to translate the respondent covered banks'
historical loss experience into operational loss projections.
Additional detail also may be requested and on any budgeting processes
used to project operational losses.
Completion of the Operational Risk schedule would be required only
for those banks subject to advanced approaches risk-based capital
rules.
Worksheets: PPNR
For the PPNR schedule, covered banks with total consolidated assets
of $50 billion or more must provide projections for the three major
components of PPNR (net interest income, non-interest income, and non-
interest expense) for each quarter of the planning horizon. Collection
of these data in this format is based on the assumption that the
revenues generated by different business lines are affected differently
by different stress scenarios, and such a view facilitates a more
robust analysis of the resulting projections.
[[Page 52721]]
Description of FDIC DFAST-14A Counterparty Credit Risk/CVA Template
The CCR schedule collects, on various worksheets, data to identify
credit valuation adjustment (CVA), exposures, and CVA sensitivities for
the respondent covered bank's top counterparties along a number of
dimensions, including current CVA, stressed CVA, net current exposure,
and gross current exposure. Covered banks with total consolidated
assets of $50 billion or more also must submit aggregate CVA,
exposures, and CVA sensitivities by ratings categories. The Notes to
the CCR Schedule worksheet allows respondent covered banks to
voluntarily submit additional information to provide clarity to the
portfolio. Covered banks with total consolidated assets of $50 billion
or more are required to report results under two scenarios (adverse,
severely adverse) and two specifications (Covered Bank, FDIC) to
capture Expected Exposure profiles.
Completion of the Counterparty Credit Risk/CVA schedule would be
required only for those banks subject to the market shock provided by
the FDIC.
Description of FDIC DFAST-14A Basel III Template
The Basel III & Dodd-Frank schedule collects projections of Tier 1
Common Equity, Tier 1 Capital, Risk-Weighted Assets (RWA), and Leverage
Exposures (along with granular components of those elements) for each
quarter of the planning horizon for the stress test under baseline,
adverse and severely adverse scenarios, based on the Basel III
framework promulgated by the Basel Committee on Bank Supervision.
Covered banks with total consolidated assets of $50 billion or more
also are required to include data on the projected impact of any
significant actions planned in response to Basel III and the Dodd-Frank
Act (for example, asset sales, asset winddowns, and data collection and
modeling enhancements).
Description of FDIC DFAST-14A Company Variables Template
To conduct the stress test required under this rule, a respondent
covered bank may need to project additional economic and financial
variables to estimate losses or revenues for some or all of its
portfolios. In such a case, the covered bank is required to complete
the DFAST-14A Company Variables schedule for each scenario where such
additional variables are used to conduct the stress test. Each scenario
worksheet collects the variable name (matching that reported on the
Scenario Variable Definitions worksheet), the actual value of the
variable during the third quarter of the reporting year, and the
projected value of the variable for nine future quarters.
Description of Supporting Documentation
Covered banks with total consolidated assets of $50 billion or more
must submit clear documentation in support of the projections included
in the worksheets to support efficient and timely review of annual
stress test results by the FDIC. The supporting documentation should be
submitted electronically and is not expected to be reported in the
workbooks used for required data reporting. This supporting
documentation must clearly describe the methodology used to produce the
stress test projections, and must include how the macroeconomic factors
were translated into a covered bank's projections, as well as technical
details of any underlying statistical methods used. Where company-
specific assumptions are made that differ from the broad macro-economic
assumptions incorporated in stress scenarios provided by the FDIC, the
documentation must also describe such assumptions and how those
assumptions relate to reported projections. Where historical
relationships are relied upon, the respondent covered banks must
describe the historical data and provide the basis for the expectation
that these relationships would be maintained in each scenario,
particularly under adverse and severely adverse conditions.
Type of Review: New collection.
Affected Public: State nonmember banks and state savings
associations supervised by the FDIC with total consolidated assets of
$50 billion or more.
Estimated Number of Respondents: 4
Estimated Time per Response: 1,040 hours.
Estimated Total Annual Burden: 4,160 hours.
Comments submitted in response to this notice will be summarized
and included in the request for OMB approval. All comments will become
a matter of public record. Comments are invited on:
(a) Whether the collection of information is necessary for the
proper performance of the functions of the FDIC, including whether the
information has practical utility;
(b) The accuracy of the FDIC's estimate of the burden of the
collection of information;
(c) Ways to enhance the quality, utility, and clarity of the
information to be collected;
(d) Ways to minimize the burden of the collection on respondents,
including through the use of automated collection techniques or other
forms of information technology;
(e) Estimates of capital or start-up costs and costs of operation,
maintenance, and purchase of services to provide information; and
(f) The ability of FDIC-supervised banks and thrifts with assets
greater than $50 billion to provide the requested information to the
FDIC by January, 2013.
Dated at Washington, DC, this 23rd day of August 2012.
Federal Deposit Insurance Corporation
Valerie J. Best,
Assistant Executive Secretary.
[FR Doc. 2012-21417 Filed 8-29-12; 8:45 am]
BILLING CODE 6714-01-P