[Federal Register Volume 69, Number 211 (Tuesday, November 2, 2004)]
[Notices]
[Pages 63533-63534]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 04-24408]


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FEDERAL RESERVE SYSTEM


Agency information collection activities: Announcement of Board 
approval under delegated authority and submission to OMB

SUMMARY: Background
    Notice is hereby given of the final approval of proposed 
information collection by the Board of Governors of the Federal Reserve 
System (Board) under OMB delegated authority, as per 5 CFR 1320.16 (OMB 
Regulations on Controlling Paperwork Burdens on the Public). Board-
approved collections of information are incorporated into the official 
OMB inventory of currently approved collections of information. Copies 
of the OMB 83-Is and supporting statements and approved collection of 
information instrument(s) are placed into OMB's public docket files. 
The Federal Reserve may not conduct or sponsor, and the respondent is 
not required to respond to, an information collection that has been 
extended, revised, or implemented on or after October 1, 1995, unless 
it displays a currently valid OMB control number.

FOR FURTHER INFORMATION CONTACT: Federal Reserve Board Clearance 
Officer -Cindy Ayouch--Division of Research and Statistics, Board of 
Governors of the Federal Reserve System, Washington, DC 20551 (202-452-
3829)
    OMB Desk Officer-Mark Menchik--Office of Information and Regulatory 
Affairs, Office of Management and Budget, New Executive Office 
Building, Room 10235, Washington, DC 20503, or email to 
<a href="/cdn-cgi/l/email-protection#3c515159525f5455577c53515e1259534c125b534a"><span class="__cf_email__" data-cfemail="2a47474f44494243416a454748044f455a044d455c">[email protected]</span></a>

Final approval under OMB delegated authority of the implementation of 
the following report:

    Report title: Quantitative Impact Study and Loss Data Collection 
Exercise.
    Agency form number: FR 3045.
    OMB Control number: 7100-0303.
    Frequency: One time.
    Reporters: Bank holding companies.
    Annual reporting hours: QIS-4: 7,000 hours; LDCE: 1,000 hours
    Estimated average hours per response: QIS-4: 280 hours; LDCE: 40 
hours

[[Page 63534]]

    Number of respondents: 25 bank holding companies.
    General description of report: This information collection is 
voluntary (12 U.S.C. 1844) and is given confidential treatment (5 
U.S.C. 552(b)(4)).
    Abstract: The Basel Committee on Banking Supervision (BCBS) has 
proposed new regulatory capital standards for internationally active 
banking institutions, (the ``International Convergence of Capital 
Measurement and Capital Standards: A Revised Framework'') (the 
Framework), to replace the current Capital Accord (the ``International 
Convergence of Capital Measurement and Capital Standards'') (1988 
Capital Accord) that has been in place since 1988. The new Framework is 
more complex than the original 1988 Capital Accord and is more risk-
sensitive. It addresses the advances and innovations in financial 
instruments and risk measurement practices that have occurred during 
the past decade.
    As members of the BCBS, the federal banking agencies (the Federal 
Reserve, Comptroller of the Currency, Federal Deposit Insurance 
Corporation, and Office of Thrift Supervision) (the Agencies) share the 
common goal of promoting a capital standard that provides adequate 
safety and soundness to world financial markets in a way that is more 
sensitive to different levels of economic risk than the 1988 Capital 
Accord. To do this, the Agencies believe they must rely heavily on an 
institution's internal risk measurement systems and its own 
quantitative assessment of risk, particularly for the largest, most 
complex, and highly sophisticated financial institutions. For other 
institutions, less complex capital standards could suffice.
    The Framework contains several alternative measures for calculating 
minimum regulatory capital requirements, but the Agencies are planning 
to adopt only the most advanced approaches for credit and operational 
risk for U.S. financial institutions. They further intend to make the 
new Framework mandatory for only a small number of large, complex 
financial institutions in the United States and would allow other 
financial institutions that have adequate risk measurement systems and 
controls to ``opt-in'' to the new standard if they sought to do so. 
Those that did not opt-in would continue to operate under the current 
capital standard or future variations of that standard. The Agencies 
will conduct two distinct surveys that are part of this information 
collection to improve their understanding of the likely effects of the 
new Framework and to help in implementing new regulatory capital 
standards in the United States. This information collection consists 
of: (1) a quantitative impact study (QIS) and (2) an operational risk 
loss data collection exercise (LDCE).

Quantitative Impact Study

    The QIS will be the fourth such study and will build on earlier 
versions that gathered information about each participant's risk 
profile and risk measurement process in order to evaluate the likely 
effects of a new regulatory capital standard on U.S. banking 
organizations. On a best-efforts basis, participating financial 
institutions are being asked to provide information about the amount of 
credit exposures (e.g., loans and loan commitments) for each major loan 
portfolio (corporate, interbank, sovereign, and retail) and the risk 
characteristics of each portfolio, as indicated by internal measures of 
a loan's probability of default (PD), loss given default (LGD), 
remaining maturity, and likelihood that currently undrawn lines of 
credit will be drawn. Exposures in each portfolio could be slotted into 
as many as twenty PD ``bands'' and a variety of maturity and LGD 
categories. Retail portfolios are to be further divided among first 
residential mortgages, home equity loans and lines of credit, credit 
card, and other retail exposures. To the extent possible, corporate 
exposures should differentiate between those arising from credit 
extended to small and medium sized firms versus credit extended to 
larger businesses, because the proposal assumes that smaller companies 
are generally less exposed to business cycles. These and other 
distinctions among exposures will parallel differences embodied in the 
new Framework and attempt, to the extent practicable, to reflect 
distinctions important to banks in pricing and measuring risk.
    Participants are also being asked to provide estimated capital 
requirements under the Framework for market risk and operational risk.
    Finally, participants are also being asked to complete a 
questionnaire to provide information about the internal procedures that 
were used in deriving the various indicators of portfolio risk (i.e., 
PDs, LGDs, etc.). They are also being asked to describe the robustness 
of internal or external data used, critical assumptions made, and 
substantive deviations from proposed U.S. supervisory standards for 
deriving such parameters.

Loss Data Collection Exercise

    Participants are also being asked to provide information about 
their internal loss data relating to operational risk in a loss data 
collection exercise. Internal loss data should include the amount of 
each individual operational loss exceeding a threshold, the internal 
business line, the event type, and the amount of any recoveries.
    Current Actions: The Agencies published a joint notice on August 
16, 2004 (69 FR 50443) and received no public comments. The information 
collection is unchanged from the one proposed in the first notice. 
However, the Board has agreed to take burden at the bank holding 
company level for this information collection for respondents that 
would have filed with the OCC. OTS and FDIC are contemporaneously 
conducting identical information collections from their regulated 
institutions. Because these two agencies address their information 
collection to less than ten respondents, they are not required to seek 
OMB approval of the collection. However, the data from these 
information collections will be combined with the information 
collection described in today's notice, and all of the information 
collected will be analyzed jointly by the four banking agencies.

    Board of Governors of the Federal Reserve System, October 27, 
2004.
Robert deV. Frierson,
Deputy Secretary of the Board.
[FR Doc. 04-24408 Filed 11-1-04; 8:45 am]
BILLING CODE 6210-01-S


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