[Federal Register Volume 85, Number 181 (Thursday, September 17, 2020)]
[Notices]
[Pages 58054-58055]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-20509]


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FEDERAL RESERVE SYSTEM


Agency Information Collection Activities: Announcement of Board 
Approval Under Delegated Authority and Submission to OMB

AGENCY: Board of Governors of the Federal Reserve System.
SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
is adopting a proposal to extend for three years, with revision, the 
Market Risk Capital Rule (FR 4201; OMB No. 7100-0314). The revisions 
are effective immediately.

FOR FURTHER INFORMATION CONTACT: Federal Reserve Board Clearance 
Officer--Nuha Elmaghrabi--Office of the Chief Data Officer, Board of 
Governors of the Federal Reserve System, Washington, DC 20551, (202) 
452-3829.
    Office of Management and Budget (OMB) Desk Officer--Shagufta 
Ahmed--Office of Information and Regulatory Affairs, Office of 
Management and Budget, New Executive Office Building, Room 10235, 725 
17th Street NW, Washington, DC 20503, or by fax to (202) 395-6974.
    A copy of the Paperwork Reduction Act (PRA) OMB submission, 
including the reporting form and instructions, supporting statement, 
and other documentation will be placed into OMB's public docket files. 
These documents also are available on the Federal Reserve Board's 
public website at https://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested from the agency clearance officer, 
whose name appears above.

SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board 
authority under the PRA to approve and assign OMB control numbers to 
collections of information conducted or sponsored by the Board. Board-
approved collections of information are incorporated into the official 
OMB inventory of currently approved collections of information. Copies 
of the PRA Submission, supporting statements, and approved collection 
of information instrument(s) are placed into OMB's public docket files.
    Final Approval Under OMB Delegated Authority of the Extension for 
Three Years, With Revision, of the Following Information Collection:
    Report title: Market Risk Capital Rule.
    Agency form number: FR 4201.
    OMB control number: 7100-0314.
    Effective Date: The revisions are effective immediately.
    Frequency: Annually, quarterly, and on occasion.
    Respondents: Bank holding companies (BHCs), savings and loan 
holding companies (SLHCs), intermediate holding companies (IHCs), and 
state member banks (SMBs).
    Estimated number of respondents: 37.
    Estimated average hours per response: Reporting, 1,088; 
Recordkeeping, 508; Disclosure, 28.

[[Page 58055]]

    Estimated annual burden hours: Reporting, 1,088; Recordkeeping, 
31,744; Disclosure, 2,812.
    General description of report: The market risk capital rule, which 
requires banking organizations to hold capital to cover their exposure 
to market risk, is an important component of the Board's regulatory 
capital framework (12 CFR part 217; Regulation Q). The rule includes 
collections of information that permit the Board to monitor the market 
risk profile of Board-regulated banking organizations that have 
significant market risk and evaluate the impact of the market risk rule 
on those banking organizations.\1\ The collections of information 
provide current statistical data identifying market risk areas on which 
to focus onsite and offsite examinations. They also allow the Board to 
assess the levels and components of each reporting institution's risk-
based capital requirements for market risk and the adequacy of the 
institution's capital under the market risk capital rule. These 
collections of information ensure capital adequacy of banking 
organizations according to their level of market risk and assist the 
Board in implementing and validating the market risk framework. There 
are no required reporting forms associated with this information 
collection.
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    \1\ For purposes of this notice, banking organizations include 
those listed in respondent section that are subject to the market 
risk rule.
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    The market risk capital rule applies to any banking organization 
with aggregate trading assets and trading liabilities equal to (1) 10 
percent or more of quarter-end total assets or (2) $1 billion or 
more.\2\ The Board may exclude a banking organization that meets these 
thresholds if the Board determines that the exclusion is appropriate 
based on the level of market risk of the banking organization and is 
consistent with safe and sound banking practices.\3\ The Board may 
further apply the market risk capital rule to any other banking 
organization if the Board deems it necessary or appropriate because of 
the level of market risk of the banking organization or to ensure safe 
and sound banking practices.\4\ There are several recordkeeping 
requirements outlined in the market risk capital rule. Subject banking 
organizations must adequately document all material aspects of their 
internal models; the management and valuation of their covered 
positions; their control, oversight, validation, and review processes 
and results; and their internal assessments of capital adequacy. 
Subject banking organizations are also required to have clearly defined 
policies and procedures for determining which trading assets and 
trading liabilities are trading positions and which trading positions 
are correlation trading positions. Furthermore, subject banking 
organizations are required to have clearly defined trading and hedging 
strategies for trading positions.
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    \2\ See 12 CFR 217.201(b)(1).
    \3\ See 12 CFR 217.201(b)(3).
    \4\ See 12 CFR 217.201(b)(2).
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    In addition, subject banking organizations must conduct and 
document an analysis of the risk characteristics of each securitization 
position prior to acquiring the position, considering structural 
features of the securitization that would materially impact the 
performance of the position; relevant information regarding the 
performance of underlying credit exposure(s); relevant market data of 
the securitization; and, for resecuritization positions, performance 
information on the underlying securitization exposure. On an ongoing 
basis (but no less frequently than quarterly), subject banking 
organizations must evaluate, review, and update as appropriate the 
analysis required for each securitization position.
    In order to comply with the reporting requirements of the market 
risk capital rule, subject banking organizations must obtain prior 
written approvals of the Board before (1) using any internal model to 
calculate risk-based capital requirements under subpart F, (2) 
including in its capital requirement for de minimis exposures, (3) 
making any material change to the policies and procedures outlined in 
the recordkeeping requirements, (4) including portfolios of equity 
positions in its incremental risk model, and (5) using the method 
specified in Section 217.209(a) to measure comprehensive risk for one 
or more portfolios of correlation trading positions.
    In order to comply with the disclosure requirements of the market 
risk capital rule, subject banking organizations must provide certain 
public quantitative disclosures and annual qualitative disclosures.
    Legal authorization and confidentiality: The FR 4201 is authorized 
pursuant to sections 9(6) and 11 of the Federal Reserve Act for SMBs 
(12 U.S.C. 324 and 248); pursuant to section 5 of the Bank Holding 
Company Act of 1956 (BHC Act) (12 U.S.C. 1844(c)) and, in some cases, 
section 165 of the Dodd-Frank Wall Street Reform and Consumer 
Protection Act (Dodd-Frank Act) for BHCs (12 U.S.C. 5365); pursuant to 
section 5 of the BHC Act (12 U.S.C. 1844), in conjunction with section 
8 of the International Banking Act of 1978 (12 U.S.C. 3106), and 
section 165 of the Dodd-Frank Act for IHCs of foreign banking 
organizations; and pursuant to sections 10(b)(2) and (g) of the Home 
Owners' Loan Act for SLHCs (12 U.S.C. 1467a(b)(2) and (g)). The FR 4201 
is mandatory.
    The information collected pursuant to the FR 4201 is collected as 
part of the Board's supervisory process, and therefore may be afforded 
confidential treatment pursuant to exemption 8 of the Freedom of 
Information Act (FOIA) (5 U.S.C. 552(b)(8)). In addition, individual 
respondents may request that certain data be afforded confidential 
treatment pursuant to exemption 4 of the FOIA, which exempts from 
disclosure ``trade secrets and commercial or financial information 
obtained from a person [that is] privileged or confidential'' (5 U.S.C. 
552(b)(4)). Determinations of confidentiality based on exemption 4 of 
the FOIA would be made on a case-by-case basis.
    Current actions: On January 17, 2020, the Board published a notice 
in the Federal Register (85 FR 3049) requesting public comment for 60 
days on the extension, with revision, of the Market Risk Capital Rule.
    In August 2019, the Board extended the FR 4201 for three years, 
with revision.\5\ The revisions included removing references to 
provisions in the market risk capital rule concerning securitizations. 
This revision was in error, as the market risk capital rule contains a 
recordkeeping requirement concerning securitizations, which is 
described above. Therefore, the Board proposed to reinstate this 
recordkeeping requirement. Additionally, the Board proposed to revise 
the FR 4201 to account for the general recordkeeping requirement in 
section 217.203(f) of the market risk capital rule, which was not 
previously accounted for.
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    \5\ 84 FR 39843.
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    The comment period for this notice expired on March 17, 2020. The 
Board did not receive any comments. The revisions will be implemented 
as proposed.

    Board of Governors of the Federal Reserve System, September 14, 
2020.
Michele Taylor Fennell,
Assistant Secretary of the Board.
[FR Doc. 2020-20509 Filed 9-16-20; 8:45 am]
BILLING CODE 6210-01-P