[Federal Register Volume 69, Number 157 (Monday, August 16, 2004)]
[Notices]
[Pages 50442-50444]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 04-18670]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

FEDERAL DEPOSIT INSURANCE CORPORATION

DEPARTMENT OF THE TREASURY

Office of Thrift Supervision


Proposed Agency Information Collection Activities: Comment 
Request

AGENCIES: Office of the Comptroller of the Currency (OCC), Treasury; 
Board of Governors of the Federal Reserve System (Board); Federal 
Deposit Insurance Corporation (FDIC); and Office of Thrift Supervision 
(OTS), Treasury.

ACTION: Joint notice and request for comment.

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SUMMARY: The OCC, Board, FDIC, and OTS (collectively, the Agencies), as 
part of their continuing effort to reduce paperwork and respondent 
burden, invite financial institutions, the general public, and other 
Federal agencies to comment on a proposed new information collection, 
as required by the Paperwork Reduction Act of 1995. The Agencies may 
not conduct or sponsor, and a respondent need not respond to, an 
information collection unless it displays a currently valid Office of 
Management and Budget (OMB) control number. Currently, the Agencies are 
soliciting comment concerning a voluntary, one-time quantitative impact 
study and an operational risk loss data collection stemming from the 
Basel Capital Accord.

DATES: You should submit your comments by October 15, 2004.

ADDRESSES: You should direct your comments to the Agencies and the OMB 
Desk Officer for the Agencies as follows:
    OCC: Office of the Comptroller of the Currency, Public Information 
Room, 250 E Street, SW., Mail Stop 1-5, Attention: 1557-QIS4, 
Washington, DC 20219. Due to delays in delivery of paper mail in the 
Washington, DC area, you are encouraged to submit your comments by fax 
or electronic mail. Comments may be sent by fax to (202) 874-4448, or 
by electronic mail to [email protected]. You can inspect and 
photocopy comments at the OCC's Public Information Room. You can make 
an appointment to inspect the comments by calling (202) 874-5043.
    Board: You may submit comments, identified by Docket No. R-------, 
by any of the following methods: (1) Agency Web Site: http://www.federalreserve.gov. Follow the instructions for submitting comments 
on the http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm, (2) Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for submitting comments, 
(3) E-mail: [email protected]. Include docket number in 
the subject line of the message, (4) FAX: (202) 452-3819 or (202) 452-
3102, and (5) Mail: Jennifer J. Johnson, 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, except as necessary 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 a.m. and 5 p.m. on 
weekdays.
    FDIC: Comments/Legal Division, Federal Deposit Insurance 
Corporation, 550 17th Street, NW., Washington, DC 20429. All comments 
should refer to ``Quantitative Impact Study 4, 3064-QIS4.'' 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 a.m. 
and 5 p.m. Comments may also be submitted electronically through the 
FDIC's Web site, http://fdic.gov/regulations/laws/federal/propose.html, or by E-mail, [email protected]. Comments may be 
inspected and photocopied in the FDIC Public Information Center, Room 
100, 801 17th Street, NW., Washington, DC between 9 a.m. and 4:30 p.m. 
on business days.
    OTS: Information Collection Comments, Chief Counsel's Office, 
Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552, 
Attention: 1550-QIS4, Fax number (202) 906-6518, or E-mail to 
[email protected]. OTS will post comments and the 
related index on the OTS Internet Site at http://www.ots.treas.gov. In 
addition, interested persons may inspect comments at the Public Reading 
Room, 1700 G Street, NW., by appointment. To make an appointment, call 
(202) 906-5922, send an E-mail to [email protected], or send a 
facsimile transmission to (202) 906-7755.
    OMB Desk Officer for the Agencies: Mark Menchik, Office of 
Information and Regulatory Affairs, Office of Management and Budget, 
New Executive Office Building, Room 10235, Washington, DC 20503, or E-
mail to [email protected].

FOR FURTHER INFORMATION CONTACT: You may request additional information 
from:
    OCC: John Ference, OCC Clearance Officer, or Camille Dixon, (202) 
874-5090, Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency, 250 E Street, SW., Washington, DC 20219.
    Board: Cindy 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., M/S 41, 
Washington, DC 20551.
    FDIC: Leneta Gregorie, Paperwork Clearance Officer, (202) 898-3907, 
Legal Division, Federal Deposit Insurance

[[Page 50443]]

Corporation, 550 17th Street, NW., Washington, DC 20429.
    OTS: Marilyn K. Burton, OTS Clearance Officer, (202) 906-6467, 
Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552.

SUPPLEMENTARY INFORMATION:
    Title: Quantitative Impact Study and Loss Data Collection Exercise.
    OMB Control Numbers: Board: 7100-0303, OCC: 1557-NEW, FDIC: 3064-
NEW, OTS: 1550-NEW.
    Type of Review: Board: Reinstatement, with change. OCC, FDIC, OTS: 
New collection.
    Form Number: Board: FR 3045, OCC, FDIC, OTS: QIS-4.
    General Description of Report: This information collection is 
voluntary (Board: 12 U.S.C. 1844, OCC: 12 U.S.C. 161, FDIC: 12 U.S.C. 
1819, OTS: 12 U.S.C. 1463) and is considered confidential (5 U.S.C. 
552(b)(4)).
    Abstract: The Basel Committee on Banking Supervision (BCBS) has 
developed new regulatory capital standards for internationally active 
banking institutions, (the ``International Convergence of Capital 
Measurement and Capital Standards: A Revised Framework'') (the 
Framework), to replace the current Capital Accord (the ``International 
Convergence of Capital Measurement and Capital Standards'') (1988 
Capital Accord) that has been in place since 1988. The new Framework is 
more complex than the original 1988 Capital Accord and is more risk-
sensitive. It addresses the advances and innovations in financial 
instruments and risk measurement practices that have occurred during 
the past decade.
    As members of the BCBS, the Agencies share the common goal of 
promoting a capital standard that provides adequate safety and 
soundness to world financial markets in a way that is more sensitive to 
different levels of economic risk than the 1988 Capital Accord. To do 
this, the Agencies believe they must rely heavily on an institution's 
internal risk measurement systems and its own quantitative assessment 
of risk, particularly for the largest, most complex, and highly 
sophisticated financial institutions. For other institutions, less 
complex capital standards could suffice.
    The Framework contains several alternative measures for calculating 
minimum regulatory capital requirements, but the U.S. Agencies are 
planning to adopt only the most advanced approaches for credit and 
operational risk for U.S. financial institutions. They further intend 
to make the new Framework mandatory for only a small number of large, 
complex financial institutions in the United States and would allow 
other financial institutions that have adequate risk measurement 
systems and controls to ``opt-in'' to the new standard if they sought 
to do so. Those that did not opt-in would continue to operate under the 
current capital standard or future variations of that standard. The 
Agencies plan to conduct two distinct surveys that are part of this 
information collection to improve their understanding of the likely 
effects of the new Framework and to help in implementing new regulatory 
capital standards in the United States. This information collection 
consists of: (1) A quantitative impact study (``QIS'') and (2) An 
operational risk loss data collection exercise (``LDCE'').

Quantitative Impact Study

    The QIS would be the fourth such study and would build on earlier 
versions that gathered information about each participant's risk 
profile and risk measurement process. On a best-efforts basis, 
participating financial institutions would provide information about 
the amount of credit exposures (e.g., loans and loan commitments) for 
each major loan portfolio (corporate, interbank, sovereign, and retail) 
and the risk characteristics of each portfolio, as indicated by 
internal measures of a loan's probability of default (``PD''), loss 
given default (``LGD''), remaining maturity, and likelihood that 
currently undrawn lines of credit will be drawn. Exposures in each 
portfolio could be slotted into as many as twenty PD ``bands'' and a 
variety of maturity and LGD categories. Retail portfolios would be 
further divided among first residential mortgages, home equity loans 
and lines of credit, credit card, and other retail exposures. To the 
extent possible, corporate exposures would differentiate between those 
arising from credit extended to small and medium sized firms versus 
credit extended to larger businesses, because the proposal assumes that 
smaller companies are generally less exposed to business cycles. These 
and other distinctions among exposures would parallel differences 
embodied in the new Framework and attempt, to the extent practicable, 
to reflect distinctions important to banks in pricing and measuring 
risk.
    Participants would also be asked to provide estimated capital 
requirements under the Framework for market risk and operational risk.
    Finally, participants would also be asked to complete a 
questionnaire to provide information about the internal procedures that 
were used in deriving the various indicators of portfolio risk (i.e., 
PDs, LGDs, etc.). They would also be asked to describe the robustness 
of internal or external data used, critical assumptions made, and 
substantive deviations from proposed U.S. supervisory standards for 
deriving such parameters.

Loss Data Collection Exercise

    Participants would also be asked to provide information about their 
internal loss data relating to operational risk in a loss data 
collection exercise. Internal loss data would include the amount of 
each individual operational loss exceeding a threshold, the internal 
business line, the event type, and the amount of any recoveries.
    Affected Public: Businesses or other for-profit.
    Burden Estimates:
    Estimated Average Hours per Response:

QIS: 280 hours.
LDCE: 40 hours.
    Estimated Number of Respondents:

OCC: 25 national banks.
Board: 25 bank holding companies.
FDIC: 5 state nonmember bank.
OTS: 2 thrift.

    Estimated Number of Responses:

OCC: 25.
Board: 25.
FDIC: 5.
OTS: 2.

    Estimated Annual Burden Hours:

OCC: QIS-4, 7,000 hours; LDCE, 1,000 hours.
Board: QIS-4, 7,000 hours; LDCE 1,000 hours.
FDIC: QIS-4, 1,400 hours; LDCE, 200 hours.
OTS: QIS-4, 560 hours; LDCE, 80 hours.

    Frequency of Response: One time.
    Comments: Comments submitted in response to this notice will be 
summarized in the Agencies' request for OMB approval. All comments will 
become a matter of public record.
    Comments are invited on: (a) Whether the collection is necessary 
for the proper performance of the functions of the Agencies, including 
whether the information has practical utility; (b) The accuracy of each 
Agency's estimate of the burden of the collection of information; (c) 
Ways to enhance the quality, utility, and clarity of the information to 
be collected; (d) Ways to minimize the burden of the collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and (e) Estimates 
of capital or startup costs and costs of operation, maintenance, and 
purchase of services to provide information.


[[Page 50444]]


    Dated: August 4, 2004.
Stuart Feldstein,
Assistant Director, Legislative and Regulatory Activities Division, 
Office of the Comptroller of the Currency.
    By order of the Board of Governors of the Federal Reserve 
System, August 10, 2004.
Jennifer J. Johnson,
Secretary of the Board.
    Dated at Washington, DC, this 6th day of August, 2004.

Federal Deposit Insurance Corporation.
Valerie J. Best,
Assistant Executive Secretary.
    Dated: August 9, 2004.

By the Office of Thrift Supervision,
James E. Gilleran,
Director.
[FR Doc. 04-18670 Filed 8-13-04; 8:45 am]
BILLING CODE 4810-33-P; 6210-01-P; 6714-01-P; 6720-01-P