[Federal Register Volume 77, Number 227 (Monday, November 26, 2012)]
[Notices]
[Pages 70435-70438]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-28596]


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FEDERAL DEPOSIT INSURANCE CORPORATION


Agency Information Collection Activities: Proposed Information 
Collection; Submission for OMB Review

AGENCY: Federal Deposit Insurance Corporation.

ACTION: Notice of information collection to be submitted to OMB for 
review and approval under the Paperwork Reduction Act, and request for 
comment.

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SUMMARY: The Federal Deposit Insurance Corporation, as part of its 
continuing effort to reduce paperwork and respondent burden, invites 
the general public and other Federal agencies to take this opportunity 
to comment on a new 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 OMB control number. The FDIC is soliciting comment 
concerning its information collection titled, ``Annual Stress Test 
Reporting Template and Documentation for Covered Banks with Total 
Consolidated Assets of $50 Billion or More under the Dodd-Frank Wall 
Street Reform and Consumer Protection Act.''

DATES: Comments must be received by December 26, 2012.

ADDRESSES: You may submit written comments by any of the following 
methods:
     Agency Web Site: http://www.fdic.gov/regulations/laws/federal/propose.html. Follow the instructions for submitting comments 
on the FDIC Web site.
     Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
     Email: [email protected]. Include ``Annual Stress Test 
Reporting Template and Documentation'' on the subject line of the 
message.
     Mail: Robert E. Feldman, Executive Secretary, Attention: 
Comments, FDIC, 550 17th Street NW., Washington, DC 20429.
     Hand Delivery/Courier: 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.
    Public Inspection: All comments received will be posted without 
change to http://www.fdic.gov/regulations/laws/federal/propose.html 
including any personal information provided. Comments may be inspected 
at the FDIC

[[Page 70436]]

Public Information Center, 3501 North Fairfax Drive, Room E-1002, 
Arlington, VA 22226 between 9 a.m. and 4:30 p.m. on business days.
    Additionally, please send a copy of your comments to: By mail to 
the U.S. Office of Management and Budget, 725 17th Street NW., 
10235, Washington, DC 20503 or by facsimile to 202.395.6974, 
Attention: Federal Banking Agency Desk Officer.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
from Gary Kuiper, 202.898.3877, Legal Division, Federal Deposit 
Insurance Corporation, 550 17th Street NW., NYA-5046, Washington, DC 
20429. In addition, copies of the templates referenced in this notice 
can be found on the FDIC's Web site (http://www.fdic.gov/regulations/laws/federal/propose.html).

SUPPLEMENTARY INFORMATION: The FDIC is requesting comment on the 
following new proposed information collection:

Annual Stress Test Reporting Template and Documentation for Covered 
Banks With Total Consolidated Assets of $50 Billion or More Under the 
Dodd-Frank Wall Street Reform and Consumer Protection Act

    Section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer 
Protection Act \1\ (Dodd-Frank Act) requires certain financial 
companies, including state nonmember banks and state 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 state 
nonmember bank or state savings association is a ``covered bank'' 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 bank 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 October 9, 2012, the FDIC published in the Federal Register a final 
rule 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 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 21, 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 62417, October 15, 2012.
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    The FDIC intends to use the data collected through these proposed 
templates to assess the reasonableness of the stress test results of 
covered banks and to provide forward-looking information to the FDIC 
regarding a covered bank's capital adequacy. The FDIC 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 bank. The stress test results are expected 
to support ongoing improvement in a covered bank'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 
banks, but the FDIC recognizes that many covered banks 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 FDIC also recognizes that these banks' 
stress tests will be applied to more complex portfolios and therefore 
warrant a broader set of reports to adequately capture the results of 
the stress tests. These reports will necessarily require more detail 
than would be appropriate for smaller, less complex institutions. 
Therefore, the FDIC has decided to specify separate reporting templates 
for covered banks with total consolidated assets between $10 billion 
and $50 billion and for covered banks with total consolidated assets of 
$50 billion or more. In cases where a covered bank with assets less 
than $50 billion is affiliated with a banking organization with assets 
of $50 billion or more, the FDIC reserves the authority to require that 
covered bank to use the reporting template for larger banks with total 
consolidated assets of $50 billion or more. The FDIC may also, on a 
case-by-case basis, require a covered bank with assets of $50 billion 
or more to report stress test results using a simpler format to be 
specified by the FDIC. The reporting templates for institutions with 
assets of $50 billion or more are described below.
    The FDIC has worked closely with the Board and the Office of the 
Comptroller of the Currency (OCC) 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 FDIC 
has worked to minimize any potential duplication of effort related to 
the annual stress test requirements. The FDIC also recognizes that many 
covered banks with total consolidated assets of $50 billion or more are 
required to submit reports using CCAR reporting form FR Y-14A.\7\ 
Therefore, the FDIC based its reporting requirements closely on the 
Board's form FR Y-14A for covered banks with total consolidated assets 
of $50 billion or more. The FDIC recognizes the Board modified the FR 
Y-14A and, to the extent practical, the FDIC anticipates keeping its 
reporting requirements consistent with the Board's FR Y-14A in order to 
minimize burden on covered banks.\8\ In order to fully evaluate the 
stress test results submissions, the FDIC may conduct follow-up 
discussions with or request responses to follow-up questions from 
respondents, as needed.
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    \7\ http://www.federalreserve.gov/reportforms.
    \8\ 77 FR 60695, October 4, 2012.
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Description of Reporting Templates for Banks With $50 Billion or More 
in Assets

    The FDIC DFAST-14A Summary Schedule includes data collection 
worksheets necessary for the FDIC 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 FDIC. 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 (CCR);
    8. Operational Risk; and
    9. Pre-Provision Net Revenue (PPNR).
    Each covered bank reporting to the FDIC using this form will be 
required to submit to the FDIC a separate DFAST-14A Summary Schedule 
for each scenario provided to covered banks in accordance with 
regulations implementing Section 165(i)(2) as specified by the FDIC.

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;

[[Page 70437]]

    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 representations and warranties.
    This schedule provides information used to assess losses that 
covered banks 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 FDIC intends to use this worksheet to assess the projected 
changes in assets and liabilities that a covered bank 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 FDIC intends to use this worksheet to assess the impact on 
capital of the projected losses and projected changes in assets that 
the covered bank can sustain in a stressed scenario. In addition to 
reviewing the worksheet in the context of the balance sheet and income 
statement projections, the FDIC also intends to use this worksheet to 
assess the adequacy of the capital plans and capital planning processes 
for each covered bank.

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, 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 bank. A covered bank would be required to complete only the 
segments and sub-segments material for that bank. 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 AFS and HTM 
securities. The worksheets collect data and information such as: 
Projected 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 scenario for 
covered banks with large trading operations. The FDIC provides a set of 
risk factors relevant to the trading and counterparty positions so that 
respondent covered banks project trading and counterparty components in 
the adverse and severely adverse scenarios.
    Completion of the trading and counterparty risk worksheets would be 
required only for those banks subject to the market shock provided by 
the FDIC.

Worksheets: Operational Risk

    The operational risk worksheets collect data on covered banks' 
projections of operational losses for each quarter of the 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 FDIC to 
evaluate the transformation of the covered banks' 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 banks subject to advanced approaches risk-based capital 
rules.

Worksheets: PPNR

    For the PPNR worksheets, covered banks 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 FDIC DFAST-14A Counterparty Credit Risk Template

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

Description of FDIC DFAST-14A Basel III and Dodd-Frank Template

    The Basel III and Dodd-Frank template collects projections of Tier 
1 Common Equity, Tier 1 Capital, Risk-Weighted Assets (RWA), and 
Leverage Exposures (along with granular

[[Page 70438]]

components of those elements) under the baseline scenario for each year 
through 2017. Banks are required to complete the schedule based on the 
methodologies outlined in the U.S. banking agencies NPRs: Basel III 
NPR, Advanced Approaches NPR, and final market risk capital rule (see 
FDIC Joint Release dated June 12, 2012 \9\). Covered banks 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). The FDIC expects to align this template and its 
instructions with the rules implementing the Basel III framework in the 
U.S. when those rules are final.
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    \9\ http://www.fdic.gov/news/news/press/2012/pr12068.html.
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Description of FDIC DFAST-14A Regulatory Capital Instruments Template

    The regulatory capital instruments schedule collects historical 
data and projections of covered banks' balances of the funded 
instruments that are included in regulatory capital. The schedule 
collects data by instrument type, in addition to projections for 
issuances and redemptions that contribute to changes in balances under 
the covered bank baseline scenario.

Description of FDIC DFAST-14A Operational Risk Template

    The operational risk schedule collects data on covered banks' 
historical and current operational losses. This schedule is only 
required from covered banks subject to the advanced approaches risk-
based capital rules. The first worksheet gathers data on covered banks' 
operational risk capital by unit-of-measure (undiversified basis) from 
Q4 of the previous year to Q3 of the reporting year. The second 
worksheet gather data on the total dollar value of a covered banks' 
legal reserve balance as of September 30.

Description of FDIC DFAST-14A Scenario Template

    To conduct the stress test required under this rule, a covered bank 
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 bank is required to complete a 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 Q3 of the reporting year, and the 
projected value of the variable for nine future quarters.

Description of FDIC DFAST-14A Contact Information Template

    The contact information template includes a directory worksheet for 
reporting points of contact for each of the templates described above: 
summary, counterparty credit risk, Basel III and Dodd-Frank, 
operational risk, regulatory capital instruments, and scenario.

Description of Supporting Documentation

    Covered banks must submit clear documentation of the projections 
included in the worksheets to support efficient and timely review of 
annual stress test results by the FDIC. 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 bank's projections, as well as technical 
details of any underlying statistical methods used. Where company-
specific assumptions are made that differ from the broad macroeconomic 
assumptions incorporated in stress scenarios provided by the FDIC, the 
documentation must also describe such assumptions and how those 
assumptions relate to reported projections. Where historical 
relationships are relied upon, the covered banks must describe the 
historical data and provide the basis for the expectation that these 
relationships would be maintained in each scenario, particularly under 
adverse and severely adverse conditions.

Comment Summary

    In the Federal Register of August 30, 2012 (77 FR 52718), the FDIC 
published a 60-day notice requesting public comment on the templates 
and the collection of information. The FDIC did not receive any 
comments.

Burden Estimates

    The FDIC estimates the burden of this collection of information as 
follows:
    Estimated Number of Respondents: 4.
    Estimated Annual Burden per Respondent: 1,040 hours.
    Estimated Total Annual Burden: 4,160 hours.
    The FDIC recognizes the Board has estimated 79,200 hours for bank 
holding companies to prepare their systems for submitting data for the 
FR Y-14.\10\ The FDIC believes that these systems will also be used to 
submit data for the reporting templates described in this notice.
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    \10\ 77 FR 60695 (October 4, 2012).
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    Comments continue to be invited on: (a) Whether the collection of 
information is necessary for the proper performance of the functions of 
the FDIC, including whether the information has practical utility; (b) 
The accuracy of the FDIC'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 at Washington, DC, this 20th day of November 2012.

Federal Deposit Insurance Corporation.
Valerie J. Best,
Assistant Executive Secretary.
[FR Doc. 2012-28596 Filed 11-23-12; 8:45 am]
BILLING CODE 6714-01-P