[Federal Register Volume 87, Number 104 (Tuesday, May 31, 2022)]
[Notices]
[Pages 32499-32500]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-11596]



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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Information Collection 
Renewal; Submission for OMB Review; Market Risk

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

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, ``Market Risk.'' The OCC also is giving notice that it has sent 
the collection to OMB for review.

DATES: You should submit written comments by: June 30, 2022.

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, 1557-0247, Office of the Comptroller of the Currency, 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 
``1557-0247'' 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.
    Written comments and recommendations for the proposed information 
collection should also be sent within 30 days of publication of this 
notice to www.reginfo.gov/public/do/PRAMain. Find this particular 
information collection by selecting ``Currently under 30-day Review--
Open for Public Comments'' or by using the search function.
    On March 10, 2022, the OCC published a 60-day notice for this 
information collection, 87 FR 13790. You may review comments and other 
related materials that pertain to this information collection following 
the close of the 30-day comment period for this notice by the method 
set forth in the next bullet.
     Viewing Comments Electronically: Go to www.reginfo.gov. 
Hover over the ``Information Collection Review'' tab and click on 
``Information Collection Review'' in the drop-down menu. From the 
``Currently under Review'' drop-down menu, select ``Department of 
Treasury'' and then click ``submit.'' This information collection can 
be located by searching by OMB control number ``1557-0247'' or ``Market 
Risk.'' 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, 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. If 
you are deaf, hard of hearing, or have a speech disability, please dial 
7-1-1 to access telecommunications relay services.

SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501 et seq.), 
Federal agencies must obtain approval from the OMB for each collection 
of information that they conduct or sponsor. ``Collection 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. 
The OCC asks that OMB extend its approval of the information collection 
in this notice.
    Title: Market Risk.
    OMB Control No.: 1557-0247.
    Abstract: The Office of the Comptroller of the Currency's (OCC) 
market risk capital rule (12 CFR part 3, subpart F) applies to national 
banks and Federal savings associations with significant exposure to 
market risk, which includes those national banks and Federal savings 
associations with aggregate trading assets and trading liabilities (as 
reported in the national bank's or Federal savings association's most 
recent Call Report) equal to 10 percent or more of quarter-end total 
assets or $1 billion or more. The rule captures positions for which the 
market risk capital rule is appropriate; reduces procyclicality in 
market risk capital requirements; enhances the risk sensitivity of the 
OCC's capital requirements by measuring risks that are not adequately 
captured under the requirements for credit risk; and increases 
transparency through enhanced disclosures.
    The information collection requirements are located at 12 CFR 3.203 
through 3.212. The rule enhances risk sensitivity and includes 
requirements for the public disclosure of certain qualitative and 
quantitative information about the market risk of national banks and 
Federal savings associations. The collection of information is 
necessary to ensure capital adequacy appropriate for the level of 
market risk.
    Section 3.203 sets forth the requirements for applying the market 
risk framework. Section 3.203(a)(1) requires national banks and Federal 
savings associations to have clearly defined policies and procedures 
for determining which trading assets and trading liabilities are 
trading positions and specifies the factors a national bank or Federal 
savings association must take into account in drafting those policies 
and procedures. Section 3.203(a)(2) requires national banks and Federal 
savings associations to have clearly defined trading and hedging 
strategies for trading positions that are approved by senior management 
and specifies what those strategies must articulate. Section 
3.203(b)(1) requires national banks and Federal savings associations to 
have clearly defined policies and procedures for actively managing all 
covered positions and specifies the minimum requirements for those 
policies and procedures. Section 3.203(c)(1) requires national banks 
and Federal savings associations to obtain prior written approval of 
the OCC before using any internal model to calculate their risk-based 
capital requirement under the market risk capital rule. Sections 
3.203(c)(4) through 3.203(c)(10) require the review, at least annually, 
of internal models and specify certain requirements for those models. 
Section 3.203(d)(4) requires the internal audit group of a national 
bank or Federal savings association to report, at least

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annually, to the board of directors on the effectiveness of controls 
supporting the market risk measurement systems.
    Section 3.204(b) requires national banks and Federal savings 
associations to conduct quarterly backtesting. Section 3.205(a)(5) 
requires institutions to demonstrate to the OCC the appropriateness of 
any proxies used to capture risks within value-at-risk models. Section 
3.205(c) requires institutions to develop, retain, and make available 
to the OCC value-at-risk and profit and loss information on sub-
portfolios for two years. Section 3.206(b)(3) requires national banks 
and Federal savings associations 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 OCC approval for any material changes to these policies 
and procedures.
    Section 3.207(b)(1) details requirements applicable to a national 
bank or Federal savings association when the national bank or Federal 
savings association uses internal models to measure the specific risk 
of certain covered positions. Section 3.208 requires national banks and 
Federal savings associations to obtain prior OCC approval for 
incremental risk modeling of portfolios of equity positions and 
describes the requirements for incremental risk modeling. Section 3.209 
requires prior OCC approval for the use of a comprehensive risk measure 
and describes applicable requirements. Section 3.209(c)(2) requires 
national banks and Federal savings associations to retain and make 
available to the OCC the results of supervisory stress testing. Section 
3.210(f) requires national banks and Federal savings associations to 
document an internal analysis of the risk characteristics of each 
securitization position in order to demonstrate to the satisfaction of 
the OCC an understanding of the position. Section 3.212 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.
    Type of Review: Extension of a currently approved collection.
    Affected Public: Individuals; Businesses or other for-profit.
    Number of Respondents: 19.
    Estimated Burden per Respondent: 1,964 hours.
    Total Estimated Annual Burden: 37,316 hours.
    On March 10, 2022, the OCC published a 60-day notice for this 
information collection, 87 FR 13790. No comments were received. 
Comments continue to be solicited 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 burden of the collection of information; (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, Comptroller of the Currency.
[FR Doc. 2022-11596 Filed 5-27-22; 8:45 am]
BILLING CODE 4810-33-P