[Federal Register Volume 78, Number 217 (Friday, November 8, 2013)]
[Notices]
[Pages 67218-67221]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-26869]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
Agency Information Collection Activities: 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
AGENCY: Office of the Comptroller of the Currency (OCC), Treasury.
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
[[Page 67219]]
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.'' The OCC is also giving notice that it has sent the collection to
OMB for review.
DATES: Comments must be received by December 9, 2013.
ADDRESSES: Communications Division, Office of the Comptroller of the
Currency, Mailstop 2-3, Attention: 1557-NEW, 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 and instructions referenced in this
notice can be found on the OCC's 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.: Requesting new control number for portion of
existing OMB Control No. 1557-0311 relating to Covered Institutions
with Consolidated Assets of $50 Billion or More. Collection previously
approved under 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 the
OCC's final rule implementing section 165(i)(2) of the Dodd-Frank Act,
covered institutions are divided into two categories: covered
institutions with total consolidated assets between $10 and $50
billion, and covered institutions with total consolidated assets over
$50 billion. In this notice, the OCC is soliciting comment concerning a
revision to a regulatory reporting requirement for covered institutions
with total consolidated assets over $50 billion.
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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).
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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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\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. On August 20, 2013, the OCC published notice of its intention to
revise these templates. 77 FR 51272. No comments were received in
response to the notice.
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 the Comprehensive Capital Analysis and Review (CCAR)
reporting form FR Y-14A.\7\ The OCC also recognizes the Board has
modified the FR Y-14A, 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 revising its reporting requirements to remain consistent with the
Board's 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 59934, September 30, 2013.
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Proposed Revisions to Reporting Templates for Institutions With $50
Billion or More in Assets
The revisions to the DFAST-14A reporting templates consist of
adding data items, deleting data items, and redefining existing data
items. These changes will (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 the 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.
[[Page 67220]]
Summary Schedule
The OCC is making a number of changes to the Summary Schedule to
better assess covered institutions' calculation of risk-weighted assets
(RWA) and certain other items detailed below.
Risk Weighted Assets 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 RWA 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 the following revisions 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 proposed
replacing the current Capital worksheet with three worksheets (General,
Advanced Approaches, and Revised Capital worksheets). These proposed
worksheets would have incorporated the items of the current Capital
worksheet and added or revised items to collect projections depending
on which capital regime is applicable to the covered institution at any
given point in the projection horizon. However, the OCC has decided to
reorganize the structure of the proposed capital worksheets by
collapsing the General, Advanced Approaches, and Revised Capital
worksheets into one Capital worksheet that allows respondents to submit
capital projections according to all three capital rules, which are
outlined in different sections of the worksheet.
Proposed Capital Worksheet
On the Capital worksheet, the OCC is adding 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 OCC is adding or revising line items to
collect data consistent with the definition of tier 1 capital under the
Advanced Approaches rule (12 CFR part 3, Appendix C). The OCC is also
adding line items to collect detail on the adjustments to tier 1
capital and to collect other data elements consistent with the Basel
III definition of capital. Finally, the OCC is also 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.
Addition of RWA Worksheets
To accommodate the eventual collection of RWA as outlined in the
rulemakings, the OCC is adding 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. The
reporting requirements for these schedules are as follows:
1. All covered institutions are required to submit projections on
the General worksheet for all projection quarters, where applicable.
Covered institutions are 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 will be required to report
items in the Standardized Approach section. The Memoranda for
Derivative Contracts section will collect notional principal amounts by
type of derivative contracts for all quarters.
2. Covered institutions subject to market risk capital requirements
are 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 and are subject to
the Advanced Approaches rule are required to report items in the
Advanced Approaches Credit Risk and Operational Risks sections for all
quarters. These institutions will 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 General RWA worksheet, which is composed of 72 items, will
collect RWA as calculated under the general risk-based capital
framework and the Standardized Approach, when applicable. The OCC is
adding 3 items not included in the proposal to better capture certain
information on Schedule RC-R of the Consolidated Reports of Condition
and Income, which is used in the calculation of RWA under the
Standardized Approach per the revised regulatory capital rule (July
2013).
Proposed Advanced RWA Worksheet
The Advanced RWA worksheet, which will be composed of 81 items,
will collect RWA projections as calculated under the Advanced
Approaches rule. The OCC is adding 13 items not included in the
proposal to capture additional information needed to calculate RWA for
Advanced Approaches banks. Additional line items cover securitization
exposures, balance sheet amounts and risk weights subject to the
simplified supervisory formula approach (SSFA), supervisory formula
approach (SFA), and 1250 percent risk weighting. The OCC is also adding
line items to capture information on cleared transactions, repo-style
transactions, and default fund contributions.
In addition to the above changes to the Capital worksheet, the OCC
is making changes to several other worksheets in the Summary Schedule
as described below.
Current Balance Sheet Worksheet
On the Balance Sheet worksheet, the OCC is 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
[[Page 67221]]
behavior of respondents' assets and liabilities. In addition, the OCC
is revising the definition of one item, accumulated other comprehensive
income (AOCI), in the covered institution equity capital section. This
item will 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 is renaming this worksheet to Securities AFS OCI by
Portfolio. This will 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 is 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 will be expected to include in
the supporting documentation a breakout of the major categories of
nonaccrual loans relevant to their own institution. The OCC is
expanding the detail on covered institution's 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 is 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 will be
collapsed into one item.
PPNR Metrics Worksheet
Where applicable, the aforementioned changes to the PPNR Net
Interest Income worksheet will also be reflected in the PPNR Metrics
worksheet. In addition, the OCC will modify, delete, and add several
items to better understand how PPNR projections compare to historical
trends.
Finally, the OCC is adding four footnote items to allow the OCC to
better assess covered institution PPNR projections. Outside of the
worksheets named above, the OCC is making 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.
RegCap Transitions Schedule (Formerly Basel III Schedule)
The OCC is adding a line item to the Capital Composition worksheet
to capture adjustments related to insurance underwriting subsidiaries
and AOCI, which will enable more precise calculations of regulatory
capital. The OCC is also revising the General and Advanced Approaches
RWA worksheets to align with certain changes made to the Summary
Schedule. Specifically, the OCC is adding to the General RWA worksheet
a ``RWA per Standardized Approach'' section, which will collect credit
RWA using methodologies under the revised Standardized Approach.
The OCC has decided to also make additional revisions to the
proposed RegCap Transitions Schedule (labeled as the Basel III Schedule
in the proposal). These additional revisions are being made to ensure
consistency with the regulatory capital rules and include: (1) Revising
the AOCI calculator; (2) revising the 10 percent and 15 percent
regulatory threshold deductions; (3) breaking out additional tier 1
capital deductions; (4) collecting data and calculations consistent
with the final market risk rule; (5) revising the credit RWA
calculation to reflect the market risk rule's comprehensive risk
measurement (CRM); (6) revising the credit RWA associated with credit
valuation adjustment capital charges; and (7) collecting data relevant
to the tier 1 leverage ratio and supplementary leverage ratio.
Counterparty Schedule
The OCC is 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 percent 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 is 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 is 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 is 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.
Burden Estimates:
The OCC estimates the burden of this collection as follows:
Estimated Number of Respondents: 23.
Estimated Total Annual Burden: 14,319 hours.
The OCC recognizes that the Board has estimated 64,800 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 continue to
be 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: November 5, 2013.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division.
[FR Doc. 2013-26869 Filed 11-7-13; 8:45 am]
BILLING CODE 4810-33-P