Federal Register / Vol. 79, No. 234 / Friday, December 5, 2014 / Notices 72245 

1Pub. L. 111–203, 124 Stat. 1376, July 2010. 

2 12 U.S.C. 5365(i)(2)(A). 

3 12 U.S.C. 5301(12). 

4 12 U.S.C. 5365(i)(2)(C). 

5 12 U.S.C. 5365(i)(2)(B). 

6 77 FR 61238 (October 9, 2012). 

7 79 FR 53835. 

8http://www.federalreserve.gov/reportforms. 

9 79 FR 64026 (Oct. 27, 2014). 

seven days before the exemption 

becomes effective). 

An original and ten copies of all 

pleadings, referring to Docket No. FD 

35877, must be filed with the Surface 

Transportation Board, 395 E Street SW., 

Washington, DC 20423–0001. In 

addition, a copy of each pleading must 

be served on: Eric M. Hocky, Clark Hill 

PLC, One Commerce Square, 2005 

Market Street, Suite 1000, Philadelphia, 

PA 19103. 

Board decisions and notices are 

available on our Web site at 

WWW.STB.DOT.GOV. 

Decided: December 2, 2014. 

By the Board, Rachel D. Campbell, 

Director, Office of Proceedings. 

Raina S. White, 

Clearance Clerk. 

[FR Doc. 2014–28571 Filed 12–4–14; 8:45 am] 

BILLING CODE 4915–01–P 

DEPARTMENT OF THE TREASURY 

Office of the Comptroller of the 

Currency 

Agency Information Collection 

Activities: Revision of an Approved 

Information Collection; Comment 

Request; Company-Run Annual Stress 

Test Reporting Template and 

Documentation for Covered 

Institutions With Total Consolidated 

Assets of $50 Billion or More Under the 

Dodd-Frank Wall Street Reform and 

Consumer Protection Act 

AGENCY: Office of the Comptroller of the 

Currency, Treasury (OCC). 

ACTION: Notice. 

SUMMARY: The OCC, as part of its 

continuing effort to reduce paperwork 

and respondent burden, invites the 

general public and other Federal 

agencies to comment on a revision to 

this information collection, as required 

by the Paperwork Reduction Act of 

1995. An agency may not conduct or 

sponsor, and a respondent is not 

required to respond to, an information 

collection unless it displays a currently 

valid Office of Management and Budget 

(OMB) control number. Currently, the 

OCC is soliciting comment concerning a 

revision to a regulatory reporting 

requirement for national banks and 

Federal savings associations titled, 

‘‘Company-Run Annual Stress Test 

Reporting Template and Documentation 

for Covered Institutions with Total 

Consolidated Assets of $50 Billion or 

More under the Dodd-Frank Wall Street 

Reform and Consumer Protection Act.’’ 

DATES: Comments must be received by 

January 5, 2015. 

ADDRESSES: Communications Division, 

Office of the Comptroller of the 

Currency, Mailstop 2–3, Attention: 

1557–0319, 400 7th St. SW., 

Washington, DC 20219. In addition, 

comments may be sent by fax to (571) 

465–4326 or by electronic mail to 

regs.comments@occ.treas.gov. You may 

personally inspect and photocopy 

comments at the OCC, 400 7th St. 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. 

FOR FURTHER INFORMATION CONTACT: You 

can request additional information from 

Johnny Vilela or Mary H. Gottlieb, OCC 

Clearance Officers, (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 

St. SW., Washington, DC 20219. In 

addition, copies of the templates 

referenced in this notice can be found 

on the OCC’s Web site under News and 

Issuances (http://www.occ.treas.gov/

tools-forms/forms/bank-operations/

stress-test-reporting.html). 

SUPPLEMENTARY INFORMATION: The OCC 

is requesting comment on the following 

revision to an approved information 

collection: 

Title: Company-Run Annual Stress 

Test Reporting Template and 

Documentation for Covered Institutions 

with Total Consolidated Assets of $50 

Billion or More under the Dodd-Frank 

Wall Street Reform and Consumer 

Protection Act. 

OMB Control No.: 1557–0319. 

Description: Section 165(i)(2) of the 

Dodd-Frank Wall Street Reform and 

Consumer Protection Act 1 (Dodd-Frank 

Act) requires certain financial 

companies, including national banks 

and Federal savings associations, to 

conduct annual stress tests 2 and 

requires the primary financial regulatory 

agency 3 of those financial companies to 

issue regulations implementing the 

stress test requirements.4 A national 

bank or Federal savings association is a 

‘‘covered institution’’ and therefore 

subject to the stress test requirements if 

its total consolidated assets are more 

than $10 billion. Under section 

165(i)(2), a covered institution is 

required to submit to the Board of 

Governors of the Federal Reserve 

System (Board) and to its primary 

financial regulatory agency a report at 

such time, in such form, and containing 

such information as the primary 

financial regulatory agency may 

require.5 On October 9, 2012, the OCC 

published in the Federal Register a final 

rule implementing the section 165(i)(2) 

annual stress test requirement.6 This 

rule describes the reports and 

information collections required to meet 

the reporting requirements under 

section 165(i)(2). These information 

collections will be given confidential 

treatment (5 U.S.C. 552(b)(4)). 

In 2012, the OCC first implemented 

the reporting templates referenced in 

the final rule. See 77 FR 49485 (August 

16, 2012) and 77 FR 66663 (November 

6, 2012). The OCC is now revising them 

as described below. The OCC proposed 

these revisions on September 10, 2014.7

The OCC received one comment and is 

adopting the revisions as final, with 

some adjustments described below. 

The OCC intends to use the data 

collected to assess the reasonableness of 

the stress test results of covered 

institutions and to analyze forwardlooking regarding a covered institution’s 

capital adequacy. The OCC also may use 

the results of the stress tests to 

determine whether additional analytical 

techniques and exercises could be 

appropriate to identify, measure, and 

monitor risks at the covered institution. 

The stress test results are expected to 

support ongoing improvement in a 

covered institution’s stress testing 

practices with respect to its internal 

assessments of capital adequacy and 

overall capital planning. 

The OCC recognizes that many 

covered institutions with total 

consolidated assets of $50 billion or 

more are required to submit reports 

using the Comprehensive Capital 

Analysis and Review (CCAR) reporting 

form FR Y–14A.8 The OCC also 

recognizes the Board has modified the 

FR Y–14A reporting form, and to the 

extent practical the OCC will keep its 

reporting requirements consistent with 

the Board’s FR Y–14A in order to 

minimize burden on covered 

institutions.9 Therefore, the OCC is 

revising its reporting requirements to 

remain consistent with the Board’s FR 

Y–14A for covered institutions with 

total consolidated assets of $50 billion 


wreier-aviles on DSK5TPTVN1PROD with NOTICES
72246 Federal Register / Vol. 79, No. 234 / Friday, December 5, 2014 / Notices 

10 70 FR 35634 (June 23, 2014). 

or more. Furthermore, the OCC is 

revising the Scenario schedule, which 

collects information on scenario 

variables beyond those provided by 

regulators. The purpose of this revision 

is to require further clarity on the 

definitions of the additional scenario 

variables as well as information on how 

the additional scenario variables are 

used by covered institutions. 

Revisions To Reporting Templates for 

Institutions With $50 Billion or More in 

Assets 

The revisions to the DFAST–14A 

reporting templates consist of adding 

data items, deleting data items, 

redefining existing data items, and 

renumbering data items. These changes 

would provide additional information to 

enhance the ability of the OCC to 

analyze the validity and integrity of 

firms’ projections and increase 

consistency between the FR Y–14A 

reporting templates and DFAST–14A 

reporting templates. The OCC has 

conducted a thorough review of the 

changes and believes that the 

incremental burden of these changes is 

justified given the need for this data to 

properly conduct the OCC’s supervisory 

responsibilities related to the stress 

testing. 

Summary Schedule 

The OCC is making a number of 

changes to the Summary schedule to 

better assess covered institutions’ 

calculation of risk-weighted assets 

(RWA) and certain other items detailed 

below. Please note that all line item 

numbers referenced in this Notice refer 

to the existing reporting schedules, not 

the revised reporting schedules. Because 

the changes add and delete some data 

items, line-item numbering between the 

existing and templates may be different 

(e.g., Income Statement item 125, Total 

Other Losses, in the existing reporting 

template is now item 124 in the 

template). 

Revisions to Income Statement 

Worksheet 

In order to accurately collect 

information for the Income Statement, 

the OCC is changing items 127 and 128 

(Realized Gains/Losses on available-forsale securities and held-to-maturity 

securities, including OTTI) to be 

reported items instead of being equal to 

the total amounts on the Securities 

OTTI by Portfolio worksheet. 

Additionally, for consistency with 

changes to the Counterparty Risk 

Worksheet described below, items 59 

and 62 (Trading Incremental Default 

Losses and Other CCR Losses) would be 

modified to be Trading Issuer Default 

Losses and CCR Losses, and line item 61 

(Counterparty Incremental Default 

Losses) is being removed. 

Revisions to RWA and Capital 

Worksheets 

To better align the collection of 

regulatory capital components with the 

Board’s FR Y–14A, the OCC is 

modifying the definitions of the items 

on the Capital—DFAST worksheet to 

refer to or mirror the definitions that 

appear on revisions to the FR Y–14A. 

Respondents are required to apply the 

appropriate transition provisions to all 

transition-affected items of the Capital— 

DFAST schedule consistent with 

revisions to regulatory capital rules. 

With regard to the RWA worksheets, the 

standardized approach RWA and market 

RWA items of the General RWA 

worksheet have been changed in 

accordance with proposed 

modifications to Schedule RC–R of the 

Call Report 10 and modifications to the 

FR Y–14A that are currently being 

considered, and moved to a separate 

worksheet (Standardized RWA). These 

changes include both the modification 

and addition of items, for an overall 

addition of 12 items. Additionally, the 

computed items one through five of the 

current Advanced RWA worksheet are 

being removed. 

Revisions to Retail Repurchase 

Worksheet 

Due to recent activity by respondents 

involving settlements related to their 

representation and warranty (R&W) 

liabilities related to residential 

mortgages, the OCC will collect 

additional detail about the R&W 

liabilities. Specifically, line items are 

being added that collect the unpaid 

principal balance (UPB) of loans 

covered by completed settlements for 

which liability remains and for which 

no liability remains by vintage 

beginning with 2004, as well as total 

settlement across vintages, for the 

following categories of loans: Loans sold 

to Fannie Mae, loans sold to Freddie 

Mac, loans insured by the U.S. 

government, loans securitized with 

monoline insurance, loans secured 

without monoline insurance, and whole 

loans sold. 

Revisions to Securities Worksheets 

Because covered bonds have unique 

characteristics relative to other asset 

categories currently on this worksheet, 

the OCC is adding a separate covered 

bond category to the Securities 

worksheets to evaluate respondents’ 

projections of these assets. Additionally, 

two columns would be added to collect 

information for the Securities AFS OCI 

by Portfolio worksheet that would allow 

changes in market value to be 

distinguished from changes in portfolio 

allocation for each projected quarter: 

Beginning Fair Market Value and Fair 

Value Rate of Change, which is the 

weighted average percent change in fair 

value over the quarter. Finally, to 

reduce reporting burden and increase 

efficiency in reporting, the nine subasset categories of Domestic NonAgency Residential Mortgage-Backed 

Securities (RMBS) are being removed 

from the same worksheet, and the 

available-for-sale and held-to-maturity 

portions of the Securities OTTI by 

Portfolio worksheet are being combined 

with the addition of a column to 

identify AFS amounts versus HTM 

amounts. 

Revisions to Trading Worksheet 

Because credit valuation adjustment 

(CVA) losses are modeled separately 

from trading portfolio losses, the OCC is 

requiring that the profit (loss) amount 

related to CVA hedges be reported 

separately from other trading activity. 

Revisions to Counterparty Risk 

Worksheet 

To allow respondents to use 

alternative methodologies for estimating 

losses related to the default of issuers 

and counterparties, the requirement of 

using the incremental default risk (IDR) 

methodology are being removed. 

Accordingly, line items 1, 1a and 1b 

(Trading Incremental Default Losses, 

Trading Incremental Default Losses 

from securitized products, and Trading 

Incremental Default Losses from other 

credit sensitive instruments) are 

modified to be Issuer Default Losses. 

Additionally, line items 3 (Counterparty 

Incremental Default Losses) and 3a 

(Impact of CCR IDR Hedges) are being 

removed, line item 4 (Other CCR Losses) 

are modified to be CCR Losses, and the 

line item Effect of CCR Hedges is being 

added. 

Regulatory Capital Instruments 

Schedule 

Changes to the Regulatory Capital 

Instruments schedule are consistent 

with changes to the FR Y–14A. 

Specifically, the OCC is (1) adding an 

item that collects employee stock 

compensation to the four quarterly 

redemption/repurchase and issuance 

activity sub-sections; (2) adding 18 

items to the general risk-based capital 

rules section and 28 items to the revised 

regulatory capital section; and (3) 

changing the capital balance items in 

the general risk-based capital rules 


wreier-aviles on DSK5TPTVN1PROD with NOTICES
Federal Register / Vol. 79, No. 234 / Friday, December 5, 2014 / Notices 72247 

section and the revised regulatory 

capital section from reported items to 

formulas to permit the capital balance 

items to be automatically computed 

using the new items. 

Regulatory Capital Transitions 

Schedule 

Similar to the changes being made to 

the RWA and Capital worksheets of the 

Summary schedule, changes to the 

Regulatory Capital Transitions schedule 

will better align the collection of 

regulatory capital components with 

revisions to the FR Y–14A and proposed 

revisions to Schedule RC–R of the Call 

Report. The OCC is (1) aligning the 

definitions of the items on the Capital 

Composition worksheet to be consistent 

with the FR Y–14A; (2) modifying the 

RWA General worksheet to align with 

revisions to the FR Y–14A, including 

changing the name to Standardized 

RWA and modifying, removing and 

adding items for a net increase of 15 

items; (3) modifying, adding and 

removing items on the Advanced RWA 

worksheet to align with the Advanced 

RWA worksheet on the Summary 

schedule, for a net increase of 21 items; 

and (4) revising the Leverage Exposure 

worksheet in accordance with changes 

to the supplementary leverage 

requirement, for a net increase of ten 

items. 

Counterparty Credit Risk Schedule 

Significant additions are being made 

to the CCR schedule to more adequately 

and accurately capture exposure 

information related to derivatives and 

securities financing transactions (SFTs) 

used in supervisory loss estimates and 

supervisory activities. These additions 

would remediate deficiencies 

discovered in the current collection 

related to exposure, including a lack of 

information regarding collateral, asset 

types, and total exposure to a given 

counterparty. 

The OCC is (1) adding a worksheet 

that collects the derivative exposures at 

a legal-entity netting-agreement level for 

the top 25 non-central clearing 

counterparties (non-CCP) and non-G–7 

counterparties, as well as all CCPs and 

the G–7 counterparties that includes a 

breakout of collateral into cash and noncash, and exposures into 14 asset 

categories; (2) changing the current SFT 

sub-schedule to collect exposures and 

collateral separately at a counterparty 

legal-entity netting-agreement level for 

the top 25 non-CCP and non-G–7 

counterparties as well as all CCPs and 

the G–7 counterparties and adding asset 

sub-categories for a total of 30 specific 

asset types; (3) removing all columns 

with the bank specification of margin 

period of risk (MPOR) under the global 

market shocks from worksheets 1(a)– 

1(e); (4) removing the column LGD 

Derived from Unstressed PD on the EE 

profile by CP worksheet; and (5) adding 

columns to worksheet 1(e) to collect 

both gross and net stressed and 

unstressed current exposure to CCPs. 

Scenario Schedule 

Additional scenario variables, which 

are collected on this schedule, are key 

drivers in projection methodologies. 

The OCC is revising the Scenario 

schedule to further clarify the 

definitions of the additional scenario 

variables as well as to gather further 

information on how the additional 

scenario variables are used by covered 

institutions. It is expected that this 

additional clarity and information will 

assist in comparing information in this 

schedule across covered institutions. 

The OCC is (1) providing additional 

guidance on the syntax for naming 

additional scenario variables to increase 

the comparability of additional scenario 

variables across covered institutions; (2) 

adding a column to explicitly capture 

the ‘‘unit of measure’’ of the additional 

scenario variables, e.g., basis points, 

percentages, dollars; (3) adding a 

column to explicitly capture the 

frequency of the variable, e.g., monthly 

or 3-month average; and (4) adding 

multiple columns to understand where 

the additional scenario variables are 

used in modeling. These last additional 

columns align with the methodology 

documentation framework described in 

Appendix A of the instructions. 

Supporting Documentation 

The instructions provide that banks 

must provide a comprehensive 

inventory of models used in the 

projection of losses, revenues, expenses, 

balances, and RWAs. Additionally, the 

instructions provide that covered 

institutions must submit written 

procedures or other documentation that 

outlines internal controls and processes 

used to ensure the accuracy of the 

submissions 

Technical Changes 

The OCC received one comment 

letter. The commenter expressed 

concerns about certain differences 

between the DFAST–14A reporting 

templates and the FR Y–14A reporting 

form used by the Board, particularly the 

additional information on the DFAST– 

14A Scenario schedule. While the OCC 

has attempted to keep the DFAST–14A 

reporting templates very similar to the 

FR Y–14A, the OCC supervises different 

legal entities than the Board and is 

required to administer different 

statutory and regulatory requirements. 

Therefore, some differences exist 

between the final DFAST–14A reporting 

templates and FR Y–14A. The revised 

templates include changes to some line 

items in order to match the FR Y–14A 

as much as possible. With respect to the 

additional information required on the 

DFAST–14A Scenario schedule, the 

OCC believes that additional scenario 

variables are key model inputs that are 

critical to assessing the reasonableness 

of a covered institution’s model-based 

estimates. Accordingly, the final revised 

templates require submission of this 

additional information. The revised 

templates also contain various 

technical, syntax, and reference 

changes. 

Type of Review: Revision. 

Affected Public: Businesses or other 

for-profit. 

Estimated Number of Respondents: 

23. 

Estimated Total Annual Burden: 

16,466 hours. 

The OCC recognizes that the Board 

has estimated 67,848 hours for bank 

holding companies to prepare the 

reporting schedules submitted for the 

FR Y–14A. The OCC believes that the 

systems the covered institutions use to 

prepare the FR Y–14A reporting 

schedules will also be used to prepare 

the reporting schedules described in 

this notice. Comments submitted in 

response to this notice will be 

summarized and included in the request 

for OMB approval. All comments will 

become a matter of public record. 

Comments continue to be invited 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. 

Dated: December 2, 2014. 

Stuart Feldstein, 

Director, Legislative and Regulatory Activities 

Division. 

[FR Doc. 2014–28575 Filed 12–4–14; 8:45 am] 

BILLING CODE P 


wreier-aviles on DSK5TPTVN1PROD with NOTICES