[Federal Register Volume 80, Number 32 (Wednesday, February 18, 2015)]
[Notices]
[Pages 8760-8763]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-03265]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

FEDERAL RESERVE SYSTEM

FEDERAL DEPOSIT INSURANCE CORPORATION


Agency Information Collection Activities: Submission for OMB 
Review; Joint 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: Notice of information collections to be submitted to the Office 
of Management and Budget (OMB) for review and approval under the 
Paperwork Reduction Act of 1995.

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SUMMARY: In accordance with the requirements of the Paperwork Reduction 
Act (PRA) of 1995 (44 U.S.C. chapter 35), 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 OMB control number. On September 2, 2014, 
the agencies, under the auspices of the Federal Financial Institutions 
Examination Council (FFIEC), requested public comment for 60 days on 
the implementation of the proposed Market Risk Regulatory Report for 
Institutions Subject to the Market Risk Capital Rule (FFIEC 102). The 
proposed reporting requirements reflect the revised regulatory capital 
rules adopted by the agencies in July 2013 (revised regulatory capital 
rules) and would collect key information from respondents on how they 
measure and calculate market risk under the agencies' revised 
regulatory capital rules. The FFIEC and the agencies will proceed with 
the implementation of the FFIEC 102 reporting requirements 
substantially as proposed, with certain clarifications pertaining to 
the comprehensive risk capital requirement to address a comment 
received on the proposed new regulatory report. The proposed FFIEC 102 
reporting requirements would take effect as of March 31, 2015, for 
institutions subject to the market risk capital rule as incorporated 
into Subpart F of the revised regulatory capital rules (market risk 
capital rule).

DATES: Comments must be submitted on or before March 20, 2015.

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: Commenters are encouraged to submit comments by email. Please 
use the title ``FFIEC 102'' to facilitate the organization and 
distribution of the comments. You may submit comments by any of the 
following methods:
    <bullet> Email: <a href="/cdn-cgi/l/email-protection#02706765712c616d6f6f676c7671426d61612c76706763712c656d74"><span class="__cf_email__" data-cfemail="d5a7b0b2a6fbb6bab8b8b0bba1a695bab6b6fba1a7b0b4a6fbb2baa3">[email protected]</span></a>.
    <bullet> Mail: Legislative and Regulatory Activities Division, 
Office of the Comptroller of the Currency, 400 7th Street SW., Suite 
3E-218, Mail Stop 9W-11, Washington, DC 20219.
    <bullet> Hand Delivery/Courier: 400 7th Street SW., Suite 3E-218, 
Mail Stop 9W-11, Washington, DC 20219.
    <bullet> Fax: (571) 465-4326.
    Instructions: You must include ``OCC'' as the agency name and 
``FFIEC 102'' in your comment. In general, OCC will enter all comments 
received into the docket and publish them on the Regulations.gov Web 
site without change, including any business or personal information 
that you provide 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 enclose any information in your comment or 
supporting materials that you consider confidential or inappropriate 
for public disclosure.

[[Page 8761]]

    You may personally inspect and photocopy comments at the OCC, 400 
7th Street SW., Washington, DC 20219. For security reasons, the OCC 
requires that visitors make an appointment to inspect comments. You may 
do so by calling (202) 649-6700. Upon arrival, visitors will be 
required to present valid government-issued photo identification and to 
submit to security screening in order to inspect and photocopy 
comments.
    Board: You may submit comments, which should refer to ``FFIEC 102'' 
by any of the following methods:
    <bullet> Agency Web site: http://www.federalreserve.gov. Follow the 
instructions for submitting comments at: http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
    <bullet> Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
    <bullet> Email: <a href="/cdn-cgi/l/email-protection#87f5e2e0f4a9e4e8eaeae2e9f3f4c7e1e2e3e2f5e6ebf5e2f4e2f5f1e2a9e0e8f1"><span class="__cf_email__" data-cfemail="53213634207d303c3e3e363d2720133536373621323f213620362125367d343c25">[email protected]</span></a>. Include reporting 
form number in the subject line of the message.
    <bullet> Fax: (202) 452-3819 or (202) 452-3102.
    <bullet> Mail: Robert DeV. Frierson, Secretary, Board of Governors 
of the Federal Reserve System, 20th Street and Constitution Avenue NW., 
Washington, DC 20551.
    All public comments will be made available on the Board's Web site 
at http://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. Public comments may also be viewed electronically or in 
paper form in Room 3515, 1801 K Street (between 18th and 19th Streets 
NW.) Washington, DC 20006 between 9:00 a.m. and 5:00 p.m. on weekdays.
    FDIC: You may submit comments, which should refer to ``FFIEC 102,'' 
by any of the following methods:
    <bullet> Agency Web site: http://www.fdic.gov/regulations/laws/federal/. Follow the instructions for submitting comments on the FDIC 
Web site.
    <bullet> Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
    <bullet> Email: <a href="/cdn-cgi/l/email-protection#d4b7bbb9b9b1baa0a79492909d97fab3bba2"><span class="__cf_email__" data-cfemail="0c6f6361616962787f4c4a48454f226b637a">[email protected]</span></a>. Include ``FFIEC 102'' in the 
subject line of the message.
    <bullet> Mail: Gary A. Kuiper, Counsel, Attn: Comments, Room NYA-
5046, Federal Deposit Insurance Corporation, 550 17th Street NW., 
Washington, DC 20429.
    <bullet> 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 http://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 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; by fax to (202) 395-6974; or by email to 
<a href="/cdn-cgi/l/email-protection#f6999f8497a98583949b9f85859f9998b6999b94d8939986d8919980"><span class="__cf_email__" data-cfemail="36595f4457694543545b5f45455f595876595b541853594618515940">[email protected]</span></a>.

FOR FURTHER INFORMATION CONTACT: For further information about the 
proposed market risk regulatory reporting requirements discussed in 
this notice, please contact any of the agency clearance officers whose 
names appear below. In addition, copies of the proposed FFIEC 102 
reporting forms and instructions are available on the FFIEC's Web site 
(http://www.ffiec.gov/ffiec_report_forms.htm).
    OCC: Mary H. Gottlieb, OCC Clearance Officer, (202) 649-5490, for 
persons who are deaf or hard of hearing, TTY, (202) 649-5597, 
Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency, 400 7th Street SW., Washington, DC 20219.
    Board: John Schmidt, Federal Reserve Board Clearance Officer, (202) 
728-5859, 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: Gary A. Kuiper, Counsel, (202) 898-3877, and John Popeo, 
Counsel, (202) 898-6923, Legal Division, Federal Deposit Insurance 
Corporation, 550 17th Street NW., Washington, DC 20429.

SUPPLEMENTARY INFORMATION: The agencies are proposing to implement the 
following new information collection:
    Report Title: Market Risk Regulatory Report for Institutions 
Subject to the Market Risk Capital Rule.
    Form Number: FFIEC 102.
    Frequency of Response: Quarterly.
    Affected Public: Business or other for-profit.

OCC

    OMB Number: 1557-NEW.
    Estimated Number of Respondents: 13 national banks and federal 
savings associations.
    Estimated Time per Response: 12 burden hours per quarter to file.
    Estimated Total Annual Burden: 624 burden hours to file.

Board

    OMB Number: 7100-NEW.
    Estimated Number of Respondents: 27 state member banks, bank 
holding companies, and savings and loan holding companies.
    Estimated Time per Response: 12 burden hours per quarter to file.
    Estimated Total Annual Burden: 1,296 burden hours to file.

FDIC

    OMB Number: 3064-NEW.
    Estimated Number of Respondents: 1 insured state nonmember bank and 
state savings association.
    Estimated Time per Response: 12 burden hours per quarter to file.
    Estimated Total Annual Burden: 48 burden hours to file.

General Description of Reports

    The information collections would be mandatory for market risk 
institutions, defined for this purpose as those institutions that are 
subject to the market risk capital rule as incorporated into Subpart F 
of the revised regulatory capital rules (market risk institutions).\1\ 
All data reported in the FFIEC 102 would be available to the public.
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    \1\ See 12 CFR 3.201 (OCC); 12 CFR 217.201 (Board); and 12 CFR 
324.201 (FDIC). The market risk 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. The statutory provisions that 
grant the agencies the authority to impose capital requirements are 
12 U.S.C. 161 (national banks), 12 U.S.C. 324 (state member banks), 
12 U.S.C. 1844(c) (bank holding companies (BHCs)), 12 U.S.C. 
1467a(b) (savings and loan holding companies (SLHCs)), 12 U.S.C. 
1817 (insured state nonmember commercial and savings banks), and 12 
U.S.C. 1464 (savings associations).
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Abstract

    Each market risk institution would be required to file the FFIEC 
102 for the agencies' use in assessing the reasonableness and accuracy 
of the institution's calculation of its minimum capital requirements 
under the market risk capital rule and in evaluating the institution's 
capital in relation to its risks. Additionally, the market risk 
information collected in the FFIEC 102 would: (a) Permit the agencies 
to monitor the market risk profile of and evaluate the impact and 
competitive implications of the market risk capital rule on individual 
market risk institutions and the industry as a whole; (b) provide the 
most current statistical data available to identify areas of market 
risk on which to focus for onsite and

[[Page 8762]]

offsite examinations; (c) allow 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 market risk capital rule; and (d) 
assist market risk institutions to implement and validate the market 
risk framework.

Current Actions

I. Summary

    The agencies previously requested public comment on the proposed 
new Market Risk Regulatory Report for Institutions Subject to the 
Market Risk Capital Rule.\2\ The agencies received one comment on these 
proposed collections. The agencies are submitting the collections for 
OMB approval with clarifying treatment made in response to the comment 
received.
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    \2\ 79 FR 52108 (September 2, 2014).
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II. Risk-Based Capital Standards--The Market Risk Framework and 
Regulatory Reporting Requirements

    In July 2013, the agencies adopted amendments to their capital 
rules, including the market risk capital rule.\3\ The revised market 
risk capital rule took effect on January 1, 2015, and contains 
requirements for the public disclosure of certain information at the 
consolidated banking organization level as well as certain additional 
regulatory reporting by insured depository institutions (IDIs), BHCs, 
and SLHCs (BHCs and SLHCs are collectively referred to as ``holding 
companies'' (HCs)).
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    \3\ The agencies approved and issued the revised regulatory 
capital rules in July 2013. The Board and the OCC published the 
revised regulatory capital rules in the Federal Register on October 
11, 2013. See 78 FR 62018. The FDIC published a revised regulatory 
capital interim final rule and a final rule with no substantive 
changes in the Federal Register on September 10, 2013, and April 14, 
2014, respectively. See 78 FR 55340 and 79 FR 20754.
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    Those IDIs and HCs that were subject to the agencies' prior market 
risk capital rule \4\ have provided the amount of their market risk 
equivalent assets in reports, such as the Consolidated Reports of 
Condition and Income (Call Report) (FFIEC 031 or FFIEC 041) \5\ or the 
Consolidated Financial Statements for Holding Companies (FR Y-9C),\6\ 
as applicable. These regulatory reporting requirements reveal the end 
result of the market risk calculations but do not include the key 
components of the measurement of market risk. The agencies are 
proposing the expanded uniform regulatory reporting requirements 
described in this notice in order to assess the reasonableness and 
accuracy of a market risk institution's calculation of its minimum 
capital requirements under the market risk capital rule and to evaluate 
a market risk institution's capital in relation to its risks. 
Importantly, the FFIEC 102 would allow the agencies to better track 
growth in more credit-risk related, less liquid, and less actively 
traded products subject to the market risk capital rule. Historically, 
the risks of these products have been difficult to capture and measure. 
These reports are designed to help the agencies in ensuring that these 
risks are adequately identified and their impact appropriately 
reflected in assessments of the safety and soundness of market risk 
institutions.
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    \4\ See the agencies' prior market risk capital rule at 12 CFR 
part 3, appendix B (OCC); 12 CFR parts 208 and 225, appendix E 
(Board); and 12 CFR part 325, appendix C (FDIC).
    \5\ OMB Numbers: OCC, 1557-0081; Board, 7100-0036; and FDIC, 
3064-0052.
    \6\ OMB Number: Board, 7100-0128.
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    In this regard, the reported data would improve the agencies' 
ability to monitor the levels of, and trends in, the components that 
comprise the market risk measure under the market risk capital rule 
within and across market risk institutions. Such component reporting 
would allow supervisors to better understand on an ongoing basis model-
implied diversification benefits for individual market risk 
institutions. The data would also enhance the agencies' ability to 
perform institution-to-institution comparisons of the drivers 
underlying market risk institutions' measures for market risk, identify 
potential outliers through market risk institution-to-peer comparisons, 
track these drivers over time relative to trends in other risk 
indicators at market risk institutions, and focus onsite examination 
efforts.

III. Scope and Frequency of Regulatory Reporting

    The proposed FFIEC 102 regulatory reporting requirements would 
apply on a consolidated basis to each HC and each IDI that is required 
to calculate its risk-based capital using the market risk capital rule. 
Reporting HCs and IDIs would submit reports quarterly in line with 
efforts to monitor market risk institutions' progress toward, and 
actions under, the market risk capital rule, which requires regular and 
consistent reports from all market risk institutions.
    The data would be collected on a quarterly basis as of the last 
calendar day of March, June, September, and December. The report due 
dates would coincide with the report due dates currently required of 
IDIs and HCs when filing their respective Call Reports or FR Y-9C 
reports, as applicable. Market risk institutions would begin reporting 
effective with the March 31, 2015, report date.

IV. Overview of the Proposed Information Collections

    The proposed FFIEC 102 shows the data elements within the market 
risk exposure class that would be reported under the market risk 
capital rule. The data submitted in the FFIEC 102 would be shared among 
the three agencies and made available to the public.
    The proposed FFIEC 102 is subdivided into several sections and 
memoranda. The sum of the data reported in each of the sections would 
be used to calculate a market risk institution's risk-weighted assets 
(RWAs) for market risk. The first section contains data elements 
relating to a market risk institution's approved regulatory market risk 
models, including details of value-at-risk (VaR)-based measures (for 
the previous day's VaR measure and the average over the preceding 60 
business days). The second section is similar in structure to the first 
section except that it includes information on a market risk 
institution's stressed VaR-based measures. The third section contains 
data elements relating to specific risk add-ons based on a market risk 
institution's debt, equity and non-modeled securitization positions. 
Securitization positions would be broken out for all market risk 
institutions and for advanced approaches institutions \7\ that are also 
market risk institutions, resulting in the separate reporting of a 
standardized measure and an advanced measure for specific risk. The 
fourth section sets forth the data for the incremental risk capital 
requirement. The fifth section contains data on the comprehensive risk 
capital measurement including the specific risk add-ons for net long 
and net short correlation trading positions used in determining a 
market risk institution's standardized comprehensive risk measure, and 
as applicable, its advanced comprehensive risk measure. The remaining 
section contains data elements for de minimis positions. Data elements 
from these sections combine to produce standardized market RWAs, and as 
applicable, advanced approaches market RWAs.
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    \7\ Advanced approaches institutions are institutions subject to 
the advanced measurement approaches as incorporated into Subpart E 
of the revised regulatory capital rules.
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    The agencies received one comment requesting clarification of the

[[Page 8763]]

calculation of items pertaining to the comprehensive risk capital 
requirement. The agencies have updated the relevant items on the 
reporting form and instructions to align with the calculation 
methodology for the comprehensive risk capital requirement in the 
market risk capital rule.\8\
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    \8\ See 12 CFR part 3, subpart F (OCC); 12 CFR part 217 subpart 
F (Board); and 12 CFR part 324, subpart F (FDIC).
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    The proposed reporting form also has a Memoranda section that is 
comprised of 22 line items. Because these line items do not directly 
contribute to the determination of market RWAs, they would be reported 
in the separate Memoranda section. The agencies believe that these 
items will provide additional insight into the risk profile of a market 
risk institution's trading activity. For example, the first twelve 
lines of the Memoranda section will contribute to the agencies' 
understanding of the degree to which diversification effects across the 
principal market risk drivers are material.
    In developing this proposal, the agencies considered several 
tradeoffs between the reporting burden on market risk institutions and 
the information needs of bank supervisors. One issue that the agencies 
identified was that market risk institutions have exposures in certain 
products that might fit into more than one of the specified risk 
categories (e.g., interest rate, equity, foreign exchange, commodities, 
and credit). For example, convertible securities will mostly be subject 
to interest rate risk unless their value converges with that of the 
underlying equity. Similarly, foreign exchange swaps are primarily 
interest rate positions, but it is possible that a market risk 
institution might classify some as subject to foreign exchange risk. 
Accordingly, for purposes of reporting the VaR- or stressed VaR-based 
measures on the FFIEC 102, market risk institutions may classify their 
exposures in the same risk categories in which they are reported 
internally. Similarly, for purposes of reporting on the proposed FFIEC 
102, the agencies have proposed to define diversification benefit as 
any adjustment to VaR- or stressed VaR-based measures that a market 
risk institution makes to reflect the absence of a perfect statistical 
correlation between the values of the underlying positions. The 
agencies also recognize that some market risk institutions may not 
adjust for diversification benefits in their VaR- or stressed VaR-based 
estimates, and in that case a market risk institution would not be 
required to estimate such benefits for purposes of reporting on the 
FFIEC 102.

V. Electronic Submission of Reports

    Consistent with the requirements for the agencies' reports that 
collect data under the current regulatory capital reporting 
requirements,\9\ market risk institutions subject to the proposed 
reporting requirements would be required to submit the FFIEC 102 in an 
electronic format using file specifications and formats to be 
determined by the agencies.
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    \9\ Consolidated Reports of Condition and Income for a Bank with 
Domestic and Foreign Offices (FFIEC 031), Consolidated Reports of 
Condition and Income for a Bank with Domestic Offices Only (FFIEC 
041), Consolidated Financial Statements for Holding Companies (FR Y-
9C), and Regulatory Capital Reporting for Institutions Subject to 
the Advanced Capital Adequacy Framework (FFIEC 101) (OMB Numbers: 
OCC, 1557-0239; Board, 7100-0319; and FDIC, 3064-0159).
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VI. Request for Comment

    Public comment is requested on all aspects of this joint notice. In 
particular, do market risk institutions expect that making any specific 
line items on the proposed FFIEC 102 public would cause them 
competitive or other harm? If so, please identify the specific line 
items and describe in detail the nature of the harm.
    Additionally, comments are invited on:
    (a) Whether 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 
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 the information.
    Comments submitted in response to this joint notice will be shared 
among the agencies. All comments will become a matter of public record.

    Dated: February 6, 2015.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency.
    Board of Governors of the Federal Reserve System, February 10, 
2015.
Robert deV. Frierson,
Secretary of the Board.
    Dated at Washington, DC, this 6th day of February, 2015.

Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
[FR Doc. 2015-03265 Filed 2-17-15; 8:45 am]
BILLING CODE 4810-33-P; 6210-01-P; 6714-01-P


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