[Federal Register Volume 77, Number 159 (Thursday, August 16, 2012)]
[Notices]
[Pages 49485-49488]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-20083]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Proposed Information 
Collection; Comment Request

AGENCY: Office of the Comptroller of the Currency, Treasury (OCC).

ACTION: Notice and request for comment.

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SUMMARY: The OCC, as part of its continuing effort to reduce paperwork 
and respondent burden, invites the general public and other Federal 
agencies to comment on this continuing information collection, as 
required by the Paperwork Reduction Act of 1995. An agency may not 
conduct or sponsor, and a respondent is not required to respond to, an 
information collection unless it displays a currently valid Office of 
Management and Budget (OMB) control number. Currently, the OCC is 
soliciting comment concerning a proposed new regulatory reporting 
requirement for national banks and Federal savings associations titled, 
``Company-Run Annual Stress Test Reporting Template and Documentation 
for Covered Institutions with Total Consolidated Assets of $50 Billion 
or More under the Dodd-Frank Wall Street Reform and Consumer Protection 
Act.'' The proposal describes the scope of reporting and the proposed 
reporting requirements.

DATES: Comments must be received by October 15, 2012.

ADDRESSES: Communications Division, Office of the Comptroller of the 
Currency, Mailstop 2-3, Attention: 1557-NEW, 250 E Street SW., 
Washington, DC 20219. In addition, comments may be sent by fax to (202) 
874-5274 or by electronic mail to [email protected]. You may 
personally inspect and photocopy comments at the OCC, 250 E 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) 874-4700. Upon arrival, visitors will be required to 
present valid government-issued photo identification and to submit to 
security screening in order to inspect and photocopy comments.
    Additionally, please send a copy of your comments by mail to: OCC 
Desk Officer, 1557-NEW, U.S. Office of Management and Budget, 725 17th 
Street NW., 10235, Washington, DC 20503, or by fax to (202) 
395-6974.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
or a copy of the collection from Mary H. Gottlieb, (202) 874-5090, 
Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency, 250 E Street SW., Washington, DC 20219. In 
addition, copies of the templates referenced in this notice can be 
found on the OCC's Web site under News and Issuances (http://occ.gov/news-issuances/index-news-issuances.html).

SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the 
following new proposed information collection:
    Title: Company-Run Annual Stress Test Reporting Template and 
Documentation for Covered Institutions with Total Consolidated Assets 
of $50 Billion or More under the Dodd-Frank Wall Street Reform and 
Consumer Protection Act.
    OMB Control No.: 1557-NEW.
    Description: Section 165(i)(2) of the Dodd-Frank Wall Street Reform 
and Consumer Protection Act \1\ (Dodd-Frank Act) requires certain 
financial companies, including national banks and Federal savings 
associations, to conduct annual stress tests \2\ and requires the 
primary financial regulatory agency \3\ of those financial companies to 
issue regulations implementing the stress test requirements.\4\ A 
national bank or Federal savings association is a ``covered 
institution'' and therefore subject to the stress test requirements if 
its total consolidated assets are more than $10 billion. Under section 
165(i)(2), a covered institution is required to submit to the Board of 
Governors of the Federal Reserve System (Board) and to its primary 
financial regulatory agency a report at such time, in such form, and 
containing such information as the primary financial regulatory agency 
may require.\5\ On January 24, 2012, the OCC published in the Federal 
Register a notice of proposed rulemaking (NPR) implementing the section 
165(i)(2) annual stress test requirement.\6\ This notice describes the 
reports and information required to meet the reporting requirements 
under section

[[Page 49486]]

165(i)(2). These information collections will be given confidential 
treatment (5 U.S.C. 552(b)(4)).
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    \1\ Public Law 111-203, 124 Stat. 1376, July 2010.
    \2\ 12 U.S.C. 5365(i)(2)(A).
    \3\ 12 U.S.C. 5301(12).
    \4\ 12 U.S.C. 5365(i)(2)(C).
    \5\ 12 U.S.C. 5365(i)(2)(B).
    \6\ 77 FR 3408, Jan. 24, 2012.
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    The OCC intends to use the data collected through this proposal to 
assess the reasonableness of the stress test results of covered 
institutions and to provide forward-looking information to the OCC 
regarding a covered institution's capital adequacy. The OCC also may 
use the results of the stress tests to determine whether additional 
analytical techniques and exercises could be appropriate to identify, 
measure, and monitor risks at the covered institution. The stress test 
results are expected to support ongoing improvement in a covered 
institution's stress testing practices with respect to its internal 
assessments of capital adequacy and overall capital planning.
    The Dodd-Frank Act stress testing requirements apply to all covered 
institutions, but the OCC recognizes that many covered institutions 
with consolidated total assets of $50 billion or more have been subject 
to stress testing requirements under the Board's Comprehensive Capital 
Analysis and Review (CCAR). The OCC also recognizes that these 
institutions' stress tests will be applied to more complex portfolios 
and therefore warrant a broader set of reports to adequately capture 
the results of the company-run stress tests. These reports will 
necessarily require more detail than would be appropriate for smaller, 
less complex institutions. Therefore, the OCC has decided to specify 
separate reporting templates for covered institutions with total 
consolidated assets between $10 and $50 billion and for covered 
institutions with total consolidated assets of $50 billion or more. In 
cases where a covered institution with assets less than $50 billion is 
affiliated with an organization with assets of $50 billion or more, the 
OCC reserves the authority to require that covered institution to use 
the reporting template for larger institutions. The OCC may also, on a 
case-by-case basis, require a covered institution with assets over $50 
billion to report stress test results using a simpler format to be 
specified by the OCC. The reporting templates for institutions with 
assets of $50 billion or more are described below.
    The OCC has worked closely with the Board and the Federal Deposit 
Insurance Corporation (FDIC) to make the agencies' respective rules 
implementing annual stress testing under the Dodd-Frank Act consistent 
and comparable by requiring similar standards for scope of application, 
scenarios, data collection and reporting forms. The OCC has worked to 
minimize any potential duplication of effort related to the annual 
stress test requirements. The OCC also recognizes that many covered 
institutions with total consolidated assets of $50 billion or more are 
required to submit reports using CCAR reporting form FR Y-14A.\7\ 
Therefore, the OCC is proposing to base reporting requirements closely 
on the Board's form FR Y-14A for covered institutions with total 
consolidated assets of $50 billion or more. The OCC recognizes the 
Board has a proposal to modify the FR Y-14A out for comment and, to the 
extent practical, the OCC will keep its reporting requirements 
consistent with the Board's FR Y-14A in order to minimize burden on 
covered institutions.\8\
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    \7\ http://www.federalreserve.gov/reportforms.
    \8\ 77 FR 40051, July 6, 2012.
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Description of Reporting Templates for Institutions With $50 Billion or 
More in Assets

    The OCC DFAST-14A Summary Schedule includes data collection 
worksheets necessary for the OCC to assess the company-run stress test 
results for baseline, adverse and severely adverse scenarios as well as 
any other scenario specified in accordance with regulations specified 
by the OCC. The DFAST-14A Summary Schedule includes worksheets that 
collect information on the following areas:
    1. Income Statement;
    2. Balance Sheet;
    3. Capital Statement;
    4. Retail Risk;
    5. Securities: Available-for-Sale/Held to Maturity (AFS/HTM);
    6. Trading;
    7. Counterparty Credit Risk;
    8. Operational Risk; and
    9. Pre-Provision Net Revenue (PPNR).
    Each covered institution reporting to the OCC using this form will 
be required to submit to the OCC a separate DFAST-14A Summary Schedule 
for each scenario provided to covered institutions in accordance with 
regulations implementing Section 165(i)(2) as specified by the OCC.

Worksheets: Income Statement

    This income statement worksheet collects data for the quarter 
preceding the planning horizon and for each quarter of the planning 
horizon for the stress test on projected losses and revenues in the 
following categories.
    1. Loan losses;
    2. Losses due to contingent commitments and liabilities;
    3. Other Than Temporary Impairments (OTTI) on assets held to 
maturity and available for sale;
    4. Trading account losses;
    5. Allowance for loan and lease losses;
    6. Pre-provision net revenue; and
    7. Repurchase reserve/liability for reps and warranties.
    This schedule provides information used to assess losses that 
covered institutions can sustain in adverse and severely adverse stress 
scenarios.

Worksheets: Balance Sheet

    The balance sheet worksheet collects data for the quarter preceding 
the planning horizon and for each quarter of the planning horizon for 
the stress test on projected equity capital, as well as on assets and 
liabilities in the following categories.
    1. HTM Securities;
    2. AFS Securities;
    3. Loans;
    4. Trading Assets;
    5. Intangibles;
    6. Deposits; and
    7. Trading Liabilities.
    The OCC intends to use this worksheet to assess the projected 
changes in assets and liabilities that a covered institution can 
sustain in an adverse and severely adverse stress scenario. This 
worksheet will also be used to assess the revenue and loss projections 
identified in the income statement worksheet.

Worksheets: Capital

    The capital worksheet collects data for the quarter preceding the 
planning horizon and for each quarter of the planning horizon for the 
stress test on the following areas.
    1. Changes to Equity Capital;
    2. Changes to Regulatory Capital; and
    3. Capital Actions.
    The OCC intends to use this worksheet to assess the impact on 
capital of the projected losses and projected changes in assets that 
the covered institution can sustain in a stressed scenario. In addition 
to reviewing the worksheet in the context of the balance sheet and 
income statement projections, the OCC also intends to use this 
worksheet to assess the adequacy of the capital plans and capital 
planning processes for each covered institution.

Worksheets: Retail Projections

    The retail projections worksheets collect data for each quarter of 
the planning horizon for the stress test on projected balances and 
losses for major retail portfolios: Residential real estate, credit 
card, automobile, student loans,

[[Page 49487]]

small business loans, and other consumer. For residential real estate, 
the worksheets collect data for first lien mortgages, home equity lines 
of credit, and home equity loans. For all major retail portfolios, the 
worksheets contain separate segments for domestic and international 
loans for various product types. Within each broad product-type 
segment, the reporting for the portfolio is divided into a number of 
sub-segments that embody unique risk characteristics. This modular 
product-type design of the retail worksheet allows for a targeted data 
collection that encompasses only the material portfolios in a given 
product area for a particular covered institution. A covered 
institution would be required to complete only the segments and sub-
segments material for that institution. This design is intended to 
limit burden while maximizing the supervisory information produced from 
the collection.

Worksheets: Securities

    Several securities worksheets collect data related to Available-
for-Sale (AFS) and Held-to-Maturity (HTM) securities. The worksheets 
collect data and information such as: Projected other-than-temporary 
impairment (OTTI) by asset class for each quarter of the forecast time 
horizon; methodologies and assumptions used to generate the OTTI 
projections for each asset class; projected stressed fair market value 
(FMV) for each asset class as well as qualitative information on the 
methodologies and assumptions used to generate the stressed market 
value; and actual FMV including the source (vendor or proprietary) and 
key assumptions used in determining market values (if using a 
proprietary model).

Worksheets: Trading and Counterparty Risk

    The trading and counterparty risk worksheets collect projected 
losses associated with a specified global market risk shock from 
covered institutions with large trading operations. The OCC provides a 
set of hypothetical shocks to the risk factors most relevant to the 
trading and counterparty positions of respondent covered institutions.

Worksheets: Operational Risk

    The operational risk worksheets collect data on covered 
institutions' projections of operational losses for each quarter of 
planning horizon for the stress test. Operational losses are defined as 
losses arising from inadequate or failed internal processes, people, 
and systems or from external events including legal losses. Some 
examples of operational loss events are losses related to improper 
business practices (including class action lawsuits), execution errors, 
and fraud. Additional detail may be requested in order for the OCC to 
evaluate the transformation of the covered institutions' historical 
loss experience into operational loss projections. Additional detail 
also may be requested on any budgeting processes used to project 
operational losses.
    Completion of the operational risk worksheets would be required 
only for those institutions subject to advanced approaches risk-based 
capital rules.

Worksheets: PPNR

    For the PPNR worksheets, covered institutions must provide 
projections for the three major components of PPNR (net interest 
income, non-interest income, and non-interest expense) for each quarter 
of the planning horizon. Collection of these data in this format is 
based on the assumption that the revenues generated by different 
business lines are affected differently by different stress scenarios, 
and such a view facilitates a more robust analysis of the resulting 
projections.

Description of OCC DFAST-14A Counterparty Credit Risk Template

    The counterparty credit risk (CCR) template collects, on various 
worksheets, data to identify credit valuation adjustment (CVA), 
exposures, and CVA sensitivities for the covered institution's top 
counterparties along a number of dimensions, including current CVA, 
stressed CVA, net current exposure, and gross current exposure. Covered 
institutions also must submit aggregate CVA, exposures, and CVA 
sensitivities by ratings categories. The Notes to the CCR Schedule 
worksheet allows covered institutions to voluntarily submit additional 
information to provide clarity to the portfolio. Covered institutions 
are required to report results under two scenarios (adverse, severely 
adverse) and two specifications (Covered Institution, OCC) to capture 
Expected Exposure profiles.
    Completion of the Counterparty Credit Risk template would be 
required only for those institutions subject to the market shock 
provided by the OCC.

Description of OCC DFAST-14A Basel III Capital Template

    The Basel III capital template collects projections of Tier 1 
Common Equity, Tier 1 Capital, Risk-Weighted Assets (RWA), and Leverage 
Exposures (along with granular components of those elements) for each 
quarter of the planning horizon for the stress test under baseline, 
adverse and severely adverse scenarios, based on the Basel III 
framework promulgated by the Basel Committee on Bank Supervision. 
Covered institutions also are required to include data on the projected 
impact of any significant actions planned in response to Basel III and 
the Dodd-Frank Act (for example, asset sales, asset wind-downs, and 
data collection and modeling enhancements).

Description of OCC DFAST-14A Company Variables Template

    To conduct the stress test required under this rule, a covered 
institution may need to project additional economic and financial 
variables to estimate losses or revenues for some or all of its 
portfolios. In such a case, the covered institution is required to 
complete the DFAST-14A Company Variables worksheet for each scenario 
where such additional variables are used to conduct the stress test. 
Each scenario worksheet collects the variable name (matching that 
reported on the Scenario Variable Definitions worksheet), the actual 
value of the variable during the third quarter of the reporting year, 
and the projected value of the variable for nine future quarters.

Description of Supporting Documentation

    Covered institutions must submit clear documentation in support of 
the projections included in the worksheets to support efficient and 
timely review of annual stress test results by the OCC. The supporting 
documentation should be submitted electronically and is not expected to 
be reported in the workbooks used for required data reporting. This 
supporting documentation must clearly describe the methodology used to 
produce the stress test projections, and must include how the 
macroeconomic factors were translated into a covered institution's 
projections, as well as technical details of any underlying statistical 
methods used. Where company-specific assumptions are made that differ 
from the broad macro-economic assumptions incorporated in stress 
scenarios provided by the OCC, the documentation must also describe 
such assumptions and how those assumptions relate to reported 
projections. Where historical relationships are relied upon, the 
covered institutions must describe the historical data and provide the 
basis for the expectation that these relationships would be maintained 
in each scenario,

[[Page 49488]]

particularly under adverse and severely adverse conditions.
    Type of Review: New collection.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 20.
    Estimated Total Annual Burden: 9,600 hours.
    The OCC recognizes the Board has estimated 79,200 hours for bank 
holding companies to prepare their systems for submitting data for the 
FR Y-14.\9\ The OCC believes that these systems will also be used to 
submit data for the reporting templates described in this notice.
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    \9\ Board of Governors of the Federal Reserve System, OMB 
Supporting Statement for the Capital Assessments and Stress Testing 
information collection (FR Y-14A/Q/M; OMB No. 7100-0341), p. 22.
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    Comments submitted in response to this notice will be summarized 
and included in the request for OMB approval. All comments will become 
a matter of public record.Comments are invited on:
    (a) Whether the collection of information is necessary for the 
proper performance of the functions of the OCC, including whether the 
information has practical utility;
    (b) The accuracy of the OCC's estimate of the burden of the 
collection of information;
    (c) Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    (d) Ways to minimize the burden of the collection on respondents, 
including through the use of automated collection techniques or other 
forms of information technology; and
    (e) Estimates of capital or start-up costs and costs of operation, 
maintenance, and purchase of services to provide information.

    Dated: August 10, 2012.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division.
[FR Doc. 2012-20083 Filed 8-15-12; 8:45 am]
BILLING CODE 4810-33-P