[Federal Register Volume 86, Number 50 (Wednesday, March 17, 2021)]
[Notices]
[Pages 14674-14677]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-05526]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Information Collection 
Renewal; Comment Request; Credit Risk Retention

AGENCY: Office of the Comptroller of the Currency (OCC), Treasury.

[[Page 14675]]


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, ``Credit Risk Retention.''

DATES: You should submit written comments by May 17, 2021.

ADDRESSES: Commenters are encouraged to submit comments by email, if 
possible. You may submit comments by any of the following methods:
     Email: [email protected].
     Mail: Chief Counsel's Office, Attention: Comment 
Processing, Office of the Comptroller of the Currency, Attention: 1557-
0249, 400 7th Street SW, Suite 3E-218, Washington, DC 20219.
     Hand Delivery/Courier: 400 7th Street SW, Suite 3E-218, 
Washington, DC 20219.
     Fax: (571) 465-4326.
    Instructions: You must include ``OCC'' as the agency name and 
``1557-0249'' in your comment. In general, the OCC will publish 
comments on www.reginfo.gov without change, including any business or 
personal information provided, such as name and address information, 
email addresses, or phone numbers. 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.
    You may review comments and other related materials that pertain to 
this information collection beginning on the date of publication of the 
second notice for this collection \1\ by the following method:
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    \1\ Following the close of this notice's 60-day comment period, 
the OCC will publish a second notice with a 30-day comment period.
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     Viewing Comments Electronically: Go to www.reginfo.gov. 
Click on the ``Information Collection Review'' tab. Underneath the 
``Currently under Review'' section heading, from the drop-down menu 
select ``Department of Treasury'' and then click ``submit.'' This 
information collection can be located by searching by OMB control 
number ``1557-0249'' or ``Credit Risk Retention.'' Upon finding the 
appropriate information collection, click on the related ``ICR 
Reference Number.'' On the next screen, select ``View Supporting 
Statement and Other Documents'' and then click on the link to any 
comment listed at the bottom of the screen.
     For assistance in navigating www.reginfo.gov, please 
contact the Regulatory Information Service Center at (202) 482-7340.

FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, OCC Clearance 
Officer, (202) 649-5490, Chief Counsel's Office, Office of the 
Comptroller of the Currency, 400 7th Street SW, Suite 3E-218, 
Washington, DC 20219.

SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501-3520), Federal 
agencies must obtain approval from the OMB for each collection of 
information that they conduct or sponsor. ``[C]ollection of 
information'' is defined in 44 U.S.C. 3502(3) and 5 CFR 1320.3(c) to 
include agency requests or requirements that members of the public 
submit reports, keep records, or provide information to a third party. 
Section 3506(c)(2)(A) of title 44 requires Federal agencies to provide 
a 60-day notice in the Federal Register concerning each proposed 
collection of information, including each proposed extension of an 
existing collection of information, before submitting the collection to 
OMB for approval. To comply with this requirement, the OCC is 
publishing notice of the proposed collection of information set forth 
in this document.
    Title: Credit Risk Retention.
    OMB Control No.: 1557-0249.
    Affected Public: Business or other for-profit.
    Type of Review: Regular review.
    Abstract: This information collection request relates to 12 CFR 
part 43, which implemented section 941(b) of the Dodd-Frank Act.\2\ 
Section 941(b) of the Dodd-Frank Act required the OCC, Board of 
Governors of the Federal Reserve System (Board), Federal Deposit 
Insurance Corporation (FDIC), Securities and Exchange Commission (SEC), 
and, in the case of the securitization of any residential mortgage 
asset, the Federal Housing Finance Agency (FHFA), and the Department of 
Housing and Urban Development (HUD) (collectively, the agencies) to 
issue rules that, subject to certain exemptions: Require a securitizer 
to retain not less than 5% of the credit risk of any asset that the 
securitizer, through the issuance of an asset-backed security, 
transfers, sells, or conveys to a third party; and prohibit a 
securitizer from directly or indirectly hedging or otherwise 
transferring the credit risk that the securitizer is required to retain 
under the statute and implementing regulations.
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    \2\ Dodd-Frank Wall Street Reform and Consumer Protection Act 
(Pub. L. 111-203, 124 Stat. 1376 (July 21, 2010)).
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    Part 43 sets forth permissible forms of risk retention for 
securitizations that involve the issuance of asset-backed securities. 
Section 15G of the Exchange Act also exempts certain types of 
securitization transactions from these risk retention requirements and 
authorizes the agencies to exempt or establish a lower risk retention 
requirement for other types of securitization transactions. Section 15G 
also states that the agencies must permit a securitizer to retain less 
than five percent of the credit risk of commercial mortgages, 
commercial loans, and automobile loans that are transferred, sold, or 
conveyed through the issuance of ABS by the securitizer if the loans 
meet underwriting standards established by the Federal banking 
agencies.\3\
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    \3\ 15 U.S.C. 78o-11(c)(1)(B)(ii) and (2).
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    Part 43 sets forth permissible forms of risk retention for 
securitizations that involve issuance of asset-backed securities, as 
well as exemptions from the risk retention requirements, and contains 
requirements subject to the PRA.
    Section 43.4 sets forth the conditions that must be met by sponsors 
electing to use the standard risk retention option, which may consist 
of an eligible vertical interest or an eligible horizontal residual 
interest, or any combination thereof. Sections 43.4(c)(1) and 
43.4(c)(2) specify the disclosures required with respect to eligible 
horizontal residual interests and eligible vertical interests, 
respectively.
    A sponsor retaining any eligible horizontal residual interest (or 
funding a horizontal cash reserve account) is required to disclose: The 
fair value (or a range of fair values and the method used to determine 
such range) of the eligible horizontal residual interest that the 
sponsor expects to retain at the closing of the securitization 
transaction (Sec.  43.4(c)(1)(i)(A)); the material terms of the 
eligible horizontal residual interest (Sec.  43.4(c)(1)(i)(B)); the 
methodology used to calculate the fair value (or range of fair values) 
of all classes of ABS interests (Sec.  43.4(c)(1)(i)(C)); the key 
inputs and assumptions used in

[[Page 14676]]

measuring the estimated total fair value (or range of fair values) of 
all classes of ABS interests (Sec.  43.4(c)(1)(i)(D)); the reference 
data set or other historical information used to develop the key inputs 
and assumptions (Sec.  43.4(c)(1)(i)(G)); the fair value of the 
eligible horizontal residual interest retained by the sponsor (Sec.  
43.4(c)(1)(ii)(A)); the fair value of the eligible horizontal residual 
interest required to be retained by the sponsor (Sec.  
43.4(c)(1)(ii)(B)); a description of any material differences between 
the methodology used in calculating the fair value disclosed prior to 
sale and the methodology used to calculate the fair value at the time 
of closing (Sec.  43.4(c)(1)(ii)(C)); and if the sponsor retains risk 
through the funding of an eligible horizontal cash reserve account, the 
amount placed by the sponsor in the horizontal cash reserve account at 
closing, the fair value of the eligible horizontal residual interest 
that the sponsor is required to fund through such account, and a 
description of such account (Sec.  43.4(c)(1)(iii)).
    For eligible vertical interests, the sponsor is required to 
disclose: The form of the eligible vertical interest (Sec.  
43.4(c)(2)(i)(A)); the percentage that the sponsor is required to 
retain as a vertical interest (Sec.  43.4(c)(2)(i)(B)); a description 
of the material terms of the vertical interest and the amount the 
sponsor expects to retain at closing (Sec.  43.4(c)(2)(i)(C)); and the 
amount of vertical interest retained by the sponsor at closing, if that 
amount is materially different from the amount disclosed ((Sec.  
43.4(c)(2)(ii)).
    Section 43.4(d) requires a sponsor to retain the certifications and 
disclosures required in paragraphs (a) and (c) of this section in its 
records and must provide the disclosure upon request to the Commission 
and the sponsor's appropriate Federal banking agency, if any, until 
three years after all ABS interests are no longer outstanding.
    Section 43.5(k) requires sponsors relying on the master trust (or 
revolving pool securitization) risk retention option to disclose: The 
material terms of the seller's interest and the percentage of the 
seller's interest that the sponsor expects to retain at the closing of 
the transaction (Sec.  43.5(k)(1)(i)); the amount of the seller's 
interest that the sponsor retained at closing, if that amount is 
materially different from the amount disclosed (Sec.  43.5(k)(1)(ii)); 
the material terms of any horizontal residual interests offsetting the 
seller's interest under Sec.  43.5(g), Sec.  43.5(h) and Sec.  43.5(i) 
(Sec.  43.5(k)(1)(iii)); and the fair value of any horizontal residual 
interests retained by the sponsor (Sec.  43.5(k)(1)(iv)). Additionally, 
a sponsor must retain the disclosures required in Sec.  43.5(k)(1) in 
its records and must provide the disclosure upon request to the 
Commission and the sponsor's appropriate Federal banking agency, if 
any, until three years after all ABS interests are no longer 
outstanding (Sec.  43.5(k)(3)).
    Section 43.6 addresses the requirements for sponsors utilizing the 
eligible ABCP conduit risk retention option. The requirements for the 
eligible ABCP conduit risk retention option include disclosure to each 
purchaser of ABCP and periodically to each holder of commercial paper 
issued by the ABCP conduit of the name and form of organization of the 
regulated liquidity provider that provides liquidity coverage to the 
eligible ABCP conduit, including a description of the material terms of 
such liquidity coverage, and notice of any failure to fund; and with 
respect to each ABS interest held by the ABCP conduit, the asset class 
or brief description of the underlying securitized assets, the standard 
industrial category code for each originator-seller that retains an 
interest in the securitization transaction, and a description of the 
percentage amount and form of interest retained by each originator-
seller (Sec.  43.6(d)(1)). An ABCP conduit sponsor relying upon this 
section shall provide, upon request, to the Commission and the 
sponsor's appropriate Federal banking agency, if any, the information 
required under Sec.  43.6(d)(1), in addition to the name and form of 
organization of each originator-seller that retains an interest in the 
securitization transaction (Sec.  43.6(d)(2)).
    A sponsor relying on the eligible ABCP conduit risk retention 
option shall maintain and adhere to policies and procedures to monitor 
compliance by each originator-seller which is satisfying a risk 
retention obligation in respect to ABS interests acquired by an 
eligible ABCP conduit (Sec.  43.6(f)(2)(i)). If the ABCP conduit 
sponsor determines that an originator-seller is no longer in 
compliance, the sponsor must promptly notify the holders of the ABCP, 
and upon request, the Commission and the sponsor's appropriate Federal 
banking agency, in writing of the name and form of organization of any 
originator-seller that fails to retain, and the amount of ABS interests 
issued by an intermediate SPV of such originator-seller and held by the 
ABCP conduit (Sec.  43.6(f)(2)(ii)(A)(1)); the name and form of 
organization of any originator-seller that hedges, directly or 
indirectly through an intermediate SPV, its risk retention in violation 
of the rule, and the amount of ABS interests issued by an intermediate 
SPV of such originator-seller and held by the ABCP conduit (Sec.  
43.6(f)(2)(ii)(A)(2)); and any remedial actions taken by the ABCP 
conduit sponsor or other party with respect to such ABS interests 
(Sec.  43.6(f)(2)(ii)(A)(3)).
    Section 43.7 sets forth the requirements for sponsors relying on 
the commercial mortgage-backed securities risk retention option, and 
includes disclosures of: The name and form of organization of each 
initial third-party purchaser (Sec.  43.7(b)(7)(i)); each initial 
third-party purchaser's experience in investing in commercial mortgage-
backed securities (Sec.  43.7(b)(7)(ii)); other material information 
(Sec.  43.7(b)(7)(iii)); the fair value and purchase price of the 
eligible horizontal residual interest retained by each initial third-
party purchaser, and the fair value of the eligible horizontal residual 
interest that the sponsor would have retained if the sponsor had relied 
on retaining an eligible horizontal residual interest under the 
standard risk retention option (Sec.  43.7(b)(7)(iv) and (v)); a 
description of the material terms of the eligible horizontal residual 
interest retained by each initial third-party purchaser, including the 
same information as is required to be disclosed by sponsors retaining 
horizontal interests pursuant to Sec.  43.4 (Sec.  43.7(b)(7)(vi)); the 
material terms of the applicable transaction documents with respect to 
the Operating Advisor (Sec.  43.7(b)(7)(vii)); and representations and 
warranties concerning the securitized assets, a schedule of any 
securitized assets that are determined not to comply with such 
representations and warranties, and the factors used to determine that 
such securitized assets should be included in the pool notwithstanding 
that they did not comply with the representations and warranties (Sec.  
43.7(b)(7)(viii)). A sponsor relying on the commercial mortgage-backed 
securities risk retention option is also required to provide in the 
underlying securitization transaction documents certain provisions 
related to the Operating Advisor (Sec.  43.7(b)(6)), to maintain and 
adhere to policies and procedures to monitor compliance by third-party 
purchasers with regulatory requirements (Sec.  43.7(c)(2)(i)), and to 
notify the holders of the ABS interests in the event of noncompliance 
by a third-party purchaser with such regulatory requirements (Sec.  
43.7(c)(2)(ii)).
    Section 43.8 requires that a sponsor relying on the Federal 
National Mortgage Association and Federal Home Loan Mortgage 
Corporation risk retention option must disclose a description of the 
manner in which it has met the credit risk retention requirements 
(Sec.  43.8(c)).

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    Section 43.9 sets forth the requirements for sponsors relying on 
the open market CLO risk retention option, and includes disclosures of 
a complete list of, and certain information related to, every asset 
held by an open market CLO (Sec.  43.9(d)(1)), and the full legal name 
and form of organization of the CLO manager (Sec.  43.9(d)(2)).
    Section 43.10 sets forth the requirements for sponsors relying on 
the qualified tender option bond risk retention option, and includes 
disclosures of the name and form of organization of the qualified 
tender option bond entity, a description of the form and subordination 
features of the retained interest in accordance with the disclosure 
obligations in section 43.4(c), the fair value of any portion of the 
retained interest that is claimed by the sponsor as an eligible 
horizontal residual interest, and the percentage of ABS interests 
issued that is represented by any portion of the retained interest that 
is claimed by the sponsor as an eligible vertical interest (Sec.  
43.10(e)(1)-(4)). In addition, to the extent any portion of the 
retained interest claimed by the sponsor is a municipal security held 
outside of the qualified tender option bond entity, the sponsor must 
disclose the name and form of organization of the qualified tender 
option bond entity, the identity of the issuer of the municipal 
securities, the face value of the municipal securities deposited into 
the qualified tender option bond entity, and the face value of the 
municipal securities retained outside of the qualified tender option 
bond entity by the sponsor or its majority-owned affiliates (Sec.  
43.10(e)(5)).
    Section 43.11 sets forth the conditions that apply when the sponsor 
of a securitization allocates to originators of securitized assets a 
portion of the credit risk the sponsor is required to retain, including 
disclosure of the name and form of organization of any originator that 
acquires and retains an interest in the transaction, a description of 
the form, amount and nature of such interest, and the method of payment 
for such interest (Sec.  43.11(a)(2)). A sponsor relying on this 
section is required to maintain and adhere to policies and procedures 
that are reasonably designed to monitor originator compliance with 
retention amount and hedging, transferring and pledging requirements 
(Sec.  43.11(b)(2)(i)), and to promptly notify the holders of the ABS 
interests in the transaction in the event of originator non-compliance 
with such regulatory requirements (Sec.  43.11(b)(2)(ii)).
    Sections 43.13 and 43.19(g) provide exemptions from the risk 
retention requirements for qualified residential mortgages and 
qualifying 3-to-4 unit residential mortgage loans that meet certain 
specified criteria, including that the depositor with respect to the 
securitization transaction certify that it has evaluated the 
effectiveness of its internal supervisory controls and concluded that 
the controls are effective (Sec. Sec.  43.13(b)(4)(i) and 43.19(g)(2)), 
and that the sponsor provide a copy of the certification to potential 
investors prior to sale of asset-backed securities in the issuing 
entity (Sec. Sec.  43.13(b)(4)(iii) and 43.19(g)(2)). In addition, 
Sec. Sec.  43.13(c)(3) and 43.19(g)(3) provide that a sponsor that has 
relied upon the exemptions will not lose the exemptions if, after 
closing of the transaction, it is determined that one or more of the 
residential mortgage loans does not meet all of the criteria; provided 
that the depositor complies with certain specified requirements, 
including prompt notice to the holders of the asset-backed securities 
of any loan that is required to be repurchased by the sponsor, the 
amount of such repurchased loan, and the cause for such repurchase.
    Section 43.15 provides exemptions from the risk retention 
requirements for qualifying commercial loans that meet the criteria 
specified in Sec.  43.16, qualifying CRE loans that meet the criteria 
specified in Sec.  43.17, and qualifying automobile loans that meet the 
criteria specified in Sec.  43.18. Section 43.15 also requires the 
sponsor to disclose a description of the manner in which the sponsor 
determined the aggregate risk retention requirement for the 
securitization transaction after including qualifying commercial loans, 
qualifying CRE loans, or qualifying automobile loans with 0 percent 
risk retention (Sec.  43.15(a)(4)). In addition, the sponsor is 
required to disclose descriptions of the qualifying commercial loans, 
qualifying CRE loans, and qualifying automobile loans (``qualifying 
assets''), and descriptions of the assets that are not qualifying 
assets, and the material differences between the group of qualifying 
assets and the group of assets that are not qualifying assets with 
respect to the composition of each group's loan balances, loan terms, 
interest rates, borrower credit information, and characteristics of any 
loan collateral (Sec.  43.15(b)(3)). Additionally, a sponsor must 
retain the disclosures required in Sec. Sec.  43.15(a) and (b) in its 
records and must provide the disclosure upon request to the Commission 
and the sponsor's appropriate Federal banking agency, if any, until 
three years after all ABS interests are no longer outstanding (Sec.  
43.15(d)).
    Sections 43.16, 43.17 and 43.18 each require that: The depositor of 
the asset-backed security certify that it has evaluated the 
effectiveness of its internal supervisory controls and concluded that 
its internal supervisory controls are effective (Sec. Sec.  
43.16(a)(8)(i), 43.17(a)(10)(i), and 43.18(a)(8)(i)); the sponsor is 
required to provide a copy of the certification to potential investors 
prior to the sale of asset-backed securities in the issuing entity 
(Sec. Sec.  43.16(a)(8)(iii), 43.17(a)(10)(iii), and 43.18(a)(8)(iii)); 
and the sponsor must promptly notify the holders of the asset-backed 
securities of any loan included in the transaction that is required to 
be cured or repurchased by the sponsor, including the principal amount 
of such loan and the cause for such cure or repurchase (Sec. Sec.  
43.16(b)(3), 43.17(b)(3), and 43.18(b)(3)). Additionally, a sponsor 
must retain the disclosures required in Sec. Sec.  43.16(a)(8), 
43.17(a)(10) and 43.18(a)(8) in its records and must provide the 
disclosure upon request to the Commission and the sponsor's appropriate 
Federal banking agency, if any, until three years after all ABS 
interests are no longer outstanding (Sec.  43.15(d)).
    Estimated Number of Respondents: 35 sponsors; 182 annual offerings 
per year.
    Total Estimated Annual Burden: 2,799 hours.
    Comments submitted in response to this notice will be summarized 
and included in the request for OMB approval. All comments will become 
a matter of public record. Comments are 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 information 
collection burden;
    (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.

Theodore J. Dowd,
Deputy Chief Counsel, Office of the Comptroller of the Currency.
[FR Doc. 2021-05526 Filed 3-16-21; 8:45 am]
BILLING CODE 4810-33-P