[Federal Register Volume 79, Number 135 (Tuesday, July 15, 2014)]
[Notices]
[Pages 41276-41283]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-16443]
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FEDERAL RESERVE SYSTEM
Proposed Agency Information Collection Activities; Comment
Request
AGENCY: Board of Governors of the Federal Reserve System.
SUMMARY: On June 15, 1984, the Office of Management and Budget (OMB)
delegated to the Board of Governors of the Federal Reserve System
(Board) its approval authority under the Paperwork Reduction Act (PRA),
pursuant to 5 CFR 1320.16, to approve of and assign OMB control numbers
to collection of information requests and requirements conducted or
sponsored by the Board under conditions set forth in 5 CFR 1320
Appendix A.1. Board-approved collections of information are
incorporated into the official OMB inventory of currently approved
collections of information. Copies of the
[[Page 41277]]
Paperwork Reduction Act Submission, supporting statements and approved
collection of information instruments are placed into OMB's public
docket files. The Federal Reserve may not conduct or sponsor, and the
respondent is not required to respond to, an information collection
that has been extended, revised, or implemented on or after October 1,
1995, unless it displays a currently valid OMB control number.
DATES: Comments must be submitted on or before September 15, 2014.
ADDRESSES: You may submit comments, identified by FR Y-14A, FR Y-14Q,
FR Y-14M or FR Y-16, by any of the following methods:
Agency Web site: http://www.federalreserve.gov. Follow the
instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
Email: [email protected]. Include OMB
number in the subject line of the message.
FAX: (202) 452-3819 or (202) 452-3102.
Mail: Robert deV. Frierson, Secretary, Board of Governors
of the Federal Reserve System, 20th Street and Constitution Avenue NW.,
Washington, DC 20551.
All public comments are available from the Board's Web site at
http://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted,
unless modified for technical reasons. Accordingly, your comments will
not be edited to remove any identifying or contact information. Public
comments may also be viewed electronically or in paper form in Room MP-
500 of the Board's Martin Building (20th and C Streets, NW.) between
9:00 a.m. and 5:00 p.m. on weekdays.
Additionally, commenters may send a copy of their comments to the
OMB Desk Officer--Shagufta Ahmed--Office of Information and Regulatory
Affairs, Office of Management and Budget, New Executive Office
Building, Room 10235 725 17th Street NW., Washington, DC 20503 or by
fax to (202) 395-6974.
FOR FURTHER INFORMATION CONTACT: A copy of the PRA OMB submission,
including the proposed reporting form and instructions, supporting
statement, and other documentation will be placed into OMB's public
docket files, once approved. These documents will also be made
available on the Federal Reserve Board's public Web site at: http://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested
from the agency clearance officer, whose name appears below.
Federal Reserve Board Clearance Officer--Cynthia Ayouch--Office of
the Chief Data Officer, Board of Governors of the Federal Reserve
System, Washington, DC 20551 (202) 452-3829. Telecommunications Device
for the Deaf (TDD) users may contact (202) 263-4869, Board of Governors
of the Federal Reserve System, Washington, DC 20551.
SUPPLEMENTARY INFORMATION:
Request for Comment on Information Collection Proposals
The following information collections, which are being handled
under this delegated authority, have received initial Board approval
and are hereby published for comment. At the end of the comment period,
the proposed information collections, along with an analysis of
comments and recommendations received, will be submitted to the Board
for final approval under OMB delegated authority. Comments are invited
on the following:
a. Whether the proposed collection of information is necessary for
the proper performance of the Federal Reserve's functions; including
whether the information has practical utility;
b. The accuracy of the Federal Reserve's estimate of the burden of
the proposed information collection, including the validity of the
methodology and assumptions used;
c. Ways to enhance the quality, utility, and clarity of the
information to be collected;
d. Ways to minimize the burden of information collection on
respondents, including through the use of automated collection
techniques or other forms of information technology; and
e. Estimates of capital or start up costs and costs of operation,
maintenance, and purchase of services to provide information.
Proposal To Approve Under OMB Delegated Authority the Extension for
Three Years, With Revision, of the Following Reports
1. Report title: Capital Assessments and Stress Testing information
collection.
Agency form number: FR Y-14A/Q/M.
OMB control number: 7100-0341.
Effective Date: September 30, 2014, and December 31, 2014.
Frequency: Annually, semi-annually, quarterly, and monthly.
Reporters: Any top-tier bank holding company (BHC) (other than a
foreign banking organization), that has $50 billion or more in total
consolidated assets, as determined based on: (i) the average of the
BHC's total consolidated assets in the four most recent quarters as
reported quarterly on the BHC's Consolidated Financial Statements for
Bank Holding Companies (FR Y-9C) (OMB No. 7100-0128); or (ii) the
average of the BHC's total consolidated assets in the most recent
consecutive quarters as reported quarterly on the BHC's FR Y-9Cs, if
the BHC has not filed an FR Y-9C for each of the most recent four
quarters. Reporting is required as of the first day of the quarter
immediately following the quarter in which it meets this asset
threshold, unless otherwise directed by the Federal Reserve.
Estimated annual reporting hours: FR Y-14A: Summary, 67,848 hours;
Macro scenario, 2,046 hours; Operational Risk, 396 hours; Regulatory
capital transitions, 759; and Regulatory capital instruments, 660
hours. FR Y-14Q: Securities risk, 1,584 hours; Retail risk, 2,112
hours; Pre-provision net revenue (PPNR), 93,852 hours; Wholesale
corporate loans, 8,556 hours; Wholesale commercial real estate (CRE)
loans, 8,280 hours; Trading risk, 69,336 hours; Regulatory capital
transitions, 3,036 hours; Regulatory capital instruments, 5,280 hours;
Operational risk, 6,600 hours; Mortgage Servicing Rights (MSR)
Valuation, 1,152 hours; Supplemental, 528 hours; and Retail Fair Value
Option/Held for Sale (Retail FVO/HFS), 1,408 hours; Counterparty credit
risk (CCR), 16,632 hours; and Balances, 2,112 hours; FR Y-14M: Retail
1st lien mortgage, 171,360 hours; Retail home equity, 165,240 hours;
and Retail credit card, 110,160 hours. FR Y-14 Implementation, 21,600
hours; and On-Going Automation for existing respondents, 14,400 hours.
Estimated average hours per response: FR Y-14A: Summary, 1,028
hours; Macro scenario, 31 hours; Operational Risk, 12 hours; Regulatory
capital transitions, 23; and Regulatory capital instruments, 20 hours.
FR Y-14Q: Securities risk, 12 hours; Retail risk, 16 hours; PPNR, 711
hours; Wholesale corporate loans, 69 hours; Wholesale CRE loans, 69
hours; Trading risk, 1,926 hours; Regulatory capital transitions, 23
hours; Regulatory capital instruments, 40 hours; Operational risk, 50
hours; MSR Valuation, 24 hours; Supplemental, 4 hours; and Retail FVO/
HFS, 16 hours; CCR, 462 hours; and Balances, 16 hours; FR Y-14M: Retail
1st lien mortgage, 510 hours; Retail home equity, 510 hours; and Retail
credit card, 510 hours. FR Y-14 Implementation, 7,200 hours; and On-
Going Automation for existing respondents, 480 hours.
[[Page 41278]]
Number of respondents: 33.
General description of report: The FR Y-14 series of reports are
authorized by section 165 of the Dodd-Frank Wall Street Reform and
Consumer Protection Act (Dodd-Frank Act), which requires the Federal
Reserve to establish prudential standards for BHCs with total
consolidated assets of $50 billion or more and nonbank financial
companies supervised by the Federal Reserve in order to mitigate risks
to the financial stability of the United States (12 U.S.C. 5365).
Additionally, section 5 of the BHC Act authorizes the Board to issue
regulations and conduct information collections with regard to the
supervision of BHCs (12 U.S.C. 1844).
As these data are collected as part of the supervisory process,
they are subject to confidential treatment under exemption 8 of the
Freedom of Information Act (FOIA) (5 U.S.C. 552(b)(8)). In addition,
commercial and financial information contained in these information
collections may be exempt from disclosure under exemption 4 of FOIA (5
U.S.C. 552(b)(4)). Such exemptions would be made on a case-by-case
basis.
Abstract: The data collected through the FR Y-14A/Q/M schedules
provide the Federal Reserve with the additional information and
perspective needed to help ensure that large BHCs have strong,
firm[hyphen]wide risk measurement and management processes supporting
their internal assessments of capital adequacy and that their capital
resources are sufficient given their business focus, activities, and
resulting risk exposures. The annual Comprehensive Capital Analysis and
Review (CCAR) exercise is also complemented by other Federal Reserve
supervisory efforts aimed at enhancing the continued viability of large
BHCs, including continuous monitoring of BHCs' planning and management
of liquidity and funding resources and regular assessments of credit,
market and operational risks, and associated risk management practices.
Information gathered in this data collection is also used in the
supervision and regulation of these financial institutions. In order to
fully evaluate the data submissions, the Federal Reserve may conduct
follow up discussions with or request responses to follow up questions
from respondents, as needed.
The semi-annual FR Y-14A collects large BHCs' quantitative
projections of balance sheet, income, losses, and capital across a
range of macroeconomic scenarios and qualitative information on
methodologies used to develop internal projections of capital across
scenarios.\1\ The quarterly FR Y-14Q collects granular data on BHCs'
various asset classes and PPNR for the reporting period. The monthly FR
Y-14M comprises three loan- and portfolio-level collections, and one
detailed address matching collection to supplement two of the portfolio
and loan-level collections. Both the FR Y-14Q and the FR Y-14M are used
to support supervisory stress test models and for continuous monitoring
efforts.
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\1\ BHCs that must re-submit their capital plan generally also
must provide a revised FR Y-14A in connection with their
resubmission.
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Current Actions: The Federal Reserve proposes revising several
schedules of the FR Y-14A/Q/M reports as well as expanding the
reporting panel. Most revisions would be effective September 30, 2014,
and some would be effective December 31, 2014, as noted. Many of the
proposed changes would affect the schedules of the FR Y-14A, including
increasing the reporting frequency of two schedules. To allow the
Federal Reserve to enhance supervisory models and ongoing supervision,
the collection of the CCR and portions of the Operational Risk
schedules would be changed from annual to quarterly frequency.
Additionally, both collections would be expanded to gain greater
clarity and insight into these risk areas and to improve supervisory
modeling. Both the Summary and Regulatory Capital Transitions schedules
would be revised to be consistent with schedule HC-R of the FR Y-9C.
This would include the addition, deletion, and modification of items
primarily related to changes to standardized approach risk-weighted
asset (RWAs) components that are currently being considered for the FR
Y-9C.
The FR Y-14Q (quarterly collection) would be revised to (1) add
items to and modify items on the Regulatory Transitions schedule
consistent with the changes to the FR Y-14A Regulatory Capital
Transitions schedule; (2) add a schedule that would collect as-of date
balance information for 26 loan and lease items, as well as 20 items
that provide sub-categorization of FR Y-9C items and eight items
related to the unpaid principal balance of loan and leases; (3) add six
and modify three items of the Corporate Loan schedule; (4) add seven
and modify six items of the CRE schedule; (5) add a securities
identifier and security type to the Securities schedule as well as an
additional table that collects information related to cash flow and
fair value hedges, (6) expand the Operational Risk schedule with
information from the FR Y-14A Operational Risk schedule that is being
changed from annual to quarterly frequency, (7) add the CCR schedule
that is being changed from annual to quarterly frequency and (8) expand
the collection of subordinated debt on the Regulatory Capital
Instruments schedule to include subordinated debt instruments that do
not qualify as regulatory capital.
The FR Y-14M (monthly collection) would be revised to (1) add two
items to the Domestic First Lien Closed-end 1-4 Family Residential Loan
(First Lien) schedule and (2) add one item to the Domestic Home Equity
Loan and Home Equity Line (Home Equity) schedule.
The data are used to assess the capital adequacy of large BHCs
using forward-looking projections of revenue and losses, to support
supervisory stress test models and continuous monitoring efforts, as
well as to inform the Federal Reserve's operational decision-making as
it continues to implement the Dodd-Frank Act.
Proposed Revision to the Reporting Panel
The reporting panel would be revised to include BHCs that are
relying on Supervision and Regulation Letter SR 01-01, effective
September 30, 2014.
Proposed Revision to the FR Y-14A
The proposed revisions to the FR Y-14A consist of clarifying
instructions, adding data items, deleting data items, and redefining
existing data items. These proposed changes would (1) increase
consistency between the FR Y-14A and FR Y-9C as well as between the FR
Y-14A and the FR Y-14Q, (2) improve the scope of supervisory models,
(3) provide additional information to greatly enhance the ability of
the Federal Reserve to analyze the validity and integrity of firms'
projections, and (4) be responsive to industry comments. The Federal
Reserve has conducted a thorough review of proposed changes and
believes that the incremental burden of these changes is justified
given the need for these data to properly conduct the Federal Reserve's
supervisory responsibilities related to the stress testing and CCAR
process as well as ongoing supervisory activity as described in more
detail below.
Summary Schedule
Revisions to Income Statement Sub-Schedule (A.1a) Respondents have
noted a definitional difference between the realized gains (losses) on
available-for-sale (AFS) and held-to-maturity
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(HTM) securities reported on the Income Statement (items 127 and 128)
and the AFS and HTM totals computed on sub-schedule A.3.c (Projected
Other-Than-Temporary Impairment (OTTI) for AFS and HTM Securities by
Portfolio), resulting from the Revised Capital Framework. In order to
accurately collect information for the Income Statement, The Federal
Reserve proposes changing items 127 and 128 to be reported items
instead of being equal to the total amounts on sub-schedule A.3.c.
Additionally, for consistency with changes proposed to sub-schedule A.5
(Counterparty Risk) described below, items 59 and 62 (Trading
Incremental Default Losses and Other CCR Losses) would be modified to
be Trading Issuer Default Losses and CCR Losses, and line item 61
(Counterparty Incremental Default Losses) would be removed.
Revisions to RWA and Capital Sub-Schedules (A.1.c.1 and A.1.d) \2\
To better align the collection of regulatory capital components with
schedule HC-R of the FR Y-9C, the definitions of the items on schedule
A.1.d (Capital) have been modified to refer to or mirror the
definitions that appear on the FR Y-9C. Furthermore, in order to ensure
comparability among respondents and that transition provisions are
being accurately and consistently applied, respondents would be
required to apply the appropriate transition provisions to all
transition-affected items of schedule A.1.d per the revised regulatory
capital rule. With regard to the RWA sub-schedules, the standardized
approach RWA and market RWA items of schedule A.1.c.1 (General RWA)
have been changed in accordance with modifications to schedule HC-R of
the FR Y-9C that are currently being considered, and moved to a
separate schedule A.1.c.2 (Standardized RWA). These changes include
both the modification and addition of items, for an overall addition of
12 items. Additionally, the computed items one through five of the
current sub-schedule A.1.c.2 (Advanced RWA) would be removed. Despite
the alignment of these schedules with the FR Y-9C, the column of actual
values has not been removed because the values reported on these
schedules are assumed to have completed the transition schedule
outlined in the Revised Capital Framework, whereas values reported on
the FR Y-9C follow the transition schedule.
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\2\ The Federal Reserve may modify the proposed revisions to the
FR Y-14 report prior to finalization of this proposal as appropriate
and consistent to align with any additional changes being considered
to the FR Y-9C report.
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Revisions to Retail Repurchase Sub-Schedule (A.2.b) Due to recent
activity by respondents involving settlements related to their
representation & warranty (R&W) liabilities, additional detail would be
collected about the R&W liabilities. Specifically, line items would be
added that collect the unpaid principal balance (UPB) of loans covered
by completed settlements for which liability remains and for which no
liability remains by vintage beginning with 2004, as well as total
settlement across vintages, for the following categories of loans:
loans sold to Fannie Mae, loans sold to Freddie Mac, loans insured by
the U.S. government, loans securitized with monoline insurance, loans
secured without monoline insurance, and whole loans sold.
Revisions to Securities Sub-Schedule (A.3) Because covered bonds
are a material exposure of BHCs that have unique characteristics
relative to other asset categories currently on this sub-schedule, the
Federal Reserve would add a covered bond category to sub-schedules
A.3.b, A.3.c, A.3.d, and A.3.e in order to appropriately and separately
evaluate respondents' projections of these assets. Additionally, two
columns would be added to collect information for each of the asset
categories of sub-schedule A.3.d that would allow changes in market
value to be distinguished from changes in portfolio allocation for each
projected quarter: Beginning Fair Market Value and Fair Value Rate of
Change, which is the weighted average percent change in fair value over
the quarter. Finally, to reduce reporting burden and increase
efficiency in reporting, the nine sub-asset categories of Domestic Non-
Agency Residential Mortgage-Backed Securities (RMBS) would be removed
from the same sub-schedules, and the AFS and HTM portions of sub-
schedule A.3.c would be combined with the addition of a column to
identify AFS amounts versus HTM amounts.
Revisions to Trading Sub-Schedule (A.4) Because credit valuation
adjustment (CVA) losses are modeled separately from trading portfolio
losses, the Federal Reserve proposes that the profit (loss) amount
related to CVA hedges be reported separately from other trading
activity.
Revisions to Counterparty Risk Sub-Schedule (A.5) In order to allow
respondents to use alternative methodologies for estimating losses
related to the default of issuers and counterparties, the requirement
of using the incremental default risk (IDR) methodology would be
removed. Accordingly, line items 1, 1a and 1b (Trading Incremental
Default Losses, Trading Incremental Default Losses from securitized
products, and Trading Incremental Default Losses from other credit
sensitive instruments) would be modified to be Trading Issuer Default
Losses. Additionally, line items 3 (Counterparty Incremental Default
Losses) and 3a (Impact of CCR IDR Hedges) would be removed, line item 4
(Other CCR Losses) would be modified to be CCR Losses, and the line
item Effect of CCR Hedges would be added.
Regulatory Capital Instruments Schedule
Proposed changes to the Regulatory Capital Instruments schedule
would be responsive to industry feedback and ensure that information is
being accurately captured. Specifically, the Federal Reserve proposes
(1) adding an item that collects employee stock compensation to the
four quarterly redemption/repurchase and issuance activity sub-
sections; (2) adding 18 items to the general risk-based capital rules
section and 28 items to the revised regulatory capital section that
collect activity other than issuances or repurchases for each
instrument in the section, because respondents adding this activity to
other items; and (3) changing the capital balance items in the general
risk-based capital rules section and the revised regulatory capital
section from reported items to formulas, since they would be able to be
computed using the items proposed above.
Regulatory Capital Transitions Schedule
Similar to the changes proposed to be made to the RWA and Capital
sub-schedules of the Summary schedule, proposed changes to the
Regulatory Capital Transitions schedule would be made to better align
the collection of regulatory capital components with schedule HC-R of
the FR Y-9C, which are currently being considered. The Federal Reserve
proposes (1) aligning the definitions of the items on the Capital
Composition sub-schedule to be consistent with schedule HC-R; (2)
modifying the RWA General sub-schedule to align with proposed revisions
to schedule HC-R, including changing the name to Standardized RWA and
modifying, removing and adding items for a net increase of 15 items;
(3) modifying, adding and removing items of the Advanced RWA sub-
schedule to align with schedule A.1.c.2 (Advanced RWA on the Summary
schedule), for a net increase of 21 items; and (4) revising the
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Leverage Ratio sub-schedule in accordance with the supplementary
leverage ratio rulemaking proposal,\3\ for a net increase of ten items.
Despite the alignment of these schedules with the FR Y-9C, the column
of actual values has not been removed because the values reported on
these schedules are assumed to have completed the transition schedule
outlined in the Revised Capital Framework, whereas values reported on
the FR Y-9C follow the transition schedule.
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\3\ Proposed changes to 12 CFR parts 208 and 217.
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Operational Risk Schedule
Proposed changes to the Operational Risk schedule would provide
greater insight into the types and frequency of operational risk
expenses incurred by respondents, which would improve both supervisory
modeling and ongoing supervisory activities.
The Federal Reserve proposes adding a data item for firms to
voluntarily disclose how much of their mortgage related litigation
reserve is attributable to contractual representation and warranty
claims.
Additionally, effective December 31, 2014, the Federal Reserve
proposes (1) changing the collection of the annual Legal Reserve
information to be part of the quarterly Operational Risk collection as
a separate sub-schedule; (2) adding columns to collect Gross Increase
and Decrease to Reserves to better track the flow of legal reserves;
and (3) requiring that the 20 previous quarters of data be submitted
upon initial submission and four quarters of data thereafter.
Counterparty Credit Risk Schedule
Significant additions would be made to the CCR schedule in order to
more adequately and accurately capture exposure information related to
derivatives and securities financing transactions (SFTs) used in
supervisory loss estimates and supervisory activities. These additions
would remediate deficiencies discovered in the current collection
related to exposure, including a lack of information regarding
collateral, asset types, and total exposure to a given counterparty,
and have been carefully evaluated internally and vetted with
respondents.
The Federal Reserve proposes (1) changing the collection of CCR
information from annual to quarterly frequency to capture the
fluctuations in counterparty risk and exposure (from schedule F of the
FR Y-14A to schedule L of the FR Y-14Q); (2) adding a sub-schedule that
collects the derivative exposures at a legal-entity netting-agreement
level for the top 25 non-central clearing counterparty (non-CCP) and
non-G-7 counterparties, as well as all CCPs and the G-7 counterparties
that includes a breakout of collateral into cash and non-cash, and
exposures into 14 asset categories; (3) changing current the SFT sub-
schedule to collect exposures and collateral separately at a
counterparty legal-entity netting-agreement level for the top 25 non-
CCP and non-G-7 counterparties as well as all CCPs and the G-7 and
adding asset sub-categories for a total of 30 specific asset types; (4)
removing all columns with the BHC specification of margin period of
risk (MPOR) under the global market shocks from sub-schedules F.1.a-
F.1.e and F.2; (5) removing the column LGD Derived from Unstressed PD
on F.2; and (6) adding columns to worksheet F.1.e to collect both gross
and net stressed and unstressed current exposure to central clearing
counterparties.
Proposed Revision to the FR Y-14Q
The proposed revisions to the FR Y-14Q consist of clarifying
instructions, adding a schedule, and adding, deleting and redefining
existing data items. These proposed changes would be responsive to
industry comments and provide additional information to enhance
supervisory models. The Federal Reserve has conducted a thorough review
of proposed changes and believes that because the proposed item
additions and modifications to the FR Y-14Q request information
currently collected by respondents in their regular course of business
reporting burden will be minimized. A summary of the proposed changes
by schedule is provided below.
Proposed Balances Schedule
As part of revisions to the FR Y-14A/Q/M announced September 30,
2013 (see 78 FR 59934), the Federal Reserve removed the as-of column
from schedule A.1.b of the FR Y-14A (Balance Sheet) in an effort to
reduce burden and avoid duplicative reporting. However, this removal
has caused numerous issues related to both reporting and analysis that
have been raised by respondents.
The proposed schedule would collect the information required to
eliminate these issues and provide a clear reconciliation between the
FR Y-14 and FR Y-9C reporting forms. Specifically, the schedule would
collect as-of balance information for 26 loan and lease items, as well
as 20 FR Y-9C reconciliation items and eight unpaid principal balance
items related to loan and leases.
Supplemental Schedule
The Federal Reserve proposes removing columns H through N and P
through R, because this information would be collected on the proposed
FR Y-14Q Balances schedule.
Commercial Real Estate Schedule
The Federal Reserve proposes (1) modifying item 20 (Amortization)
to capture non-standard amortization schedule by allowing banks to
report `-1' in response to industry comments; (2) adding an option to
current item 21 (Recourse) that indicates partial recourse and
modifying option 1 to indicate full recourse in order to capture the
level of recourse; (3) modifying current item 25 (Loan Purpose) to
include an option for Mini-perm to identify short-term loans on
recently constructed buildings because of their unique credit risk; (4)
modify current item 39 (Property Size) in the CRE schedule to only
capture credit facilities secured by one property of one type to
simplify the collection; (5) removing current item 48 (Fair Value
Adjustment) and replacing it with three items that provide additional
detail on the drawn and undrawn portions of the facilities and the
respondent's methodology of computation, both of which are key factors
for understanding the adjustment made: Fair Value Committed Exposure,
Fair Value Adjustment Drawn, and Lower of Cost or Market Flag to
capture the breakdown of adjustments between the drawn and undrawn
portions and the approach used to calculate the adjustment; (6) adding
an item to collect the date on which current occupancy was determined
in order to track this information over time; (7) adding an item that
collects the Current Value Basis, which provides a more accurate
understanding of the property valuation; and (8) adding an item that
captures the credit facility currency in order to evaluate exchange
rate risk.
Additionally, effective December 31, 2014, the Federal Reserve
proposes: (1) expanding the required respondents for the Basel II
probability of default (PD), loss given default (LGD), and exposure at
default (EAD) items to include all respondents but giving the option to
non-advanced approaches respondents to report an internal metric, which
would support ongoing supervisory activities as well as provide more
detail on internal credit processes; (2) adding an item that collects
the date that a credit facility has been renewed in order to
distinguish between new money and renewals and to be able better to
track the loans over time; (3) adding an item to collect the Shared
National Credit
[[Page 41281]]
(SNC) Internal Credit ID, which would greatly enhance the ability to
monitor credit risk of reported loans; and (4) adding an item that is a
flag to indicate prepayment penalties to be able to account for the
behavioral changes from such penalties.
Corporate Loan Schedule
The Federal Reserve proposes (1) additionally excluding the
reporting of obligor financial data for offices of bank holding
companies, because this information is no longer relevant; (2)
replacing current item 29 (FVA) with three items (Fair Value Committed
Exposure, Fair Value Adjustment Drawn, Lower of Cost or Market Flag),
similar to the CRE schedule; (3) adding an item that captures the
credit facility currency in order to evaluate exchange rate risk; and
(4) adding an item to collect the industry code for the entity that is
the primary source of the repayment for the credit facility in order to
capture instances in which the primary source of repayment is not the
obligor.
Additionally, effective December 31, 2014, the Federal Reserve
proposes: (1) replacing current field 17 (Credit Facility Internal Risk
Rating) in Corporate Schedule with three items adding three items: PD,
LGD, and EAD, which would be required by all respondents, but giving
the option to non-advanced approaches respondents to report an internal
metric in order to support ongoing supervisory activities as well as
provide more detail on internal credit processes; (2) adding an item
that collects the date on which a credit facility has been renewed in
order to distinguish between new money and renewals and to be able
better to track the loans over time; (3) adding an item that is a flag
to indicate prepayment penalties, similar to the CRE schedule; (4)
adding an item to collect the SNC Internal Credit ID, also similar to
the CRE schedule; and (5) adding an item that captures the market value
of collateral in order to incorporate the collateral requirements of
individual loans.
All Retail Schedules (A.1 to A.10)
The Federal Reserve proposes redefining items related to charge-
offs and recoveries to be consistent with charge-offs and recoveries as
defined in the FR Y-9C.
International Credit Cards Schedule
The Federal Reserve proposes modifying the third option (Other) of
the Product Type segment variable to be Corporate and Small- and
Medium-Sized Enterprise SME Cards to more accurately align the segments
with respondents' international credit card portfolios.
International Auto Schedule
The Federal Reserve proposes removing the item Basel II EAD and
replacing it with RWA per the most recent capital framework, which is a
more meaningful item for closed-end loans such as auto loans.
U.S. Auto Schedule
The Federal Reserve proposes (1) modifying the LTV segmentation
variable to be based on the wholesale value of the vehicle instead of
the retail value and adding the segmentation ``N/A'' for any missing
data in order to better align reporting with respondents' internal
records; (2) removing the item Basel II EAD and replacing it with RWA
per the most recent capital framework, which is a more meaningful item
for closed-end loans such as auto loans; and (3) adding two variables
related to LGD, which would include the collection of historical data,
in order to capture key components of LGD: Unpaid Principal Balance at
Charge-off and Percent Loss Severity (3 month Lagged).
Trading Schedule
The Federal Reserve proposes to collect the sensitivities related
to CVA hedges separately from all other trading activity in order to
accurately separate the two exposures.
Securities Schedule
The Federal Reserve proposes (1) adding a sub-schedule that
collects the identifier and amounts of each investment security for
which the respondent has established a qualifying hedging relationship
(cash flow hedge or fair value hedge, as defined according to Generally
Accepted Accounting Principles (GAAP) in order to capture the effect on
Other Comprehensive Income (OCI) attributable to changes in the
unrealized gains and losses of AFS securities hedged; (2) adding an
item that indicates positions that are private placements; (3) adding a
security category for Covered Bonds, which have been found to be a
major portion of the securities reported in the Other category; (4)
requiring additional descriptive information on municipal bonds in the
Description 2 column in order to collect specific information for
instances in which the CUSIP (Committee on Uniform Securities
Identification Procedures) number is unavailable; (5) adding a column
that collects the currency denomination of the reported bonds in order
to account for changes in exchange rates; (6) requiring additional
information for mutual fund categories in the Description 2 column in
order to collect specific information for instances in which the CUSIP
is unavailable; and (7) adding an item that collects a unique
identifier for each unique record.
Operational Risk Schedule
The Federal Reserve proposes (1) adding a Unique Identifier item
for each row in order to clearly identify record submissions with the
same information that are unique records; and, effective December 31,
2014, (2) for each closed/settled legal event above 250k adding (i)
date of awareness, (ii) date on which a claim was filed, proceedings
were instituted, or settlement negotiations began, (iii) date of
settlement, fine, or final judgment, (iv) cause of action, (v) the
reserve history, and (vi) terminal outcome, which would all provide
greater insight into reserving practices and changes in reserves.
Regulatory Capital Transitions Schedule
The Federal Reserve proposes revising this schedule in accordance
with proposed changes to the FR Y-14A Regulatory Capital Transitions
schedule.
Regulatory Capital Instruments Schedule
In order to better understand the characteristics of subordinated
debt instruments, the collection would be expanded to include all
subordinated debt instruments, not only those that qualify as
regulatory capital. Additionally, a one-time collection of the items
from schedule C.3 (Issuances During Quarter) for all subordinated debt
instruments as of quarter end would be required for the Q3 2014 as of
period for respondents that are currently reporting the schedule, or
the initial submission for respondents that begin reporting the
schedule after the Q3 2014 as of period.
Proposed Revisions to the FR Y-14M
Domestic First Lien Closed-end 1-4 Family Residential Loan Schedule
The Federal Reserve proposes (1) adding an item that is a flag that
indicates if the first lien is a home equity loan in order to ensure
the most appropriate risk characteristics are associated with these
loans, (2) adding an item that collects the date that the credit score
of the borrower was refreshed so this information can be tracked over
time, and (3) adding an option to the Loan Purpose item that identifies
reverse mortgages.
[[Page 41282]]
Domestic Home Equity Loan and Home Equity Line Schedule
The Federal Reserve proposes (1) adding an item that collects the
date that the credit score of the borrower was refreshed, similar to
the First Lien schedule, and (2) adding an option to the Loan Purpose
item that identifies reverse mortgages.
2. Report title: Annual Company-Run Stress Test information
collection.
Agency form number: FR Y-16.
OMB control number: 7100-0356.
Effective Date: March 31, 2015.
Frequency: Annually.
Reporters: BHCs, savings and loan holding companies (SLHCs) \4\
with average total consolidated assets of greater than $10 billion but
less than $50 billion, and any affiliated or unaffiliated state member
bank (SMB) with average total consolidated assets of more than $10
billion but less than $50 billion excluding SMB subsidiaries of covered
companies.\5\
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\4\ SLHCs are not subject to Dodd-Frank Act annual company-run
stress testing requirements until the calendar year after SLHCs
become subject to regulatory capital requirements. All SLHCs except
those substantially engaged in insurance underwriting or commercial
activities are subject to capital requirements beginning in 2015.
These ``covered SLHCs'' are required to report using the FR Y-16 in
March 2017 (stress test as-of date September 30, 2016).
\5\ ``Covered companies'' are defined as BHCs with at least $50
billion in total consolidated assets and nonbank systemically
important financial institutions, subject to annual supervisory
stress tests and semi-annual company-run stress tests.
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Estimated annual reporting hours: 38,623 hours.
Estimated average hours per response: 469 hours; 3,600 hours, one-
time implementation.
Number of respondents: BHCs, 46; SLHCs, 11; SMBs, 10; and one-time
implementation, 2.
General description of report: This information collection is
authorized pursuant Section 165(i)(2) of the Dodd-Frank Act that
specifically authorizes the Board to issue regulations implementing the
annual stress testing requirements for its supervised institutions. 12
U.S.C. 5365(i)(2)(C). More generally, with respect to BHCs, Section
5(c) of the Bank Holding Company Act, 12 U.S.C. 1844(c), authorizes the
Board to require a BHC and any subsidiary ``to keep the Board informed
as to--(i) its financial condition, [and] systems for monitoring and
controlling financial and operating risks. . . .'' Section 9(6) of the
Federal Reserve Act, 12 U.S.C. 324, requires SMBs to make reports of
condition to their supervising Reserve Bank in such form and containing
such information as the Board may require. Finally, with respect to
SLHCs, under Section 312 of the Dodd-Frank Act, 12 U.S.C. 5412, the
Board succeeded to all powers and authorities of the OTS and its
Director, including the authority to require SLHCs to ``file . . . such
reports as may be required . . . in such form and for such periods as
the [agency] may prescribe.'' 12 U.S.C. 1467a(b)(2).
Obligation to Respond is Mandatory: Section 165(i)(2)(A) provides
that ``financial companies that have total consolidated assets [meeting
the asset thresholds] . . . and are regulated by a primary Federal
financial regulatory agency shall conduct annual stress tests.''
Section 165(i)(2)(B) provides that a company required to conduct annual
stress tests ``shall submit a report to the Board of Governors and to
its primary financial regulatory agency at such time, in such form, and
containing such information as the primary financial regulatory agency
shall require.'' 12 U.S.C. 5365(i)(2)(B).
Confidentiality: As noted under Section 165(i)(2)(C)(iv), companies
conducting annual stress tests under these provisions are ``require[d]
. . . to publish a summary of the results of the required stress
tests.'' 12 U.S.C. 5365(i)(2)(C)(iv). Regarding the information
collected by the Board, however, as such information will be collected
as part of the Board's supervisory process, it may be accorded
confidential treatment under Exemption 8 of the Freedom of Information
Act (FOIA), 5 U.S.C. 552(b)(8). This information also is the type of
confidential commercial and financial information that may be withheld
under Exemption 4 of FOIA, 5 U.S.C. 552(b)(4). As required information,
it may be withheld under Exemption 4 only if public disclosure could
result in substantial competitive harm to the submitting institution,
under National Parks & Conservation Ass'n v. Morton, 498 F.2d 765 (D.C.
Cir. 1974).
Abstract: The annual FR Y-16 report collects quantitative
projections of income, losses, assets, liabilities, and capital across
three scenarios provided by the Board (baseline, adverse, and severely
adverse) and qualitative supporting information on the methodologies
and processes used to develop these internal projections.
Current Actions: The Federal Reserve proposes the following
revisions and clarifications to the FR Y-16 report for the report
submission due annually beginning on March 31, 2015: (1) add common
equity tier 1 capital as a data item, (2) add common equity tier 1 risk
based capital ratio as a data item, and (3) modify the reporting
instructions to clarify a number of items.
On July 2, 2013, the Board approved revised risk based and leverage
capital requirements for banking organizations that implement the Basel
III regulatory capital reforms and certain changes required by the
Dodd-Frank Act (revised capital framework).\6\ The revised capital
framework introduces the new common equity tier 1 capital component and
a new common equity tier 1 risk based capital ratio, changes the
definition of regulatory capital items, and changes the calculation of
risk-weighted assets. All banking organizations that are not subject to
the advanced approaches rule must begin to comply with the revised
capital framework beginning on January 1, 2015.\7\ Under the Board's
rules implementing the stress tests established by the Dodd-Frank
Act,\8\ banking organizations would be required to reflect the new
capital rules, including the new common equity tier 1 capital component
and ratio, in their company-run stress test planning horizon as the
revised capital framework becomes applicable. However, on September 30,
2013, the Board provided BHCs and SMBs with total consolidated assets
of more than $10 but less than $50 billion (other than state member
banks that are subsidiaries of BHCs with total consolidated assets of
$50 billion or more) with a one-year transition period to incorporate
the revised capital framework into their company-run stress tests.\9\
Therefore, the FR Y-16 did not include the effects of the revised
capital framework for the initial 2014 stress test cycle.
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\6\ See Regulatory Capital Rules: Regulatory Capital,
Implementation of Basel III, Capital Adequacy, Transition
Provisions, Prompt Corrective Action, Standardized Approach for
Risk-weighted Assets, Market Discipline and Disclosure Requirements,
Advanced Approaches Risk-Based Capital Rule, and Market Risk Capital
Rule (July 2, 2013), available at: http://www.federalreserve.gov/newsevents/press/bcreg/20130702a.htm (Revised capital framework).
\7\ A banking organization is subject to the advanced approaches
rule if it has consolidated assets greater than or equal to $250
billion, if it has total consolidated on-balance sheet foreign
exposures of at least $10 billion, or if it elects to apply the
advanced approaches rule.
\8\ See 77 FR 62378 (October 12, 2012) (codified at 12 CFR part,
252 subpart H) (stress test rule).
\9\ See 78 FR 59791 (September 30, 2013).
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The Federal Reserve proposes to revise the FR Y-16 by adding a
common equity tier 1 capital data item to the Balance Sheet Schedule
and a common equity tier 1 risk based capital ratio data item to the
Summary Schedule and Balance Sheet Schedule in order to reflect the
requirements of the revised capital framework. These revisions would be
effective for the 2015 stress test cycle (with reporting in March
2015). In addition, the Federal Reserve
[[Page 41283]]
proposes to clarify the FR Y-16 instructions to emphasize that
companies should transition to the revised capital framework
requirements in its company-run stress test projections in the quarter
in which the requirements become effective. Specifically, companies
would be required to transition to the revised capital framework and
begin including the common equity tier 1 capital data item and common
equity tier 1 risk based capital ratio data item in projected quarter
two (1st quarter 2015) through projected quarter nine (4th quarter
2016) for each supervisory scenario for the 2015 stress test cycle.
The Federal Reserve also proposes several clarifications to the FR
Y-16 report instructions, including: indicating that the Scenario
Variables Schedule would be collected as a reporting form in the
Reporting Central application (instead of as a file submitted in Adobe
Acrobat PDF format); clarifying that covered SLHCs will begin reporting
in March 2017; clarifying what BHCs and SLHCs should include in Balance
Sheet Schedule line items 32 and 33 (retail and wholesale funding); and
finally clarifying how the supporting qualitative information should be
organized.
Board of Governors of the Federal Reserve System, July 9, 2014.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2014-16443 Filed 7-14-14; 8:45 am]
BILLING CODE 6210-01-P