[Federal Register Volume 89, Number 18 (Friday, January 26, 2024)]
[Notices]
[Pages 5297-5305]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-01532]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION
Proposed Agency Information Collection Activities; Comment
Request
AGENCY: Office of the Comptroller of the Currency (OCC), Treasury;
Board of Governors of the Federal Reserve System (Board); and Federal
Deposit Insurance Corporation (FDIC).
ACTION: Joint notice and request for comment.
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SUMMARY: In accordance with the requirements of the Paperwork Reduction
Act of 1995 (PRA), the OCC, the Board, and the FDIC (the agencies) 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 Federal
Financial Institutions Examination Council (FFIEC), of which the
agencies are members, has approved the agencies' publication for public
comment of a proposal to extend for three years, with revision, the
Consolidated Reports of Condition and Income (Call Report) (FFIEC 031,
FFIEC 041, and FFIEC 051), the Regulatory Capital Reporting for
Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC
101), and the Market Risk Regulatory Report for Institutions Subject to
the Market Risk Capital Rule (FFIEC 102), which are currently approved
collections of information for each agency. The agencies are requesting
comment on proposed revisions to these collections related to the
agencies' regulatory capital rule proposal that was published on
September 18, 2023 (proposed capital rule). The reporting revisions are
proposed to be effective as of the September 30, 2025, report date. At
the end of the comment period for this notice, the FFIEC and the
agencies will review any comments received to determine whether to
modify the proposal in response to such comments. As required by the
PRA, the agencies
[[Page 5298]]
will then publish a second Federal Register notice for a 30-day comment
period and submit the final Call Report, FFIEC 101 and FFIEC 102 to OMB
for review and approval.
DATES: Comments must be submitted on or before March 26, 2024.
ADDRESSES: Interested parties are invited to submit written comments to
any or all of the agencies. All comments, which should refer to the
``Call Report, FFIEC 101 and FFIEC 102 Revisions,'' will be shared
among the agencies.
OCC: You may submit comments, which should refer to ``Call Report,
FFIEC 101 and FFIEC 102 Revisions,'' 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-
0081, 1557-0239, and 1557-0325, 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) 293-4835.
Instructions: You must include ``OCC'' as the agency name and
``1557-0081, 1557-0239, 1557-0325'' 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.
Following the close of this notice's 60-day comment period, the OCC
will publish a second notice with a 30-day comment period. 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 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'' from 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 OMB control number ``1557-0081'' or ``1557-
0239'' or ``1557-0325.'' 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.
Board: You may submit comments, which should refer to ``Call
Report, FFIEC 101 and FFIEC 102 Revisions,'' by any of the following
methods:
Agency Website: http://www.federalreserve.gov. Follow the
instructions for submitting comments at: http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
Email: [email protected]. Include ``Call
Report, FFIEC 101, and FFIEC 102 Revisions,'' in the subject line of
the message.
Fax: (202) 452-3819 or (202) 452-3102.
Mail: Ann E. Misback, Secretary, Board of Governors of the
Federal Reserve System, 20th Street and Constitution Avenue NW,
Washington, DC 20551.
All public comments are available on the Board's website at https://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted,
unless modified for technical reasons. Accordingly, your comments will
not be edited to remove any identifying or contact information.
FDIC: You may submit comments, which should refer to ``Call Report,
FFIEC 101 and FFIEC 102 Revisions,'' by any of the following methods:
Agency Website: https://www.fdic.gov/regulations/laws/federal/. Follow the instructions for submitting comments on the FDIC's
website.
Federal eRulemaking Portal: https://www.regulations.gov.
Follow the instructions for submitting comments.
Email: [email protected]. Include ``Call Report, FFIEC 101
and FFIEC 102 Revisions,'' in the subject line of the message.
Mail: Manuel E. Cabeza, Counsel, Attn: Comments, Room MB-
3128, 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 550 17th Street Building (located on F
Street) on business days between 7:00 a.m. and 5:00 p.m.
Public Inspection: All comments received will be posted
without change to https://www.fdic.gov/regulations/laws/federal/
including any personal information provided. Paper copies of public
comments may be requested from the FDIC Public Information Center by
telephone at (877) 275-3342 or (703) 562-2200.
Additionally, commenters may send a copy of their comments to the
OMB desk officers for the agencies by mail to the Office of Information
and Regulatory Affairs, U.S. Office of Management and Budget, New
Executive Office Building, Room 10235, 725 17th Street NW, Washington,
DC 20503; by fax to (202) 395-6974; or by email to
[email protected].
FOR FURTHER INFORMATION CONTACT: For further information about the
proposed revisions to the information collections discussed in this
notice, please contact any of the agency staff whose names appear
below. In addition, copies of the report forms and instructions for the
Call Report, FFIEC 101 and FFIEC 102 can be obtained at the FFIEC's
website (https://www.ffiec.gov/ffiec_report_forms.htm).
OCC: Kevin Korzeniewski, Counsel, Chief Counsel's Office, (202)
649-5490.
Board: Nuha Elmaghrabi, Federal Reserve Board Clearance Officer,
(202) 452-3884, Office of the Chief Data Officer, Board of Governors of
the Federal Reserve System, 20th and C Streets NW, Washington, DC
20551. Telecommunications Device for the Deaf (TDD) users may call
(202) 263-4869.
FDIC: Manuel E. Cabeza, Counsel, (202) 898-3767, Legal Division,
Federal Deposit Insurance Corporation, 550 17th Street NW, Washington,
DC 20429.
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Affected Reports
A. Call Report (FFIEC 031, FFIEC 041, and FFIEC 051)
B. FFIEC 101
C. FFIEC 102
II. Current Actions
Recently Proposed Amendments to the Regulatory Capital Rule for
Large Banking Organizations and Banking Organizations With
Significant Trading Activity
1. Background
2. Proposed Revisions to the Call Report
3. Proposed Revisions to the FFIEC 101
4. Proposed Revisions to the FFIEC 102
5. Proposed FFIEC 102a
III. Timing
IV. Request for Comment
I. Affected Reports
All of the proposed reporting changes discussed in this notice
affect the Call Report, FFIEC 101 and FFIEC 102.
A. Call Reports (FFIEC 031, FFIEC 041, and FFIEC 051)
The agencies propose to extend for three years, with revision,
their information collections associated with the FFIEC 031, FFIEC 041,
and FFIEC 051 Call Reports.
[[Page 5299]]
Report Title: Consolidated Reports of Condition and Income (Call
Report).
Form Number: FFIEC 031 (Consolidated Reports of Condition and
Income for a Bank with Domestic and Foreign Offices), FFIEC 041
(Consolidated Reports of Condition and Income for a Bank with Domestic
Offices Only), and FFIEC 051 (Consolidated Reports of Condition and
Income for a Bank with Domestic Offices Only and Total Assets Less Than
$5 Billion).
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
Type of Review: Revision and extension of currently approved
collections.
OCC
OMB Control No: 1557-0081.
Estimated Number of Respondents: 1,015 national banks and federal
savings associations.
Estimated Average Burden per Response: 40.69 burden hours per
quarter to file.
Estimated Total Annual Burden: 165,201 burden hours to file.
Board
OMB Control No.: 7100-0036.
Estimated Number of Respondents: 699 state member banks.
Estimated Average Burden per Response: 44.13 burden hours per
quarter to file.
Estimated Total Annual Burden: 123,387 burden hours to file.
FDIC
OMB Control No.: 3064-0052.
Estimated Number of Respondents: 2,990 insured state nonmember
banks and state savings associations.
Estimated Average Burden per Response: 38.86 burden hours per
quarter to file.
Estimated Total Annual Burden: 464,766 burden hours to file.
The estimated average burden hours collectively reflect the
estimates for the FFIEC 031, the FFIEC 041, and the FFIEC 051 reports
for each agency. When the estimates are calculated by type of report
across the agencies, the estimated average burden hours per quarter are
84.29 (FFIEC 031), 54.54 (FFIEC 041), and 34.39 (FFIEC 051). The
changes to the Call Report forms and instructions proposed in this
notice resulted in the following estimated changes in burden hours per
quarter. For the FFIEC 031 report, the revisions resulted in an average
decrease across all agencies of approximately 0.24 hours per quarter;
for the FFIEC 041 report, the revisions resulted in an average decrease
across all agencies of approximately 0.06 hours per quarter; and for
the FFIEC 051 report, the revisions resulted in an average decrease
across all agencies of approximately 0.01 hours per quarter. The
estimated burden per response for the quarterly filings of the Call
Report is an average that varies by agency because of differences in
the composition of the institutions under each agency's supervision
(e.g., size distribution of institutions, types of activities in which
they are engaged, and existence of foreign offices).
Type of Review: Extension for three years and revision of currently
approved collections. In addition to the proposed revisions discussed
below, Call Reports are periodically updated to clarify instructional
guidance and correct grammatical and typographical errors on the forms
and instructions, which are published on the FFIEC website.\1\ These
non-substantive updates may also be commented upon.
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\1\ www.ffiec.gov/forms031.htm; www.ffiec.gov/forms041.htm;www.ffiec.gov/forms051.htm.
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Legal Basis and Need for Collections
The Call Report information collections are mandatory: 12 U.S.C.
161 (national banks), 12 U.S.C. 324 (state member banks), 12 U.S.C.
1817 (insured state nonmember commercial and savings banks), and 12
U.S.C. 1464 (federal and state savings associations). At present,
except for selected data items and text, these information collections
are not given confidential treatment.
Banks and savings associations submit Call Report data to the
agencies each quarter for the agencies' use in monitoring the
condition, performance, and risk profile of individual institutions and
the industry as a whole. Call Report data serve a regulatory or public
policy purpose by assisting the agencies in fulfilling their shared
missions of ensuring the safety and soundness of financial institutions
and the financial system and protecting consumer financial rights, as
well as agency-specific missions affecting federal and state-chartered
institutions, such as conducting monetary policy, ensuring financial
stability, and administering federal deposit insurance. Call Reports
are the source of the most current statistical data available for
identifying areas of focus for on-site and off-site examinations. Among
other purposes, the agencies use Call Report data in evaluating
institutions' corporate applications, including interstate merger and
acquisition applications for which the agencies are required by law to
determine whether the resulting institution would control more than 10
percent of the total amount of deposits of insured depository
institutions in the United States. Call Report data also are used to
calculate the risk-based assessments for insured depository
institutions.
B. FFIEC 101
The agencies propose to extend for three years, with revision, the
FFIEC 101 report.
Report Title: Regulatory Capital Reporting for Large Banking
Organizations.
Form Number: FFIEC 101.
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
Type of Review: Revision and extension of currently approved
collections.
OCC
OMB Control No.: 1557-0239.
Estimated Number of Respondents: 49 national banks and federal
savings associations.
Estimated Time per Response: 797.35 burden hours one-time for
initial set-up and 437.45 burden hours per quarter to file ongoing.
Estimated Total Annual Burden: 38,972 burden hours for one-time
initial set-up and 85,733 to file for ongoing.
Board
OMB Control No.: 7100-0319.
Estimated Number of Respondents: 52 state member banks, bank
holding companies, savings and loan holding companies and intermediate
holding companies.
Estimated Time per Response: 797.35 burden hours one-time for
initial set-up and 437.45 burden hours per quarter to file ongoing.
Estimated Total Annual Burden: 41,358 burden hours for one-time
initial set-up and 90,982 to file for ongoing.
FDIC
OMB Control No.: 3064-0159.
Estimated Number of Respondents: 9 insured state nonmember bank and
state savings association.
Estimated Time per Response: 797.35 burden hours one-time for
initial set-up and 437.45 burden hours per quarter to file ongoing.
Estimated Total Annual Burden: 7,158 burden hours for one-time
initial set-up and 15,747 to file for ongoing.
Type of Review: Extension and revision of currently approved
collections.
[[Page 5300]]
Legal Basis and Need for Collections
Currently, each banking organization subject to Category I or
Category II standards is required to report quarterly regulatory
capital data and, along with each top-tier banking organization subject
to Category III standards,\2\ supplementary leverage ratio information
on the FFIEC 101. Under this proposal, each banking organization
subject to Category I, II, III or IV standards would report revised
regulatory capital and supplementary leverage information. The FFIEC
101 information collections are mandatory for applicable banking
organizations under the following authorities: 12 U.S.C. 161 (national
banks), 12 U.S.C. 324 (state member banks), 12 U.S.C. 1844(c) (bank
holding companies), 12 U.S.C. 1467a(b) (savings and loan holding
companies), 12 U.S.C. 1817 (insured state nonmember commercial and
savings banks), 12 U.S.C. 1464 (federal and state savings
associations), and 12 U.S.C. 1844(c), 3106, and 3108 (intermediate
holding companies). Certain data items in this information collection
are given confidential treatment under 5 U.S.C. 552(b)(4) and (8).
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\2\ 12 CFR 3.2 (OCC); 12 CFR 217.2 (Board); 12 CFR 324.2 (FDIC).
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The agencies use data reported in the FFIEC 101 to assess and
monitor the levels and components of each reporting entity's applicable
capital requirements and the adequacy of the entity's capital under the
capital rule,\3\ including the supplementary leverage ratio, as
applicable; to evaluate the impact of the capital rule on individual
reporting entities and on an industry-wide basis and its competitive
implications; and to supplement on-site examination processes. The
reporting schedules would also assist Category I, Category II, Category
III, and Category IV banking organizations in understanding
expectations relating to the system development necessary for
implementation and validation of the capital rule. Submitted data that
are released publicly would also provide other interested parties with
additional information about Category I, Category II, Category III, and
Category IV banking organizations' regulatory capital.
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\3\ 12 CFR part 3, subpart E (OCC); 12 CFR part 217, subpart E
(Board); 12 CFR part 324, subpart E (FDIC).
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C. FFIEC 102
The agencies propose to extend for three years, with revision, the
FFIEC 102 report. The proposed revisions include the addition of a new
confidential report (FFIEC 102a).
Report Title: Market Risk Regulatory Report.
Form Number: FFIEC 102.
Frequency of Response: Quarterly.
Affected Public: Business or other for-profit.
OCC
OMB Number: 1557-0325.
Estimated Number of Respondents: 53 national banks and federal
savings associations, 53 (FFIEC 102), 53 (FFIEC 102a).
Estimated Average Time per Response: 83.55 hours one-time for
initial set-up and 41.77 hours for ongoing (FFIEC 102); 142.49 hours
one-time for initial set-up and 50.83 hours for ongoing (FFIEC 102a).
Estimated Total Annual Burden: 4,428 hours one-time for initial
set-up and 8,856 for ongoing (FFIEC 102); 7,552 one-time for initial
set-up and 10,777 hours for ongoing (FFIEC 102a).
Board
OMB Number: 7100-0365.
Estimated Number of Respondents: 30 state member banks, bank
holding companies, savings and loan holding companies, and intermediate
holding companies (FFIEC 102), 30 (FFIEC 102a).
Estimated Average Time per Response: 83.55 hours one-time for
initial set-up and 41.77 hours for ongoing (FFIEC 102); 142.49 hours
one-time for initial set-up and 50.83 hours for ongoing (FFIEC 102a).
Estimated Total Annual Burden: 2,506 hours one-time for initial
set-up and 5,013 hours for ongoing (FFIEC 102); 4,275 hours one-time
for initial set-up and 6,100 hours for ongoing (FFIEC 102a).
FDIC
OMB Number: 3064-0199.
Estimated Number of Respondents: 9 insured state nonmember bank and
state savings association (FFIEC 102); 9 (FFIEC 102a).
Estimated Average Time per Response: 83.55 hours one-time for
initial set-up and 41.77 hours for ongoing (FFIEC 102); 142.49 hours
one-time for initial set-up and 50.83 hours for ongoing (FFIEC 102a).
Estimated Total Annual Burden: 752 hours one-time for initial set-
up and 1,504 hours for ongoing (FFIEC 102); 1,282 hours one-time for
initial set-up and 1,830 hours for ongoing (FFIEC 102a).
Type of Review: Revision and extension of currently approved
collections.
Legal Basis and Need for Collection
Currently, a banking organization with aggregate trading assets and
trading liabilities that, as of the most recent calendar quarter, equal
to $1 billion or more, or 10 percent or more of the banking
organization's total consolidated assets (market risk institutions), is
required to calculate market risk capital requirements under subpart F
of the agencies' capital rule \4\ and submit the FFIEC 102 report.
Under this proposal, and consistent with the agencies' proposed changes
to the definition of market risk institutions, any holding company
subject to Category I, Category II, Category III, or Category IV
standards or any subsidiary thereof, if the subsidiary engaged in any
trading activity over any of the four most recent quarters, would
submit the FFIEC 102. Additionally, a banking organization with average
aggregate trading assets and trading liabilities (excluding customer
and proprietary broker-dealer reserve bank accounts) over the previous
four calendar quarters equal to $5 billion or more, or equal to 10
percent or more of total consolidated assets would also submit the
report. The quarterly FFIEC 102 information collection is mandatory for
market risk institutions under the following authorities: 12 U.S.C. 161
(national banks), 12 U.S.C. 324 (state member banks), 12 U.S.C. 1844(c)
(bank holding companies), 12 U.S.C. 1467a (b) (savings and loan holding
companies), 12 U.S.C. 5365 (U.S. intermediate holding companies), 12
U.S.C. 1817 (insured state nonmember commercial and savings banks), and
12 U.S.C. 1464 (savings associations).
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\4\ 12 CFR 3.201 (OCC); 12 CFR 217.201 (Board); and 12 CFR
324.201 (FDIC). Currently, the market risk framework of the capital
rule generally applies to any banking institution with aggregate
trading assets and trading liabilities equal to (a) 10 percent or
more of quarter-end total assets or (b) $1 billion or more.
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The FFIEC 102 is filed quarterly with the agencies and provides
information for market risk institutions. Each market risk institution
is required to file the FFIEC 102 for the agencies' use in assessing
the accuracy of the institution's calculation of its minimum capital
requirements under the capital rule and in evaluating the institution's
capital in relation to its risks. Additionally, the market risk
information collected in the FFIEC 102: (a) permits the agencies to
monitor the market risk profile of, and evaluate the impact and
competitive implications of, the capital rule on individual market risk
institutions and the industry as a whole; (b) provides the most current
statistical data available to identify areas
[[Page 5301]]
of market risk on which to focus for on-site and off-site examinations;
(c) allows the agencies to assess and monitor 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
capital rule; and (d) assists market risk institutions in validating
their implementation of the market risk framework.
As described in Section II of this SUPPLEMENTARY INFORMATION, the
agencies are proposing to expand the data collection by creating the
FFIEC 102a, Supervisory Market Risk Regulatory Report. This new form
would collect information necessary for the agencies to evaluate a
market risk institution's implementation of the market risk rule and
validate a banking organization's internal models used in preparing the
FFIEC 102.
Confidentiality
The current FFIEC 102 information collections are not given
confidential treatment. The agencies are not proposing to provide
confidential treatment under the revised collection, other than with
respect to data collected under the proposed new Supervisory Market
Risk Regulatory Report (FFIEC 102a). The data proposed to be collected
on the Supervisory Market Risk Regulatory Report would include
financial information used for the agencies' supervisory purposes that
is not normally disclosed by the respondent organizations. This
information could reveal trade secrets or cause significant competitive
harm to the respondent organizations if disclosed. Therefore, the data
collected on the Supervisory Market Risk Regulatory Report would be
kept confidential by the agencies under 5 U.S.C. 552(b)(4) and (8).
II. Current Actions
Recently Proposed Amendments to the Regulatory Capital Rule for Large
Banking Organizations and Banking Organizations With Significant
Trading Activity
1. Background
On September 18, 2023, the agencies published in the Federal
Register a proposed rule \5\ to revise the risk-based capital
requirements for large banking organizations. The proposed changes to
regulatory capital requirements apply to banking organizations subject
to Category I, Category II, Category III, or Category IV standards and
to banking organizations with significant trading activities, all as
defined in the proposed rule. The modifications to the capital rule
would result in reporting changes that affect the Call Report, FFIEC
101, and FFIEC 102.
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\5\ 88 FR 64028 (September 18, 2023).
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2. Proposed Revisions to the Call Report
The agencies are proposing to revise the Call Report forms and
instructions to align with the proposed capital rule. The general
instructions for each version of the Call Report (FFIEC 031, FFIEC 041,
and FFIEC 051) would be revised to require each bank subject to the
expanded risk-based approach under the proposed capital rule to file
the FFIEC 031. The agencies also propose to revise the FFIEC 031
Schedule RC-R, Part I, Regulatory Capital Components and Ratios, to
align the calculation of regulatory capital for institutions subject to
Category III and IV standards with the calculation used for
institutions subject to Category I and II standards, subject to certain
transition provisions for components of Accumulated Other Comprehensive
Income (AOCI) in the proposed capital rule. To identify Category III
and IV institutions subject to the transition requirements, the
agencies propose to add a new response option (``2'' for ``Phase-out'')
for item 3.a ``AOCI opt-out election'' on the FFIEC 031, Schedule RC-R,
Part I, to be used by these institutions. The general instructions and
certain item instructions to the FFIEC 031, Schedule RC-R, Part II,
Risk-Weighted Assets, also would be revised to reflect AOCI transition
requirements in the proposed capital rule, as applicable.
Due to the expiration of certain transition periods in the
agencies' existing regulatory capital rule, the agencies are proposing
to remove from Schedule RC-R, Part I, item 21, ``Non-qualifying capital
instruments subject to phase-out from additional tier 1 capital'' and
item 40, ``Non-qualifying capital instruments subject to phase-out from
tier 2 capital'' from all versions of the Call Report. Because the
calculation of tier 2 capital under the expanded risked-based approach
would differ from the calculation of tier 2 capital under the existing
advanced approaches rule, the agencies propose to replace FFIEC 031
Schedule RC-R, Part I, item 42.b, ``(Advanced approaches institutions
that exit parallel run only): Eligible credit reserves includable in
tier 2 capital'' with ``Adjusted allowances for credit losses (AACL)
includable in tier 2 capital (for institutions subject to the expanded
risk-based approach)'' and revise certain subtotals on FFIEC 031,
Schedule RC-R, Part I, that use this item.
Finally, the agencies are proposing changes to certain definitions
and terminology in the forms and instructions consistent with the
proposed capital rule, including revising terminology for advanced
approaches capital under the existing rule to reflect the proposed
expanded risk-based approach and the scope of banking organizations
using the standardized approach for counterparty credit risk (SA-CCR).
Further details of the revisions described above can be found in the
proposed revised FFIEC 031, FFIEC 041, and FFIEC 051 forms and
instructions, which have been posted to the FFIEC website.\6\
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\6\ https://www.ffiec.gov/ffiec_report_forms.htm.
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3. Proposed Revisions to FFIEC 101
The agencies are proposing to revise the FFIEC 101 forms and
instructions to align with the proposed capital rule. Specifically, to
incorporate the reporting revisions applicable to the proposed capital
rule, the agencies are proposing to revise the FFIEC 101 general
instructions to scope in Category III \7\ and IV banking organizations
in the reporting criteria, rename and modify Schedule A to update
nomenclature in connection with the proposed capital rule revisions,
remove Schedule B through Schedule S of the current FFIEC 101 report,
and add new schedules as described below. To maintain consistency with
the proposed capital rule, the agencies are also proposing to revise
the title of the FFIEC 101 report from ``Regulatory Capital Reporting
for Institutions Subject to the Advanced Capital Adequacy Framework''
to ``Regulatory Capital Reporting for Large Banking Organizations.''
The reporting modifications would enhance comparability of the FFIEC
101 to relevant parts of the Basel Framework disclosure standard, which
would increase comparability of internationally active banks. The
proposed FFIEC 101 revisions aim to promote market discipline through
regulatory disclosure requirements.
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\7\ Top-tier Category III banking organizations are currently
only required to file the SLR Tables 1 and 2.
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The agencies are requesting comment on whether there should be any
further changes to the report form items or instructions developed by
the agencies consistent with the proposed capital rule.
Under the proposal, reporting institutions would continue to report
Schedule A, which would be renamed to Schedule RCCR, Regulatory Capital
Components and Ratios, and revised to align with the requirements of
the
[[Page 5302]]
proposed capital rule. First, the agencies are proposing to revise this
schedule to remove the concept of eligible credit reserves and parallel
run from the report form and instructions, and rename existing item 12,
``Expected credit loss that exceeds eligible credit reserves'' to
``AOCI transition adjustment amount (for Category III and IV
institutions only)'' as the item would no longer be applicable.
Category III and IV institutions would report AOCI transition amounts
in item 12 during the transitional period. In addition, the agencies
are proposing to replace item 50, ``Eligible credit reserve includable
in tier 2 capital,'' with ``Adjusted allowances for credit losses
(AACL) includable in tier 2 capital'' under the expanded risk-based
approach and clarify the instructions for item 27. These changes would
also result in the deletions of items 77 through 90, which would no
longer be needed.
As a result of the new expanded risk based-approach framework for
calculating risk-weighted assets under the proposed capital rule, the
agencies are proposing to update item 60, ``Total risk-weighted assets
(RWA),'' to ``Expanded total risk-weighted assets (accounting for
transition provisions),'' and reflect for Category I, II, III and IV
banking organizations a three-year transitional period to phase-in
expanded total risk-weighted assets. To implement changes under the
proposed capital rule that would require Category III and IV banking
organizations to use the standardized approach for counterparty credit
risk (SA-CCR) for derivatives exposures for purposes of the
supplementary leverage ratio (SLR), the agencies are proposing to
remove references to the current exposure methodology from instructions
related to reporting the SLR. Consistent with the proposed capital
rule, the agencies are also proposing to update the instructions to
require all banking organizations that report the FFIEC 101 to report
the SLR tables. To reflect the addition of a new 40 percent credit
conversion factor (CCF) for unconditionally cancelable commitments
under the proposed capital rule, the agencies propose to revise the SLR
Table 2 instructions to align with the change. In addition, certain
items related to the reporting of regulatory capital buffer
requirements would be amended to reflect the proposed capital rule.
Items 4, 33, 35, 47, and 49 in current Schedule A related to transition
periods in the regulatory capital rule that have expired and are no
longer applicable are proposed to be eliminated. Additionally, the
agencies added granularity to the items relating to derivative
transactions in SLR Table 2. This granularity provides a breakout of
derivative transactions that involve commercial end-users and
counterparties other than commercial end-users.
Current Schedules B through S would be removed, and institutions
would be required to report risk-weighted asset and exposure
information in new schedules described below. The new FFIEC 101
schedules would be as follows.
1. Schedule OV1: Overview of Expanded Total Risk-Weighted Assets.
The purpose of this schedule is to provide an overview of expanded
total risk-weighted assets (RWA) forming the denominator of the risk-
based capital requirements. On this schedule, reporting institutions
would report summary amounts of risk-weighted assets reported in detail
on other FFIEC 101 schedules.
2. Schedule CR1: General Credit Risk Exposures and Credit Risk
Mitigation (CRM) Effects. The purpose of this schedule is to illustrate
the effect of CRM on capital requirement calculations under the
proposed expanded risk-based approach for credit risk in the agencies'
capital rule. On this schedule, institutions would report on-balance
sheet and off-balance sheet credit risk exposures, the adjusted amounts
of those credit risk exposures reflecting credit risk mitigants, and
the corresponding risk-weighted assets and risk-weighted asset density.
3. Schedule CR2: Credit Risk Mitigation Techniques. The purpose of
this schedule is to present the quantity of exposures under the
expanded risk-based approach where CRM is applicable, and the amount of
CRM attributed to each general type of credit risk mitigant. On this
schedule, reporting institutions would report amounts of exposures that
are unsecured, the amounts that are secured, and the quantity of those
secured exposures that are secured by collateral, by eligible
guarantees, and by eligible credit derivatives.
4. Schedule CR3: Credit Risk Exposures by Exposure Categories and
Risk Weights. The purpose of this schedule is to present the breakdown
of credit risk exposures by category and then by the applicable risk
weight under the expanded risk-based approach. On this schedule,
institutions would report the amounts of exposures by asset class,
differentiated by the applicable risk weights for each asset class. For
off-balance sheet exposures, the applicable credit conversion factor
(CCF) would be applied first before the applicable risk weight. Total
credit risk-weighted assets under the expanded risk-based approach
would reflect the aggregate total exposures for each asset class after
risk weights and, if applicable, credit conversion factors are applied
to the exposure amounts.
5. Schedule CCR: Counterparty Credit Risk Exposures and Risk
Weights. The purpose of this schedule is to provide a breakdown of
counterparty credit risk exposures calculated according to the
standardized approach by type of counterparties and by risk weight.
6. Schedule SEC1: Securitization Exposures Subject to Subpart E of
the Capital Rule. The purpose of this schedule is to present a
reporting institution's securitization exposures subject to the credit
risk-based capital framework. On this schedule, institutions would
report the details of traditional and synthetic retail and wholesale
securitization exposures subject to the credit risk-based capital
framework.
7. Schedule SEC2: Securitization Exposures Subject to Subpart F of
the Capital Rule. The purpose of this schedule is to present a
reporting institution's securitization exposures subject to the market
risk capital framework. On this schedule, institutions would report the
details of traditional and synthetic retail and wholesale
securitization exposures subject to the market risk capital framework.
8. Schedule SEC3: Securitization Exposures and Capital Requirements
under Subpart E--Reporting Institution Acting as Originator/Sponsor.
The purpose of this schedule is to present securitization exposures
where the reporting institution acts as originator or sponsor subject
to the credit risk-based capital framework and the associated capital
requirements. On this schedule, institutions would report details of
traditional and synthetic securitization exposure values and risk-
weighted assets by risk weights and regulatory approach when the
reporting institution acts as an originator or sponsor.
9. Schedule SEC4: Securitization Exposures and Capital Requirements
under Subpart E--Reporting Institution Acting as Investor. The purpose
of this schedule is to present securitization exposures where the
reporting institution acts as investor subject to the credit risk-based
capital framework and the associated capital requirements. On this
schedule, reporting institutions would report details of traditional
and synthetic securitization exposure values and risk-weighted assets
by risk weights and regulatory approach when the reporting institution
acts as an investor.
[[Page 5303]]
10. Schedule CVA: Basic and Standardized Measures for Credit
Valuation Adjustment (CVA) Risk. The purpose of this schedule is to
provide the components used for the computation of risk-weighted assets
under the basic approach and the standardized approach for CVA risk. On
this schedule, institutions would report CVA risk-related elements,
risk-weighted assets, and associated capital requirement amounts.
11. Schedule EQ: Risk-Weighted Assets for Equity Exposures. This
schedule would collect information regarding equity exposures under the
expanded simple risk-weight approach (ESRWA) and under the look-through
approaches by exposures type and risk weight.
12. Schedule OR1: Historical Operational Losses. The purpose of
this schedule is to disclose total annual operational losses incurred
over the past ten years, based on the accounting date of the incurred
losses, to inform the operational risk capital calculation. On this
schedule, reporting institutions would report items related to total
amounts of operational losses and total numbers of operational loss
events over the past ten years.
13. Schedule OR2: Business Indicator and Subcomponents. The purpose
of this schedule is to disclose the business indicator (BI) and its
subcomponents, which inform the operational risk capital calculation.
On this schedule, institutions would report BI related items such as
the interest, lease, and dividend component, the services component,
and the financial component.
14. Schedule OR3: Minimum Required Operational Risk Capital. The
purpose of this schedule is to report operational risk regulatory
capital requirements. On this schedule, institutions would report
operational risk minimum regulatory capital requirement calculation
items such as the business indicator component, the internal loss
multiplier, and operational risk risk-weighted assets.
15. Optional Narrative: The purpose of this schedule is for
institutions to provide a brief narrative statement to supplement data
reported in the Regulatory Capital Reporting for Large Banking
Organizations.
Further details of the revisions described above can be found in
the proposed revised FFIEC 101 form and instructions, which have been
posted to the FFIEC website.\8\
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\8\ www.ffiec.gov/forms101.htm.
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4. Proposed Revisions to the FFIEC 102
The agencies propose to amend the FFIEC 102 forms and instructions
so that relevant reporting requirements are aligned with the capital
proposal.\9\ Consistent with the scope changes for applicability of the
market risk capital requirements in the proposed capital rule, the
agencies are proposing to revise the reporting criteria for FFIEC 102
to apply to banking organizations subject to Category I, Category II,
Category III, or Category IV standards and to banking organizations
with significant trading activity. As defined in the proposed capital
rule, a banking organization with significant trading activity would be
any banking organization with average aggregate trading assets and
trading liabilities, excluding customer and proprietary broker-dealer
reserve bank accounts, equal to $5 billion or more, or equal to 10
percent or more of total consolidated assets at quarter end as reported
on the most recent quarterly regulatory report. The agencies intend to
conform the scope of proposed reporting under the capital rule only to
those institutions that are within the scope of the proposed capital
rule.
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\9\ All of the terms and concepts listed in this section are
described in detail in the proposed capital rule. Commenters should
refer to the proposed capital rule when commenting on the associated
proposed reporting revisions.
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To maintain consistency with the proposed capital rule and simplify
the report title, the agencies are also proposing to revise the title
of the FFIEC 102 report from ``Market Risk Regulatory Report for
Institutions Subject to the Market Risk Capital Rule'' to ``Market Risk
Capital Report.''
Additionally, to implement the new market risk capital requirements
framework in the proposed capital rule, the agencies propose to remove
the current data collected on FFIEC 102, and to add new data collection
for an institution's standardized measure for market risk and the
models-based measure for market risk, if applicable. Under the
proposal, the revised FFIEC 102 would be subdivided into four sections:
Part I, Standardized capital requirements for market risk; Part II,
Models-based capital requirements for market risk; Part III, Market
risk-weighted assets; and Part IV, Memoranda, as described below.
Part I, Standardized capital requirements for market risk, would
include data items for calculating the standardized measure for market
risk, which would be the default methodology for calculating market
risk capital requirements for all banking organizations subject to
market risk capital requirements. It would collect data for the
sensitivities-based method capital requirement, the standardized
default risk capital requirement, and the residual risk add-on
components. Furthermore, items related to the three additional
components for standardized measure for market risk that would apply in
limited instances to specific positions would be collected for: (1) a
capital add-on for re-designations; (2) other capital add-ons
established by the primary Federal supervisor, and (3) a fallback
capital requirement.
Part II, Models-based capital requirement for market risk, would
contain the core components data elements for the models-based measure
for market risk, which consists of (1) the internal models approach
capital requirements for model-eligible trading desks; (2) the
additional capital requirement applied to model-eligible trading desks
with shortcomings in the internal models used for determining risk-
based capital requirements in the form of a profit and loss attribution
(PLA) add-on, if applicable; and (3) the standardized approach capital
requirements for model-ineligible trading desks. The internal models
approach capital requirements for model-eligible trading desks would
itself consist of four components: (1) the capital measure for non-
modellable risk factors, (2) capital measure for non-modellable risk
factors (stressed expected shortfall), (3) the standardized default
risk capital requirement, and (4) capital multiplier. Specifically, an
institution would report in this section its unconstrained and
constrained expected shortfall for relevant risk classes, capital
requirements for modellable and non-modellable risk factors,
standardized default risk capital requirement, PLA add-on, capital
multiplier, capital requirement for model-eligible trading desks, and
capital add-ons among other relevant data for calculating the models-
based measure for market risk.
Part III, Market risk-weighted assets, would collect data items for
the standardized market risk-weighted assets and the models-based
market risk-weighted assets.
Lastly, Part IV, Memoranda, would be added to the FFIEC 102 for all
market risk institutions to report total sensitivities-based method
capital requirement under high, medium, and low correlation scenarios
and total notional amount of market risk covered positions. The
proposed sub-items of these notional amounts include the following:
foreign exchange positions, commodity positions, net short credit
[[Page 5304]]
positions, net short equity positions, customer and proprietary broker-
dealer reserve bank accounts, and other market risk covered positions.
The proposed reporting requirements described above would provide
meaningful disclosure without requiring disclosure of proprietary
information. The reports would enable the federal supervisors to
monitor a banking organization's risk profile related to market risk
and identify changes in the risk profile that would pose risks to the
financial system. These revised disclosure requirements are designed to
increase transparency and complement the supervisory review process by
encouraging market discipline through enhanced and meaningful public
disclosure. The agencies intend for these proposed disclosure
requirements to strike an appropriate balance between the supervisory
and market benefits of reporting and the additional burden to a banking
organization that would be required to provide disclosures.
5. Proposed FFIEC 102a
In addition to the revisions described above, the agencies propose
to add a separate Supervisory Market Risk Regulatory Report (FFIEC
102a) that would function as a companion to the FFIEC 102 report in
implementing the proposed capital rule's revised market risk framework.
The proposed Supervisory Market Risk Regulatory Report would be
collected on a quarterly basis, would be confidential, and would apply
only to banking organizations that calculate market risk capital
requirements under the models-based measure for market risk. Under the
proposal, the FFIEC 102a would be subdivided into three sections. The
first section, Part 1, General Information, would collect general
information for a banking organization's trading desk(s) such as the
number of regulator approved trading desks and number of regulator
approved notional trading desks. It would also include data on the
organizational structure of the trading desk such as trading desks
identifier, trading desk name, organization unit identifier, and the
asset class for each trading desk provided by the asset class that
gives rise to the trading desk's greatest aggregate market risk
exposure as of the submission date.
The second section, Part 2, Aggregate Trading Portfolio
Backtesting, would collect aggregate level data for model eligible
trading desk that includes the market value of total trading assets,
market value of total trading liabilities, and data related to the
number of value at risk (VaR) backtesting exceptions during the
quarter. This part would also include data on the daily VaR-based
measures calibrated to the 99.0th percentile; the daily expected
shortfall (ES) based measure calibrated at the 97.5th percentile;
liquidity horizon-adjusted ES-based measures; the actual profit and
loss; the hypothetical profit and loss; and the p-value of the profit
or loss for each day. The third section, Part 3, Backtesting and PLA
Testing for Model-Eligible Trading Desks, would be reported at the
trading desk level. The data in this section would include general
information related to the trading desk such as the name, unique
identifier for the trading desk, description of the trading desk,
authorized products for the trading desk, main product types, and
several questions about the trading desk. In addition, it would include
data on the daily VaR-based measure for the trading desk calibrated at
both the 99.0th and 97.5th percentile; the capital measure for non-
modellable risk factors; the daily ES-based measure calibrated at the
97.5th percentile; the actual profit and loss; the hypothetical profit
and loss; the risk-theoretical profit and loss; and the p-values of the
profit or loss for each day.
The proposed reporting requirements would enable the agencies to
identify changes to the risk profiles of banking organizations that use
the models-based approach for market risk. Specifically, the collection
of backtesting and PLA data included in the proposed reports would
enable the agencies to determine the validity of a banking
organization's internal models, and whether these models accurately
account for the risk associated with exposure to price movements,
changes in market structure, or market events that affect specific
assets. If the agencies find these models not able to sufficiently
capture market risks in these positions, under the proposed capital
rule, the banking organization must then use the standardized approach
for calculating its market risk capital requirements, thereby
preventing divergence between a banking organization's risk profile and
its capital position. The FFIEC 102a report would be filed 20 days
after the end of each quarter. The proposed submission date is intended
to provide the agencies with sufficient time to review the data and
make a determination pursuant to the proposed capital rule as to
whether a trading desk is eligible to use the internal models approach
prior to the due date of the banking organization's other quarterly
reports, including the FFIEC 102 and Call Report or FR Y-9C.\10\ In the
event that this review results in a change to a trading desk's
eligibility, the banking organization would be able to make any
necessary adjustments before the submission of its FFIEC 102 and Call
Report or FR Y-9C, rather than having to revise and resubmit these
reports. Furthermore, because the proposal requires a banking
organization to calculate the data provided in the proposed report on a
daily basis, the 20-day timeframe for submission is not expected to
impose significantly increased compliance burden.
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\10\ The Call Report (for banks) is due 30 or 35 days after
quarter end, while the FR Y-9C (for holding companies) generally is
due 40 days after quarter end. The FFIEC 102 is due at the same time
as the Call Report or FR Y-9C.
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Further details of all the revisions described above can be found
in the proposed Supervisory Market Risk Regulatory Report form and
instructions, available on the FFIEC's website.\11\
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\11\ www.ffiec.gov/forms102.htm.
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III. Timing
The agencies propose to make the reporting changes to the Call
Report, FFIEC 101, and FFIEC 102 (including its new sub-report the
FFIEC 102a) effective for the third quarter of 2025 (September 30,
2025), consistent with the proposed July 1, 2025, effective date for
the proposed capital rule. The agencies invite comment on any
difficulties that institutions would expect to encounter in
implementing the systems changes necessary to accommodate the proposed
revisions to the Call Report, FFIEC 101, or FFIEC 102/102a, or the
minimum time required to make systems changes to implement these
changes. The specific wording of the captions for the new or revised
data items discussed in this proposal and the numbering of these data
items should be regarded as preliminary. If modifications are made to
the proposed capital rule in an associated final rule, the agencies
would modify the information collection revisions in this proposal to
incorporate such changes, as applicable.
IV. Request for Comment
Public comment is requested on all aspects of this joint notice.
Comment is specifically invited on:
(a) Whether the proposed revisions to the collections of
information that are the subject of this notice are necessary for the
proper performance of the agencies' functions, including whether the
information has practical utility;
(b) The accuracy of the agencies' estimates of the burden of the
[[Page 5305]]
information collections as they are proposed to be revised, including
the validity of the methodology and assumptions used;
(c) Ways to enhance the quality, utility, and clarity of the
information to be collected;
(d) Ways to minimize the burden of information collections 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.
Comments submitted in response to this joint notice will be shared
among the agencies. At the end of the comment period for this notice,
the FFIEC and the agencies will review any comments received to
determine whether to modify the proposal in response to such comments.
Theodore J. Dowd,
Deputy Chief Counsel, Office of the Comptroller of the Currency.
Board of Governors of the Federal Reserve System.
Michele Taylor Fennell,
Deputy Associate Secretary of the Board.
Federal Deposit Insurance Corporation.
Dated at Washington, DC, on January 18, 2024.
James P. Sheesley,
Assistant Executive Secretary.
[FR Doc. 2024-01532 Filed 1-25-24; 8:45 am]
BILLING CODE 4810-33-P; 6210-01-P; 6714-01-P