Federal Register / Vol. 87, No. 104 / Tuesday, May 31, 2022 / Notices 32499 

DEPARTMENT OF THE TREASURY 

Office of the Comptroller of the 

Currency 

Agency Information Collection 

Activities: Information Collection 

Renewal; Submission for OMB Review; 

Market Risk 

AGENCY: Office of the Comptroller of the 

Currency (OCC), Treasury. 

ACTION: Notice and request for comment. 

SUMMARY: The OCC, as part of its 

continuing effort to reduce paperwork 

and respondent burden, invites the 

general public and other Federal 

agencies to take this opportunity to 

comment on a continuing information 

collection, as required by the Paperwork 

Reduction Act of 1995 (PRA). In 

accordance with the requirements of the 

PRA, the OCC may not conduct or 

sponsor, and the respondent is not 

required to respond to, an information 

collection unless it displays a currently 

valid Office of Management and Budget 

(OMB) control number. The OCC is 

soliciting comment concerning the 

renewal of its information collection 

titled, ‘‘Market Risk.’’ The OCC also is 

giving notice that it has sent the 

collection to OMB for review. 

DATES: You should submit written 

comments by: June 30, 2022. 

ADDRESSES: Commenters are encouraged 

to submit comments by email, if 

possible. 

You may submit comments by any of 

the following methods: 

• Email: prainfo@occ.treas.gov. 

• Mail: Chief Counsel’s Office, 

Attention: Comment Processing, 1557– 

0247, Office of the Comptroller of the 

Currency, 400 7th Street SW, Suite 3E– 

218, Washington, DC 20219. 

• Hand Delivery/Courier: 400 7th 

Street SW, Suite 3E–218, Washington, 

DC 20219. 

• Fax: (571) 465–4326. 

Instructions: You must include 

‘‘OCC’’ as the agency name and ‘‘1557– 

0247’’ in your comment. In general, the 

OCC will publish comments on 

www.reginfo.gov without change, 

including any business or personal 

information provided, such as name and 

address information, email addresses, or 

phone numbers. Comments received, 

including attachments and other 

supporting materials, are part of the 

public record and subject to public 

disclosure. Do not include any 

information in your comment or 

supporting materials that you consider 

confidential or inappropriate for public 

disclosure. 

Written comments and 

recommendations for the proposed 

information collection should also be 

sent within 30 days of publication of 

this notice to www.reginfo.gov/public/ 

do/PRAMain. Find this particular 

information collection by selecting 

‘‘Currently under 30-day Review—Open 

for Public Comments’’ or by using the 

search function. 

On March 10, 2022, the OCC 

published a 60-day notice for this 

information collection, 87 FR 13790. 

You may review comments and other 

related materials that pertain to this 

information collection following the 

close of the 30-day comment period for 

this notice by the method set forth in 

the next bullet. 

• Viewing Comments Electronically: 

Go to www.reginfo.gov. Hover over the 

‘‘Information Collection Review’’ tab 

and click on ‘‘Information Collection 

Review’’ in the drop-down menu. From 

the ‘‘Currently under Review’’ dropdown menu, select ‘‘Department of 

Treasury’’ and then click ‘‘submit.’’ This 

information collection can be located by 

searching by OMB control number 

‘‘1557–0247’’ or ‘‘Market Risk.’’ Upon 

finding the appropriate information 

collection, click on the related ‘‘ICR 

Reference Number.’’ On the next screen, 

select ‘‘View Supporting Statement and 

Other Documents’’ and then click on the 

link to any comment listed at the bottom 

of the screen. 

• For assistance in navigating 

www.reginfo.gov, please contact the 

Regulatory Information Service Center 

at (202) 482–7340. 

FOR FURTHER INFORMATION CONTACT: 

Shaquita Merritt, Clearance Officer, 

(202) 649–5490, Chief Counsel’s Office, 

Office of the Comptroller of the 

Currency, 400 7th Street SW, Suite 3E– 

218, Washington, DC 20219. If you are 

deaf, hard of hearing, or have a speech 

disability, please dial 7–1–1 to access 

telecommunications relay services. 

SUPPLEMENTARY INFORMATION: Under the 

PRA (44 U.S.C. 3501 et seq.), Federal 

agencies must obtain approval from the 

OMB for each collection of information 

that they conduct or sponsor. 

‘‘Collection of information’’ is defined 

in 44 U.S.C. 3502(3) and 5 CFR 

1320.3(c) to include agency requests or 

requirements that members of the public 

submit reports, keep records, or provide 

information to a third party. The OCC 

asks that OMB extend its approval of the 

information collection in this notice. 

Title: Market Risk. 

OMB Control No.: 1557–0247. 

Abstract: The Office of the 

Comptroller of the Currency’s (OCC) 

market risk capital rule (12 CFR part 3, 

subpart F) applies to national banks and 

Federal savings associations with 

significant exposure to market risk, 

which includes those national banks 

and Federal savings associations with 

aggregate trading assets and trading 

liabilities (as reported in the national 

bank’s or Federal savings association’s 

most recent Call Report) equal to 10 

percent or more of quarter-end total 

assets or $1 billion or more. The rule 

captures positions for which the market 

risk capital rule is appropriate; reduces 

procyclicality in market risk capital 

requirements; enhances the risk 

sensitivity of the OCC’s capital 

requirements by measuring risks that are 

not adequately captured under the 

requirements for credit risk; and 

increases transparency through 

enhanced disclosures. 

The information collection 

requirements are located at 12 CFR 

3.203 through 3.212. The rule enhances 

risk sensitivity and includes 

requirements for the public disclosure 

of certain qualitative and quantitative 

information about the market risk of 

national banks and Federal savings 

associations. The collection of 

information is necessary to ensure 

capital adequacy appropriate for the 

level of market risk. 

Section 3.203 sets forth the 

requirements for applying the market 

risk framework. Section 3.203(a)(1) 

requires national banks and Federal 

savings associations to have clearly 

defined policies and procedures for 

determining which trading assets and 

trading liabilities are trading positions 

and specifies the factors a national bank 

or Federal savings association must take 

into account in drafting those policies 

and procedures. Section 3.203(a)(2) 

requires national banks and Federal 

savings associations to have clearly 

defined trading and hedging strategies 

for trading positions that are approved 

by senior management and specifies 

what those strategies must articulate. 

Section 3.203(b)(1) requires national 

banks and Federal savings associations 

to have clearly defined policies and 

procedures for actively managing all 

covered positions and specifies the 

minimum requirements for those 

policies and procedures. Section 

3.203(c)(1) requires national banks and 

Federal savings associations to obtain 

prior written approval of the OCC before 

using any internal model to calculate 

their risk-based capital requirement 

under the market risk capital rule. 

Sections 3.203(c)(4) through 3.203(c)(10) 

require the review, at least annually, of 

internal models and specify certain 

requirements for those models. Section 

3.203(d)(4) requires the internal audit 

group of a national bank or Federal 

savings association to report, at least 


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32500 Federal Register / Vol. 87, No. 104 / Tuesday, May 31, 2022 / Notices 

annually, to the board of directors on 

the effectiveness of controls supporting 

the market risk measurement systems. 

Section 3.204(b) requires national 

banks and Federal savings associations 

to conduct quarterly backtesting. 

Section 3.205(a)(5) requires institutions 

to demonstrate to the OCC the 

appropriateness of any proxies used to 

capture risks within value-at-risk 

models. Section 3.205(c) requires 

institutions to develop, retain, and make 

available to the OCC value-at-risk and 

profit and loss information on subportfolios for two years. Section 

3.206(b)(3) requires national banks and 

Federal savings associations to have 

policies and procedures that describe 

how they determine the period of 

significant financial stress used to 

calculate the institution’s stressed 

value-at-risk models and to obtain prior 

OCC approval for any material changes 

to these policies and procedures. 

Section 3.207(b)(1) details 

requirements applicable to a national 

bank or Federal savings association 

when the national bank or Federal 

savings association uses internal models 

to measure the specific risk of certain 

covered positions. Section 3.208 

requires national banks and Federal 

savings associations to obtain prior OCC 

approval for incremental risk modeling 

of portfolios of equity positions and 

describes the requirements for 

incremental risk modeling. Section 

3.209 requires prior OCC approval for 

the use of a comprehensive risk measure 

and describes applicable requirements. 

Section 3.209(c)(2) requires national 

banks and Federal savings associations 

to retain and make available to the OCC 

the results of supervisory stress testing. 

Section 3.210(f) requires national banks 

and Federal savings associations to 

document an internal analysis of the 

risk characteristics of each 

securitization position in order to 

demonstrate to the satisfaction of the 

OCC an understanding of the position. 

Section 3.212 requires quarterly 

quantitative disclosures, annual 

qualitative disclosures, and a formal 

disclosure policy approved by the board 

of directors that addresses the approach 

for determining the market risk 

disclosures it makes. 

Type of Review: Extension of a 

currently approved collection. 

Affected Public: Individuals; 

Businesses or other for-profit. 

Number of Respondents: 19. 

Estimated Burden per Respondent: 

1,964 hours. 

Total Estimated Annual Burden: 

37,316 hours. 

On March 10, 2022, the OCC 

published a 60-day notice for this 

information collection, 87 FR 13790. No 

comments were received. Comments 

continue to be solicited on: 

(a) Whether the collection of 

information is necessary for the proper 

performance of the functions of the 

OCC, including whether the information 

has practical utility; (b) The accuracy of 

the OCC’s estimate of the burden of the 

collection of information; (c) Ways to 

enhance the quality, utility, and clarity 

of the information to be collected; (d) 

Ways to minimize the burden of the 

collection on respondents, including 

through the use of automated collection 

techniques or other forms of information 

technology; and (e) Estimates of capital 

or start-up costs and costs of operation, 

maintenance, and purchase of services 

to provide information. 

Theodore J. Dowd, 

Deputy Chief Counsel, Comptroller of the 

Currency. 

[FR Doc. 2022–11596 Filed 5–27–22; 8:45 am] 

BILLING CODE 4810–33–P 

DEPARTMENT OF THE TREASURY 

Office of Foreign Assets Control 

Update to the List of Medical Supplies 

for Ukraine-/Russia-Related Sanctions 

AGENCY: Office of Foreign Assets 

Control, Treasury. 

ACTION: Publication of updated list of 

items defined as medical supplies in the 

Ukraine-/Russia-Related Sanctions 

Regulations. 

SUMMARY: The Department of the 

Treasury’s Office of Foreign Assets 

Control (OFAC) is publishing the list of 

items defined as medical supplies and 

generally licensed for exportation or 

reexportation to the Crimea region of 

Ukraine. The List of Medical Supplies 

(the ‘‘List’’) has previously existed as a 

companion document to Ukraine-/ 

Russia-related General License 4, which 

OFAC has incorporated into its Ukraine- 

/Russia-Related Sanctions Regulations. 

Accordingly, OFAC is amending the List 

to replace the reference to General 

License 4 with a reference to the 

location of the general license in the 

Ukraine-/Russia-Related Sanctions 

Regulations. OFAC is making several 

technical corrections to items on the 

List, but is not making any substantive 

changes to the List, which was last 

updated on August 12, 2016. 

DATES: This list is effective May 31, 

2022. 

FOR FURTHER INFORMATION CONTACT: 

OFAC: Assistant Director for Licensing, 

202–622–2480; Assistant Director for 

Regulatory Affairs, 202–622–4855; or 

Assistant Director for Sanctions 

Compliance & Evaluation, 202–622– 

2490. 

SUPPLEMENTARY INFORMATION: 

Electronic Availability 

The text of the List is available on the 

Ukraine-/Russia-Related Sanctions page 

on OFAC’s website, and additional 

information concerning OFAC is 

available on OFAC’s website 

(www.treasury.gov/ofac). 

Background 

On December 19, 2014, OFAC issued 

and posted on its website General 

License 4 under the Ukraine Related 

Sanctions program to authorize the 

exportation or reexportation from the 

United States or by a U.S. person of 

agricultural commodities, medicine, 

medical supplies, and replacement parts 

to the Crimea region of Ukraine. General 

License 4 defined the term ‘‘medical 

supplies’’ to mean those medical 

devices, as defined in paragraph (d)(3) 

of General License 4, that are included 

on the List on OFAC’s website 

(www.treasury.gov/ofac) on the Ukraine- 

/Russia-Related Sanctions page. On the 

same day, OFAC also posted the List on 

its website. Most recently, on August 12, 

2016, OFAC updated the List to include 

additional items, and published the List 

in the Federal Register (82 FR 23716, 

May 23, 2017). 

OFAC incorporated General License 4 

into § 589.513 of the Ukraine-/RussiaRelated Sanctions Regulations, 31 CFR 

part 589 (the ‘‘Regulations’’), on May 2, 

2022 (87 FR 26094, May 2, 2022). 

Accordingly, OFAC is amending the List 

to replace the reference to General 

License 4 with a reference to § 589.513 

of the Regulations. OFAC is not making 

substantive changes to any items on the 

List but is making technical changes to 

spelling, capitalization, and 

punctuation, including: Replacing the 

‘‘%’’ symbol with the word ‘‘percent’’; 

replacing ‘‘cu. ft.’’ with ‘‘cubic feet’’; 

replacing ‘‘surgical instruments—all 

types and sizes’’ with ‘‘surgical 

instruments’’; replacing ‘‘or’’ with 

‘‘and’’; replacing ‘‘anaesthesia’’ and 

terms with this root word such as 

‘‘anaesthesiology’’ and 

‘‘anaethesiometers’’ with the preferred 

North American spelling of 

‘‘anesthesia,’’ ‘‘anesthesiology,’’ and 

‘‘anethesiometers’’; replacing 

‘‘haemoglobin’’ with the preferred North 

American spelling ‘‘hemoglobin’’; 

replacing some semi-colons with 

commas; and changing several terms 

from capital letters to lowercase, for 

example editing ‘‘Contact Lens cleaning 


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