[Federal Register Volume 79, Number 169 (Tuesday, September 2, 2014)]
[Notices]
[Pages 52108-52111]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-20798]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION
Proposed Agency Information Collection Activities: Comment
Request
AGENCY: 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: Joint notice and request for comment.
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SUMMARY: In accordance with the requirements of the Paperwork
[[Page 52109]]
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. The agencies, under the auspices of the Federal
Financial Institutions Examination Council (FFIEC), have approved the
publication for public comment of the proposed Market Risk Regulatory
Report for Institutions Subject to the Market Risk Capital Rule (FFIEC
102). The proposed reporting requirements reflect the revised
regulatory capital rules adopted by the agencies in July 2013 (revised
regulatory capital rules) and would collect key information from
respondents on how they measure and calculate market risk under the
agencies' revised regulatory capital rules. The proposed FFIEC 102
reporting requirements would take effect as of March 31, 2015, for
institutions subject to the market risk capital rule as incorporated
into Subpart F of the revised regulatory capital rules (market risk
capital rule).
DATES: Comments must be submitted on or before November 3, 2014.
ADDRESSES: Interested parties are invited to submit written comments to
any or all of the agencies. All comments will be shared among the
agencies.
OCC: Commenters are encouraged to submit comments by email to
[email protected]. Alternately, comments may be sent to:
Legislative and Regulatory Activities Division, Office of the
Comptroller of the Currency, Attention: FFIEC 102, 400 7th Street SW.,
Suite 3E-218, Mail Stop 9W-11, Washington, DC 20219.
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.
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 102''
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 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
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 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 102,''
by any of the following methods:
Agency Web site: http://www.fdic.gov/regulations/laws/federal/. 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 102'' 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/ 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 market risk regulatory reporting requirements discussed in
this notice, please contact any of the agency clearance officers whose
names appear below. In addition, copies of the proposed FFIEC 102
reporting forms and instructions are available on 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, for persons who are deaf or hard of hearing, TTY, (202)
649-5597, 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, Office of the Chief Data Officer, 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 implement the
following new information collections.
Report Title: Market Risk Regulatory Report for Institutions
Subject to the Market Risk Capital Rule.
Form Number: FFIEC 102.
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
OCC
OMB Number: 1557--NEW.
Estimated Number of Respondents: 13 national banks and federal
savings associations.
Estimated Time per Response: 12 burden hours per quarter to file.
Estimated Total Annual Burden: 624 burden hours to file.
Board
OMB Number: 7100--NEW.
Estimated Number of Respondents: 29 state member banks, bank
holding companies, and savings and loan holding companies.
Estimated Time per Response: 12 burden hours per quarter to file.
Estimated Total Annual Burden: 1,392 burden hours to file.
[[Page 52110]]
FDIC
OMB Number: 3064--NEW.
Estimated Number of Respondents: 1 insured state nonmember bank and
state savings association.
Estimated Time per Response: 12 burden hours per quarter to file.
Estimated Total Annual Burden: 48 burden hours to file.
General Description of Reports
The information collections would be mandatory for market risk
institutions, defined for this purpose as those institutions that are
subject to the market risk capital rule as incorporated into Subpart F
of the revised regulatory capital rules (market risk institutions).\1\
All data reported in the FFIEC 102 would be available to the public.
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\1\ See 12 CFR 3.201 (OCC); 12 CFR 217.201 (Board); and 12 CFR
324.201 (FDIC). The market risk capital rule generally applies to
any banking institution with aggregate trading assets and trading
liabilities equal to (a) 10 percent or more of quarter-end total
assets or (b) $1 billion or more. The statutory provisions that
grant the agencies the authority to impose capital requirements are
12 U.S.C. 161 (national banks), 12 U.S.C. 324 (state member banks),
12 U.S.C. 1844(c) (bank holding companies (BHCs)), 12 U.S.C.
1467a(b) (savings and loan holding companies (SLHCs)), 12 U.S.C.
1817 (insured state nonmember commercial and savings banks), and 12
U.S.C. 1464 (savings associations).
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Abstract
Each market risk institution would be required to file the FFIEC
102 for the agencies' use in assessing the reasonableness and accuracy
of the institution's calculation of its minimum capital requirements
under the market risk capital rule and in evaluating the institution's
capital in relation to its risks. Additionally, the market risk
information collected in the FFIEC 102 would: (a) Permit the agencies
to monitor the market risk profile of and evaluate the impact and
competitive implications of the market risk capital rule on individual
market risk institutions and the industry as a whole; (b) provide the
most current statistical data available to identify areas of market
risk on which to focus for onsite and offsite examinations; (c) allow
the agencies to assess and monitor the levels and components of each
reporting institution's risk-based capital requirements for market risk
and the adequacy of the institution's capital under the market risk
capital rule; and (d) assist market risk institutions to implement and
validate the market risk framework.
Current Actions
I. Summary: Risk-Based Capital Standards--The Market Risk Framework and
Regulatory Reporting Requirements
In July 2013, the agencies adopted amendments to their capital
rules, including the market risk capital rule.\2\ The revised market
risk capital rule takes effect on January 1, 2015, and contains
requirements for the public disclosure of certain information at the
consolidated banking organization level as well as certain additional
regulatory reporting by insured depository institutions (IDIs), BHCs,
and SLHCs (BHCs and SLHCs are collectively referred to as ``holding
companies'' (HCs)).
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\2\ The agencies approved and issued the revised regulatory
capital rules in July 2013. The Board and the OCC published the
revised regulatory capital rules in the Federal Register on October
11, 2013. See 78 FR 62018. The FDIC published a revised regulatory
capital interim final rule and a final rule with no substantive
changes in the Federal Register on September 10, 2013, and April 14,
2014, respectively. See 78 FR 55340 and 79 FR 20754.
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At present, those IDIs and HCs that are subject to the agencies'
current market risk capital rule \3\ provide the amount of their market
risk equivalent assets in reports, such as the Consolidated Reports of
Condition and Income (Call Report) (FFIEC 031 or FFIEC 041) \4\ or the
Consolidated Financial Statements for Holding Companies (FR Y-9C),\5\
as applicable. The current regulatory reporting requirements reveal the
end result of the market risk calculations but do not include the key
components of the measurement of market risk. The agencies are
proposing the expanded uniform regulatory reporting requirements
described in this notice in order to assess the reasonableness and
accuracy of a market risk institution's calculation of its minimum
capital requirements under the market risk capital rule and to evaluate
a market risk institution's capital in relation to its risks.
Importantly, the FFIEC 102 would allow the agencies to better track
growth in more credit-risk related, less liquid, and less actively
traded products subject to the market risk rule. Historically, the
risks of these products have been difficult to capture and measure.
These reports should help the agencies in ensuring that these risks are
adequately identified and their impact appropriately reflected in
assessments of the safety and soundness of market risk institutions.
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\3\ See the agencies' market risk capital rule at 12 CFR part 3,
subpart F (OCC); 12 CFR parts 208 and 225, appendix E (Board); and
12 CFR part 325, appendix C (FDIC).
\4\ OMB Numbers: OCC, 1557-0081; Board, 7100-0036; and FDIC,
3064-0052.
\5\ OMB Number: Board, 7100-0128.
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In this regard, the reported data would improve the agencies'
ability to monitor the levels of, and trends in, the components that
comprise the market risk measure under the market risk capital rule
within and across market risk institutions. Such component reporting
would allow supervisors to better understand on an ongoing basis model-
implied diversification benefits for individual market risk
institutions. The data would also enhance the agencies' ability to
perform institution-to-institution comparisons of the drivers
underlying market risk institutions' measures for market risk, identify
potential outliers through market risk institution-to-peer comparisons,
track these drivers over time relative to trends in other risk
indicators at market risk institutions, and focus onsite examination
efforts.
II. Scope and Frequency of Regulatory Reporting
The proposed FFIEC 102 regulatory reporting requirements would
apply on a consolidated basis to each HC and each IDI that is required
to calculate its risk-based capital using the market risk capital rule.
Reporting HCs and IDIs would submit reports quarterly in line with
efforts to monitor market risk institutions' progress toward, and
actions under, the market risk capital rule, which requires regular and
consistent reports from all market risk institutions.
The data would be collected on a quarterly basis as of the last
calendar day of March, June, September, and December. The report due
dates would coincide with the report due dates currently required of
IDIs and HCs when filing their respective Call Reports or FR Y-9C
reports, as applicable. Market risk institutions would begin reporting
effective with the March 31, 2015, report date.
III. Overview of the Proposed Information Collections
The proposed FFIEC 102 shows the data elements within the market
risk exposure class that would be reported under the market risk
capital rule. The data submitted in the FFIEC 102 would be shared among
the three agencies and made available to the public.
The proposed FFIEC 102 is subdivided into several sections and
memoranda. The sum of the data reported in each of the sections would
be used to calculate a market risk institution's risk-weighted assets
(RWAs) for market risk. The first section contains data elements
relating to a
[[Page 52111]]
market risk institution's approved regulatory market risk models,
including details of value-at-risk (VaR)-based measures (as of the
reporting date and averaged over 60 days). The second section is
similar in structure to the first section except that it includes
information on a market risk institution's stressed VaR-based measures.
The third section contains data elements relating to specific risk add-
ons based on a market risk institution's debt, equity and non-modeled
securitization positions. Securitization positions would be broken out
for all market risk institutions and for advanced approaches
institutions \6\ that are also market risk institutions, resulting in
the separate reporting of a standardized measure and an advanced
measure for specific risk. The fourth section sets forth the data for
the incremental risk capital requirement. The fifth section contains
data on the comprehensive risk capital measurement including the
specific risk add-ons for net long and net short correlation trading
positions used in determining a market risk institution's standardized
comprehensive risk measure, and as applicable, its advanced
comprehensive risk measure. The remaining section contains data
elements for de minimis positions. Data elements from these sections
combine to produce standardized market RWAs, and as applicable,
advanced approaches market RWAs.
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\6\ Advanced approaches institutions are institutions subject to
the advanced measurement approaches as incorporated into Subpart E
of the revised regulatory capital rules.
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The proposed reporting form also has a Memoranda section that is
comprised of 22 line items. Because these line items do not directly
contribute to the determination of market RWAs, they would be reported
in the separate Memoranda section. The agencies believe that these
items will provide additional insight into the risk profile of a market
risk institution's trading activity. For example, the first twelve
lines of the Memoranda section will contribute to the agencies'
understanding of the degree to which diversification effects across the
principal market risk drivers are material.
In developing this proposal, the agencies considered several
tradeoffs between the reporting burden on market risk institutions and
the information needs of bank supervisors. One issue that the agencies
identified was that market risk institutions have exposures in certain
products that might fit into more than one of the specified risk
categories (e.g., interest rate, equity, foreign exchange, commodities,
and credit). For example, convertible securities will mostly be subject
to interest rate risk unless their value converges with that of the
underlying equity. Similarly, foreign exchange swaps are primarily
interest rate positions, but it is possible that a market risk
institution might classify some as subject to foreign exchange risk.
Accordingly, for purposes of reporting the VaR- or stressed VaR-based
measures on the FFIEC 102, market risk institutions may classify their
exposures in the same risk categories in which they are reported
internally. Similarly, for purposes of reporting on the proposed FFIEC
102, the agencies have proposed to define diversification benefit as
any adjustment to VaR- or stressed VaR-based measures that a market
risk institution makes to reflect the absence of a perfect statistical
correlation between the values of the underlying positions. The
agencies also recognize that some market risk institutions may not
adjust for diversification benefits in their VaR- or stressed VaR-based
estimates, and in that case a market risk institution would not be
required to estimate such benefits for purposes of reporting on the
FFIEC 102.
IV. Electronic Submission of Reports
Consistent with the requirements for the agencies' reports that
collect data under the current regulatory capital reporting
requirements,\7\ market risk institutions subject to the proposed
reporting requirements would be required to submit the FFIEC 102 in an
electronic format using file specifications and formats to be
determined by the agencies.
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\7\ Consolidated Reports of Condition and Income for a Bank with
Domestic and Foreign Offices (FFIEC 031), Consolidated Reports of
Condition and Income for a Bank with Domestic Offices Only (FFIEC
041), Consolidated Financial Statements for Holding Companies (FR Y-
9C), and Regulatory Capital Reporting for Institutions Subject to
the Advanced Capital Adequacy Framework (FFIEC 101) (OMB Numbers:
OCC, 1557-0239; Board, 7100-0319; and FDIC, 3064-0159).
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V. Request for Comment
Public comment is requested on all aspects of this joint notice. In
particular, do market risk institutions expect that making any specific
line items on the proposed FFIEC 102 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 the information.
Comments submitted in response to this joint notice will be shared
among the agencies. All comments will become a matter of public record.
Dated: August 26, 2014.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division, Office of the
Comptroller of the Currency.
Board of Governors of the Federal Reserve System, August 26,
2014.
Robert deV. Frierson,
Secretary of the Board.
Dated at Washington, DC, this 21st day of August, 2014.
Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
[FR Doc. 2014-20798 Filed 8-29-14; 8:45 am]
BILLING CODE 6210-01-P; 4810-33-P; 6714-10-P