[Federal Register Volume 78, Number 122 (Tuesday, June 25, 2013)]
[Notices]
[Pages 38033-38038]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-15142]
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FEDERAL RESERVE SYSTEM
Proposed Agency Information Collection Activities; Comment
Request
AGENCY: Board of Governors of the Federal Reserve System.
SUMMARY: On June 15, 1984, the Office of Management and Budget (OMB)
delegated to the Board of Governors of the Federal Reserve System
(Board) its approval authority under the Paperwork Reduction Act (PRA),
pursuant to 5 CFR 1320.16, to approve of and assign OMB control numbers
to collection of information requests and requirements conducted or
sponsored by the Board under conditions set forth in 5 CFR Part 1320
Appendix A.1. Board-approved collections of information are
incorporated into the official OMB inventory of currently approved
collections of information. Copies of the Paperwork Reduction Act
Submission,
[[Page 38034]]
supporting statements and approved collection of information
instruments are placed into OMB's public docket files. The Federal
Reserve may not conduct or sponsor, and the respondent is not required
to respond to, an information collection that has been extended,
revised, or implemented on or after October 1, 1995, unless it displays
a currently valid OMB control number.
DATES: Comments must be submitted on or before August 26, 2013.
ADDRESSES: You may submit comments, identified by FR Y-14A, FR Y-14Q,
or FR Y-14M, by any of the following methods:
Agency Web site: http://www.federalreserve.gov. Follow the
instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
Email: [email protected]. Include OMB
number in the subject line of the message.
FAX: (202) 452-3819 or (202) 452-3102.
Mail: Robert deV. Frierson, Secretary, Board of Governors
of the Federal Reserve System, 20th Street and Constitution Avenue NW.,
Washington, DC 20551.
All public comments are available from the Board's Web site at
www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as submitted,
unless modified for technical reasons. Accordingly, your comments will
not be edited to remove any identifying or contact information. Public
comments may also be viewed electronically or in paper form in Room MP-
500 of the Board's Martin Building (20th and C Streets NW.,) between
9:00 a.m. and 5:00 p.m. on weekdays.
Additionally, commenters may send a copy of their comments to the
OMB Desk Officer--Shagufta Ahmed, Office of Information and Regulatory
Affairs, Office of Management and Budget, New Executive Office
Building, Room 10235 725 17th Street NW., Washington, DC 20503 or by
fax to (202) 395-6974.
FOR FURTHER INFORMATION CONTACT: A copy of the PRA OMB submission,
including the proposed reporting form and instructions, supporting
statement, and other documentation will be placed into OMB's public
docket files, once approved. These documents will also be made
available on the Federal Reserve Board's public Web site at: http://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested
from the agency clearance officer, whose name appears below.
Federal Reserve Board Clearance Officer, Cynthia Ayouch, Division
of Research and Statistics, Board of Governors of the Federal Reserve
System, Washington, DC 20551 (202) 452-3829. Telecommunications Device
for the Deaf (TDD) users may contact (202) 263-4869, Board of Governors
of the Federal Reserve System, Washington, DC 20551.
SUPPLEMENTARY INFORMATION:
Request for Comment on Information Collection Proposal
The following information collection, which is being handled under
this delegated authority, has received initial Board approval and is
hereby published for comment. At the end of the comment period, the
proposed information collection, along with an analysis of comments and
recommendations received, will be submitted to the Board for final
approval under OMB delegated authority. Comments are invited on the
following:
a. Whether the proposed collection of information is necessary for
the proper performance of the Federal Reserve's functions; including
whether the information has practical utility;
b. The accuracy of the Federal Reserve's estimate of the burden of
the proposed information collection, including the validity of the
methodology and assumptions used;
c. Ways to enhance the quality, utility, and clarity of the
information to be collected;
d. Ways to minimize the burden of information 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.
Proposal To Approve Under OMB Delegated Authority the Extension for
Three Years, With Revision, of the Following Reports
Report title: Capital Assessments and Stress Testing information
collection.
Agency form number: FR Y-14A/Q/M.
OMB control number: 7100-0341.
Frequency: Annually, semi-annually, quarterly, and monthly.
Reporters: Large banking organizations that meet an annual
threshold of $50 billion or more in total consolidated assets (large
Bank Holding Companies or large BHCs), as defined by the Capital Plan
rule (12 CFR 225.8).\1\
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\1\ The Capital Plan rule applies to every top-tier large BHC.
This asset threshold is consistent with the threshold established by
section 165 of the Dodd-Frank Act relating to enhanced supervision
and prudential standards for certain BHCs.
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Estimated annual reporting hours: Summary, 61,320 hours; Macro
scenario, 1,860 hours; Counterparty credit risk (CCR), 2,521 hours;
Basel III/Dodd-Frank, 660 hours; and Regulatory capital, 660 hours. FR
Y-14 Q: Securities risk, 1,200 hours; Retail risk, 1,920 hours; Pre-
provision net revenue (PPNR), 85,500 hours; Wholesale corporate loans,
6,720 hours; Wholesale commercial real estate (CRE) loans, 6,480 hours;
Trading risk, 46,234 hours; Basel III/Dodd-Frank, 2,640 hours;
Regulatory capital, 4,800 hours; Operational risk, 3,360 hours;
Mortgage Servicing Rights (MSR) Valuation, 864 hours; Supplemental, 960
hours; and Retail Fair Value Option/Held for Sale (Retail FVO/HFS),
1,216 hours. FR Y-14M: Retail 1st lien mortgage, 153,000 hours; Retail
home equity, 146,880 hours; and Retail credit card, 91,800 hours. FR Y-
14 On-Going Automation for existing respondents: 9,120 hours.
Estimated average hours per response: FR Y-14A: Summary, 1022
hours; Macro scenario, 31 hours; CCR, 420 hours; Basel III/Dodd-Frank,
22 hours; and Regulatory capital, 20 hours. FR Y-14Q: Securities risk,
10 hours; Retail risk, 16 hours; PPNR, 713 hours; Wholesale corporate
loans, 60 hours; Wholesale CRE loans, 60 hours; Trading risk, 1,926
hours; Basel III/Dodd-Frank, 22 hours; Regulatory capital, 40 hours;
Operational risk, 28 hours, MSR Valuation, 24 hours; Supplemental, 8
hours; and Retail FVO/HFS, 16 hours. FR Y-14M: Retail 1st lien
mortgage, 510 hours; Retail home equity, 510 hours; and Retail credit
card, 510 hours. FR Y-14, On-going revisions for existing respondents,
480 hours.
Number of respondents: 30.
General description of report: The FR Y-14 series of reports are
authorized by section 165 of the Dodd-Frank Wall Street Reform and
Consumer Protection Act of 2010 (Dodd-Frank Act), which requires the
Federal Reserve to ensure that certain BHCs and nonbank financial
companies supervised by the Federal Reserve are subject to enhanced
risk based and leverage standards in order to mitigate risks to the
financial stability of the United States (12 U.S.C. 5365).
Additionally, section 5 of the BHC Act authorizes the Board to issue
regulations and conduct information collections with regard to the
supervision of BHCs (12 U.S.C. 1844).
[[Page 38035]]
As these data are collected as part of the supervisory process,
they are subject to confidential treatment under exemption 8 of the
Freedom of Information Act (FOIA) (5 U.S.C. 552(b)(8)). In addition,
commercial and financial information contained in these information
collections may be exempt from disclosure under exemption 4 of FOIA (5
U.S.C. 552(b)(4)). Such exemptions would be made on a case-by-case
basis.
Abstract: The data collected through the FR Y-14A/Q/M schedules
provide the Federal Reserve with the additional information and
perspective needed to help ensure that large BHCs have strong, firm-
wide risk measurement and management processes supporting their
internal assessments of capital adequacy and that their capital
resources are sufficient given their business focus, activities, and
resulting risk exposures. The annual Comprehensive Capital Analysis and
Review (CCAR) exercise is also complemented by other Federal Reserve
supervisory efforts aimed at enhancing the continued viability of large
BHCs, including continuous monitoring of BHCs' planning and management
of liquidity and funding resources and regular assessments of credit,
market and operational risks, and associated risk management practices.
Information gathered in this data collection is also used in the
supervision and regulation of these financial institutions. In order to
fully evaluate the data submissions, the Federal Reserve may conduct
follow up discussions with or request responses to follow up questions
from respondents, as needed.
The semi-annual FR Y-14A collects large BHCs' quantitative
projections of balance sheet, income, losses, and capital across a
range of macroeconomic scenarios and qualitative information on
methodologies used to develop internal projections of capital across
scenarios.\2\ The quarterly FR Y-14Q collects granular data on BHCs'
various asset classes and PPNR for the reporting period. The monthly FR
Y-14M comprises three loan- and portfolio-level collections, and one
detailed address matching collection to supplement two of the portfolio
and loan-level collections. The FR Y-14Q and the FR Y-14M are used to
support supervisory stress test models and for continuous monitoring
efforts.
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\2\ BHCs that must re-submit their capital plan generally also
must provide a revised FR Y-14A in connection with their
resubmission.
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Current Actions: The Federal Reserve proposes revising several
schedules of the FR Y-14A/Q/M reports, effective September 30, 2013.
Most of the proposed changes would affect the FR Y-14A (semi-annual
collection), particularly the Summary Schedule. The Summary Schedule
and the Basel III schedule would be significantly revised in accordance
with proposed capital rulemakings published for comment in August
2012.\3\ Specifically, the Summary Schedule would be revised to (1)
expand the current Capital worksheet into three worksheets for the
three definitions of regulatory capital that could be applicable over
the planning horizon (General (12 CFR part 225, Appendix A), Advanced
Approaches (12 CFR part 225, Appendix G), and Revised), and (2) add two
worksheets to collect risk-weighted assets as outlined in the general
risk-based capital rules and standardized and advanced approaches
(including proposed changes). In addition, the Federal Reserve proposes
expanding the collection of PPNR information to better understand the
details and dynamics of BHC revenues and expenses. The Federal Reserve
also proposes other smaller revisions to the Balance sheet, Securities,
OpRisk, Retail ASC 310-30, and Retail Repurchase worksheets. Other FR
Y-14A schedules would be revised to (1) remove two worksheets and
expand the collection of three worksheets on the Counterparty Schedule,
and (2) add a worksheet to the Counterparty Schedule to collect
counterparty data related to securities financing transactions and
repurchase agreements and amend the scope of the respondents to this
schedule. Finally, the FR-Y 14A/Q/M instructions and templates would be
clarified by (1) adding, and expanding item definitions, (2)
standardizing formatting, and (3) incorporating responses to industry
questions to increase consistency with other regulatory reports,
enhance reporting guidance, and improve clarity.
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\3\ 77 FR 52792, published August 30, 2012, proposed to revise
and replace the Federal Reserve's risk-based and leverage capital
requirements to be consistent with the most recent Basel
requirements.
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The FR Y-14Q (quarterly collection) would be revised to (1) alter
the Basel III schedule to conform with the revisions made to the Y-14A
Basel III Schedule (2) add items to, delete other items from, and
modify several of the tables of the Trading Schedule, (3) add eight and
modify five items across the Wholesale Corporate Loan, Wholesale CRE,
Securities, and Retail Domestic and International Auto Schedules, (4)
adjust the PPNR Schedule to conform with the changes made to the PPNR
worksheets of the FR Y-14A, and (5) add one and remove one field on the
Supplemental Schedule.
The FR Y-14M (monthly collection) would be revised to (1) modify
one and expand one item on the Domestic First Lien Closed-end 1-4
Family Residential Loan Schedule, and (2) modify two items on the
Domestic Home Equity Loan and Home Equity Line Schedule. In addition,
the FR Y-14M would be amended for the June 30, 2013, report date to
reflect the removal of the Reason for Default item from the Domestic
Home Equity Loan and Home Equity Line schedule in response to comments
received during the public comment period for the Federal Register
notice issued December 20, 2012 (77 FR 75434).
Draft files illustrating the proposed revisions and clarifications
to the schedules and instructions will be available on the Federal
Reserve Board's public Web site at: http://www.federalreserve.gov/apps/reportforms/review.aspx. A summary of the proposed revisions is
provided below.
Proposed Revision to the FR Y-14A (Semi-Annual Collection)
The proposed revisions to the FR Y-14A consist of clarifying
instructions, adding data items, deleting data items, and redefining
existing data items. These proposed changes would (1) be responsive to
industry comments, (2) provide additional information to greatly
enhance the ability of the Federal Reserve to analyze the validity and
integrity of firms' projections, (3) improve comparability across
firms, (4) increase consistency within the FR Y-14A and between the FR
Y-14A and FR Y-14Q/M, as well as the Consolidated Financial Statements
for Bank Holding Companies (FR Y-9C;OMB No. 7100-0128), and (5) improve
the scope of supervisory models. The Federal Reserve has conducted a
thorough review of proposed changes and believes that the incremental
burden of these changes is justified given the need for these data to
properly conduct the Federal Reserve's supervisory responsibilities
related to the stress testing and CCAR process.
Summary Schedule
The Federal Reserve proposes making a number of changes to the
Summary Schedule (1) to better assess BHCs' calculation of risk
weighted assets and certain other items detailed below, and (2) to
refine certain items based on public feedback or to reduce burden on
the public.
Risk Weighted Assets (RWA) and Regulatory Capital Related to Basel
III. The Capital Plan Rule published by the
[[Page 38036]]
Federal Reserve on December 1, 2011, requires BHCs to calculate the
regulatory capital ratios reported in its capital plan according to the
current Regulation Y requirements or ``any successor regulation.''
Three Federal Register notices \4\ were published for public comment on
July 7, 2012, that outlined the joint proposed rulemaking of the
Federal Reserve, Office of the Comptroller of the Currency, and the
Federal Deposit Insurance Corporation. The proposed rules would revise
and replace the agencies' risk-based and leverage capital requirements
to be consistent with agreements reached by the Basel Committee on
Banking Supervision in ``Basel III: A Global Regulatory Framework for
More Resilient Banks and Banking Systems'' (Basel III). The revisions
include implementation of a new definition of regulatory capital, a new
common equity tier 1 minimum capital requirement, a higher minimum tier
1 capital requirement, and, for banking organizations subject to the
advanced approaches capital rules, a supplementary leverage ratio that
incorporates a broader set of exposures in the denominator measure. In
addition, the proposed rules would amend the methodologies for
determining risk-weighted assets and introduce disclosure requirements
that would apply to top-tier banking organizations domiciled in the
United States with $50 billion or more in total assets.
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\4\ 77 FR 52792, published August 30, 2012, proposed to revise
and replace the Federal Reserve's risk-based and leverage capital
requirements to be consistent with the most recent Basel
requirements.
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Due to the timing of this proposal, the annual CCAR and Dodd-Frank
Act stress test (DFAST), and the proposed capital rulemaking, the
Federal Reserve considered several options for the timing and scope of
the proposal to collect information related to the proposed capital
rulemaking. After careful consideration of the various options, the
Federal Reserve determined that proposing the following revisions at
this time would enable the Federal Reserve to collect these data while
minimizing the burden to the industry.
Revisions to Capital worksheet. To accommodate potential changes in
the capital regime, the Federal Reserve proposes replacing the current
Capital worksheet with three worksheets (General, Advanced Approaches,
and Revised Capital worksheets) that incorporate the items of the
current Capital worksheet and add or revise items to collect
projections depending on which capital regime is applicable to the BHC
at any given point in the projection horizon. The General Capital
worksheet would be required for all BHCs for all projection quarters
until the revised definition of capital becomes effective for the BHC.
The Advanced Approaches Capital worksheet would be required for BHCs
that have received supervisory approval to exit the advanced approaches
parallel run for all projection quarters until the revised definition
of capital becomes effective for the BHC.
Proposed General Capital worksheet. On the General Capital
worksheet, the Federal Reserve proposes adding 10 line items that
collect detail on the additions and adjustments to tier 1 capital that
result in the calculation of total risk-based capital under the general
risk-based capital rules. The Federal Reserve also proposes revising
the description of the item collecting data on taxes paid in previous
years to refer to the current year, one year ago, and two years ago,
instead of specific years.
Proposed Advanced Approaches Capital worksheet. On the Advanced
Approaches Capital worksheet, the Federal Reserve proposes adding or
revising six items in the tier 1 capital section to collect data
consistent with the definition of tier 1 capital under the Advanced
Approaches Rule (12 CFR part 225, Appendix G). The Federal Reserve also
proposes adding 14 items to collect detail on the additions and
adjustments to tier 1 capital that result in the calculation of total
risk-based capital.
Proposed Revised Capital worksheet. On the Revised Capital
worksheet, the Federal Reserve proposes revising 59 items under the
header ``Regulatory Capital'' to collect data elements consistent with
the Basel III definition of capital, as well as an associated
``Exceptions Bucket'' for information necessary to calculate certain
deductions from capital. The Federal Reserve also proposes to remove
footnotes which collected explanatory information on additions to
(deductions from) tier 1 capital, and footnotes which provided the
definition of ``tier 1 common'' per the Capital Plan Rule.
For all three Capital worksheets, the Federal Reserve proposes to
add one item to confirm whether the filing institution is
internationally active, which affects the calculation of deferred-tax
assets. The Federal Reserve also proposes to add two items to ensure
that BHCs have included Trust Preferred Securities within tier 1
capital in a manner consistent with the phase-out requirements of the
Collins Amendment (section 171 of the Dodd-Frank Act). Finally,
additional footnotes would be removed as they are now unnecessary given
the additional information collected above.
Addition of RWA worksheets. To accommodate the eventual collection
of RWA as outlined in the proposed rulemakings, the Federal Reserve
proposes to add two RWA worksheets: RWA General and RWA Advanced. The
items in the two worksheets correspond to the general risk-based
capital rules and proposed standardized approach and the advanced
approaches, including proposed changes. All BHCs would be required to
submit projections on the General worksheet for all projection
quarters, where applicable. In addition, BHCs subject to market risk
capital requirements would be required to report items in the Market
RWA section of the applicable RWA worksheet, using methodologies
outlined in that rule.
BHCs would be required to complete the General RWA section for all
projection quarters until the Standardized Approach becomes the
applicable risk-based capital requirement. At that time, BHCs would be
required to report items in the Standardized Approach section. The
Memoranda for Derivative Contracts section would collect notional
principal amounts by type of derivative contracts for all quarters.
BHCs that have exited parallel run prior to submission of the
Summary Schedule would be required to submit projections on the
Advanced Approaches RWA worksheet for all projection quarters. BHCs
would be required to report items in the Advanced Approaches Credit
Risk and Operational Risks section for all quarters. BHCs would be
required to report items in the Revised Advanced Approaches section for
all applicable quarters. BHCs completing the Advanced Approaches RWA
worksheet would still be required to complete the General RWA worksheet
in order to calculate minimum risk-based capital requirements per the
advanced approaches rule.
Proposed General RWA worksheet. The proposed General RWA worksheet,
which is composed of 69 items, would collect RWA as calculated under
the general risk-based capital framework and the proposed standardized
approach, when applicable.
Proposed Advanced RWA worksheet. The proposed Advanced RWA
worksheet, which would be composed of 68 items, would collect RWA
projections as calculated under the advanced approaches rule.
In addition to the above proposed changes to the Capital worksheet,
the Federal Reserve proposes changes to
[[Page 38037]]
several other worksheets in the Summary Schedule as described below.
Current Balance Sheet worksheet. On the Balance sheet worksheet,
the Federal Reserve proposes adding two items to the Securities
section, three items to the Other Assets section, two items to the
Deposits section, and two items to the Liabilities section to better
align this schedule with other regulatory reports to provide better
insight into historical behavior of respondents' assets and
liabilities. In addition, the Federal Reserve proposes to revise the
definition of one item, Accumulated other comprehensive income (AOCI),
in the BHC equity capital section. This item would now be estimated by
all BHCs using the conditions specified in the applicable macroeconomic
scenario, rather than under the trading shock.
Securities Available-For-Sale (AFS) Market Shock worksheet.
Consistent with the redefinition of AOCI in the balance sheet
worksheet, the Federal Reserve proposes renaming this worksheet to
Securities AFS OCI by Portfolio. This worksheet would collect quarterly
projections of other comprehensive income (OCI) related to fair-value
gains and losses on AFS securities that are based on the conditions
specified in the applicable macroeconomic scenario.
PPNR Net Interest Income worksheet. On the PPNR Net Interest Income
worksheet, the Federal Reserve proposes redefining the information
collected in this worksheet to include all assets, including nonaccrual
loans which were previously reported in the PPNR metrics worksheet.
BHCs would be expected to include in the supporting documentation a
breakout of the major categories of nonaccrual loans relevant to their
own institution. The Federal Reserve proposes expanding detail on BHC
holdings of securities to better understand the underlying dynamics of
securities balances and interest income by breaking out data items for
Treasury and Agency debt, residential mortgage-backed securities issued
by government agencies, and all other securities. Similarly, the
Federal Reserve proposes redefining the information collected in this
worksheet to include all liability balances and adding one item to
capture other liabilities that fall outside the existing liability
types reported. To reduce burden on the public, the existing breakout
of commercial and industrial loans into small business loans and other
loans would be collapsed into one item.
PPNR Metrics worksheet. Where applicable, the aforementioned
changes to the PPNR Net Interest Income worksheet would also be
reflected in the PPNR Metrics worksheet. In addition, the Federal
Reserve would modify one, delete three, and add seven items to better
understand how PPNR projections compare to historical trends. Based on
feedback from the public, the Federal Reserve proposes amending two
items on this worksheet. Finally, the Federal Reserve proposes adding
four footnote items to allow the Federal Reserve to better assess BHC
PPNR projections.
Outside of the worksheets named above, the Federal Reserve is
proposing minor changes to the Balance Sheet, Retail Balance & Loss
Projections, Securities OTTI Methodology, Securities OTTI by Portfolio,
Securities AFS Market Shock, Securities Market Value Sources, OpRisk,
and PPNR Projections worksheets.
Basel III Schedule
The Federal Reserve proposes adding a line item to the Capital
Composition worksheet to capture deductions related to insurance
underwriting subsidiaries, which will enable more precise calculations
of regulatory capital. The Federal Reserve also proposes revising the
General and Advanced Approaches RWA worksheets to align with certain
changes made to the Summary Schedule. Specifically, the Federal Reserve
proposes adding to the General RWA worksheet a ``RWA per Standardized
Approach'' section, which would collect credit RWA using methodologies
under the revised standardized approach.
Counterparty Schedule
The Federal Reserve proposes eliminating the aggregate worksheets
EE Profile by Ratings and Credit Quality by Rating from the
Counterparty Schedule and expanding the collection of the counterparty
specific worksheets CP CVA by Top 200 CVA, EE Profile by CP, and Credit
Quality by CP to capture the top counterparties that account for 95% of
credit valuation adjustment (CVA). This expansion in scope is driven by
the need to close the sometimes significant gap between the CVA of the
top 200 counterparties and the BHC's total CVA and to capture exposures
to counterparties that are significantly large in other dimensions, but
which are currently excluded from the top 200 by CVA. Additionally, the
Federal Reserve proposes adding an additional worksheet that collects
the top 20 counterparties by Securities Financing Transactions and Repo
exposure to account for counterparty exposures other than derivatives.
Finally, the Federal Reserve proposes adding columns on the worksheets
of the template as appropriate to collect stressed counterparty data
based on the Adverse and Severely Adverse scenarios as part of the
stress testing process.
In addition, the Federal Reserve proposes amending the scope of the
respondents to the FR Y-14A CCR schedule and Trading and CCR worksheets
of the FR Y-14A Summary schedule to include any company that the Board
or the Director of the Division of Banking Supervision and Regulation,
acting under delegated authority, may require to complete these
schedules under 12 CFR 252.144(b)(2).
Proposed Revision to the FR Y-14Q (Quarterly Collection)
The proposed revisions to the FR Y-14Q consist of clarifying
instructions, adding data items, deleting data items, redefining
existing data items, and structurally adjusting the reporting
templates. These proposed changes would be responsive to industry
comments and provide additional information to greatly enhance the
integrity and scope of supervisory models. The Federal Reserve has
conducted a thorough review of proposed changes and believes that the
proposed item additions and modifications to the FR Y-14Q request
information currently collected by respondents in their regular course
of business. A summary of the proposed changes by schedule is provided
below.
Trading Schedule
The proposed changes would (1) provide additional granularity from
firms' trading portfolios to capture behavior that greatly varies from
the current aggregates, (2) bring asset movement collections in line
with the stress scenarios from the CCAR and DFAST of 2013, (3) be
responsive to industry feedback, and (4) remove information that is not
currently applicable to many respondents. The Federal Reserve has
conducted numerous industry calls regarding these proposed changes and
has determined them to be low burden to respondents on an aggregate
basis.
The Federal Reserve proposes (1) expanding the range of asset price
movements for the tables on the Agencies and Rates DV01 worksheets; (2)
modifying the reporting units of the Rates Vega worksheet; (3) adding
seven categories of assets across two tables on the Agencies and
Securitized Products worksheets; (4) adding seven columns that collect
profit/loss (P/L) figures for a given asset to the Corporate Credit--
Advanced; (5) removing six indices and adding five emerging market
specific indices to three tables on the Corporate
[[Page 38038]]
Credit--EM worksheet; (6) modifying the aggregation level of tables on
the IDR--Corporate Credit worksheet; (7) deleting the Private Equity--
V2 and Other Fair Value Assets--V2 worksheets of the reporting
template; (8) deleting items from other worksheets; and (9) adding
option to report commodity P/L figures in relative or absolute terms.
Wholesale Corporate Loan Schedule
The Federal Reserve proposes to add one item and redefine two items
on the Wholesale Corporate Loan Schedule. Specifically, the Federal
Reserve would add one item to identify borrowers that are special
purpose entities, which would enhance the ability of the Federal
Reserve to identify loans with specific characteristics that vary
greatly from the aggregate. Also, the Federal Reserve would change the
items Earnings Before Interest, Taxes, Depreciation, and Amortization
(EBITDA) and Adjusted EBITDA to be Operating Income and Depreciation
and Amortization, to improve the clarity of financial information.
Wholesale Commercial Real Estate (CRE) Schedule
The Federal Reserve proposes adding one item to the Wholesale CRE
Schedule to identify loans that have been subject to a troubled debt
restructuring. The proposed changes would enhance the ability of the
Federal Reserve to identify loans which have been modified per
Accounting Standards Codification (ASC) 310-40. Additionally, the
Federal Reserve proposes to alter the scope of the items Anchor Tenant
and Loan Purpose to more accurately capture the information related to
these items.
Securities Schedule
The Federal Reserve proposes modifying one security type and the
collection of one aggregate item across security types to the
Securities Schedule. Specifically, the Federal Reserve proposes
modifying the security type Other Consumer Asset Backed Securities
(ABS) (excluding HEL ABS) to be Other ABS (excluding HEL ABS) in the
tables on the Securities 1 and Securities 2 worksheets of the
Securities Schedule. Also, the Federal Reserve proposes adding Book
Yield and Purchase Date as columns to the Securities 1 worksheet and
adding a column to collect realized gains/losses from sales of
securities in the reporting quarter on the Securities 2 worksheet. The
proposed changes would enhance the ability of the Federal Reserve to
model the behavior of the proposed security type, which varies greatly
from the aggregate and allow the Federal Reserve to more accurately
track the changes in the portfolios of respondents.
Retail Domestic and International Auto Schedules
The Federal Reserve proposes adding four items to both the Retail
US Auto Loan Schedule and the Retail International Auto Loan Schedule.
Specifically, the Federal Reserve proposes adding the Basel II default
metrics: Probability of Default, Exposure at Default, Loss Given
Default, and Expected Loss Given Default. The proposed changes would
facilitate the review of Basel II implementation at certain BHCs.
PPNR Schedule
The Federal Reserve proposes revising the PPNR schedule to conform
with the revisions made to the PPNR worksheets of the FR Y-14A Summary
Schedule as described above.
Basel III Schedule
The Federal Reserve proposes revising the Y-14Q Basel III schedule
to conform with the revisions made to the FR Y-14A Basel III Schedule
as described above.
Supplemental Schedule
The Federal Reserve proposes adding an additional field to the
Supplemental Schedule to capture the carrying value of assets held on
the balance sheet for certain items. This additional field would apply
to 23 of the 30 asset categories on the schedule for which these data
are unavailable from other regulatory reports. These data would allow
the Federal Reserve to better understand changes in firms' balance
sheet composition each quarter. Additionally, to improve consistency
across schedules, the Federal Reserve proposes removing the item Graded
Loans for Purchasing or Carrying Securities since such loans are not
included in the FR Y-14Q Wholesale Corporate Loan Schedule.
Proposed Revision to the FR Y-14M (Monthly Collection)
The proposed revisions to the FR Y-14M consist of clarifying
instructions and modifying existing data items. These proposed changes
would be responsive to industry comments and provide additional clarity
to information already being collected. The Federal Reserve has
conducted a thorough review of proposed changes and believes that the
incremental burden is justified by the need for these data to properly
conduct the Federal Reserve's supervisory responsibilities related to
the stress testing process. A summary of the proposed changes by
Schedule is provided below.
Domestic First Lien Closed-End 1-4 Family Residential Loan Schedule
The Federal Reserve proposes modifying four data items on the
Domestic First Lien Closed-end 1-4 Family Residential Loan Schedule.
Specifically, the Federal Reserve would expand the options for the
Product Type--Current and Product Type--Origination items to include
options for a 1 year Adjustable Rate Mortgage (ARM 1) and a 15-year
Adjustable Rate Mortgage (ARM 15). This proposed change would be
responsive to an industry comment received regarding the changes to the
FR Y-14M that were effective March 31, 2013. Additionally, in an effort
to reduce reporting burden and retain data used by other Agencies, the
Federal Reserve would change the reporting requirement for the Loss/
Write-Down Amount item on both the portfolio-level and loan-level
collections from mandatory for all respondents to mandatory for firms
regulated by the OCC and optional for all others.
Domestic Home Equity Loan and Home Equity Line Schedule
The Federal Reserve proposes modifying two data items on the
Domestic Home Equity Loan and Home Equity Line Schedule. Specifically,
in an effort to reduce reporting burden and retain data used by other
Agencies, the Federal Reserve would change the reporting requirement
for the Loss/Write-Down Amount item on both the portfolio-level and
loan-level collections from mandatory for all respondents to mandatory
for firms regulated by the OCC and optional for all others.
Board of Governors of the Federal Reserve System, June 20, 2013.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2013-15142 Filed 6-24-13; 8:45 am]
BILLING CODE 6210-01-P