[Federal Register Volume 78, Number 217 (Friday, November 8, 2013)]
[Notices]
[Pages 67218-67221]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-26869]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: 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

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

ACTION: Notice.

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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

[[Page 67219]]

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.'' The OCC is also giving notice that it has sent the collection to 
OMB for review.

DATES: Comments must be received by December 9, 2013.

ADDRESSES: Communications Division, Office of the Comptroller of the 
Currency, Mailstop 2-3, Attention: 1557-NEW, 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 and instructions referenced in this 
notice can be found on the OCC's 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.: Requesting new control number for portion of 
existing OMB Control No. 1557-0311 relating to Covered Institutions 
with Consolidated Assets of $50 Billion or More. Collection previously 
approved under 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 the 
OCC's final rule implementing section 165(i)(2) of the Dodd-Frank Act, 
covered institutions are divided into two categories: covered 
institutions with total consolidated assets between $10 and $50 
billion, and covered institutions with total consolidated assets over 
$50 billion. In this notice, the OCC is soliciting comment concerning a 
revision to a regulatory reporting requirement for covered institutions 
with total consolidated assets over $50 billion.
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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).
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    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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    \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. On August 20, 2013, the OCC published notice of its intention to 
revise these templates. 77 FR 51272. No comments were received in 
response to the notice.
    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 the Comprehensive Capital Analysis and Review (CCAR) 
reporting form FR Y-14A.\7\ The OCC also recognizes the Board has 
modified the FR Y-14A, 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 revising its reporting requirements to remain consistent with the 
Board's 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 59934, September 30, 2013.
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Proposed Revisions to Reporting Templates for Institutions With $50 
Billion or More in Assets

    The revisions to the DFAST-14A reporting templates consist of 
adding data items, deleting data items, and redefining existing data 
items. These changes will (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 the 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.

[[Page 67220]]

Summary Schedule

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

Risk Weighted Assets 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 RWA 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 the following revisions 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 proposed 
replacing the current Capital worksheet with three worksheets (General, 
Advanced Approaches, and Revised Capital worksheets). These proposed 
worksheets would have incorporated the items of the current Capital 
worksheet and added or revised items to collect projections depending 
on which capital regime is applicable to the covered institution at any 
given point in the projection horizon. However, the OCC has decided to 
reorganize the structure of the proposed capital worksheets by 
collapsing the General, Advanced Approaches, and Revised Capital 
worksheets into one Capital worksheet that allows respondents to submit 
capital projections according to all three capital rules, which are 
outlined in different sections of the worksheet.

Proposed Capital Worksheet

    On the Capital worksheet, the OCC is adding line items that collect 
detail on the additions and adjustments to tier 1 capital that result 
in the calculation of total risk-based capital under the general risk-
based capital rules. The OCC is adding or revising line items to 
collect data consistent with the definition of tier 1 capital under the 
Advanced Approaches rule (12 CFR part 3, Appendix C). The OCC is also 
adding line items to collect detail on the adjustments to tier 1 
capital and to collect other data elements consistent with the Basel 
III definition of capital. Finally, the OCC is also 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.

Addition of RWA Worksheets

    To accommodate the eventual collection of RWA as outlined in the 
rulemakings, the OCC is adding 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. The 
reporting requirements for these schedules are as follows:
    1. All covered institutions are required to submit projections on 
the General worksheet for all projection quarters, where applicable. 
Covered institutions are 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 will be required to report 
items in the Standardized Approach section. The Memoranda for 
Derivative Contracts section will collect notional principal amounts by 
type of derivative contracts for all quarters.
    2. Covered institutions subject to market risk capital requirements 
are 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 and are subject to 
the Advanced Approaches rule are required to report items in the 
Advanced Approaches Credit Risk and Operational Risks sections for all 
quarters. These institutions will 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 General RWA worksheet, which is composed of 72 items, will 
collect RWA as calculated under the general risk-based capital 
framework and the Standardized Approach, when applicable. The OCC is 
adding 3 items not included in the proposal to better capture certain 
information on Schedule RC-R of the Consolidated Reports of Condition 
and Income, which is used in the calculation of RWA under the 
Standardized Approach per the revised regulatory capital rule (July 
2013).

Proposed Advanced RWA Worksheet

    The Advanced RWA worksheet, which will be composed of 81 items, 
will collect RWA projections as calculated under the Advanced 
Approaches rule. The OCC is adding 13 items not included in the 
proposal to capture additional information needed to calculate RWA for 
Advanced Approaches banks. Additional line items cover securitization 
exposures, balance sheet amounts and risk weights subject to the 
simplified supervisory formula approach (SSFA), supervisory formula 
approach (SFA), and 1250 percent risk weighting. The OCC is also adding 
line items to capture information on cleared transactions, repo-style 
transactions, and default fund contributions.
    In addition to the above changes to the Capital worksheet, the OCC 
is making changes to several other worksheets in the Summary Schedule 
as described below.

Current Balance Sheet Worksheet

    On the Balance Sheet worksheet, the OCC is 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

[[Page 67221]]

behavior of respondents' assets and liabilities. In addition, the OCC 
is revising the definition of one item, accumulated other comprehensive 
income (AOCI), in the covered institution equity capital section. This 
item will 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 is renaming this worksheet to Securities AFS OCI by 
Portfolio. This will 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 is 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 will be expected to include in 
the supporting documentation a breakout of the major categories of 
nonaccrual loans relevant to their own institution. The OCC is 
expanding the detail on covered institution's 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 is 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 will be 
collapsed into one item.

PPNR Metrics Worksheet

    Where applicable, the aforementioned changes to the PPNR Net 
Interest Income worksheet will also be reflected in the PPNR Metrics 
worksheet. In addition, the OCC will modify, delete, and add several 
items to better understand how PPNR projections compare to historical 
trends.
    Finally, the OCC is adding four footnote items to allow the OCC to 
better assess covered institution PPNR projections. Outside of the 
worksheets named above, the OCC is making 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.

RegCap Transitions Schedule (Formerly Basel III Schedule)

    The OCC is adding a line item to the Capital Composition worksheet 
to capture adjustments related to insurance underwriting subsidiaries 
and AOCI, which will enable more precise calculations of regulatory 
capital. The OCC is also revising the General and Advanced Approaches 
RWA worksheets to align with certain changes made to the Summary 
Schedule. Specifically, the OCC is adding to the General RWA worksheet 
a ``RWA per Standardized Approach'' section, which will collect credit 
RWA using methodologies under the revised Standardized Approach.
    The OCC has decided to also make additional revisions to the 
proposed RegCap Transitions Schedule (labeled as the Basel III Schedule 
in the proposal). These additional revisions are being made to ensure 
consistency with the regulatory capital rules and include: (1) Revising 
the AOCI calculator; (2) revising the 10 percent and 15 percent 
regulatory threshold deductions; (3) breaking out additional tier 1 
capital deductions; (4) collecting data and calculations consistent 
with the final market risk rule; (5) revising the credit RWA 
calculation to reflect the market risk rule's comprehensive risk 
measurement (CRM); (6) revising the credit RWA associated with credit 
valuation adjustment capital charges; and (7) collecting data relevant 
to the tier 1 leverage ratio and supplementary leverage ratio.

Counterparty Schedule

    The OCC is 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 percent 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 is 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 is 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 is 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.
    Burden Estimates:
    The OCC estimates the burden of this collection as follows:
    Estimated Number of Respondents: 23.
    Estimated Total Annual Burden: 14,319 hours.
    The OCC recognizes that the Board has estimated 64,800 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 continue to 
be 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: November 5, 2013.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division.
[FR Doc. 2013-26869 Filed 11-7-13; 8:45 am]
BILLING CODE 4810-33-P