[Federal Register Volume 79, Number 9 (Tuesday, January 14, 2014)]
[Notices]
[Pages 2527-2535]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-00478]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION
Agency Information Collection Activities: Submission for OMB
Review; Joint Comment Request
AGENCIES: Office of the Comptroller of the Currency (OCC), Treasury;
Board of Governors of the Federal Reserve System (Board); and Federal
Deposit Insurance Corporation (FDIC).
ACTION: Notice of information collection to be submitted to OMB for
review and approval under the Paperwork Reduction Act of 1995.
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SUMMARY: In accordance with the requirements of the Paperwork Reduction
Act (PRA) of 1995 (44 U.S.C. chapter 35), the OCC, the Board, and the
FDIC (the agencies) may not conduct or sponsor, and the respondent is
not required to respond to, an information collection unless it
displays a currently valid Office of Management and Budget (OMB)
control number. On August 12, 2013, the agencies, under the auspices of
the Federal Financial Institutions Examination Council (FFIEC),
requested public comment for 60 days on proposed revisions to the
regulatory capital components and ratios portion of Schedule RC-R,
Regulatory Capital, in the Consolidated Reports of Condition and Income
(Call Report or FFIEC 031 and FFIEC 041) and to the Regulatory Capital
Reporting for Institutions Subject to the Advanced Capital Adequacy
Framework (FFIEC 101). The proposed revisions to the Call Report and
the FFIEC 101 are reflective of the revised regulatory capital rules
issued by the agencies in July 2013 (revised regulatory capital rules).
After considering the comments received on the proposed revisions,
the FFIEC and the agencies will proceed with the proposed reporting
revisions with some modifications as described in sections II and III
of the SUPPLEMENTARY INFORMATION section below. The proposed revisions
to the FFIEC 101 and, if applicable, Call Report Schedule RC-R would be
effective March 31, 2014, for institutions subject to the advanced
approaches risk-based capital rule (advanced approaches institutions)
that are not savings and loan holding companies. Advanced approaches
institutions that are savings and loan holding companies subject to the
revised regulatory capital rules would begin reporting the revised
FFIEC 101 effective March 31, 2015. All other institutions that are
required to file the Call Report would begin reporting the revised Call
Report Schedule RC-R effective March 31, 2015.
DATES: Comments must be submitted on or before February 13, 2014.
ADDRESSES: Interested parties are invited to submit written comments to
any or all of the agencies. All comments, which should refer to the OMB
control number(s), will be shared among the agencies.
OCC: 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: 1557-0081 and 1557-0239, 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.
[[Page 2528]]
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.
Board: You may submit comments, which should refer to ``FFIEC 031,
FFIEC 041, and FFIEC 101,'' by any of the following methods:
Agency Web site: http://www.federalreserve.gov. Follow the
instructions for submitting comments at: http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
Federal eRulemaking Portal: http://www.regulations.gov. Follow the
instructions for submitting comments.
Email: [email protected]. Include reporting form
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 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.
FDIC: You may submit comments, which should refer to ``FFIEC 031,
FFIEC 041, and FFIEC 101,'' by any of the following methods:
Agency Web site: http://www.fdic.gov/regulations/laws/federal/propose.html. Follow the instructions for submitting comments
on the FDIC Web site.
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
Email: [email protected]. Include ``FFIEC 031, FFIEC 041,
and FFIEC 101'' in the subject line of the message.
Mail: Gary A. Kuiper, Counsel, Attn: Comments, Room NYA-
5046, Federal Deposit Insurance Corporation, 550 17th Street NW.,
Washington, DC 20429.
Hand Delivery: Comments may be hand delivered to the guard
station at the rear of the 550 17th Street Building (located on F
Street) on business days between 7:00 a.m. and 5:00 p.m.
Public Inspection: All comments received will be posted without
change to http://www.fdic.gov/regulations/laws/federal/propose.html
including any personal information provided. Comments may be inspected
at the FDIC Public Information Center, Room E-1002, 3501 Fairfax Drive,
Arlington, VA 22226, between 9:00 a.m. and 5:00 p.m. on business days.
Additionally, commenters may send a copy of their comments to the
OMB desk officer for the agencies by mail to the Office of Information
and Regulatory Affairs, U.S. Office of Management and Budget, New
Executive Office Building, Room 10235, 725 17th Street NW., Washington,
DC 20503; by fax to (202) 395-6974; or by email to [email protected].
FOR FURTHER INFORMATION CONTACT: For further information about the
proposed revisions to the regulatory capital reporting requirements
discussed in this notice, please contact any of the agency clearance
officers whose names appear below. In addition, copies of the revised
FFIEC 031, FFIEC 041, and FFIEC 101 forms and instructions can be
obtained at the FFIEC's Web site (http://www.ffiec.gov/ffiec_report_forms.htm).
OCC: Mary H. Gottlieb and Johnny Vilela, OCC Clearance Officers,
(202) 649-5490, Legislative and Regulatory Activities Division, Office
of the Comptroller of the Currency, 400 7th Street SW., Washington, DC
20219.
Board: Cynthia Ayouch, Federal Reserve Board Clearance Officer,
(202) 452-3829, Division of Research and Statistics, Board of Governors
of the Federal Reserve System, 20th and C Streets NW., Washington, DC
20551. Telecommunications Device for the Deaf (TDD) users may call
(202) 263-4869.
FDIC: Gary A. Kuiper, Counsel, (202) 898-3877, Legal Division,
Federal Deposit Insurance Corporation, 550 17th Street NW., Washington,
DC 20429.
SUPPLEMENTARY INFORMATION: The agencies are proposing to revise,
without extension, the Call Report and to revise, with extension, the
FFIEC 101, which are currently approved collections of information for
each agency.
Report Title: Consolidated Reports of Condition and Income (Call
Report).
Form Number: Call Report: FFIEC 031 (for banks with domestic and
foreign offices) and FFIEC 041 (for banks with domestic offices only).
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
OCC:
OMB Number: 1557-0081.
Estimated Number of Respondents: 1,807 national banks and federal
savings associations
Estimated Time per Response: 56.19 burden hours per quarter to
file.
Estimated Total Annual Burden: 406,141 burden hours to file.
Board:
OMB Number: 7100-0036.
Estimated Number of Respondents: 841 state member banks.
Estimated Time per Response: 57.29 burden hours per quarter to
file.
Estimated Total Annual Burden: 192,724 burden hours to file.
FDIC:
OMB Number: 3064-0052.
Estimated Number of Respondents: 4,325 insured state nonmember
banks and state savings associations.
Estimated Time per Response: 42.02 burden hours per quarter to
file.
Estimated Total Annual Burden: 726,946 burden hours to file.
The estimated time per response for the quarterly filings of the
Call Report is an average that varies by agency because of differences
in the composition of the institutions under each agency's supervision
(e.g., size distribution of institutions, types of activities in which
they are engaged, and existence of foreign offices). The average
reporting burden for the filing of the Call Report as it is proposed to
be revised is estimated to range from 18 to 750 hours per quarter,
depending on an individual institution's circumstances.
Report Title: Regulatory Capital Reporting for Institutions Subject
to the Advanced Capital Adequacy Framework.
Form Number: FFIEC 101.
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
OCC:
OMB Number: 1557-0239.
Estimated Number of Respondents: 14 national banks and federal
savings associations.
Estimated Time per Response: 675 burden hours per quarter to file.
Estimated Total Annual Burden: 37,800 burden hours to file.
Board:
OMB Number: 7100-0319.
Estimated Number of Respondents: 20 state member banks, bank
holding companies, and savings and loan holding companies.
Estimated Time per Response: 675 burden hours per quarter to file.
Estimated Total Annual Burden: 54,000 burden hours to file.
FDIC:
OMB Number: 3064-0159.
Estimated Number of Respondents: 8 insured state nonmember banks
and state savings associations.
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Estimated Time per Response: 675 burden hours per quarter to file.
Estimated Total Annual Burden: 21,600 burden hours to file.
General Description of Reports
The Call Report information collections are mandatory for the
following institutions: 12 U.S.C. 161 (national banks), 12 U.S.C. 324
(state member banks), 12 U.S.C. 1817 (insured state nonmember
commercial and savings banks), and 12 U.S.C. 1464 (savings
associations) (collectively, Call Report filers). At present, except
for selected data items, Call Report information collections are not
given confidential treatment.
The FFIEC 101 information collections are mandatory for
institutions using the advanced approaches risk-based capital rule
(advanced approaches institutions): 12 U.S.C. 161 (national banks), 12
U.S.C. 324 and 12 U.S.C. 1844(c) (state member banks and bank holding
companies, respectively), 12 U.S.C. 1467a(b) (savings and loan holding
companies), 12 U.S.C. 1817 (insured state nonmember commercial and
savings banks), and 12 U.S.C. 1464 (savings associations). Under the
agencies' current practice, the FFIEC 101 information collections are
given confidential treatment (5 U.S.C. 552(b)(4)) for reports submitted
until the first report date after the reporting institution conducts a
satisfactory parallel run. For reports collected as of that report date
and thereafter, Schedules A and B and line items 1 and 2 of Schedule S
of the institution's FFIEC 101 are no longer given confidential
treatment. For the FFIEC 101 as it is proposed to be revised and
consistent with the implementation timeline established by the revised
regulatory capital rules, the agencies would make public the
information collected on the FFIEC 101 Schedule A, except for a few
advanced approaches-specific line items identified below, for all
advanced approaches institutions regardless of their parallel run
status starting with the report for the March 31, 2014, report date.
Specific line items that would not be made public until after the
reporting institution completes the parallel run process and receives
notification from its primary federal supervisor pursuant to section
121(d) of subpart E of the revised regulatory capital rules would
include the information collected on the FFIEC 101, Schedule B, except
for column D of the new items 31.a and 31.b, and line items 1 and 2 of
Schedule S.
Abstract
Call Report: Institutions submit Call Report data to the agencies
each quarter for the agencies' use in monitoring the condition,
performance, and risk profile of individual institutions and the
industry as a whole. Call Report data provide the most current
statistical data available for evaluating institutions' corporate
applications, identifying areas of focus for on-site and off-site
examinations, and monetary and other public policy purposes. The
agencies use Call Report data in evaluating interstate merger and
acquisition applications to determine, as required by law, whether the
resulting institution would control more than ten percent of the total
amount of deposits of insured depository institutions in the United
States. Call Report data also are used to calculate institutions'
deposit insurance and Financing Corporation assessments and national
banks' and federal savings associations' semiannual assessment fees.
FFIEC 101: Each advanced approaches institution is required to file
quarterly regulatory capital data in the FFIEC 101, the extent of which
depends on whether the institution has begun its parallel run period
under the Advanced Capital Adequacy Framework. The agencies use these
data to assess and monitor the levels and components of each reporting
entity's risk-based capital requirements and the adequacy of the
entity's capital under the Advanced Capital Adequacy Framework; to
evaluate the impact and competitive implications of the Advanced
Capital Adequacy Framework on both an individual reporting-entity and
an industry-wide basis; and to supplement on-site examination
processes. The reporting schedules also assist advanced approaches
institutions in understanding expectations around the system
development necessary for implementation and validation of the Advanced
Capital Adequacy Framework.
Current Actions
I. Summary of the Proposed Revisions
On August 12, 2013, the agencies requested comment on proposed
revisions to the FFIEC 101 and the regulatory capital components and
ratios portions of Call Report Schedule RC-R to reflect the revised
regulatory capital rules \1\ (the proposal).\2\ The revisions would
become effective for the March 31, 2014 report date, for advanced
approaches institutions that are not savings and loan holding
companies,\3\ and for the March 31, 2015 report date, for all other
institutions that are required to file Call Report Schedule RC-R as
well as advanced approaches institutions that are savings and loan
holding companies subject to the revised regulatory capital rules.\4\
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\1\ The revised regulatory capital rules were approved and
issued by the agencies in July 2013. The revised regulatory capital
rules were published in the Federal Register by the Board and the
OCC on October 11, 2013. See 78 FR 62018. The revised regulatory
capital interim final rule was published in the Federal Register by
the FDIC on September 10, 2013. See 78 FR 55340.
\2\ See 78 FR 48932.
\3\ An advanced approaches institution as defined in section 100
of the agencies' revised regulatory capital rules (i) has
consolidated total assets (excluding assets held by an insurance
underwriting subsidiary) on its most recent year-end regulatory
report equal to $250 billion or more; (ii) has consolidated total
on-balance sheet foreign exposure on its most recent year-end
regulatory report equal to $10 billion or more (excluding exposures
held by an insurance underwriting subsidiary), as calculated in
accordance with the FFIEC 009 Country Exposure Report; (iii) is a
subsidiary of a depository institution that uses the advanced
approaches pursuant to subpart E of 12 CFR part 3 (OCC), 12 CFR part
217 (Board), or 12 CFR part 325 (FDIC) to calculate its total risk-
weighted assets; (iv) is a subsidiary of a bank holding company or
savings and loan holding company that uses the advanced approaches
pursuant to 12 CFR part 217 to calculate its total risk-weighted
assets; or (v) elects to use the advanced approaches to calculate
its total risk-weighted assets. See 78 FR 62204 (OCC and Board); 78
FR 55523 (FDIC). Section III of this notice discusses the filing
requirements for the FFIEC 101 once an institution meets one or more
of the threshold criteria for purposes of the advanced approaches
rule or elects to use the advanced approaches rule.
\4\ The agencies expect to publish at a later date a request for
comment on a separate proposal to revise the risk-weighted assets
portion of Call Report Schedule RC-R to incorporate the standardized
approach for calculating risk-weighted assets under the revised
regulatory capital rules. The revisions to the risk-weighted assets
portion of Schedule RC-R would take effect March 31, 2015. The
agencies have decided to propose changes to Schedule RC-R in two
stages to allow interested parties to better understand the proposed
revisions and focus their comments on areas of particular interest.
Therefore, for report dates in 2014, all Call Report filers will
continue to report risk-weighted assets in the portion of Schedule
RC-R that contains existing data items 34 through 62 and Memorandum
items 1 and 2 of current Schedule RC-R, but this portion of the
schedule will be designated Part II and the data items will retain
their existing numbers.
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The agencies collectively received comments on the proposal from
three entities: two banking organizations and one bankers' association.
The commenters asked for clarification on the applicability and
effective dates of the proposed reporting requirements and for
additional instructions on
[[Page 2530]]
certain line items.\5\ The agencies have addressed all substantive
comments received as described in detail in sections II and III below.
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\5\ In addition, one other commenter on the proposal urged the
agencies to revise the regulatory capital treatment of the allowance
for loan and lease losses (ALLL) if the Financial Accounting
Standards Board (FASB) changes the accounting standards applicable
to ALLL. The agencies note that this comment suggests a substantive
change to the revised regulatory capital rules and is outside the
scope of the proposed changes to the Call Report and FFIEC 101.
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II. Proposed Call Report Schedule RC-R, Part I.B
Consistent with the proposal, in March 2014, the existing and
proposed regulatory capital components and ratios portion of Schedule
RC-R would be designated Parts I.A and I.B, respectively. Call Report
filers that are not advanced approaches institutions would file Part
I.A, which includes existing data items 1 through 33 of current
Schedule RC-R. Call Report filers that are subject to the advanced
approaches and to the revised regulatory capital rules effective
January 1, 2014, would be required to file Part I.B in March 2014,
which includes the reporting revisions proposed herein, consistent with
the revised regulatory capital rules. In March 2015, Part I.A would be
removed and Part I.B would be designated Part I; all Call Report filers
would then submit Part I.
As proposed, Part I.B, Regulatory Capital Components and Ratios,
would be divided into the following sections: (A) Common equity tier 1
capital; (B) common equity tier 1 capital: Adjustments and deductions;
(C) additional tier 1 capital; (D) tier 2 capital; (E) total assets for
the leverage ratio; (F) capital ratios; and (G) capital buffer. A brief
description of each of these sections and the corresponding line items
is provided below. The agencies did not receive any comments on the
overall structure of the proposed Schedule RC-R, Part I.B and thus will
proceed with the overall structure of Part I.B, as proposed. The
agencies will make clarifications to certain line items to reflect
public comments, as discussed below.
The agencies received several questions regarding the reporting
treatment for items subject to transition provisions in Schedule RC-R,
Part I.B. Specifically, commenters asked for clarification on reporting
transition amounts of items subject to regulatory capital adjustments
and deductions and reporting disallowed amounts during the transition
period. As described below in section II.B of this notice, transition
amounts, as proposed, are to be reported in the Schedule RC-R line item
applicable to the particular regulatory capital adjustment or
deduction, while the otherwise disallowed portion of each of these
items is either risk-weighted or deducted from additional tier 1
capital, depending on the item.
Commenters also asked the agencies for clarification of the
reporting of the risk-weighted portion of an item subject to deduction
in Schedule RC-R. The agencies are clarifying, and the instructions for
Part I.B of Schedule RC-R will indicate, that the risk-weighted portion
of such items as proposed must be reported in the line item appropriate
to the item subject to deduction in Schedule RC-R, Part II, Risk-
Weighted Assets. In addition, the agencies are clarifying that even
though certain deductions may be net of associated deferred tax
liabilities (DTLs), the risk-weighted portion of those items may not be
reduced by the associated DTLs.
For example, for institutions subject to the revised regulatory
capital rules on January 1, 2014, the appropriate line item for
reporting the risk-weighted portion of mortgage servicing assets (MSAs)
that are not deducted from common equity tier 1 capital, for report
dates in 2014, is Schedule RC-R, Part II, item 42, ``All other
assets.'' The risk-weighted asset portion of MSAs may not be reduced by
any associated DTLs. Also, the line items in Part II will be renumbered
in 2015 because, as indicated in footnote 4 of this notice, the
agencies expect to propose revisions to the risk-weighted assets
portion of Call Report Schedule RC-R to incorporate the standardized
approach for calculating risk-weighted assets under the revised
regulatory capital rules. The agencies will update the Part II line
item references as appropriate in the Schedule RC-R instructions for
2015 after the revisions to the risk-weighted assets portion of the
schedule are finalized.
The agencies received several questions related to the calculation
of the leverage ratio and the specific deductions from the leverage
ratio denominator. One commenter asked the agencies to confirm that all
banking organizations, including savings associations, must use average
total assets from Call Report Schedule RC-K, item 9, to calculate total
assets for the leverage ratio. The agencies are confirming that average
total assets from Schedule RC-K, item 9, must be used to calculate
total assets for the leverage ratio by advanced approaches institutions
beginning in March 2014 and by all other institutions, including
savings associations, beginning in March 2015. The same commenter asked
the agencies to confirm the deductions from common equity tier 1
capital and additional tier 1 capital that must be made to calculate
total assets for the leverage ratio. The agencies are specifying the
deductions that must be made to calculate total assets for the leverage
ratio, as described in section II.E below.
One commenter asked the agencies to confirm the effective dates for
reporting the capital conservation buffer and the supplementary
leverage ratio. The agencies are confirming that the capital
conservation buffer (and any other applicable buffer for advanced
approaches institutions) must be reported for report dates after
January 1, 2016. Advanced approaches institutions must report the
supplementary leverage ratio for report dates after January 1, 2015
(see section III of this notice for additional details on the reporting
of this line item by advanced approaches institutions). The agencies
are also shading out the corresponding cells in the draft reporting
form for Schedule RC-R, Part I.B, to show that institutions should not
report these items until they become effective.
A brief description of the proposed revisions and the comments
received on specific line items in Schedule RC-R, Part I.B, are
provided below.
A. Schedule RC-R, Part I.B, Items 1-5: Common Equity Tier 1 Capital
Under the proposal, line items 1 through 5 would collect
information regarding the new regulatory capital component, common
equity tier 1 capital. The agencies did not receive any comments on
these line items and thus would retain the proposed line items without
modification.
B. Schedule RC-R, Part I.B, Items 6-19: Common Equity Tier 1 Capital:
Adjustments and Deductions
Proposed line items 6 through 19 reflect adjustments and deductions
to common equity tier 1 capital, as described in section 22 of the
revised regulatory capital rules. The agencies received a number of
questions on reporting items subject to transition provisions.
Specifically, questions related to items 7 through 10 asked where the
transition amounts of the adjustments and deductions covered by these
specific items are to be reported. The instructions for proposed
Schedule RC-R, Part I.B, explain that during the transition period as
proposed, institutions must report the transition amounts of these
adjustments and deductions, rather than their fully phased-in amounts,
in items 7 through
[[Page 2531]]
10. Institutions would not be required to report fully phased-in
amounts in items 7 through 10 until the transition period ends.
For example, during the transition period, an institution must
report in item 7 the appropriate transition amount of intangible assets
(other than goodwill and mortgage servicing assets (MSAs)), net of
DTLs, as described in the instructions for that line item. The
institution must also risk weight the non-deducted portion of that item
at 100 percent and report it in Schedule RC-R, Part II, item 42, ``All
other assets.'' As another example, during the transition period, an
institution must report in item 8 the appropriate transition amount of
deferred tax assets (DTAs) that arise from net operating loss and tax
credit carryforwards, net of any related valuation allowances and net
of DTLs, calculated as a percentage of the adjustment applied to common
equity tier 1 capital. The institution must then report during the
transition period the remaining balance of DTAs that arise from net
operating loss and tax credit carryforwards, net of any related
valuation allowances and net of DTLs, in Schedule RC-R, Part I.B, item
24, ``Additional tier 1 capital deductions.''
A commenter also asked about risk weighting the non-deducted
portion of the threshold items (that is, significant investments in the
capital of unconsolidated financial institutions in the form of common
stock, net of associated DTLs; MSAs, net of associated DTLs; and DTAs
arising from temporary differences that could not be realized through
net operating loss carrybacks, net of related valuation allowances and
net of DTLs). The instructions for proposed Schedule RC-R, Part I.B,
explain that during the transition period the non-deducted portion of
these threshold items must be risk weighted at 100 percent in
accordance with section 300 of the revised regulatory capital rules and
reported in Schedule RC-R, Part II, ``All other assets.'' For report
dates after January 1, 2018, the non-deducted portion of the threshold
items must be risk-weighted at 250 percent in accordance with section
22 of the revised regulatory capital rules and reported in the
appropriate asset category in Schedule RC-R, Part II.
C. Schedule RC-R, Part I.B, Items 20 Through 25: Additional Tier 1
Capital, and Item 26: Tier 1 Capital
Proposed line items 20 through 25 pertain to the reporting of
additional tier 1 capital elements under section 20 of the revised
regulatory capital rules, along with related adjustments for non-
qualifying capital instruments subject to phase-out. The agencies did
not receive any comments on these line items and thus would retain the
proposed line items without modification.
D. Schedule RC-R, Part I.B, Items 27 Through 34: Tier 2 Capital, and
Item 35: Total Capital
Proposed line items 27 through 34 pertain to the reporting of tier
2 capital elements under section 20 of the revised regulatory capital
rules, along with related adjustments for non-qualifying capital
instruments subject to phase-out. The agencies did not receive any
comments on these line items and thus would retain the proposed line
items without modification.
E. Schedule RC-R, Part I.B, Items 36 Through 39: Total Assets for the
Leverage Ratio
Under the proposal, institutions would report data for the
calculation of the leverage ratio in items 36 through 39. As noted
above, the agencies received two questions on the calculation of the
total assets for the leverage ratio. First, a commenter asked the
agencies to confirm that all banking organizations, including savings
associations, must use average total assets from Call Report Schedule
RC-K, item 9, to calculate total assets for the leverage ratio. The
agencies are confirming that average total assets from Schedule RC-K,
item 9, must be reported in Schedule RC-R, Part I.B, item 36, ``Average
total consolidated assets,'' by advanced approaches institutions
beginning in March 2014 and by all other institutions, including
savings associations, beginning in March 2015.
Second, the same commenter asked the agencies to confirm the
deductions from common equity tier 1 capital and additional tier 1
capital that must be made to calculate total assets for the leverage
ratio. Specifically, the commenter asked whether the deductions made in
Schedule RC-R, Part I.B, items 13 through 15, also must be made for
purposes of the leverage ratio. The agencies are clarifying the
reporting instructions for proposed Schedule RC-R, Part I.B, items 37
and 38, to address the commenter's question. The agencies confirm that
the amounts deducted from common equity tier 1 and additional tier 1
capital in Schedule RC-R, Part I.B, items 6, 7, 8, 10.b, 11, 13 through
17, and 24 must be included in Schedule RC-R, Part I.B, item 37. In
addition, any other amounts that are deducted from common equity tier 1
and additional tier 1 capital, such as deductions related to AOCI-
adjustments, must be included in Schedule RC-R, Part I.B, item 38.
F. Schedule RC-R, Part I.B, Item 40: Total Risk-weighted Assets and
Items 41 Through 45: Capital Ratios
Under the proposal, institutions would report data for the
calculation of risk-weighted assets and capital ratios in items 41
through 45. The agencies received one question on this section of the
proposal. Specifically, a commenter asked the agencies to confirm the
effective date of reporting the supplementary leverage ratio in item
45. The agencies are modifying the Schedule RC-R, Part I.B, reporting
form and the instructions for proposed item 45 to clarify that this
item must be reported for report dates after January 1, 2015.
Under the proposal, for report dates in 2014, Call Report filers
that are advanced approaches institutions would continue applying the
general risk-based capital rules to calculate their total risk-weighted
assets, which will continue to be reported in current item 62 of the
risk-weighted assets portion of Schedule RC-R (to be designated Part II
of the schedule in March 2014). This total risk-weighted assets amount
would then also be reported in item 40.a of Part I.B of Schedule RC-R
for report dates in 2014 and would serve as the denominator for the
risk-based capital ratios reported in Schedule RC-R, Part I.B, items 41
through 44, column A. Effective March 31, 2015, all Call Report filers
would be required to apply the standardized approach, described in
subpart D of the revised regulatory capital rules, to calculate and
report their risk-weighted assets in item 40.a and the risk-based
capital ratios in items 41 through 44, column A, of the regulatory
capital components and ratios portion of Schedule RC-R.
Advanced approaches institutions would report items 40 through 45
on proposed Schedule RC-R, Part I.B, as follows.
For report dates in 2014, these institutions would
continue applying the general risk-based capital rules to report their
total risk-weighted assets in item 40.a, which would serve as the
denominator of the ratios reported in items 41 through 44, column A.
Starting on March 31, 2015, these institutions would apply
the standardized approach, described in subpart D of the revised
regulatory capital rules, to calculate and report their risk-weighted
assets in item 40.a and the regulatory capital ratios in items 41
through 44, column A.
After they conduct a satisfactory parallel run, these
institutions would
[[Page 2532]]
report their total risk-weighted assets (item 40.b) and regulatory
capital ratios (items 41 through 44, column B) using the advanced
approaches rule.
In addition, starting on March 31, 2015, these
institutions would report a supplementary leverage ratio in item 45, as
described in section 10 of the revised regulatory capital rules.
The agencies did not receive any comments on the proposed reporting
of the regulatory capital ratios by advanced approaches institutions
and thus would retain this section of the proposal without
modification.
G. Schedule RC-R, Part I.B, Items 46 Through 48: Capital Buffer
Under the proposal, an institution's capital conservation buffer
and related information would be reported in items 46 through 48. The
agencies received a question asking to confirm the effective date for
reporting items 46 through 48. The agencies are modifying the Schedule
RC-R, Part I.B, reporting form and the instructions for proposed items
46 through 48 to clarify that these items become effective for report
dates after January 1, 2016. Until March 31, 2016, the corresponding
cells in the draft reporting form for Schedule RC-R, Part I.B, would be
shaded out.
III. Discussion of the Proposed FFIEC 101 Changes
The proposed revisions to the FFIEC 101 Schedule A would
incorporate the Basel III capital disclosure template in its entirety,
with some minor changes to the titles of the template's line items,
consistent with the revised regulatory capital rules and the accounting
terminology of U.S. generally accepted accounting principles (GAAP). To
ensure transparency of reporting regulatory capital by all advanced
approaches institutions, the agencies would, consistent with the
proposal, make public the information collected on the proposed revised
Schedule A, except for a few specific line items identified below,
starting with the March 31, 2014, report date, regardless of an
advanced approaches institution's parallel run status. The agencies
also proposed to continue granting confidential treatment to certain
items that are dependent on the implementation of the advanced
approaches systems before an advanced approaches institution completes
its parallel run period.
The agencies collectively received comments on the FFIEC 101 from
one entity, a bankers' association. This commenter asked the agencies
to clarify when an institution is required to file the FFIEC 101 report
if the institution has triggered the criteria for applying the advanced
approaches rule but has not yet begun its parallel run period. The
agencies are clarifying that an institution would begin completing
FFIEC 101 Schedule A at the end of the quarter after the quarter in
which the institution triggers one of the threshold criteria for
applying the advanced approaches rule or elects to use the advanced
approaches rule.\6\ However, the institution would not be required to
report those Schedule A items that depend on the implementation of the
advanced approaches rules (specifically, items 12, 50, 61 through 68,
78 through 79, and 86 through 90) and all the other schedules of the
FFIEC 101 until the end of the first quarter in which the institution
has begun its parallel run period.
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\6\ An institution is deemed to have elected to use the advanced
approaches rule on the date that its primary federal supervisor
receives from the institution a board-approved implementation plan
pursuant to section 121(b)(2) of the revised regulatory capital
rules. After that date, in addition to being required to report on
the FFIEC 101, Schedule A, the institution may no longer apply the
AOCI opt-out election in section 22(b)(2) of the revised regulatory
capital rules and it becomes subject to the supplementary leverage
ratio in section 10(c)(4) of the revised regulatory capital rules
and its associated transition provisions.
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The same commenter asked how an advanced approaches institution
that has not completed its parallel run period should report its
supplementary leverage ratio in Call Report Schedule RC-R and in FFIEC
101 Schedule A, since such an advanced approaches institution has a
longer time period in which to submit the FFIEC 101 than the time
period for submitting the Call Report. The agencies note that the
calculation of the supplementary leverage ratio does not depend on the
advanced approaches systems and thus this ratio can be calculated for
purposes of the Call Report independent of an institution's preparation
and submission of the FFIEC 101 report. Accordingly, consistent with
the proposal, an advanced approaches institution that has not completed
its parallel run would report the supplementary leverage ratio in Call
Report Schedule RC-R and then it would report the details of its
calculation of the supplementary leverage ratio on FFIEC 101 Schedule A
by this report's later submission deadline. Similar to current
reporting practices, if an institution calculates its FFIEC 101 data
and discovers that the supplementary leverage ratio reported on its
Call Report is not correct, the institution should submit an amended
Call Report with the corrected information.
The commenter also asked for clarification of a limited number of
line item instructions in Schedules A, B, H through O, and Q. The
agencies are clarifying the instructions for these line items to the
extent considered appropriate by revising and expanding specific
instructions.
The agencies also note that the FFIEC 101 report title would be
modified from ``Risk-Based Capital Reporting for Institutions Subject
to the Advanced Capital Adequacy Framework'' to ``Regulatory Capital
Reporting for Institutions Subject to the Advanced Capital Adequacy
Framework.'' In addition, the agencies are modifying the name of
Schedule A from ``Schedule A-Advanced Risk-based Capital'' to
``Schedule A-Advanced Approaches Regulatory Capital.'' These
modifications are consistent with the proposed revisions to the FFIEC
101, which entail the collection of data on regulatory capital and not
just risk-based capital.
A. Schedule A: Advanced Approaches Regulatory Capital
Under the proposal, revised FFIEC 101 Schedule A incorporates the
Basel III common disclosure template to ensure consistency and
comparability of reporting of regulatory capital elements by advanced
approaches institutions. Although the proposed revisions to Schedule A
of the FFIEC 101 are consistent with the regulatory capital reporting
approach followed in Call Report Schedule RC-R, Part I.B, as described
in section II of this notice, Schedule A provides a more granular
breakdown of regulatory capital elements, deductions and adjustments,
and regulatory capital instruments subject to phase-out, consistent
with the Basel III common disclosure template.
The agencies received a number of questions on the reporting
treatment for items subject to transition provisions, as described in
section II.B of this notice. The agencies have clarified the reporting
instructions for the applicable proposed line items in Schedule RC-R,
Part I.B. The instructions for the corresponding line items in proposed
revised FFIEC 101 Schedule A refer institutions to the Schedule RC-R,
Part I.B, instructions. Since advanced approaches institutions would be
able to continue to import the amounts to be reported in the majority
of the line items in proposed revised FFIEC 101 Schedule A from
proposed Call Report Schedule RC-R, Part I.B, the agencies do not
believe it is necessary to modify the
[[Page 2533]]
instructions for the same line items of FFIEC 101 Schedule A.\7\
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\7\ Advanced approaches institutions that file the FR Y-9C
rather than the Call Report would be able to import the amounts to
be reported in the majority of the line items in proposed revised
FFIEC 101 Schedule A from the Federal Reserve's proposed revised
Schedule HC-R.
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Reporting confidential line items before completing the parallel
run period: Under the proposal, the agencies would make public the
information collected on proposed revised Schedule A, except for a few
specific line items identified below, for all advanced approaches
institutions, starting with the March 31, 2014, report date. The
agencies proposed to grant confidential treatment to the following
Schedule A items for report dates before an institution has completed
its parallel run period: Item 78 (total eligible credit reserves
calculated using advanced approaches); item 79 (amount of eligible
credit reserves includable in tier 2 capital); item 86 (expected credit
loss that exceeds eligible credit reserves); item 87 (advanced
approaches risk-weighted assets); item 88 (common equity tier 1 capital
ratio calculated using advanced approaches); item 89 (tier 1 capital
ratio calculated using advanced approaches); and item 90 (total capital
ratio calculated using advanced approaches). In addition, the agencies
proposed that, before the completion of its parallel run period, an
institution would report ``zero'' in line item 12 (expected credit loss
that exceeds eligible credit reserves) and would complete line item 50
(eligible credit reserves includable in tier 2 capital) and line item
60 (total risk-weighted assets) by applying the general risk-based
capital rules in 2014 and the standardized approach in 2015. Under the
proposal, for the report dates after an institution conducts a
satisfactory parallel run, the entire Schedule A would be made public.
The agencies did not receive any comments on making public the
information collected on proposed revised Schedule A, as described
above, and thus retain the proposed approach without modification.
Supplementary leverage ratio: Proposed line items 91 through 98 in
Schedule A would collect data on a new supplementary leverage ratio
requirement for advanced approaches institutions, effective March 31,
2015. As described in section II.F of this notice, a commenter asked
the agencies to confirm the effective date for reporting the
supplementary leverage ratio. The agencies have modified the proposed
reporting form and the instructions for items 91 through 98 of Schedule
A to clarify that these items must be reported for report dates after
January 1, 2015. Until such time, the corresponding cells in the
reporting form for Schedule A would be shaded out.
B. Schedules B, C, D, H, I, J, P, Q, R, and S: Risk-weighted Assets
The proposal described proposed revisions to several of the risk-
weighted assets schedules in the FFIEC 101, which are intended to be
consistent with the revised advanced approaches rules to calculate
risk-weighted assets. The proposal would revise Schedules B, C, D, H,
I, J, P, Q, and R as follows:
Under Schedule B (summary table), the agencies proposed
new line items to reflect the proposed changes in schedules C through
R.
Under Schedules H and J, the agencies proposed new line
items to capture Credit Valuation Adjustment (CVA) amounts.
Under Schedule P, the agencies proposed an updated
securitization table.
Under Schedule Q, the agencies proposed a new table to
reflect cleared transactions.
Under Schedules C, D, H, I, and J, the agencies proposed
to collect data on exposures subject to a 1.25 asset correlation
factor.
Under Schedules H, I, and J, the agencies proposed data
collections related to the internal models methodology (IMM), margin
period of risk, and specific wrong-way risk.
Under Schedule R, the agencies proposed removing items
pertaining to an equity exposure treatment no longer permitted under
the revised advanced approaches rule.
The agencies received comments from one commenter on the proposed
revisions to these schedules. The following highlights only those areas
of the proposed revisions for which the agencies received comments.
1.06 Scaling Multiplier and ``Assets Not Included in a Defined Exposure
Category'' in Schedule B
The agencies did not propose to revise the FFIEC 101 regarding the
1.06 scaling multiplier in existing line item 28 of Schedule B, which
was proposed to be renumbered as line item 30, ``Total credit risk
weighted assets (Cell G-29 x 1.06).'' The commenter asked whether the
1.06 multiplier should be applied to all credit risk exposures,
including ``Assets Not Included in a Defined Exposure Category,'' non-
material portfolios, mortgage servicing rights, DTAs, and
securitization exposures subject to a 1,250 percent risk weight.
The agencies reviewed the comment and determined that no change to
renumbered line item 30 is necessary. Renumbered line item 27 in
proposed revised Schedule B, ``Assets Not Included in a Defined
Exposure Category,'' has always been subject to the 1.06 scaling
multiplier. In addition, consistent with the revised regulatory capital
rules, wholesale, retail, securitization, and equity exposures are all
subject to the 1.06 multiplier. The CVA capital requirement is
explicitly singled out in the revised regulatory capital rules as not
being subject to the 1.06 multiplier. Therefore, all exposures except
for the CVA charge are subject to the 1.06 scaling multiplier, as
proposed for Schedule B. The agencies also are clarifying in the
Schedule B instructions that exposures representing items in process of
collection that are assigned a risk weight of 20 percent should be
reported in line item 27, ``Assets Not Included in a Defined Exposure
Category.''
CVAs and Weighted Average Maturity Calculation in Schedules B, H, and J
The agencies proposed to insert memoranda items in Schedule H
(Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions,
and OTC Derivatives with Cross-Product Netting) and Schedule J
(Wholesale Exposure: OTC Derivatives No Cross-Product Netting) to
reflect the new CVA requirements for over-the-counter (OTC) derivative
activities under the revised regulatory capital rules.
The commenter observed that the CVA requirement is a portfolio
calculation and would therefore encompass transactions with and without
cross-product netting. The commenter sought clarification on where
institutions should report the CVA exposure and risk-weighted asset
amounts since each institution would only be reporting the CVA
information on a single line item (rather than the two proposed line
items in Schedules H and J). In addition, the commenter requested
clarification on the calculation of weighted average maturity.
In response to this comment, the agencies have decided to remove
the CVA memoranda items from Schedules H and J and instead collect this
information in Schedule B. The agencies believe this is the appropriate
location for reporting CVA information because Schedules H and J would
otherwise needlessly require reporting institutions to distinguish
between derivative transactions with and without cross-product netting
for purposes of allocating CVAs measured at the
[[Page 2534]]
portfolio level to subsets of the portfolio. Therefore, the agencies
have agreed to insert the following line items in Schedule B: Line item
31.a, ``Credit valuation adjustment--simple approach,'' and line item
31.b: ``Credit valuation adjustment--advanced approach.'' For the
relevant Schedule B line item (either 31.a or 31.b), the reporting
institutions would be required to report the amounts for risk-weighted
assets and the exposure at default of exposures used to calculate CVA.
The exposure at default information pertaining to CVA would remain
confidential, even after an institution completes its parallel run
period. These line items would replace proposed Schedule B line item
31, ``Total CVA RWA for OTC derivative transactions.''
In addition, if institutions apply a maturity floor, the general
instructions for Schedule B clarify that reporting institutions should
be consistent in the methodology they employ for calculating the
weighted average maturity amount.
Holding Period or Margin Period of Risk in Schedules H, I, and J
The agencies proposed to insert memoranda items in Schedule H
(Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions,
and OTC Derivatives with Cross-Product Netting), Schedule I (Wholesale
Exposure: Eligible Margin Loans and Repo-Style Transactions No Cross-
Product Netting), and Schedule J (Wholesale Exposure: OTC Derivatives
No Cross-Product Netting) to reflect the new capital requirements for
the margin period of risk and wrong-way risk in the advanced
approaches. The calculations and requirements associated with margin
period of risk and wrong-way risk are described in section 132 of the
revised regulatory capital rules.
The commenter asked how to report securities that have a ``holding
period or margin period of risk set for 20 days,'' but also meet the
criteria for ``holding period or margin period of risk set for at least
twice the minimum holding period that would otherwise be used (due to
at least 3 disputes).'' The agencies have agreed to clarify in the
instructions that transactions meeting both criteria should be reported
in one location under column C, ``Holding period or margin period of
risk set for at least twice the minimum holding period that would
otherwise be used (due to at least 3 disputes).''
Reporting the Credit Scoring System in Schedules K Through O
In their draft of the proposed revised FFIEC 101 reporting form,
the agencies inadvertently removed the text field from existing item
18, which the agencies proposed to renumber as memorandum item 2,
``Credit scores shown in Column O are from which credit scoring
system(s)?'' The agencies have agreed to correct this design error by
restoring the text field, consistent with the public comment.
Whether Exposure Amounts Are Inclusive of Initial Margin in Schedule Q
The agencies proposed a new Schedule Q (Cleared Transactions) to
capture exposures to central clearing parties (CCPs), consistent with
section 133 of the revised regulatory capital rules. The commenter
sought clarification on whether proposed line items 3 and 4 were
inclusive of initial margin. The agencies have agreed to clarify the
instructions, including a reference to the definition of a trade
exposure under the capital rules, which explains that the line item
values in question should be inclusive of initial margin.
250 Percent Risk Weight Category for Significant Investments in
Unconsolidated Financial Institutions in Schedule R
The commenter highlighted that the proposed revisions to Schedule R
(Equity Exposures) did not include a new field for equity exposures
receiving a 250 percent risk weight that are significant investments in
unconsolidated financial institutions that fall below the 10 and 15
percent deduction thresholds. Accordingly, the agencies have agreed to
insert a field for this risk weight category as line item 7 in Schedule
R. (Thus, line items 7 through 13 in the initial draft of proposed
revised Schedule R would be renumbered as line items 8 through 14.)
Schedule S: Operational Risk
The agencies originally did not propose to revise Schedule S:
Operational Risk. However, consistent with prior feedback received from
reporting institutions, the agencies are proposing to clarify the
existing instructions for several line items in Schedule S. The
agencies believe these changes do not result in the collection of any
new data, nor do they impact where institutions report operational risk
data in Schedule S. Clarifications have been made to the instructions
for the following Schedule S line items:
Line Item 3, ``Expected Operational Loss (EOL)'';
Line item 5, ``Dependence Assumptions'';
For items 8 through 15, the instructions indicate that
legal reserves should be included for the purpose of determining
frequency counts, total loss amounts, and loss maximums;
Line item 9, ``Highest dollar threshold applied in
modeling internal operational loss event data'';
Line items 11 through 15 related to loss-amount
information;
Line item 16, ``How many individual scenarios were used in
calculating the risk-based capital requirement for operational risk'';
Line item 17, ``What is the dollar value of the largest
individual scenario''; and
Line item 18, ``Number of scenarios in the following
ranges (e.g., >=$1 million and <$10 million).''
IV. Initial Reporting
For the March 31, 2014, and March 31, 2015, report dates, as
applicable, institutions may provide reasonable estimates for any new
or revised Call Report and FFIEC 101 items initially required to be
reported as of that date for which the requested information is not
readily available.
V. Request for Comment
Public comment is requested on all aspects of this joint notice. In
particular, do advanced approaches institutions expect that making any
specific line items on proposed revised FFIEC 101 Schedule A public
would cause them competitive or other harm? If so, please identify the
specific line items and describe in detail the nature of the harm.
Additionally, comments are invited on:
(a) Whether the collections of information that are the subject of
this notice are necessary for the proper performance of the agencies'
functions, including whether the information has practical utility;
(b) The accuracy of the agencies' estimates of the burden of the
information collections as they are proposed to be revised, 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 collections 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.
Comments submitted in response to this joint notice will be shared
among
[[Page 2535]]
the agencies. All comments will become a matter of public record.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division, Office of the
Comptroller of the Currency.
Board of Governors of the Federal Reserve System, January 6,
2014.
Robert deV. Frierson,
Secretary of the Board.
Dated at Washington, DC, this 24th day of December, 2013.
Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
[FR Doc. 2014-00478 Filed 1-13-14; 8:45 am]
BILLING CODE 4810-33-P; 6210-01-P; 6710-01-P