[Federal Register Volume 78, Number 161 (Tuesday, August 20, 2013)]
[Notices]
[Pages 51272-51275]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-20247]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
Agency Information Collection Activities: Revision of an Approved
Information Collection; Comment Request
AGENCY: Office of the Comptroller of the Currency, Treasury (OCC).
ACTION: Notice and request for comment.
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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 a revision to this 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 Office of
Management and Budget (OMB) control number. Currently, the OCC is
soliciting comment concerning a revision to a 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 $50 Billion
or More under the Dodd-Frank Wall Street Reform and Consumer Protection
Act.''
DATES: Comments must be received by October 21, 2013.
ADDRESSES: Communications Division, Office of the Comptroller of the
Currency, Mailstop 2-3, Attention: 1557-0311, 400 7th St. SW.,
Washington, DC 20219. In addition, comments may be sent by fax to (202)
874-5274 or by electronic mail to [email protected]. You may
personally inspect and photocopy comments at the OCC, 400 7th St. 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) 874-4700. 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.
FOR FURTHER INFORMATION CONTACT: You can request additional information
from Johnny Vilela or Mary H. Gottlieb, OCC Clearance Officers, (202)
649-5490, Legislative and Regulatory Activities Division, Office of the
Comptroller of the Currency, 400 7th St. SW., Washington, DC 20219. In
addition, copies of the templates referenced in this notice can be
found on the OCC's
[[Page 51273]]
Web site under News and Issuances (http://www.occ.treas.gov/tools-forms/forms/bank-operations/stress-test-reporting.html).
SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the
following revision to an approved information collection:
Title: Company-Run Annual Stress Test Reporting Template and
Documentation for Covered Institutions with Total Consolidated Assets
of $50 Billion or More 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 are more than $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 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 requirement.\6\ This rule describes the reports and information
collections 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)).
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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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In 2012, the OCC first implemented the reporting templates
referenced in the final rule. See 77 FR 49485 (August 16, 2012) and 77
FR 66663 (November 6, 2012). The OCC is now revising them as described
below.
The OCC intends to use the data collected 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 OCC recognizes that many covered institutions with total
consolidated assets of $50 billion or more are required to submit
reports using CCAR reporting form FR Y-14A.\7\ The OCC also recognizes
the Board has a proposal to modify the FR Y-14A out for comment and, to
the extent practical, the OCC will keep its reporting requirements
consistent with the Board's FR Y-14A in order to minimize burden on
covered institutions.\8\ Therefore, the OCC is proposing to revise its
reporting requirements to remain consistent with the Board's proposed
FR Y-14A for covered institutions with total consolidated assets of $50
billion or more.
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\7\ http://www.federalreserve.gov/reportforms.
\8\ 78 FR 38033, June 25, 2013.
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Proposed Revisions to Reporting Templates for Institutions With $50
Billion or More in Assets
The proposed revisions to the DFAST-14A reporting templates consist
of adding data items, deleting data items, and redefining existing data
items. These proposed changes would (1) Provide additional information
to greatly enhance the ability of the OCC to analyze the validity and
integrity of firms' projections, (2) improve comparability across
firms, and (3) increase consistency between the FR Y-14A reporting
templates and DFAST-14A reporting templates. The OCC 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 OCC's supervisory responsibilities related to the
stress testing.
Summary Schedule
The OCC proposes making a number of changes to the Summary Schedule
to better assess covered institutions' calculation of risk-weighted
assets and certain other items detailed below.
Risk Weighted Assets (RWA) and Regulatory Capital Related to Basel III
On July 9, 2013, the OCC approved a joint final rule that will
revise and replace the OCC's 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).\9\ 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 rule will 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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\9\ http://www.occ.gov/news-issuances/news-releases/2013/nr-occ-2013-110.html.
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Due to the timing of this proposal, the Dodd-Frank Act stress test,
and the capital rulemaking, the OCC 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 OCC determined that proposing the following revisions at
this time would enable the OCC to collect these data while minimizing
the burden to the industry.
Revisions to Capital Worksheet
To accommodate changes in the capital regime, the OCC 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 covered institution at any given point in the projection horizon.
The General Capital worksheet would be required for all covered
institutions for all projection quarters until the revised definition
of capital becomes effective for the covered institution. The Advanced
Approaches Capital worksheet would be required for covered institutions
that have exited parallel run and are subject to the Advanced
Approaches capital rules.
Proposed General Capital Worksheet
On the General Capital worksheet, the OCC proposes adding 9 line
items that collect detail on the additions and adjustments to tier 1
capital that result
[[Page 51274]]
in the calculation of total risk-based capital under the general risk-
based capital rules. The OCC 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 OCC 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 3, Appendix C). The OCC also
proposes adding 13 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 OCC proposes revising 49
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. For all three Capital worksheets, the
OCC proposes to add one item to confirm whether the filing institution
is internationally active, which affects the calculation of deferred-
tax assets.
Addition of RWA Worksheets
To accommodate the eventual collection of RWA as outlined in the
rulemakings, the OCC 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 Standardized and Advanced
Approaches. As proposed, the reporting requirements for these schedules
would be as follows:
1. All covered institutions would be required to submit projections
on the General worksheet for all projection quarters, where applicable.
Covered institutions 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
(January 1, 2014 for Advanced Approaches institutions, January 1, 2015
for all other covered institutions) institutions 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.
2. Covered institutions 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.
3. Covered institutions that have exited parallel run prior to the
beginning of DFAST 2014 will be required to submit projections on the
Advanced Approaches RWA worksheet for all projection quarters.
4. Institutions that have exited parallel run which are subject to
the Advances Approaches rule would be required to report items in the
Advanced Approaches Credit Risk and Operational Risks sections for all
quarters. These institutions would be required to report items in the
Revised Advanced Approaches section for all applicable quarters and
these institutions 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 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 OCC proposes changes to several other worksheets in the Summary
Schedule as described below.
Current Balance Sheet Worksheet
On the Balance Sheet worksheet, the OCC 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 OCC proposes to revise the definition of
one item, Accumulated other comprehensive income (AOCI), in the covered
institution equity capital section. This item would now be estimated by
all covered institutions 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 OCC 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 OCC proposes
redefining the information collected in this worksheet to include all
assets, including nonaccrual loans which were previously reported in
the PPNR metrics worksheet. Covered institutions would be expected to
include in the supporting documentation a breakout of the major
categories of nonaccrual loans relevant to their own institution. The
OCC proposes expanding detail on covered institution 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 OCC
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 reporting institutions, 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 OCC would modify, delete, and add several
items to better understand how PPNR projections compare to historical
trends.
Finally, the OCC proposes adding four footnote items to allow the
OCC to better assess covered institution PPNR projections. Outside of
the worksheets named above, the OCC 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.
[[Page 51275]]
Basel III Schedule
The OCC 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 OCC also proposes revising the General and Advanced
Approaches RWA worksheets to align with certain changes made to the
Summary Schedule. Specifically, the OCC 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 OCC 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 covered institution'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 OCC 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 OCC 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 OCC proposes amending the
scope of the respondents to the DFAST-14A CCR schedule and Trading and
CCR worksheets of the DFAST-14A Summary schedule to include any company
that the OCC may require to complete these schedules under 12 CFR 46.4.
Type of Review: Revision.
Affected Public: Businesses or other for-profit.
Estimated Number of Respondents: 20.
Estimated Total Annual Burden: 9,600 hours.
The OCC recognizes that the Board has estimated 67,021 hours for
bank holding companies to prepare the Summary, Counterparty credit
risk, Basel III and Capital reporting schedules submitted for the FR Y-
14. The OCC believes that the systems covered institutions use to
prepare the FR Y-14 reporting templates will also be used to prepare
the reporting templates described in this notice. 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: August 15, 2013.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division.
[FR Doc. 2013-20247 Filed 8-19-13; 8:45 am]
BILLING CODE 4810-33-P