Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Notices 55981 

1For simplicity, and unless otherwise indicated, 

this notice uses the term ‘‘bank’’ to include banks, 

savings associations, and bank holding companies 

(BHCs). The terms ‘‘bank holding company’’ and 

‘‘BHC’’ refer only to bank holding companies 

regulated by the Board and do not include savings 

and loan holding companies regulated by the OTS. 

For a detailed description of the institutions 

covered by this notice, refer to Part I, Section 1, of 

the proposed regulatory text in the notice of 

proposed rulemaking entitled Risk-Based Capital 

Standards: Advanced Capital Adequacy 

Framework. 

DEPARTMENT OF THE TREASURY 

Office of the Comptroller of the 

Currency 

FEDERAL RESERVE SYSTEM 

FEDERAL DEPOSIT INSURANCE 

CORPORATION 

DEPARTMENT OF THE TREASURY 

Office of Thrift Supervision 

Proposed Agency Information 

Collection Activities; Comment 

Request 

AGENCIES: Office of the Comptroller of 

the Currency (OCC), Treasury; Board of 

Governors of the Federal Reserve 

System (Board); Federal Deposit 

Insurance Corporation (FDIC); and 

Office of Thrift Supervision (OTS), 

Treasury. 

ACTION: Joint notice and request for 

comment. 

SUMMARY: In accordance with the 

requirements of the Paperwork 

Reduction Act of 1995 (44 U.S.C. 

chapter 35), the OCC, the Board, the 

FDIC, and the OTS (collectively, 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 proposed new regulatory 

reporting requirements for banks 1 that 

qualify for and adopt the Advanced 

Capital Adequacy Framework to 

calculate their risk-based capital 

requirement or are in the parallel run 

stage of qualifying to adopt this 

framework. The proposal describes the 

scope of reporting and the proposed 

reporting requirements. At the end of 

the comment period, the comments and 

recommendations received will be 

analyzed to determine the extent to 

which the FFIEC should modify the 

proposed reporting requirements prior 

to giving its final approval. The agencies 

will then submit the proposed reporting 

requirements to OMB for review and 

approval and, upon approval, OMB will 

assign control numbers. 

DATES: Comments must be received on 

or before January 23, 2007. 

ADDRESSES: Interested parties are 

invited to submit written comments to 

any or all of the agencies. All comments 

will be shared among the agencies. 

OCC: You may submit comments, 

identified by ‘‘OMB Control No. 1557– 

NEW,’’ by any of the following methods: 

• E-mail: 

regs.comments@occ.treas.gov. Include 

‘‘OMB Control No. 1557–NEW’’ in the 

subject line of the message. 

• Fax: (202) 874–4448. 

• Mail: Public Information Room, 

Office of the Comptroller of the 

Currency, 250 E Street, SW., Mailstop 

1–5, Washington, DC 20219; Attention: 

OMB Control No. 1557–NEW. 

Public Inspection: You may inspect 

and photocopy comments at the Public 

Information Room. You can make an 

appointment to inspect the comments 

by calling (202) 874–5043. 

Board: You may submit comments, 

which should refer to ‘‘Advanced 

Capital Adequacy Framework 

Regulatory Reporting Requirements,’’ by 

any of the following methods: 

• Agency Web Site: http:// 

www.federalreserve.gov. Follow the 

instructions for submitting comments 

on the http://www.federalreserve.gov/ 

generalinfo/foia/ProposedRegs.cfm. 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

• E-mail: 

regs.comments@federalreserve.gov. 

Include ‘‘Advanced Capital Adequacy 

Framework Regulatory Reporting 

Requirements’’ in the subject line of the 

message. 

• FAX: 202–452–3819 or 202–452– 

3102. 

• Mail: Jennifer J. Johnson, Secretary, 

Board of Governors of the Federal 

Reserve System, 20th Street and 

Constitution Avenue, NW., Washington, 

DC 20551. 

All public comments are available 

from the Board’s Web site at http:// 

www.federalreserve.gov/generalinfo/ 

foia/ProposedRegs.cfm as submitted, 

unless modified for technical reasons. 

Accordingly, your comments will not be 

edited to remove any identifying or 

contact information. Public comments 

may also be viewed electronically or in 

paper in Room MP–500 of the Board’s 

Martin Building (20th and C Streets, 

NW.) between 9 a.m. and 5 p.m. on 

weekdays. 

FDIC: You may submit comments, 

which should refer to ‘‘Advanced 

Capital Adequacy Framework 

Regulatory Reporting Requirements,’’ by 

any of the following methods: 

• http://www.FDIC.gov/regulations/ 

laws/federal/notices.html. 

• E-mail: comments@FDIC.gov. 

Include ‘‘Advanced Capital Adequacy 

Framework Regulatory Reporting 

Requirements’’ in the subject line of the 

message. 

• Mail: Steven F. Hanft, Clearance 

Officer (202–898–3907), Legal Division, 

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 a.m. and 5 p.m. 

Public Inspection: All comments 

received will be posted without change 

to http://www.fdic.gov/regulations/laws/ 

federal/propose.html including any 

personal information provided. 

Comments may be inspected at the FDIC 

Public Information Center, Room E– 

1002, 3502 North Fairfax Drive, 

Arlington, VA 22226, between 9 a.m. 

and 5 p.m. on business days. 

OTS: You may submit comments, 

identified by ‘‘Advanced Capital 

Adequacy Framework Regulatory 

Reporting Requirements (1550–NEW),’’ 

by any of the following methods: 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

• E-mail address: 

infocollection.comments@ots.treas.gov. 

Please include ‘‘Advanced Capital 

Adequacy Framework Regulatory 

Reporting Requirements (1550–NEW)’’ 

in the subject line of the message and 

include your name and telephone 

number in the message. 

• Fax: (202) 906–6518. 

• Mail: Information Collection 

Comments, Chief Counsel’s Office, 

Office of Thrift Supervision, 1700 G 

Street, NW., Washington, DC 20552, 

Attention: ‘‘Advanced Capital Adequacy 

Framework Regulatory Reporting 

Requirements (1550–NEW).’’ 

• Hand Delivery/Courier: Guard’s 

Desk, East Lobby Entrance, 1700 G 

Street, NW., from 9 a.m. to 4 p.m. on 

business days, Attention: Information 

Collection Comments, Chief Counsel’s 

Office, Attention: ‘‘Advanced Capital 

Adequacy Framework Regulatory 

Reporting Requirements (1550–NEW).’’ 

Instructions: All submissions received 

must include the agency name and 

‘‘Advanced Capital Adequacy 

Framework Regulatory Reporting 

Requirements (1550–NEW).’’ All 


sroberts on PROD1PC70 with NOTICES
55982 Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Notices 

2For the OCC: http://www.occ.treas.gov; for the 

FDIC: http://www.fdic.gov; for the OTS: http:// 

www.ots.treas.gov; for the Board: http:// 

www.federalreserve.gov/boarddocs/reportforms/

review.cfm; and for the FFIEC: http://www.ffiec.gov/ 

ffiec_report_forms.htm. 

3Terms used in this text and in the proposed 

regulatory reporting schedules and instructions are 

used as defined in the NPR. 

comments received will be posted 

without change to the OTS Internet Site 

at http://www.ots.treas.gov/ 

pagehtml.cfm?catNumber=67&an=1, 

including any personal information 

provided. 

Docket: For access to the docket to 

read background documents or 

comments received, go to http:// 

www.ots.treas.gov/ 

pagehtml.cfm?catNumber=67&an=1. In 

addition, you may inspect comments at 

the Public Reading Room, 1700 G Street, 

NW., by appointment. To make an 

appointment for access, call (202) 906–

5922, send an e-mail to 

public.info@ots.treas.gov, or send a 

facsimile transmission to (202) 906–

7755. (Prior notice identifying the 

materials you will be requesting will 

assist us in serving you.) We schedule 

appointments on business days between 

10 a.m. and 4 p.m. In most cases, 

appointments will be available the next 

business day following the date we 

receive a request. 

A copy of the comments may also be 

submitted to the OMB desk officer 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, or by fax to (202) 395–6974. 

FOR FURTHER INFORMATION CONTACT: For 

further information about the proposed 

regulatory reporting requirements 

discussed in this notice, please contact 

any of the agency clearance officers 

whose names appear below. In addition, 

copies of reporting schedules and 

instructions can be obtained at each 

agency’s Web site as well as the FFIEC’s 

Web site.2

OCC: Please direct substantive 

questions to Lorey Hoffman, Large Bank 

Director, Large Bank Supervision, (202) 

874–4595, and requests for copies of the 

collection to Mary Gottlieb, OCC 

Clearance Officer, or Camille Dickerson, 

(202–874–5090), Legislative and 

Regulatory Activities Division, Office of 

the Comptroller of the Currency, 250 E 

Street, SW., Washington, DC 20219. 

Board: Michelle Long, Federal 

Reserve Board Clearance Officer, 

Division of Research and Statistics, 

Board of Governors of the Federal 

Reserve System, Washington, DC 20551 

(202–452–3829). 

FDIC: Steven F. Hanft, Clearance 

Officer, at shanft@fdic.gov, (202–898–

3907), Legal Division, Federal Deposit 

Insurance Corporation, 550 17th Street, 

NW., Washington, DC 20429. 

OTS: Marilyn K. Burton, OTS 

Clearance Officer, at 

marilyn.burton@ots.treas.gov, (202) 

906–6467, or facsimile number (202) 

906–6518, Litigation Division, Chief 

Counsel’s Office, Office of Thrift 

Supervision, 1700 G Street, NW., 

Washington, DC 20552. 

SUPPLEMENTARY INFORMATION: The 

agencies are proposing to implement the 

following new information collections. 

Report Title: Advanced Capital 

Adequacy Framework Regulatory 

Reporting Requirements. 

Form Numbers: FFIEC 101. 

Frequency of Response: Quarterly. 

Affected Public: Business or other forprofit. 

OCC 

OMB Number: 1557–NEW. 

Estimated Number of Respondents: 52 

national banks. 

Estimated Time per Response: 280 

hours. 

Estimated Total Annual Burden: 

58,240 hours. 

Board 

OMB Number: 7100–NEW. 

Estimated Number of Respondents: 6 

state member banks. 

Estimated Time per Response: 280 

hours. 

Estimated Total Annual Burden: 

6,720 hours. 

OMB Number: 7100–NEW. 

Estimated Number of Respondents: 15 

BHCs. 

Estimated Time per Response: 280 

hours. 

Estimated Total Annual Burden: 

16,800 hours. 

FDIC 

OMB Number: 3064–NEW. 

Estimated Number of Respondents: 19 

state nonmember banks. 

Estimated Time per Response: 280 

hours. 

Estimated Total Annual Burden: 

21,280 hours. 

OTS 

OMB Number: 1550–NEW. 

Estimated Number of Respondents: 5 

savings associations. 

Estimated Time per Response: 280 

hours. 

Estimated Total Annual Burden: 

5,600 hours. 

General Description of Reports 

These information collections would 

be mandatory for banks using the 

Advanced Capital Adequacy 

Framework: 12 U.S.C. 161 (for national 

banks), 12 U.S.C. 324 and 12 U.S.C. 

1844(c) (for state member banks and 

BHCs, respectively), 12 U.S.C. 1817 (for 

insured state nonmember commercial 

and savings banks), and 12 U.S.C. 1464 

(for savings associations). These 

information collections would be given 

confidential treatment (5 U.S.C. 

552(b)(4)) except for selected data items 

to be released for data collected from a 

reporting entity during periods 

subsequent to its parallel run period 

(Schedules A and B, and data items 1–

7 of Schedule V). 

Abstract 

Each bank that qualifies for and 

applies the advanced internal ratingsbased approach for credit risk and the 

advanced measurement approach for 

operational risk would file quarterly 

regulatory data for the agencies’ use in 

assessing and monitoring the levels and 

components of each reporting entity’s 

risk-based capital requirements and the 

adequacy of the entity’s capital under 

the Advanced Capital Adequacy 

Framework. These data also would 

support the agencies’ efforts to evaluate 

the quantitative impact and competitive 

implications of the Advanced Capital 

Adequacy Framework on individual 

reporting entities and on an industrywide basis. The reporting schedules 

would also assist banks in 

understanding expectations surrounding 

the system development necessary for 

implementation and validation of the 

Advanced Capital Adequacy 

Framework. The submitted data that is 

released publicly would also provide 

other interested parties with 

information about banks’ risk-based 

capital. In addition, the submitted data 

would supplement on-site examination 

processes. 

Current Actions; Risk-Based Capital 

Standards: Advanced Capital Adequacy 

Framework: Regulatory Reporting 

Requirements 

I. Background 

The agencies have today published a 

joint notice of proposed rulemaking 

entitled Risk-Based Capital Standards: 

Advanced Capital Adequacy Framework 

(the NPR).3 The NPR describes a new 

regulatory capital framework for U.S. 

banks that qualify for and adopt the 

advanced internal ratings-based (AIRB) 

approach for credit risk and the 

advanced measurement approach 

(AMA) for operational risk (together, the 

advanced approaches). Included within 

the NPR are requirements for public 


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Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Notices 55983 

4 General risk-based capital data under the 

existing risk-based capital standards are currently 

captured in the Consolidated Reports of Condition 

and Income (Call Report) for banks (Form FFIEC 

031 or FFIEC 041; OMB No. 1557–0081 for the OCC, 

7100–0036 for the Board, and 3064–0052 for the 

FDIC), the Thrift Financial Report (TFR) for savings 

associations (OTS Form 1313; OMB No. 1550–

0023), and the Consolidated Financial Statements 

for Bank Holding Companies (Board Form FR Y–9C; 

OMB No. 7100–0128). 

disclosure of certain information at the 

consolidated banking organization level 

as well as a reference to certain 

additional regulatory reporting 

requirements for depository institutions 

(DIs) and BHCs. The additional 

regulatory reporting requirements 

referenced within the NPR, and 

described more fully herein, comprise 

the agencies’ proposed regulatory 

reporting requirements. 

The agencies, all of which would have 

access to both the public and 

confidential data submitted in these 

schedules by each bank, would use the 

data collected through this proposal to: 

• Assess the components of each 

bank’s risk-based capital requirements; 

• Assess each bank’s capital relative 

to inherent risks and the agencies’

minimum capital requirements; 

• Monitor the levels and components 

of the risk-based capital requirements 

for banks through peer, outlier, and risk 

trend analyses; 

• Evaluate the quantitative impact 

and competitive implications of the 

implementation of the Advanced 

Capital Adequacy Framework on riskbased capital levels within reporting 

banks and on an overall industry basis; 

• Provide market participants, 

depositors, the public, supervisors, and 

other interested parties with 

information about banks’ risk-based 

capital; and 

• Supplement on-site examination 

processes and decisions pertaining to 

the allocation of supervisory resources. 

In addition, this proposal would assist 

supervised institutions in 

understanding expectations surrounding 

the system development necessary for 

implementation and validation of the 

Advanced Capital Adequacy 

Framework. 

The agencies require the ability to 

monitor and assess individual banks’

conformance with capital adequacy 

standards and understand the capital 

resulting from the implementation of 

the Advanced Capital Adequacy 

Framework. The current regulatory 

capital data submitted by banks would 

not provide relevant information 

regarding risk-based capital under the 

Advanced Capital Adequacy 

Framework. As a result, the agencies 

outline in this notice their proposed 

changes in regulatory capital reporting 

for banks using the Advanced Capital 

Adequacy Framework within the United 

States. Because the NPR includes 

transitional arrangements that involve 

capital floors linked to the general riskbased capital rules (as defined in the 

NPR), the agencies believe it is 

necessary to require data submissions 

under both the general risk-based 

capital rules and advanced risk-based 

capital frameworks for as long as a bank 

is subject to risk-based capital floors. 

As noted in the NPR, the agencies 

intend to conduct analyses to gauge the 

impact of the Advanced Capital 

Adequacy Framework, and the 

preparedness of banks to compute riskbased capital consistent with those 

requirements, during the parallel run 

and transitional floor periods. Data 

submitted through this proposal, 

combined with dual reporting 

requirements for the general risk-based 

capital data,4 would provide 

quantitative support for these impact 

analyses. Such analyses would also help 

the agencies evaluate the competitive 

and cyclical implications of the 

Advanced Capital Adequacy Framework 

relative to capital requirements for 

banks subject to the general risk-based 

capital rules and the adequacy of capital 

generated under the Advanced Capital 

Adequacy Framework. 

A bank that applies the proposed 

advanced approaches would generally 

use its internal risk measurement 

systems to estimate risk parameters for 

credit risk exposures and to estimate 

operational risk exposure. The bank 

would use specific risk-based capital 

formulas to transform the risk 

parameters into risk-weighted asset 

amounts for each wholesale credit 

exposure and segment of retail credit 

exposures. For each wholesale credit 

exposure and segment of retail credit 

exposures, a bank would assign three 

quantitative risk parameter estimates: 

Probability of default (PD), which 

measures the likelihood that an obligor 

will default over a one-year horizon; 

loss given default (LGD), which is an 

estimate of the economic loss if a 

default occurs during downturn 

economic conditions; and exposure at 

default (EAD), which is measured in 

dollars and is an estimate of the amount 

that would be owed to the bank at the 

time of default. For each wholesale 

credit exposure, the bank would also 

determine effective maturity (M), which 

is measured in years and reflects the 

effective remaining maturity of the 

exposure. These risk parameters are the 

drivers of the bank’s regulatory capital 

requirement for wholesale and retail 

credit exposures and the focus of much 

of the proposed regulatory reporting. 

Under the advanced approaches, a 

bank would employ simple risk weights 

to determine regulatory capital 

requirements for certain equity and 

securitization exposures, and may use 

internal models to determine regulatory 

capital requirements for other equity 

and securitization exposures, as well as 

for operational risk. The associated 

proposed regulatory reporting schedules 

primarily relate to data on inputs to and 

outputs from these internal models and 

risk-weight functions. 

Under the advanced approaches, a 

bank would use its internal systems and 

processes to assess its exposure to 

operational risk. The proposed 

operational risk reporting schedule 

would capture some of the critical 

inputs used by the bank to estimate its 

operational risk exposure. 

The agencies believe it is necessary to 

develop surveillance tools to assist in 

monitoring banks’ risk-based capital 

measures. Such surveillance tools 

include the ability to perform bank-tobank comparisons of the risk-based 

capital drivers underlying banks’ capital 

measures, the ability to identify 

potential outliers through bank-to-peer 

comparisons, and the ability to monitor 

banks’ capital measures over time 

relative to trends in other risk 

indicators. 

The agencies believe that certain 

information about banks’ risk-based 

capital calculations that would be 

submitted under this proposal should be 

publicly available to market participants 

and that such disclosures at the bank 

level are consistent with the agencies’

objectives of promoting market 

discipline as described in part VII of the 

preamble of the NPR. The agencies 

intend that the public data items 

contained within this proposal would 

provide market participants with basic, 

summary-level standardized 

information about the main components 

of banks’ risk-based capital 

requirements. The standardized 

regulatory reporting information that 

would be available to the public should 

augment the disclosures required for 

other public financial reporting 

purposes. 

As is true for any off-site surveillance 

system, the collection of advanced riskbased capital data is unlikely to capture 

the full range and complexity of bank 

activities. As a result, the agencies 

recognize that it will often not be 

possible to draw definitive conclusions 

from an analysis of data submissions 

without further follow-up through onsite supervisory activities. Nevertheless, 

the agencies believe that off-site 


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55984 Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Notices 

5See footnote 4. 

6One version of Schedule A would apply to 

banks and BHCs and another version of Schedule 

A would apply to savings associations. The version 

for banks and BHCs is modeled after the portion of 

the Call Report and BHC FR Y–9C report used to 

capture information on the components of and 

adjustments to Tier 1 and Tier 2 capital under the 

existing risk-based capital standards. Similarly, the 

version of Schedule A for savings associations is 

modeled after the portion of the TFR used to 

capture such information under the existing 

standards. In addition, to the extent the information 

collected in the Call Report, BHC FR Y–9C report, 

and TFR on the components of and adjustments to 

Tier 1 and Tier 2 capital under the existing 

standards is revised, e.g., for changes in the fair 

value of liabilities to which a fair value option is 

applied that are attributable to changes in a 

reporting entity’s own creditworthiness, 

corresponding revisions would be made to 

Schedule A. 

analyses of the data described in this 

proposal would be helpful in focusing 

the activities of on-site examiners and 

deploying supervisory resources most 

effectively. 

In developing this proposal, the 

agencies weighed several 

considerations. The factors the agencies 

considered included several trade-offs 

between reporting burden and the 

information needs of bank supervisors 

and market participants (for example, 

the level of reporting granularity 

necessary to produce meaningful 

comparisons of portfolio-level risks 

while minimizing reporting compliance 

costs and the potential for collected 

information to promote more informed 

decisions by market participants against 

the sensitive and confidential nature of 

risk estimates embedded within the 

advanced approaches). The agencies 

have also tried to anticipate and include 

data that meet their long-term data 

needs because comprehensive requests 

for data at the inception of a new 

reporting regime typically would be less 

costly to reporting institutions than the 

addition of items at a later date. The 

agencies believe this proposal 

appropriately balances these, and other, 

competing considerations. 

The agencies are publishing the NPR 

and the regulatory reporting proposal 

described herein at the same time as 

their notice of proposed rulemaking for 

the Market Risk Framework and its 

associated regulatory reporting proposal 

so that the industry, and other 

interested parties, may assess the full 

impact of the proposed rules. Part of 

this assessment includes an 

understanding of the requirements of 

compliant data systems, including the 

ability to produce certain high-level 

capital information for the public and 

more detailed, but still aggregated, 

summary information about each bank’s 

capital risk estimates to augment 

supervisory processes. 

II. Scope and Frequency of Reporting 

The proposed regulatory reporting 

requirements associated with the NPR 

described herein would apply, on a 

consolidated basis, to each BHC and 

each DI that qualifies for and applies the 

advanced approaches (see Part I, Section 

1, of the proposed regulatory text in the 

NPR for a detailed description of the 

institutions covered by this notice) as 

well as to those banks in the parallel run 

stage of qualifying to use the advanced 

approaches (see Part III, Section 21(c) of 

the proposed regulatory text in the 

NPR). Reporting BHCs and DIs would 

submit data quarterly because efforts to 

monitor banks’ progress toward, and 

actions under, the Advanced Capital 

Adequacy Framework require regular 

and consistent reports from all of the 

institutions adopting this framework. 

The agencies expect that the report 

due dates for the proposal described 

herein would be the same as the report 

due dates currently required of banks, 

savings associations, and BHCs when 

filing their respective Call Report, TFR, 

or BHC FR Y–9C report. In addition, the 

agencies expect all banks to meet the 

existing reporting standards for 

accuracy and other requirements as 

currently mandated by their primary 

Federal supervisor. 

The first reporting period for 

Schedules A through V for each 

reporting entity seeking to qualify for 

the advanced approaches would 

correspond to the first quarter of its 

parallel run period. All data collected 

from each reporting entity on Schedules 

A through V, including those data items 

identified as public data items below, 

would remain confidential during the 

entity’s parallel run period. The data 

items identified below as public data 

elements would be available to the 

public for each reporting entity for data 

collected during reporting periods 

subsequent to the entity’s parallel run 

period. 

Reporting banks would be required to 

submit capital information under both 

this reporting proposal and under the 

existing risk-based capital reporting 

requirements during both the relevant 

parallel run period and subsequent 

transitional floor periods.5 The purpose 

of this dual reporting requirement is 

threefold: (1) It would facilitate dialogue 

between supervisors and banks as banks 

bring their systems and data into 

compliance with supervisory 

expectations; (2) it would allow the 

agencies to monitor and ensure 

compliance with existing risk-based 

capital rules during the parallel run 

period and with those rules that would 

be in effect during subsequent 

transitional floor periods; and (3) it 

would aid in supervisors’ development 

of comparisons of risk-based capital 

results between the Advanced Capital 

Adequacy Framework and the existing 

risk-based capital frameworks for 

individual institutions and for the 

banking industry in the aggregate. 

III. Overview of the Data Collection 

Proposal 

The agencies believe that banks 

would produce the data necessary to 

support supervisory analyses as part of 

their calculation of regulatory capital 

requirements. Accordingly, the 

regulatory reporting proposal requires 

certain data that would be publicly 

available and other data that would not 

be publicly available. Although this 

reporting proposal has not been 

designed to satisfy the NPR’s Pillar 3 

public disclosure requirements, banks 

may be able to use certain data items 

submitted through this proposal to help 

satisfy certain public disclosure 

requirements established in the 

Advanced Capital Adequacy 

Framework. 

A. Publicly Available Risk-Based 

Capital Data for the Advanced 

Approaches 

Regulatory reporting disclosures that 

would be publicly available for data 

collected from a reporting bank during 

periods subsequent to its parallel run 

period comprise various aggregated 

portfolio drivers of reporting banks’

risk-based capital levels. The intent of 

these disclosures is to provide market 

participants, depositors, supervisors, the 

public, and other interested parties with 

a sufficient level of detail (comparable, 

in principle, to risk-based capital 

information collected currently) about 

banks’ major capital and risk-weighted 

asset components as well as summary 

information about the composition of 

regulatory capital and the risk 

parameters that underlie risk-weighted 

asset calculations. 

Proposed Schedules A and B (and 

data items 1–7 of proposed Schedule V, 

Operational Risk) show the data items 

that would be publicly available for 

each reporting entity for reporting 

periods subsequent to its parallel run 

period. Schedule A contains 

information about the components of 

Tier 1 capital, Tier 2 capital, and 

adjustments to regulatory capital as 

defined within the NPR.6 Schedule B 

contains summary information about 

risk-weighted assets by risk type, and, in 

the case of credit risk exposures, 

outstanding balances and aggregated 

information about the drivers and 


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7Unlike the wholesale credit exposure reporting 

schedules, the PD ranges for retail exposures differ 

from sub-portfolio to sub-portfolio. 

8For qualifying and other non-mortgage retail 

exposures, the EAD of accounts under two years old 

is reported instead of weighted average age for each 

sub-portfolio exposure segment. 

9Amounts are further broken down by retail and 

non-retail. 

estimates that underlie the calculation 

of risk-weighted assets. The general 

exposure breakdowns in Schedule B are 

as follows: Wholesale Exposures 

(including separate reporting for the 

following types of exposures: Corporate; 

Bank; Sovereign; Construction Income 

Producing Real Estate; High Volatility 

Commercial Real Estate; Income 

Producing Real Estate; Eligible Margin 

Loans, Repo-Style Transactions, and 

OTC Derivatives with Cross Product 

Netting; Eligible Margin Loans, RepoStyle Transactions, and OTC Derivatives 

without Cross Product Netting); Retail 

Exposures (including separate reporting 

for the following types of exposures: 

Residential Mortgage Closed-end First 

Liens, Residential Mortgage Closed-end 

Junior Liens, Residential Mortgage 

Revolving Exposures, Qualifying 

Revolving Exposures Credit Cards, 

Qualifying Revolving Exposures All 

Other, Other Retail Small Business, and 

Other Retail All Other); Securitization 

Exposures; Equity Exposures; and 

Operational Risk. The aggregate data 

items submitted in Schedule B are 

derived from information contained in 

the more detailed confidential 

supporting schedules described below. 

The exposures and risk parameters used 

to calculate these aggregations would 

apply the definitions contained in the 

NPR. The data contained in Schedule B 

describe the main summary-level 

components of banks’ risk-weighted 

assets, but would not allow users to 

exactly replicate banks’ risk-weighted 

asset calculations since the data are 

averaged, weighted, and rounded. 

B. Non-Publicly Available Risk-Based 

Capital Data for the Advanced 

Approaches 

The confidential data submitted in 

these schedules by each bank would be 

shared among the four agencies but 

would not be released to the public. 

Data items that would not be publicly 

available comprise additional, but still 

aggregated, detail about the main data 

items and drivers of reporting banks’

risk-based capital levels. With respect to 

credit portfolios, the focus of these more 

detailed reports is to collect information 

at the level of supervisory PD bands that 

broadly reflect risk segments within 

each portfolio. The proposed reports 

would enable supervisors to conduct 

off-site assessments of banks’ regulatory 

capital calculations, perform trend 

analyses of capital changes, conduct 

peer analyses of capital and risk 

parameters, and focus on-site 

examination efforts. 

The data items contained in 

Schedules C through V describe the 

main components of banks’ riskweighted assets and are essentially 

expanded detail of the more summary 

information contained in the public data 

items shown in Schedule B. The data 

submitted in these schedules would not 

be made available to the public (except 

for data items 1–7 of Schedule V, 

Operational Risk, which are proposed to 

become public information for each 

reporting entity for data collected 

during periods subsequent to its parallel 

run reporting period). Supervisors are 

requesting these data to support 

comparisons of certain critical capital 

drivers across banks and across time. 

For the reasons cited previously, 

however, the information contained in 

the columns of the tables would not 

allow users to exactly replicate banks’

risk-weighted asset calculations. 

A brief description of the content of 

Schedules C through V follows. As with 

the publicly available information 

described above, the exposures and risk 

parameters used to calculate these 

aggregations would apply the 

definitions contained in the NPR. 

Wholesale Exposures 

Schedules C through K show data 

items within the wholesale exposure 

category that would be submitted under 

this proposal. Each schedule represents 

a sub-portfolio of the wholesale 

exposure category as listed on the 

public Schedule B. For each reported 

sub-portfolio, the schedule groups 

exposures into sub-portfolio segments 

using supervisor-defined PD ranges. The 

reported cells within these schedules 

then describe the main risk parameters 

and characteristics of each sub-portfolio 

segment. 

Retail Exposures 

Schedules L through R show data 

items within the retail exposure 

category that would be submitted under 

this proposal. Again, each schedule 

represents a sub-portfolio of the retail 

exposure category as listed on the 

public Schedule B. PD ranges are used 

to sub-divide each sub-portfolio into 

segments.7 The reported cells within 

these schedules then describe the main 

risk parameters and characteristics of 

each sub-portfolio segment. The retail 

schedules also incorporate risk 

characteristics that are believed to be 

commonly used drivers within banks’

risk management and measurement 

processes, including the distribution of 

each sub-portfolio segment by loan-tovalue ranges (applies only to real estate 

exposures), weighted average credit 

bureau score, and weighted average 

account age.8

Securitization Exposures 

Schedules S and T show data items 

within the securitization exposure class 

that would be submitted under this 

proposal. Schedule S provides 

information by rating categories about 

exposures subject to either the RatingsBased Approach (RBA) or the Internal 

Assessment Approach (IAA). Schedule 

T provides certain memoranda 

information about unrated securitization 

exposures, exposures treated under the 

Supervisory Formula Approach, 

synthetic securitizations, and riskweighted assets relating to early 

amortization features of securitizations 

as prescribed in the NPR.9

Equities 

Schedule U provides information 

about a bank’s equity exposures by type 

of exposure and by approach to 

measuring required capital. Schedule U 

also provides information on equity 

exposures subject to specific risk 

weights and equity exposures to 

investment funds. A bank would also 

complete the appropriate section of the 

schedule based on whether it uses a 

simple risk-weight approach, a full 

internal models approach, or a partially 

modeled approach to measuring 

required capital for equity exposures. 

Operational Risk 

Schedule V shows the data items 

within the operational risk exposure 

class that banks would submit under 

this proposal. Data items submitted in 

this schedule include various details 

about historical operational losses, on a 

stand-alone and group-wide basis, for 

the current reporting period and those 

historical operational losses used to 

model operational risk capital. The 

schedule also contains data items 

related to scenarios, distribution 

assumptions, and loss caps used to 

model operational risk capital. 

IV. Request for Comment 

Public comment is requested on all 

aspects of this joint notice. The agencies 

wish to encourage banks and other 

interested parties to comment on such 

matters as data availability, data 

alternatives, and reporting thresholds 

for each proposal for new data. The 

agencies are particularly interested in 

responses to the questions that follow 


sroberts on PROD1PC70 with NOTICES
55986 Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / Notices 

relating to certain key aspects of the 

proposal and potential data collection 

alternatives. 

(1) The agencies seek comment from 

the industry concerning the feasibility 

of collecting certain additional 

information beyond that described in 

this proposal. The purpose of this 

additional information is to help 

identify the causes of changes in credit 

risk regulatory capital requirements (for 

example, due to changes in exposure 

mix or changes in the bank’s assessment 

of risk). 

To facilitate such analyses, reporting 

banks would be required to submit 

additional data items that summarize 

current and previous risk parameters for 

exposures that were in wholesale and 

retail credit portfolios as of the previous 

reporting period (for example, prior 

quarter, prior year)—the ‘‘lookback’’

portfolio. The intent of this lookbackportfolio approach would be to allow 

the agencies to better identify reasons 

for observed changes in regulatory 

credit risk capital requirements and 

allow for peer comparisons of changes 

from period to period. 

A lookback-portfolio approach would 

require additional data collection and 

processing. For example, banks would 

need to retain data on the internal risk 

rating category to which each exposure 

was previously assigned, and the 

previous EAD of each exposure. The 

agencies believe that this data 

maintenance requirement is consistent 

with supervisory expectations described 

in the NPR and proposed AIRB 

guidance in that banks subject to the 

Advanced Capital Adequacy Framework 

are expected to be able to evaluate and 

explain changes in risk parameters in 

order to assess their risk parameter 

estimation procedures. 

The agencies specifically seek 

industry comment on the following 

questions: 

• What aggregate summary 

information might banks submit that 

best describes or characterizes periodto-period migration across internal 

rating grades or retail segments? 

• If such information were required, 

are there particular formats or other 

considerations that would reduce the 

reporting burden for banks? 

(2) The agencies are considering 

another alternative reporting treatment 

with respect to the wholesale and retail 

portions of the above proposal 

(Schedules C–R). This alternative 

treatment would complement the 

lookback-portfolio approach just 

described but could be implemented 

whether or not the lookback-portfolio 

approach was implemented. Under this 

approach, banks would submit data 

according to each of their internal 

obligor rating grades or segments, rather 

than in the fixed bands defined in the 

current regulatory reporting proposal. In 

this case, each reporting bank could 

submit a different number of rows 

corresponding to the number of internal 

risk rating/segmentation categories 

employed by that bank for the given 

portfolio. 

The agencies specifically seek 

industry comment on the following 

question: 

• Would reporting burden be 

lessened if banks submitted data using 

internally-defined obligor grades or 

segments, rather than aggregating the 

grades or segments in supervisory 

reporting bands? 

(3) The agencies request comment on 

the appropriateness of making the data 

items on Schedules A and B and data 

items 1 through 7 of the operational risk 

reporting schedule (Schedule V) 

available to the public for each reporting 

entity for data collected during periods 

subsequent to its parallel run reporting 

periods as currently proposed. 

Comments are requested on the extent 

to which banks are already providing 

these data to the public or are planning 

to make such data public as well as the 

timing of these disclosures. In addition, 

comments are requested on the 

perceived risks associated with public 

reporting of these data items. 

(4) What changes in the proposed 

regulatory reporting requirements for 

the Advanced Capital Adequacy 

Framework, including additional data or 

definitions, would better assist the 

agencies in reaching their stated goals? 

In this regard, the agencies also seek 

input on possible alternative ways to 

capture the requested information and 

the appropriateness of the requested 

data given the stated purposes of the 

information collections and the 

associated reporting burden. 

Paperwork Reduction Act 

The agencies seek comment on: 

(a) Whether the proposed collections 

of information 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 proposed 

information collections, 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 

the 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 and will be summarized or 

included in the agencies’ requests for 

OMB approval. All comments will 

become a matter of public record. 

Dated: September 6, 2006. 

Stuart E. Feldstein, 

Assistant Director, Legislative and Regulatory 

Activities Division, Office of the Comptroller 

of the Currency. 

Board of Governors of the Federal Reserve 

System, September 11, 2006. 

Jennifer J. Johnson, 

Secretary of the Board. 

Dated at Washington, DC, this 8th day of 

September, 2006. 

Federal Deposit Insurance Corporation. 

Robert E. Feldman, 

Executive Secretary. 

Dated: September 7, 2006. 

Deborah Dakin, 

Senior Deputy Chief Counsel, Regulations and 

Legislation Division, Office of Thrift 

Supervision. 

[FR Doc. 06–7674 Filed 9–22–06; 8:45 am] 

BILLING CODE 4810–33–P; 6210–01–P; 6714–01–P; 

6720–01–P 

DEPARTMENT OF THE TREASURY 

Office of the Comptroller of the 

Currency 

FEDERAL RESERVE SYSTEM 

FEDERAL DEPOSIT INSURANCE 

CORPORATION 

DEPARTMENT OF THE TREASURY 

Office of Thrift Supervision 

Proposed Agency Information 

Collection Activities; Comment 

Request 

AGENCIES: Office of the Comptroller of 

the Currency (OCC), Treasury; Board of 

Governors of the Federal Reserve 

System (Board); Federal Deposit 

Insurance Corporation (FDIC); and 

Office of Thrift Supervision (OTS), 

Treasury. 

ACTION: Joint notice and request for 

comment. 

SUMMARY: In accordance with the 

requirements of the Paperwork 

Reduction Act of 1995 (44 U.S.C. 


sroberts on PROD1PC70 with NOTICES