[Federal Register Volume 79, Number 175 (Wednesday, September 10, 2014)]
[Notices]
[Pages 53835-53838]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-21493]


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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; 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, 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 November 10, 2014.

ADDRESSES: Communications Division, Office of the Comptroller of the 
Currency, Mailstop 2-3, Attention: 1557-0319, 400 7th St. SW., 
Washington, DC 20219. In addition, comments may be sent by fax to (571) 
465-4326 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) 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.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
from Johnny Vilela or Mary H. Gottlieb, 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 St. 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://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.: 1557-0319.
    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)

[[Page 53836]]

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 the Comprehensive Capital Analysis and Review (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. Furthermore, the OCC is proposing to revise the 
Scenario Schedule, which collects information on scenario variables 
beyond those provided by regulators. The purpose of this revision is to 
require further clarity on the definitions of the additional scenario 
variables as well as information on how the additional scenario 
variables are used by covered institutions.
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    \7\ http://www.federalreserve.gov/reportforms.
    \8\ 79 FR 41276 (July 15, 2014).
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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, redefining existing data 
items, and renumbering data items. These proposed changes would provide 
additional information to enhance the ability of the OCC to analyze the 
validity and integrity of firms' projections and 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 (RWA) and certain other items detailed below. Please note that 
all line item numbers referenced in this Notice refer to the existing 
reporting schedules, not the proposed reporting schedules. Because the 
proposed changes add and delete some data items, line-item numbering 
between the existing and proposed templates may be different (e.g., 
Income Statement item 125, Total Other Losses, in the existing 
reporting template is now item 124 in the proposed template).

Revisions to Income Statement Worksheet

    In order to accurately collect information for the Income 
Statement, the OCC proposes changing items 127 and 128 (Realized Gains/
Losses on available-for-sale securities and held-to-maturity 
securities, including OTTI) to be reported items instead of being equal 
to the total amounts on the Securities OTTI by Portfolio worksheet. 
Additionally, for consistency with changes proposed to the Counterparty 
Risk Worksheet described below, items 59 and 62 (Trading Incremental 
Default Losses and Other CCR Losses) would be modified to be Trading 
Issuer Default Losses and CCR Losses, and line item 61 (Counterparty 
Incremental Default Losses) would be removed.

Revisions to RWA and Capital Worksheets

    To better align the collection of regulatory capital components 
with the Board's FR Y-14A, the OCC proposes to modify the definitions 
of the items on the Capital--DFAST worksheet to refer to or mirror the 
definitions that appear on proposed revisions to the FR Y-14A. 
Respondents would be required to apply the appropriate transition 
provisions to all transition-affected items of the Capital--DFAST 
schedule consistent with revisions to regulatory capital rules. With 
regard to the RWA worksheets, the standardized approach RWA and market 
RWA items of the General RWA worksheet have been changed in accordance 
with proposed modifications to Schedule RC-R of the Call Report \9\ and 
modifications to the FR Y-14A that are currently being considered, and 
moved to a separate worksheet (Standardized RWA). These changes include 
both the modification and addition of items, for an overall addition of 
12 items. Additionally, the computed items one through five of the 
current Advanced RWA worksheet would be removed.
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    \9\ 70 FR 35634 (June 23, 2014).
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Revisions to Retail Repurchase Worksheet

    Due to recent activity by respondents involving settlements related 
to their representation and warranty (R&W) liabilities related to 
residential mortgages, the OCC proposes to collect additional detail 
about the R&W liabilities. Specifically, line items would be added that 
collect the unpaid principal balance (UPB) of loans covered by 
completed settlements for which liability remains and for which no 
liability remains by vintage beginning with 2004, as well as total 
settlement across vintages, for the following categories of loans: 
Loans sold to Fannie Mae, loans sold to Freddie Mac, loans insured by 
the U.S. government, loans securitized with monoline insurance, loans 
secured without monoline insurance, and whole loans sold.

Revisions to Securities Worksheets

    Because covered bonds have unique characteristics relative to other 
asset categories currently on this worksheet, the OCC would add a 
covered bond category to the Securities worksheets to appropriately and 
separately evaluate respondents' projections of these assets. 
Additionally, two columns would be added to collect information for the 
Securities AFS OCI by Portfolio worksheet that would allow changes in 
market value to be distinguished from changes in portfolio allocation 
for each projected quarter: Beginning Fair Market Value and Fair Value 
Rate of Change, which is the weighted average percent

[[Page 53837]]

change in fair value over the quarter. Finally, to reduce reporting 
burden and increase efficiency in reporting, the nine sub-asset 
categories of Domestic Non-Agency Residential Mortgage-Backed 
Securities (RMBS) would be removed from the same worksheet, and the 
available-for-sale and held-to-maturity portions of the Securities OTTI 
by Portfolio worksheet would be combined with the addition of a column 
to identify AFS amounts versus HTM amounts.

Revisions to Trading Worksheet

    Because credit valuation adjustment (CVA) losses are modeled 
separately from trading portfolio losses, the OCC proposes that the 
profit (loss) amount related to CVA hedges be reported separately from 
other trading activity.

Revisions to Counterparty Risk Worksheet

    To allow respondents to use alternative methodologies for 
estimating losses related to the default of issuers and counterparties, 
the requirement of using the incremental default risk (IDR) methodology 
would be removed. Accordingly, line items 1, 1a and 1b (Trading 
Incremental Default Losses, Trading Incremental Default Losses from 
securitized products, and Trading Incremental Default Losses from other 
credit sensitive instruments) would be modified to be Issuer Default 
Losses. Additionally, line items 3 (Counterparty Incremental Default 
Losses) and 3a (Impact of CCR IDR Hedges) would be removed, line item 4 
(Other CCR Losses) would be modified to be CCR Losses, and the line 
item Effect of CCR Hedges would be added.

Regulatory Capital Instruments Schedule

    Proposed changes to the Regulatory Capital Instruments schedule 
would be consistent with proposed changes to the FR Y-14A. 
Specifically, the OCC proposes (1) adding an item that collects 
employee stock compensation to the four quarterly redemption/repurchase 
and issuance activity sub-sections; (2) adding 18 items to the general 
risk-based capital rules section and 28 items to the revised regulatory 
capital section; and (3) changing the capital balance items in the 
general risk-based capital rules section and the revised regulatory 
capital section from reported items to formulas to permit the capital 
balance items to be automatically computed using the proposed items.

Regulatory Capital Transitions Schedule

    Similar to the changes proposed to be made to the RWA and Capital 
worksheets of the Summary schedule, proposed changes to the Regulatory 
Capital Transitions schedule would be made to better align the 
collection of regulatory capital components with proposed revisions to 
the FR Y-14A and proposed revisions to Schedule RC-R of the Call 
Report. The OCC proposes (1) aligning the definitions of the items on 
the Capital Composition worksheet to be consistent with the FR Y-14A; 
(2) modifying the RWA General worksheet to align with proposed 
revisions to the FR Y-14A, including changing the name to Standardized 
RWA and modifying, removing and adding items for a net increase of 15 
items; (3) modifying, adding and removing items on the Advanced RWA 
worksheet to align with the Advanced RWA worksheet on the Summary 
schedule, for a net increase of 21 items; and (4) revising the Leverage 
Exposure worksheet in accordance with proposed changes to the 
supplementary leverage requirement, for a net increase of ten items.

Counterparty Credit Risk Schedule

    Significant additions would be made to the CCR schedule to more 
adequately and accurately capture exposure information related to 
derivatives and securities financing transactions (SFTs) used in 
supervisory loss estimates and supervisory activities. These additions 
would remediate deficiencies discovered in the current collection 
related to exposure, including a lack of information regarding 
collateral, asset types, and total exposure to a given counterparty.
    The OCC proposes (1) adding a worksheet that collects the 
derivative exposures at a legal-entity netting-agreement level for the 
top 25 non-central clearing counterparty (non-CCP) and non-G-7 
counterparties, as well as all CCPs and the G-7 counterparties that 
includes a breakout of collateral into cash and non-cash, and exposures 
into 14 asset categories; (2) changing the current SFT sub-schedule to 
collect exposures and collateral separately at a counterparty legal-
entity netting-agreement level for the top 25 non-CCP and non-G-7 
counterparties as well as all CCPs and the G-7 counterparties and 
adding asset sub-categories for a total of 30 specific asset types; (3) 
removing all columns with the bank specification of margin period of 
risk (MPOR) under the global market shocks from worksheets 1(a)-1(e); 
(4) removing the column LGD Derived from Unstressed PD on the EE 
profile by CP worksheet; and (5) adding columns to worksheet 1(e) to 
collect both gross and net stressed and unstressed current exposure to 
CCPs.

Scenario Schedule

    Additional scenario variables, which are collected on this 
schedule, are key drivers in projection methodologies. The OCC is 
proposing to revise the Scenario Schedule to further clarify the 
definitions of the additional scenario variables as well as to gather 
further information on how the additional scenario variables are used 
by covered institutions. It is expected that this additional clarity 
and information will assist in comparing information in this schedule 
across covered institutions.
    The OCC proposes (1) providing additional guidance on the syntax 
for naming additional scenario variables to increase the comparability 
of additional scenario variables across covered institutions; (2) 
adding a column to explicitly capture the ``unit of measure'' of the 
additional scenario variables, e.g., basis points, percentages, 
dollars; (3) adding a column to explicitly capture the frequency of the 
variable, e.g., monthly or 3-month average; and (4) adding multiple 
columns to understand where the additional scenario variables are used 
in modeling. These last additional columns align with the methodology 
documentation framework described in Appendix A of the instructions.

Technical Changes

    The proposed revised templates also contain various technical and 
reference changes.
    Type of Review: Revision.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 23.
    Estimated Total Annual Burden: 16,466 hours.
    The OCC recognizes that the Board has estimated 67,848 hours for 
bank holding companies to prepare the reporting schedules submitted for 
the FR Y-14A. The OCC believes that the systems the covered 
institutions use to prepare the FR Y-14A reporting schedules will also 
be used to prepare the reporting schedules 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

[[Page 53838]]

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: September 4, 2014.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division.
[FR Doc. 2014-21493 Filed 9-9-14; 8:45 am]
BILLING CODE 4810-33-P