[Federal Register Volume 78, Number 161 (Tuesday, August 20, 2013)]
[Notices]
[Pages 51272-51275]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-20247]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Revision of an Approved 
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 a revision to this 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 revision to a 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.''

DATES: Comments must be received by October 21, 2013.

ADDRESSES: Communications Division, Office of the Comptroller of the 
Currency, Mailstop 2-3, Attention: 1557-0311, 400 7th St. 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, 400 7th St. 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.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
from Johnny Vilela or Mary H. Gottlieb, OCC Clearance Officers, (202) 
649-5490, Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency, 400 7th St. SW., Washington, DC 20219. In 
addition, copies of the templates referenced in this notice can be 
found on the OCC's

[[Page 51273]]

Web site under News and Issuances (http://www.occ.treas.gov/tools-forms/forms/bank-operations/stress-test-reporting.html).

SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the 
following revision to an approved 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.: 1557-0311.
    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 October 9, 2012, the OCC published in the Federal 
Register a final rule implementing the section 165(i)(2) annual stress 
test requirement.\6\ This rule describes the reports and information 
collections 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 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 61238 (October 9, 2012).
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    In 2012, the OCC first implemented the reporting templates 
referenced in the final rule. See 77 FR 49485 (August 16, 2012) and 77 
FR 66663 (November 6, 2012). The OCC is now revising them as described 
below.
    The OCC intends to use the data collected 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 OCC 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\ The OCC also 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\ Therefore, the OCC is proposing to revise its 
reporting requirements to remain consistent with the Board's proposed 
FR Y-14A for covered institutions with total consolidated assets of $50 
billion or more.
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    \7\ http://www.federalreserve.gov/reportforms.
    \8\ 78 FR 38033, June 25, 2013.
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Proposed Revisions to Reporting Templates for Institutions With $50 
Billion or More in Assets

    The proposed revisions to the DFAST-14A reporting templates consist 
of adding data items, deleting data items, and redefining existing data 
items. These proposed changes would (1) Provide additional information 
to greatly enhance the ability of the OCC to analyze the validity and 
integrity of firms' projections, (2) improve comparability across 
firms, and (3) increase consistency between the FR Y-14A reporting 
templates and DFAST-14A reporting templates. The OCC 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 OCC's supervisory responsibilities related to the 
stress testing.

Summary Schedule

    The OCC proposes making a number of changes to the Summary Schedule 
to better assess covered institutions' calculation of risk-weighted 
assets and certain other items detailed below.

Risk Weighted Assets (RWA) and Regulatory Capital Related to Basel III

    On July 9, 2013, the OCC approved a joint final rule that will 
revise and replace the OCC's risk-based and leverage capital 
requirements to be consistent with agreements reached by the Basel 
Committee on Banking Supervision in ``Basel III: A Global Regulatory 
Framework for More Resilient Banks and Banking Systems'' (Basel 
III).\9\ The revisions include implementation of a new definition of 
regulatory capital, a new common equity tier 1 minimum capital 
requirement, a higher minimum tier 1 capital requirement, and, for 
banking organizations subject to the Advanced Approaches capital rules, 
a supplementary leverage ratio that incorporates a broader set of 
exposures in the denominator measure. In addition, the rule will amend 
the methodologies for determining risk-weighted assets and introduce 
disclosure requirements that would apply to top-tier banking 
organizations domiciled in the United States with $50 billion or more 
in total assets.
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    \9\ http://www.occ.gov/news-issuances/news-releases/2013/nr-occ-2013-110.html.
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    Due to the timing of this proposal, the Dodd-Frank Act stress test, 
and the capital rulemaking, the OCC considered several options for the 
timing and scope of the proposal to collect information related to the 
proposed capital rulemaking. After careful consideration of the various 
options, the OCC determined that proposing the following revisions at 
this time would enable the OCC to collect these data while minimizing 
the burden to the industry.

Revisions to Capital Worksheet

    To accommodate changes in the capital regime, the OCC proposes 
replacing the current Capital worksheet with three worksheets (General, 
Advanced Approaches, and Revised Capital worksheets) that incorporate 
the items of the current Capital worksheet and add or revise items to 
collect projections depending on which capital regime is applicable to 
the covered institution at any given point in the projection horizon. 
The General Capital worksheet would be required for all covered 
institutions for all projection quarters until the revised definition 
of capital becomes effective for the covered institution. The Advanced 
Approaches Capital worksheet would be required for covered institutions 
that have exited parallel run and are subject to the Advanced 
Approaches capital rules.

Proposed General Capital Worksheet

    On the General Capital worksheet, the OCC proposes adding 9 line 
items that collect detail on the additions and adjustments to tier 1 
capital that result

[[Page 51274]]

in the calculation of total risk-based capital under the general risk-
based capital rules. The OCC also proposes revising the description of 
the item collecting data on taxes paid in previous years to refer to 
the current year, one year ago, and two years ago, instead of specific 
years.

Proposed Advanced Approaches Capital Worksheet

    On the Advanced Approaches Capital worksheet, the OCC proposes 
adding or revising six items in the tier 1 capital section to collect 
data consistent with the definition of tier 1 capital under the 
Advanced Approaches Rule (12 CFR part 3, Appendix C). The OCC also 
proposes adding 13 items to collect detail on the additions and 
adjustments to tier 1 capital that result in the calculation of total 
risk-based capital.

Proposed Revised Capital Worksheet

    On the Revised Capital worksheet, the OCC proposes revising 49 
items under the header ``Regulatory Capital'' to collect data elements 
consistent with the Basel III definition of capital, as well as an 
associated ``Exceptions Bucket'' for information necessary to calculate 
certain deductions from capital. For all three Capital worksheets, the 
OCC proposes to add one item to confirm whether the filing institution 
is internationally active, which affects the calculation of deferred-
tax assets.

Addition of RWA Worksheets

    To accommodate the eventual collection of RWA as outlined in the 
rulemakings, the OCC proposes to add two RWA worksheets: RWA General 
and RWA Advanced. The items in the two worksheets correspond to the 
general risk-based capital rules and Standardized and Advanced 
Approaches. As proposed, the reporting requirements for these schedules 
would be as follows:
    1. All covered institutions would be required to submit projections 
on the General worksheet for all projection quarters, where applicable. 
Covered institutions would be required to complete the General RWA 
section for all projection quarters until the Standardized Approach 
becomes the applicable risk-based capital requirement. At that time 
(January 1, 2014 for Advanced Approaches institutions, January 1, 2015 
for all other covered institutions) institutions would be required to 
report items in the Standardized Approach section. The Memoranda for 
Derivative Contracts section would collect notional principal amounts 
by type of derivative contracts for all quarters.
    2. Covered institutions subject to market risk capital requirements 
would be required to report items in the Market RWA section of the 
applicable RWA worksheet, using methodologies outlined in that rule.
    3. Covered institutions that have exited parallel run prior to the 
beginning of DFAST 2014 will be required to submit projections on the 
Advanced Approaches RWA worksheet for all projection quarters.
    4. Institutions that have exited parallel run which are subject to 
the Advances Approaches rule would be required to report items in the 
Advanced Approaches Credit Risk and Operational Risks sections for all 
quarters. These institutions would be required to report items in the 
Revised Advanced Approaches section for all applicable quarters and 
these institutions would still be required to complete the General RWA 
worksheet in order to calculate minimum risk-based capital requirements 
per the Advanced Approaches rule.

Proposed General RWA Worksheet

    The proposed General RWA worksheet, which is composed of 69 items, 
would collect RWA as calculated under the general risk-based capital 
framework and the standardized approach, when applicable.

Proposed Advanced RWA Worksheet

    The proposed Advanced RWA worksheet, which would be composed of 68 
items, would collect RWA projections as calculated under the Advanced 
Approaches rule.
    In addition to the above proposed changes to the Capital worksheet, 
the OCC proposes changes to several other worksheets in the Summary 
Schedule as described below.

Current Balance Sheet Worksheet

    On the Balance Sheet worksheet, the OCC proposes adding two items 
to the Securities section, three items to the Other Assets section, two 
items to the Deposits section, and two items to the Liabilities section 
to better align this schedule with other regulatory reports to provide 
better insight into historical behavior of respondents' assets and 
liabilities. In addition, the OCC proposes to revise the definition of 
one item, Accumulated other comprehensive income (AOCI), in the covered 
institution equity capital section. This item would now be estimated by 
all covered institutions using the conditions specified in the 
applicable macroeconomic scenario, rather than under the trading shock.

Securities Available-For-Sale (AFS) Market Shock Worksheet

    Consistent with the redefinition of AOCI in the balance sheet 
worksheet, the OCC proposes renaming this worksheet to Securities AFS 
OCI by Portfolio. This worksheet would collect quarterly projections of 
other comprehensive income (OCI) related to fair-value gains and losses 
on AFS securities that are based on the conditions specified in the 
applicable macroeconomic scenario.

PPNR Net Interest Income Worksheet

    On the PPNR Net Interest Income worksheet, the OCC proposes 
redefining the information collected in this worksheet to include all 
assets, including nonaccrual loans which were previously reported in 
the PPNR metrics worksheet. Covered institutions would be expected to 
include in the supporting documentation a breakout of the major 
categories of nonaccrual loans relevant to their own institution. The 
OCC proposes expanding detail on covered institution holdings of 
securities to better understand the underlying dynamics of securities 
balances and interest income by breaking out data items for Treasury 
and Agency debt, residential mortgage-backed securities issued by 
government agencies, and all other securities. Similarly, the OCC 
proposes redefining the information collected in this worksheet to 
include all liability balances and adding one item to capture other 
liabilities that fall outside the existing liability types reported.
    To reduce burden on reporting institutions, the existing breakout 
of commercial and industrial loans into small business loans and other 
loans would be collapsed into one item.

PPNR Metrics Worksheet

    Where applicable, the aforementioned changes to the PPNR Net 
Interest Income worksheet would also be reflected in the PPNR Metrics 
worksheet. In addition, the OCC would modify, delete, and add several 
items to better understand how PPNR projections compare to historical 
trends.
    Finally, the OCC proposes adding four footnote items to allow the 
OCC to better assess covered institution PPNR projections. Outside of 
the worksheets named above, the OCC is proposing minor changes to the 
Balance Sheet, Retail Balance & Loss Projections, Securities OTTI 
Methodology, Securities OTTI by Portfolio, Securities AFS Market Shock, 
Securities Market Value Sources, OpRisk, and PPNR Projections 
worksheets.

[[Page 51275]]

Basel III Schedule

    The OCC proposes adding a line item to the Capital Composition 
worksheet to capture deductions related to insurance underwriting 
subsidiaries, which will enable more precise calculations of regulatory 
capital. The OCC also proposes revising the General and Advanced 
Approaches RWA worksheets to align with certain changes made to the 
Summary Schedule. Specifically, the OCC proposes adding to the General 
RWA worksheet a ``RWA per Standardized Approach'' section, which would 
collect credit RWA using methodologies under the revised standardized 
approach.

Counterparty Schedule

    The OCC proposes eliminating the aggregate worksheets EE Profile by 
Ratings and Credit Quality by Rating from the Counterparty Schedule and 
expanding the collection of the counterparty specific worksheets CP CVA 
by Top 200 CVA, EE Profile by CP, and Credit Quality by CP to capture 
the top counterparties that account for 95% of credit valuation 
adjustment (CVA). This expansion in scope is driven by the need to 
close the sometimes significant gap between the CVA of the top 200 
counterparties and the covered institution's total CVA and to capture 
exposures to counterparties that are significantly large in other 
dimensions, but which are currently excluded from the top 200 by CVA. 
Additionally, the OCC proposes adding an additional worksheet that 
collects the top 20 counterparties by Securities Financing Transactions 
and Repo exposure to account for counterparty exposures other than 
derivatives. Finally, the OCC proposes adding columns on the worksheets 
of the template as appropriate to collect stressed counterparty data 
based on the Adverse and Severely Adverse scenarios as part of the 
stress testing process. In addition, the OCC proposes amending the 
scope of the respondents to the DFAST-14A CCR schedule and Trading and 
CCR worksheets of the DFAST-14A Summary schedule to include any company 
that the OCC may require to complete these schedules under 12 CFR 46.4.
    Type of Review: Revision.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 20.
    Estimated Total Annual Burden: 9,600 hours.
    The OCC recognizes that the Board has estimated 67,021 hours for 
bank holding companies to prepare the Summary, Counterparty credit 
risk, Basel III and Capital reporting schedules submitted for the FR Y-
14. The OCC believes that the systems covered institutions use to 
prepare the FR Y-14 reporting templates will also be used to prepare 
the reporting templates described in this notice. 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 15, 2013.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division.
[FR Doc. 2013-20247 Filed 8-19-13; 8:45 am]
BILLING CODE 4810-33-P