[Federal Register Volume 78, Number 47 (Monday, March 11, 2013)]
[Notices]
[Pages 15403-15405]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-05448]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
Agency Information Collection Activities; Proposed Collection;
Comment Request; Company-Run Annual Stress Test Reporting Template and
Documentation for Covered Institutions With Total Consolidated Assets
of $10 Billion to $50 Billion Under the Dodd-Frank Wall Street Reform
and Consumer Protection Act
AGENCY: Office of the Comptroller of the Currency, Treasury (OCC).
ACTION: Notice.
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SUMMARY: The OCC, as part of its continuing effort to reduce paperwork
and respondent burden, invites the general public and other Federal
agencies to comment on this continuing information collection, as
required by the Paperwork Reduction Act of 1995. Under the Paperwork
Reduction Act, Federal agencies are required to publish notice in the
Federal Register concerning each proposed collection of information and
to allow 60 days for public comment in response to the notice. 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 Office of Management and Budget (OMB) control number.
The OCC is soliciting comment on a proposed new regulatory
reporting requirement for national banks and Federal savings
associations titled, ``Company-Run Annual Stress Test Reporting
Template and Documentation for Covered Institutions with Total
Consolidated Assets of $10 Billion to $50 Billion 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 May 10, 2013.
ADDRESSES: Because paper mail in the Washington, DC area and at the OCC
is subject to delay, commenters are encouraged to submit comments by
email if possible. Comments may be sent to: Legislative and Regulatory
Activities Division, Office of the Comptroller of the Currency,
Attention: 1557-0311, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-
11, Washington, DC 20219. In addition, comments may be sent by fax to
(571) 465-4326 or by electronic mail to [email protected].
You may personally inspect and photocopy comments at the OCC, 400 7th
Street SW., Washington, DC 20219. For security reasons, the OCC
requires that visitors make an appointment to inspect comments. You may
do so by calling (202) 649-6700. Upon arrival, visitors will be
required to present valid government-issued photo identification and to
submit to security screening in order to inspect and photocopy
comments.
All comments received, including attachments and other supporting
materials, are part of the public record and subject to public
disclosure. Do not enclose any information in your comment or
supporting materials that you consider confidential or inappropriate
for public disclosure.
FOR FURTHER INFORMATION CONTACT: You can request additional information
from or a copy of the collection from Johnny Vilela or Mary H.
Gottlieb, Clearance Officers, (202) 649-5490, Legislative and
Regulatory Activities Division, Office of the Comptroller of the
Currency, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-11,
Washington, DC 20219. In addition, copies of the templates referenced
in this notice can be found on the OCC's Web site under Tools and Forms
(http://www.occ.gov/tools-forms/forms/bank-operations/stress-test-reporting.html).
SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the
following new proposed information collection:
Title: Company-Run Annual Stress Test Reporting Template and
Documentation for Covered Institutions with Total Consolidated Assets
of $10 Billion to $50 Billion under the Dodd-Frank Wall Street Reform
and Consumer Protection Act.
OMB Control No.: 1557-0311.
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 national banks and Federal 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
national bank or Federal savings association is a ``covered
institution,'' and therefore subject to the stress test requirements if
its total consolidated assets exceed $10 billion. Under section
165(i)(2), a covered institution is required to submit to the Board of
Governors of the Federal Reserve System (Board) and to its
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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 October 9, 2012, the OCC published
in the Federal Register a final rule implementing the section 165(i)(2)
annual stress test requirements.\6\ This notice describes the reports
and information required to meet the reporting requirements under
section 165(i)(2) for covered institutions with average total
consolidated assets between $10 and $50 billion. These information
collections will be given confidential treatment (5 U.S.C. 552(b)(4)).
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\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 61238, October 9, 2012.
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The OCC intends to use the data collected through this proposal to
assess the reasonableness of the stress test results of covered
institutions and to provide forward-looking information to the OCC
regarding a covered institution's capital adequacy. The OCC 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 institution. The stress test
results are expected to support ongoing improvement in a covered
institution'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
institutions, but the OCC recognizes that many covered institutions
with consolidated total assets of $50 billion or more have been subject
to existing stress testing requirements under the Board's Comprehensive
Capital Analysis and Review (CCAR). The OCC also recognizes that these
institutions' 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 necessarily
will require more detail than would be appropriate for smaller, less
complex institutions. Therefore, the OCC has decided to specify
separate reporting templates for covered institutions with total
consolidated assets between $10 and $50 billion and for covered
institutions with total consolidated assets of $50 billion or more.\7\
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\7\ See 77 FR 49485 for the Paperwork Reduction Act Notice and
the OCC Web site at http://occ.gov/news-issuances/news-releases/2012/nr-occ-2012-121.html for the reporting templates for covered
institutions with total consolidated assets of $50 billion or more.
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While the general reporting categories are the same (income
statement, balance sheet and capital), the level of granularity for
individual reporting items is less for $10 to $50 billion institutions.
For example, accounting for provisions by category is not required, and
less detail is required for commercial and industrial lending. Because
smaller banks with assets of $10 to $50 billion generally have less
complex balance sheets, the OCC believes that highly detailed reporting
is not warranted, and so the OCC is not requiring supplemental
schedules on such areas as retail balances, securities and trading,
operational risk, and pre-provision net revenue (PPNR). However, where
a covered institution with assets less than $50 billion is affiliated
with an organization with assets of $50 billion or more, the OCC
reserves the authority to require the smaller covered institution to
use the reporting template for larger institutions.
The OCC has worked closely with the Board and the Federal Deposit
Insurance Corporation (FDIC) to make the agencies' respective rules
implementing the annual stress testing requirements under the Dodd-
Frank Act consistent and comparable by requiring similar standards for
scope of application, scenarios, data collection and reporting forms.
The OCC also has worked to minimize any potential duplication of effort
related to the annual stress test requirements. The reporting templates
for institutions with assets of $10 to $50 billion are described below.
Description of Reporting Results Templates for Institutions With $10
Billion to $50 Billion in Assets
The ``Dodd-Frank Annual Stress Test Reporting Results Template for
Covered Institutions with Total Consolidated Assets Between $10 and $50
Billion'' ($10-$50B results template) includes data collection
worksheets necessary for the OCC 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 issued by
the OCC. The $10-$50B results template includes worksheets that collect
information on the following areas:
1. Income Statement;
2. Balance Sheet; and,
3. Capital.
Each $10 to $50 billion covered institution reporting to the OCC
using this form will be required to submit to the OCC worksheets for
each scenario provided to covered institutions in accordance with
regulations implementing Section 165(i)(2) as specified by the OCC.
Worksheets: Income Statement
The income statement worksheet 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. Net charge-offs
2. Pre-provision net revenue
3. Provision for loan and lease losses
4. Realized gains (losses) on held to maturity (HTM) and available-for-
sale (AFS) securities
5. All other gains (losses)
6. Taxes
Memoranda items:
7. Net gains and losses on sales of other real estate owned
8. Total other than temporary impairment (OTTI) losses
This schedule provides information used to assess losses and
revenues that covered institutions can sustain in baseline, adverse and
severely adverse stress scenarios.
Worksheets: Balance Sheet
The balance sheet worksheet 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. Loans
2. HTM securities
3. AFS securities
4. Trading assets
5. Total intangible assets
6. Other real estate
7. All other assets
Memoranda items:
8. Loans and leases guaranteed by other U.S. government or GSE
guarantees (non-FDIC loss-sharing agreements)
9. Troubled debt restructurings
10. Loans secured by 1-4 family properties in foreclosure
11. Retail funding (core deposits)
12. Wholesale funding
13. Trading liabilities
14. All other liabilities
15. Perpetual preferred stock and related surplus
16. Common stock
17. Surplus
18. Retained earnings
19. Other equity capital components
20. Memoranda items: Average rates for loans, securities, retail
funding, wholesale funding, interest-bearing deposits, trading and
other liabilities.
The OCC intends to use this worksheet to assess the projected
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changes in assets and liabilities that a covered institution 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
The capital worksheet, which is appended to the Balance Sheet,
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. Unrealized gains (losses) on AFS securities
2. Disallowed deferred tax asset
3. Tier 1 common capital elements
4. Tier 1 capital
5. Tier 2 capital
6. Total risk-based capital
7. Total capital
8. Risk-weighted assets
9. Total assets for leverage purposes
10. Tier 1 common equity ratio
11. Tier 1 risk-based capital ratio
12. Tier 1 leverage ratio
13. Total risk-based capital ratio
Memoranda:
14. Sale, conversion, acquisition or retirement of capital stock
15. Cash dividends declared on preferred stock
16. Cash dividends declared on common stock
Additionally, the Summary Schedule captures projections for
regulatory capital ratios over the planning horizon by scenario.
The OCC intends to use these worksheets to assess the impact on
capital of the projected losses and projected changes in assets that
the covered institution can sustain in a stressed scenario. In addition
to reviewing the worksheet in the context of the balance sheet and
income statement projections, the OCC also intends to use this
worksheet in assessing capital plans and the capital planning processes
for each covered institution.
Description of DFAST Scenario Variables Template
To conduct the stress test required under this rule, a covered
institution 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 institution is required to
complete the DFAST Scenario Variables worksheet 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 institutions 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 OCC. 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 describe the types of risks included in
the stress test; describe clearly the methodology used to produce the
stress test projections; describe the methods used to translate the
macroeconomic factors into a covered institution's projections; and
also include an explanation of the most significant causes for the
changes in regulatory capital ratios. The supporting documentation also
should address the impact of anticipated corporate events, including
mergers, acquisitions or divestitures of business lines or entities,
and changes in strategic direction, and should describe how such
changes are reflected in stress test results, including the impact on
estimates of losses, expenses and revenues, net interest margins, non-
interest income items, and balance sheet amounts.
Where company-specific assumptions are made that differ from the
broad macroeconomic assumptions incorporated in stress scenarios
provided by the OCC, the documentation also must describe such
assumptions and how those assumptions relate to reported projections.
Where historical relationships are relied upon, the covered
institutions 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: Revision to an existing collection.
Affected Public: Businesses or other for-profit.
Estimated Number of Respondents: 26.
Estimated Total Annual Burden: 12,064 hours.
The burden for each $10 to $50 billion covered institution that
completes the $10-$50B results template is estimated to be 440 hours
for a total of 11,440 hours. This burden includes 20 hours to input
these data and 420 hours for work related to modeling efforts. The
estimated burden for each $10 to $50 billion covered institution that
completes the annual DFAST Scenarios Variables Template is estimated to
be 24 hours for a total of 624 hours. Start up costs for new
respondents are estimated to be 93,600 hours and ongoing revisions for
existing firms, 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 OCC, including whether the
information has practical utility;
(b) The accuracy of the OCC'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; and,
(e) Estimates of capital or start-up costs and costs of operation,
maintenance, and purchase of services to provide information.
Dated: March 4, 2013.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division.
[FR Doc. 2013-05448 Filed 3-8-13; 8:45 am]
BILLING CODE 4810-33-P