[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
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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
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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
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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.
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Total Hourly Burden........ ................. ................. .............. .............. .............. ................. 5,228
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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-
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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