[Federal Register Volume 84, Number 100 (Thursday, May 23, 2019)]
[Notices]
[Pages 23790-23792]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-10795]
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FEDERAL DEPOSIT INSURANCE CORPORATION
Agency Information Collection Activities: Submission for OMB
Review; 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, 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). On
February 1, 2019, the FDIC requested comment for 60 days on a proposal
to renew this information collection. No comments were received. The
FDIC hereby gives notice of its plan to submit to OMB a request to
approve the renewal of this collection, and again invites comment on
its renewal.
DATES: Comments must be submitted on or before June 24, 2019.
ADDRESSES: Interested parties are invited to submit written comments to
[[Page 23791]]
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 Deposit Insurance Corporation, 550
17th Street NW, Washington, DC 20429.
SUPPLEMENTARY INFORMATION: On February 1, 2019, the FDIC requested
comment for 60 days on a proposal to renew this information collection.
No comments were received. The FDIC hereby gives notice of its plan to
submit to OMB a request to approve the renewal of this collection, and
again invites comment on its renewal.
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 Recordkeeping.... Mandatory........ 1 4 16 On Occasion....... 64
risk-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 (covered FDIC-
supervised institutions). The market risk rule applies only if a bank
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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 (covered FDIC-supervised institutions). 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 covered 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 covered FDIC-supervised institution must take
into account in drafting those policies and procedures. Section
324.203(a)(2) requires covered 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 covered
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 covered 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 covered 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-portfolios
for two years. Section 324.206(b)(3) requires covered 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 covered
FDIC-supervised institution when the covered FDIC-supervised
institution uses internal models to measure the specific risk of
certain covered positions. Section 324.208 requires covered FDIC-
supervised institutions to obtain prior written FDIC approval for
including equity positions in its 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 covered FDIC-supervised
institutions to retain and report the results of supervisory stress
testing. Section 324.210(f)(2)(i) requires covered 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 applies to certain
covered FDIC-supervised institutions that are not subsidiaries of bank
holding companies, and 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 May 20, 2019.
Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
[FR Doc. 2019-10795 Filed 5-22-19; 8:45 am]
BILLING CODE 6714-01-P