[Federal Register Volume 84, Number 22 (Friday, February 1, 2019)]
[Notices]
[Pages 1121-1123]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-00558]


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FEDERAL DEPOSIT INSURANCE CORPORATION


Agency Information Collection Activities: Proposed Collection 
Renewal; Comment Request (OMB No. 3064-0178)

AGENCY: Federal Deposit Insurance Corporation (FDIC).

ACTION: Notice and request for comment.

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SUMMARY: The FDIC, as part of its obligations under the Paperwork 
Reduction Act of 1995 (PRA), invites the general public and other 
Federal agencies to take this opportunity to comment on the renewal of 
the existing information collection described below (3064-0178).

DATES: Comments must be submitted on or before April 2, 2019.

ADDRESSES: Interested parties are invited to submit written comments to 
the FDIC by any of the following methods:
     https://www.FDIC.gov/regulations/laws/federal.
     Email: [email protected]. Include the name and number of 
the collection in the subject line of the message.
     Mail: Jennifer Jones (202-898-6768), Counsel, MB-3105, 
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 17th Street Building (located on F Street), 
on business days between 7:00 a.m. and 5:00 p.m.
    All comments should refer to the relevant OMB control number. A 
copy of the comments may also be submitted to the OMB desk officer for 
the FDIC: Office of Information and Regulatory Affairs, Office of 
Management and Budget, New Executive Office Building, Washington, DC 
20503.

FOR FURTHER INFORMATION CONTACT: Jennifer Jones, Counsel, 202-898-6768, 
[email protected], MB-3105, Federal

[[Page 1122]]

Deposit Insurance Corporation, 550 17th Street NW, Washington, DC 
20429.

SUPPLEMENTARY INFORMATION:  Proposal to renew the following currently 
approved collection of information:
    1. Title: Market Risk Capital Requirements.
    OMB Number: 3064-0178.
    Form Number: None.
    Affected Public: Insured state nonmember banks and state savings 
associations.

Burden Estimate

                                                                Summary of Annual Burden
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                          Estimated       Estimated                                        Total annual
  Information collection (IC)      Type of burden     Obligation to       number of     frequency of   Estimated time     Frequency of       estimated
          description                                    respond         respondents      responses     per response        response          burden
--------------------------------------------------------------------------------------------------------------------------------------------------------
Identification of trading        Recordkeeping....  Mandatory........               1               1              40  On Occasion......              40
 positions.
Trading and hedging strategies.  Recordkeeping....  Mandatory........               1               1              16  On Occasion......              16
Active management of covered     Recordkeeping....  Mandatory........               1               1              16  On Occasion......              16
 positions.
Review of internal models......  Recordkeeping....  Mandatory........               1               1              16  On Occasion......              16
Internal audit report..........  Reporting........  Mandatory........               1               1              16  On Occasion......              16
Backtesting adjustments to risk- Recordkeeping....  Mandatory........               1               4              16  On Occasion......              64
 based capital ratio
 calculations.
Demonstrate appropriateness of   Recordkeeping....  Mandatory........               1               1               8  On Occasion......               8
 proxies.
Retention of subportfolio        Recordkeeping....  Mandatory........               1               1              24  On Occasion......              24
 information.
Stressed Var-based measure       Reporting........  Mandatory........               1               4              40  On Occasion......             160
 quantitative requirements.
Modeled specific risk..........  Reporting........  Mandatory........               1               4              88  On Occasion......             352
Incremental risk model-prior     Reporting........  Mandatory........               1               4             480  On Occasion......           1,920
 approval.
Comprehensive risk measurement-  Reporting........  Mandatory........               1               4             480  On Occasion......           1,920
 prior approval.
Requirements of stress testing.  Recordkeeping....  Mandatory........               1               1              80  On Occasion......              80
Securitization positions.......  Recordkeeping....  Mandatory........               1               4             120  On Occasion......             480
Quantitative market risk         Third-Party        Mandatory........               1               4               8  On Occasion......              32
 disclosures.                     Disclosure.
Disclosure policy..............  Recordkeeping....  Mandatory........               1               1              40  On Occasion......              40
Quantitative disclosures for     Third-Party        Mandatory........               1               4               8  On Occasion......              32
 each portfolio of covered        Disclosure.
 positons.
Qualitative disclosures for      Third-Party        Mandatory........               1               1              12  On Occasion......              12
 each portfolio of covered        Disclosure.
 positons.
                                                                      ----------------------------------------------------------------------------------
    Total Hourly Burden........  .................  .................  ..............  ..............  ..............  .................           5,228
--------------------------------------------------------------------------------------------------------------------------------------------------------

General Description of Collection

    The FDIC's market risk capital rules (12 CFR part 324, subpart F) 
enhance risk sensitivity, increase transparency through enhanced 
disclosures and include requirements for the public disclosure of 
certain qualitative and quantitative information about the market risk 
of state nonmember banks and state savings associations (FDIC-
supervised institutions). The market risk rule applies only if a bank 
holding company or bank has aggregated trading assets and trading 
liabilities equal to 10 percent or more of quarter-end total assets or 
$1 billion or more. Currently, only one FDIC-regulated entity meets the 
criteria of the information collection requirements that are located at 
12 CFR 324.203 through 324.212. The collection of information is 
necessary to ensure capital adequacy appropriate for the level of 
market risk.
    Section 324.203(a)(1) requires FDIC-supervised institutions to have 
clearly defined policies and procedures for determining which trading 
assets and trading liabilities are trading positions and specifies the 
factors a FDIC-supervised institutions must take into account in 
drafting those policies and procedures. Section 324.203(a)(2) requires 
FDIC-supervised institutions 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 
324.203(b)(1) requires FDIC-supervised institutions to have clearly 
defined policies and procedures for actively managing all covered 
positions and specifies the minimum requirements for those policies and 
procedures. Sections 324.203(c)(4) through 324.203(c)(10) require the 
annual review of internal models and specify certain requirements for 
those models. Section 324.203(d) requires the internal audit group of a 
FDIC-supervised institution to prepare an annual report to the board of 
directors on the effectiveness of controls supporting the market risk 
measurement systems.
    Section 324.204(b) requires FDIC-supervised institutions to conduct 
quarterly backtesting. Section 324.205(a)(5) requires institutions to 
demonstrate to the FDIC the appropriateness of proxies used to capture 
risks within value-at-risk models. Section 324.205(c) requires 
institutions to develop, retain, and make available to the FDIC value-
at-risk and profit and loss information on sub-

[[Page 1123]]

portfolios for two years. Section 324.206(b)(3) requires FDIC-
supervised institutions 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 FDIC approval for any material changes to these policies and 
procedures.
    Section 324.207(b)(1) details requirements applicable to a FDIC-
supervised institution when the FDIC-supervised institution uses 
internal models to measure the specific risk of certain covered 
positions. Section 324.208 requires FDIC-supervised institutions to 
obtain prior written FDIC approval for incremental risk modeling. 
Section 324.209(a) requires prior FDIC approval for the use of a 
comprehensive risk measure. Section 324.209(c)(2) requires FDIC-
supervised institutions to retain and report the results of supervisory 
stress testing. Section 324.210(f)(2)(i) requires FDIC-supervised 
institutions to document an internal analysis of the risk 
characteristics of each securitization position in order to demonstrate 
an understanding of the position. Section 324.212 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.
    The annual burden for this information collection is estimated to 
be 5,228 hours. This represents an increase of 1,300 hours from the 
current burden estimate of 3,928 hours. This increase is not due to any 
new requirements imposed by the FDIC. Rather, it is due to FDIC's 
reassessment of the number of respondents as well as the frequency of 
responses per respondent per year.

Request for Comment

    Comments are invited on: (a) Whether the collection of information 
is necessary for the proper performance of the FDIC's functions, 
including whether the information has practical utility; (b) the 
accuracy of the estimates of the burden of the information collection, 
including the validity of the methodology and assumptions used; (c) 
ways to enhance the quality, utility, and clarity of the information to 
be collected; and (d) ways to minimize the burden of the collection of 
information on respondents, including through the use of automated 
collection techniques or other forms of information technology. All 
comments will become a matter of public record.

    Dated at Washington, DC, on January 28, 2019.

Federal Deposit Insurance Corporation.
Valerie Best,
Assistant Executive Secretary.
[FR Doc. 2019-00558 Filed 1-31-19; 8:45 am]
 BILLING CODE 6714-01-P