[Federal Register Volume 80, Number 220 (Monday, November 16, 2015)]
[Notices]
[Pages 70879-70880]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-28914]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
Agency Information Collection Activities: Information Collection
Renewal; Submission for OMB Review; Market Risk
AGENCY: Office of the Comptroller of the Currency (OCC), Treasury.
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 take this opportunity to comment on a continuing
information collection, as required by the Paperwork Reduction Act of
1995 (PRA).
In accordance with the requirements of the PRA, the OCC 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 OCC is soliciting
comment concerning the renewal of its information collection titled,
``Market Risk.'' The OCC also is giving notice that it has sent the
collection to OMB for review.
DATES: You should submit written comments by: December 16, 2015.
ADDRESSES: Because paper mail in the Washington, DC area and at the OCC
is subject to delay, commenters are encouraged to submit comments by
email, if possible. Comments may be sent to: Legislative and Regulatory
Activities Division, Office of the Comptroller of the Currency,
Attention: 1557-0247, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-
11, 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 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 or, for persons who are deaf or hard of hearing,
TTY, (202) 649-5597. Upon arrival, visitors will be required to present
valid government-issued photo identification and 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 include any information in your comment or
supporting materials that you consider confidential or inappropriate
for public disclosure.
Additionally, please send a copy of your comments by mail to: OCC
Desk Officer, 1557-0247, U.S. Office of Management and Budget, 725 17th
Street NW., #10235, Washington, DC 20503, or by email to: oira
[email protected].
FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, Clearance Officer,
(202) 649-5490 or, 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.
SUPPLEMENTARY INFORMATION: The OCC is requesting extension of OMB
approval for this collection. There have been no changes to the
requirements of the regulations.
Title: Market Risk.
OMB Control No.: 1557-0247.
Description: The Office of the Comptroller of the Currency's (OCC)
market risk capital rules (12 CFR part 3, subpart F) capture positions
for which the market risk capital rules are appropriate; reduce
procyclicality in market risk capital requirements; enhance the rules'
sensitivity to risks that are not adequately captured under the current
regulatory measurement methodologies; and increase transparency through
enhanced disclosures.
The information collection requirements are located at 12 CFR 3.203
through 3.212. The rules enhance risk sensitivity and include
requirements for the public disclosure of certain qualitative and
quantitative information about the market risk of national banks and
Federal savings associations. The collection of information is
necessary to ensure capital adequacy appropriate for the level of
market risk.
Section 3.203 sets forth the requirements for applying the market
risk framework. Section 3.203(a)(1) requires national banks and Federal
savings associations to have clearly defined policies and procedures
for determining which trading assets and trading liabilities are
trading positions and specifies the factors a national bank or Federal
savings association must take into account in drafting those policies
and procedures. Section 3.203(a)(2) requires national banks and Federal
savings associations to have clearly defined trading and hedging
strategies for trading positions that are approved by senior management
and specifies what the strategies must articulate. Section 3.203(b)(1)
requires national banks and Federal savings associations to have
clearly defined policies and procedures for actively managing all
covered positions and specifies the minimum requirements for those
policies and procedures. Sections 3.203(c)(4) through 3.203(c)(10)
require the annual review of internal models and specify certain
requirements for those models. Section 3.203(d) requires the internal
audit group of a national bank or Federal savings association to
prepare an annual report to the board of directors on the effectiveness
of controls supporting the market risk measurement systems.
Section 3.204(b) requires national banks and Federal savings
associations to conduct quarterly backtesting. Section 3.205(a)(5)
requires institutions to demonstrate to the OCC the appropriateness of
proxies used to capture risks within value-at-risk models. Section
3.205(c) requires institutions to develop, retain, and make available
to the OCC value-at-risk and profit and loss information on sub-
portfolios for two years. Section 3.206(b)(3) requires national banks
and Federal savings associations to have policies and procedures that
describe how they determine the period of significant financial stress
used to calculate the institution's stressed value-at-risk models and
to obtain prior OCC approval for any material changes to these policies
and procedures.
Section 3.207(b)(1) details requirements applicable to a national
bank or Federal savings association when the national bank or Federal
savings association uses internal models
[[Page 70880]]
to measure the specific risk of certain covered positions. Section
3.208 requires national banks and Federal savings associations to
obtain prior written OCC approval for incremental risk modeling.
Section 3.209(a) requires prior OCC approval for the use of a
comprehensive risk measure. Section 3.209(c)(2) requires national banks
and Federal savings associations to retain and report the results of
supervisory stress testing. Section 3.210(f)(2)(i) requires national
banks and Federal savings associations to document an internal analysis
of the risk characteristics of each securitization position in order to
demonstrate an understanding of the position. Section 3.212 requires
quarterly quantitative disclosures, annual qualitative disclosures, and
a formal disclosure policy approved by the board of directors that
addresses the approach for determining the market risk disclosures it
makes.
Type of Review: Regular.
Affected Public: Businesses or other for-profit.
Number of Respondents: 13.
Estimated Burden per Respondent: 1,964 hours.
Total Estimated Annual Burden: 25,532 hours.
The OCC issued a notice for 60 days of comment on August 10, 2015,
80 FR 47987. No comments were received. 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 9, 2015.
Mary H. Gottlieb,
Regulatory Specialist, Legislative and Regulatory Activities Division.
[FR Doc. 2015-28914 Filed 11-13-15; 8:45 a.m.]
BILLING CODE 4810-33-P