[Federal Register Volume 79, Number 169 (Tuesday, September 2, 2014)]
[Notices]
[Pages 52108-52111]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-20798]


-----------------------------------------------------------------------

DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

FEDERAL RESERVE SYSTEM

FEDERAL DEPOSIT INSURANCE CORPORATION


Proposed Agency Information Collection Activities: Comment 
Request

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

ACTION: Joint notice and request for comment.

-----------------------------------------------------------------------

SUMMARY: In accordance with the requirements of the Paperwork

[[Page 52109]]

Reduction Act (PRA) of 1995 (44 U.S.C. chapter 35), the OCC, the Board, 
and the FDIC (the agencies) may not conduct or sponsor, and the 
respondent is not required to respond to, an information collection 
unless it displays a currently valid Office of Management and Budget 
(OMB) control number. The agencies, under the auspices of the Federal 
Financial Institutions Examination Council (FFIEC), have approved the 
publication for public comment of the proposed Market Risk Regulatory 
Report for Institutions Subject to the Market Risk Capital Rule (FFIEC 
102). The proposed reporting requirements reflect the revised 
regulatory capital rules adopted by the agencies in July 2013 (revised 
regulatory capital rules) and would collect key information from 
respondents on how they measure and calculate market risk under the 
agencies' revised regulatory capital rules. The proposed FFIEC 102 
reporting requirements would take effect as of March 31, 2015, for 
institutions subject to the market risk capital rule as incorporated 
into Subpart F of the revised regulatory capital rules (market risk 
capital rule).

DATES: Comments must be submitted on or before November 3, 2014.

ADDRESSES: Interested parties are invited to submit written comments to 
any or all of the agencies. All comments will be shared among the 
agencies.
    OCC: Commenters are encouraged to submit comments by email to 
[email protected]. Alternately, comments may be sent to: 
Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency, Attention: FFIEC 102, 400 7th Street SW., 
Suite 3E-218, Mail Stop 9W-11, Washington, DC 20219.
    You may personally inspect and photocopy comments at the OCC, 400 
7th 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) 649-6700. 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.
    All comments received, including attachments and other supporting 
materials, are part of the public record and subject to public 
disclosure. Do not enclose any information in your comment or 
supporting materials that you consider confidential or inappropriate 
for public disclosure.
    Board: You may submit comments, which should refer to ``FFIEC 102'' 
by any of the following methods:
    Agency Web site: http://www.federalreserve.gov. Follow the 
instructions for submitting comments at: http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
    Federal eRulemaking Portal: http://www.regulations.gov. Follow the 
instructions for submitting comments.
    Email: [email protected]. Include reporting form 
number in the subject line of the message.
    FAX: (202) 452-3819 or (202) 452-3102.
    Mail: Robert DeV. Frierson, 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 
http://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted, 
unless modified 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 9:00 
a.m. and 5:00 p.m. on weekdays.
    FDIC: You may submit comments, which should refer to ``FFIEC 102,'' 
by any of the following methods:
     Agency Web site: http://www.fdic.gov/regulations/laws/federal/. 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 ``FFIEC 102'' in the 
subject line of the message.
     Mail: Gary A. Kuiper, Counsel, Attn: Comments, Room NYA-
5046, Federal Deposit Insurance Corporation, 550 17th Street NW., 
Washington, DC 20429.
     Hand Delivery: 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 7:00 a.m. and 5:00 p.m.
    Public Inspection: All comments received will be posted without 
change to http://www.fdic.gov/regulations/laws/federal/ including any 
personal information provided. Comments may be inspected at the FDIC 
Public Information Center, Room E-1002, 3501 Fairfax Drive, Arlington, 
VA 22226, between 9:00 a.m. and 5:00 p.m. on business days.
    Additionally, commenters may send a copy of their comments to the 
OMB desk officer for the agencies by mail to the Office of Information 
and Regulatory Affairs, U.S. Office of Management and Budget, New 
Executive Office Building, Room 10235, 725 17th Street NW., Washington, 
DC 20503; by fax to (202) 395-6974; or by email to 
[email protected].

FOR FURTHER INFORMATION CONTACT: For further information about the 
proposed market risk regulatory reporting requirements discussed in 
this notice, please contact any of the agency clearance officers whose 
names appear below. In addition, copies of the proposed FFIEC 102 
reporting forms and instructions are available on the FFIEC's Web site 
(http://www.ffiec.gov/ffiec_report_forms.htm).
    OCC: Mary H. Gottlieb and Johnny Vilela, OCC Clearance Officers, 
(202) 649-5490, for persons who are deaf or hard of hearing, TTY, (202) 
649-5597, Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency, 400 7th Street SW., Washington, DC 20219.
    Board: Cynthia Ayouch, Federal Reserve Board Clearance Officer, 
(202) 452-3829, Office of the Chief Data Officer, Board of Governors of 
the Federal Reserve System, 20th and C Streets NW., Washington, DC 
20551. Telecommunications Device for the Deaf (TDD) users may call 
(202) 263-4869.
    FDIC: Gary A. Kuiper, Counsel, (202) 898-3877, Legal Division, 
Federal Deposit Insurance Corporation, 550 17th Street NW., Washington, 
DC 20429.

SUPPLEMENTARY INFORMATION: The agencies are proposing to implement the 
following new information collections.
    Report Title: Market Risk Regulatory Report for Institutions 
Subject to the Market Risk Capital Rule.
    Form Number: FFIEC 102.
    Frequency of Response: Quarterly.
    Affected Public: Business or other for-profit.

OCC

    OMB Number: 1557--NEW.
    Estimated Number of Respondents: 13 national banks and federal 
savings associations.
    Estimated Time per Response: 12 burden hours per quarter to file.
    Estimated Total Annual Burden: 624 burden hours to file.

Board

    OMB Number: 7100--NEW.
    Estimated Number of Respondents: 29 state member banks, bank 
holding companies, and savings and loan holding companies.
    Estimated Time per Response: 12 burden hours per quarter to file.
    Estimated Total Annual Burden: 1,392 burden hours to file.

[[Page 52110]]

FDIC

    OMB Number: 3064--NEW.
    Estimated Number of Respondents: 1 insured state nonmember bank and 
state savings association.
    Estimated Time per Response: 12 burden hours per quarter to file.
    Estimated Total Annual Burden: 48 burden hours to file.

General Description of Reports

    The information collections would be mandatory for market risk 
institutions, defined for this purpose as those institutions that are 
subject to the market risk capital rule as incorporated into Subpart F 
of the revised regulatory capital rules (market risk institutions).\1\ 
All data reported in the FFIEC 102 would be available to the public.
---------------------------------------------------------------------------

    \1\ See 12 CFR 3.201 (OCC); 12 CFR 217.201 (Board); and 12 CFR 
324.201 (FDIC). The market risk capital rule generally applies to 
any banking institution with aggregate trading assets and trading 
liabilities equal to (a) 10 percent or more of quarter-end total 
assets or (b) $1 billion or more. The statutory provisions that 
grant the agencies the authority to impose capital requirements are 
12 U.S.C. 161 (national banks), 12 U.S.C. 324 (state member banks), 
12 U.S.C. 1844(c) (bank holding companies (BHCs)), 12 U.S.C. 
1467a(b) (savings and loan holding companies (SLHCs)), 12 U.S.C. 
1817 (insured state nonmember commercial and savings banks), and 12 
U.S.C. 1464 (savings associations).
---------------------------------------------------------------------------

Abstract

    Each market risk institution would be required to file the FFIEC 
102 for the agencies' use in assessing the reasonableness and accuracy 
of the institution's calculation of its minimum capital requirements 
under the market risk capital rule and in evaluating the institution's 
capital in relation to its risks. Additionally, the market risk 
information collected in the FFIEC 102 would: (a) Permit the agencies 
to monitor the market risk profile of and evaluate the impact and 
competitive implications of the market risk capital rule on individual 
market risk institutions and the industry as a whole; (b) provide the 
most current statistical data available to identify areas of market 
risk on which to focus for onsite and offsite examinations; (c) allow 
the agencies to assess and monitor the levels and components of each 
reporting institution's risk-based capital requirements for market risk 
and the adequacy of the institution's capital under the market risk 
capital rule; and (d) assist market risk institutions to implement and 
validate the market risk framework.

Current Actions

I. Summary: Risk-Based Capital Standards--The Market Risk Framework and 
Regulatory Reporting Requirements

    In July 2013, the agencies adopted amendments to their capital 
rules, including the market risk capital rule.\2\ The revised market 
risk capital rule takes effect on January 1, 2015, and contains 
requirements for the public disclosure of certain information at the 
consolidated banking organization level as well as certain additional 
regulatory reporting by insured depository institutions (IDIs), BHCs, 
and SLHCs (BHCs and SLHCs are collectively referred to as ``holding 
companies'' (HCs)).
---------------------------------------------------------------------------

    \2\ The agencies approved and issued the revised regulatory 
capital rules in July 2013. The Board and the OCC published the 
revised regulatory capital rules in the Federal Register on October 
11, 2013. See 78 FR 62018. The FDIC published a revised regulatory 
capital interim final rule and a final rule with no substantive 
changes in the Federal Register on September 10, 2013, and April 14, 
2014, respectively. See 78 FR 55340 and 79 FR 20754.
---------------------------------------------------------------------------

    At present, those IDIs and HCs that are subject to the agencies' 
current market risk capital rule \3\ provide the amount of their market 
risk equivalent assets in reports, such as the Consolidated Reports of 
Condition and Income (Call Report) (FFIEC 031 or FFIEC 041) \4\ or the 
Consolidated Financial Statements for Holding Companies (FR Y-9C),\5\ 
as applicable. The current regulatory reporting requirements reveal the 
end result of the market risk calculations but do not include the key 
components of the measurement of market risk. The agencies are 
proposing the expanded uniform regulatory reporting requirements 
described in this notice in order to assess the reasonableness and 
accuracy of a market risk institution's calculation of its minimum 
capital requirements under the market risk capital rule and to evaluate 
a market risk institution's capital in relation to its risks. 
Importantly, the FFIEC 102 would allow the agencies to better track 
growth in more credit-risk related, less liquid, and less actively 
traded products subject to the market risk rule. Historically, the 
risks of these products have been difficult to capture and measure. 
These reports should help the agencies in ensuring that these risks are 
adequately identified and their impact appropriately reflected in 
assessments of the safety and soundness of market risk institutions.
---------------------------------------------------------------------------

    \3\ See the agencies' market risk capital rule at 12 CFR part 3, 
subpart F (OCC); 12 CFR parts 208 and 225, appendix E (Board); and 
12 CFR part 325, appendix C (FDIC).
    \4\ OMB Numbers: OCC, 1557-0081; Board, 7100-0036; and FDIC, 
3064-0052.
    \5\ OMB Number: Board, 7100-0128.
---------------------------------------------------------------------------

    In this regard, the reported data would improve the agencies' 
ability to monitor the levels of, and trends in, the components that 
comprise the market risk measure under the market risk capital rule 
within and across market risk institutions. Such component reporting 
would allow supervisors to better understand on an ongoing basis model-
implied diversification benefits for individual market risk 
institutions. The data would also enhance the agencies' ability to 
perform institution-to-institution comparisons of the drivers 
underlying market risk institutions' measures for market risk, identify 
potential outliers through market risk institution-to-peer comparisons, 
track these drivers over time relative to trends in other risk 
indicators at market risk institutions, and focus onsite examination 
efforts.

II. Scope and Frequency of Regulatory Reporting

    The proposed FFIEC 102 regulatory reporting requirements would 
apply on a consolidated basis to each HC and each IDI that is required 
to calculate its risk-based capital using the market risk capital rule. 
Reporting HCs and IDIs would submit reports quarterly in line with 
efforts to monitor market risk institutions' progress toward, and 
actions under, the market risk capital rule, which requires regular and 
consistent reports from all market risk institutions.
    The data would be collected on a quarterly basis as of the last 
calendar day of March, June, September, and December. The report due 
dates would coincide with the report due dates currently required of 
IDIs and HCs when filing their respective Call Reports or FR Y-9C 
reports, as applicable. Market risk institutions would begin reporting 
effective with the March 31, 2015, report date.

III. Overview of the Proposed Information Collections

    The proposed FFIEC 102 shows the data elements within the market 
risk exposure class that would be reported under the market risk 
capital rule. The data submitted in the FFIEC 102 would be shared among 
the three agencies and made available to the public.
    The proposed FFIEC 102 is subdivided into several sections and 
memoranda. The sum of the data reported in each of the sections would 
be used to calculate a market risk institution's risk-weighted assets 
(RWAs) for market risk. The first section contains data elements 
relating to a

[[Page 52111]]

market risk institution's approved regulatory market risk models, 
including details of value-at-risk (VaR)-based measures (as of the 
reporting date and averaged over 60 days). The second section is 
similar in structure to the first section except that it includes 
information on a market risk institution's stressed VaR-based measures. 
The third section contains data elements relating to specific risk add-
ons based on a market risk institution's debt, equity and non-modeled 
securitization positions. Securitization positions would be broken out 
for all market risk institutions and for advanced approaches 
institutions \6\ that are also market risk institutions, resulting in 
the separate reporting of a standardized measure and an advanced 
measure for specific risk. The fourth section sets forth the data for 
the incremental risk capital requirement. The fifth section contains 
data on the comprehensive risk capital measurement including the 
specific risk add-ons for net long and net short correlation trading 
positions used in determining a market risk institution's standardized 
comprehensive risk measure, and as applicable, its advanced 
comprehensive risk measure. The remaining section contains data 
elements for de minimis positions. Data elements from these sections 
combine to produce standardized market RWAs, and as applicable, 
advanced approaches market RWAs.
---------------------------------------------------------------------------

    \6\ Advanced approaches institutions are institutions subject to 
the advanced measurement approaches as incorporated into Subpart E 
of the revised regulatory capital rules.
---------------------------------------------------------------------------

    The proposed reporting form also has a Memoranda section that is 
comprised of 22 line items. Because these line items do not directly 
contribute to the determination of market RWAs, they would be reported 
in the separate Memoranda section. The agencies believe that these 
items will provide additional insight into the risk profile of a market 
risk institution's trading activity. For example, the first twelve 
lines of the Memoranda section will contribute to the agencies' 
understanding of the degree to which diversification effects across the 
principal market risk drivers are material.
    In developing this proposal, the agencies considered several 
tradeoffs between the reporting burden on market risk institutions and 
the information needs of bank supervisors. One issue that the agencies 
identified was that market risk institutions have exposures in certain 
products that might fit into more than one of the specified risk 
categories (e.g., interest rate, equity, foreign exchange, commodities, 
and credit). For example, convertible securities will mostly be subject 
to interest rate risk unless their value converges with that of the 
underlying equity. Similarly, foreign exchange swaps are primarily 
interest rate positions, but it is possible that a market risk 
institution might classify some as subject to foreign exchange risk. 
Accordingly, for purposes of reporting the VaR- or stressed VaR-based 
measures on the FFIEC 102, market risk institutions may classify their 
exposures in the same risk categories in which they are reported 
internally. Similarly, for purposes of reporting on the proposed FFIEC 
102, the agencies have proposed to define diversification benefit as 
any adjustment to VaR- or stressed VaR-based measures that a market 
risk institution makes to reflect the absence of a perfect statistical 
correlation between the values of the underlying positions. The 
agencies also recognize that some market risk institutions may not 
adjust for diversification benefits in their VaR- or stressed VaR-based 
estimates, and in that case a market risk institution would not be 
required to estimate such benefits for purposes of reporting on the 
FFIEC 102.

IV. Electronic Submission of Reports

    Consistent with the requirements for the agencies' reports that 
collect data under the current regulatory capital reporting 
requirements,\7\ market risk institutions subject to the proposed 
reporting requirements would be required to submit the FFIEC 102 in an 
electronic format using file specifications and formats to be 
determined by the agencies.
---------------------------------------------------------------------------

    \7\ Consolidated Reports of Condition and Income for a Bank with 
Domestic and Foreign Offices (FFIEC 031), Consolidated Reports of 
Condition and Income for a Bank with Domestic Offices Only (FFIEC 
041), Consolidated Financial Statements for Holding Companies (FR Y-
9C), and Regulatory Capital Reporting for Institutions Subject to 
the Advanced Capital Adequacy Framework (FFIEC 101) (OMB Numbers: 
OCC, 1557-0239; Board, 7100-0319; and FDIC, 3064-0159).
---------------------------------------------------------------------------

V. Request for Comment

    Public comment is requested on all aspects of this joint notice. In 
particular, do market risk institutions expect that making any specific 
line items on the proposed FFIEC 102 public would cause them 
competitive or other harm? If so, please identify the specific line 
items and describe in detail the nature of the harm.
    Additionally, comments are invited on:
    (a) Whether the collections of information that are the subject of 
this notice are necessary for the proper performance of the agencies' 
functions, including whether the information has practical utility;
    (b) The accuracy of the agencies' estimates of the burden of the 
information collections as they are proposed to be revised, including 
the validity of the methodology and assumptions used;
    (c) Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    (d) Ways to minimize the burden of information collections 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 the information.
    Comments submitted in response to this joint notice will be shared 
among the agencies. All comments will become a matter of public record.

    Dated: August 26, 2014.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency.
    Board of Governors of the Federal Reserve System, August 26, 
2014.
Robert deV. Frierson,
Secretary of the Board.
    Dated at Washington, DC, this 21st day of August, 2014.

Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
[FR Doc. 2014-20798 Filed 8-29-14; 8:45 am]
BILLING CODE 6210-01-P; 4810-33-P; 6714-10-P