Each depositor insured to at least $250,000 per insured bank



Home > Regulation & Examinations > Laws & Regulations > FDIC Federal Register Citations




FDIC Federal Register Citations
[Federal Register: September 25, 2006 (Volume 71, Number 185)]
[Notices]
[Page 55981-55986]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr25se06-68]

-----------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \1\ For 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.

---------------------------------------------------------------------------
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://.
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

[[Page 55982]]

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\
---------------------------------------------------------------------------

    \2\ For 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/[fxsp0]boarddocs/reportforms/[fxsp0]review.cfm;
and for the FFIEC: http://www.ffiec.gov/
[fxsp0]ffiec--report[fxsp0]--forms.htm.
---------------------------------------------------------------------------

    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 for-profit.

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
ratings-based 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 industry-wide 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

[[Page 55983]]

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.
---------------------------------------------------------------------------

    \3\ Terms used in this text and in the proposed regulatory
reporting schedules and instructions are used as defined in the NPR.
---------------------------------------------------------------------------

    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 risk-based 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 risk-based 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 risk-based 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.
---------------------------------------------------------------------------

    \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).
---------------------------------------------------------------------------

    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-to-bank
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 risk-based 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 on-
site supervisory activities. Nevertheless, the agencies believe that
off-site

[[Page 55984]]

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.
---------------------------------------------------------------------------

    \5\ See footnote 4.
---------------------------------------------------------------------------

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

[[Page 55985]]

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, Repo-
Style 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.
---------------------------------------------------------------------------

    \6\ One 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.
---------------------------------------------------------------------------

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' risk-weighted 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-to-value ranges
(applies only to real estate exposures), weighted average credit bureau
score, and weighted average account age.\8\
---------------------------------------------------------------------------

    \7\ Unlike the wholesale credit exposure reporting schedules,
the PD ranges for retail exposures differ from sub-portfolio to sub-
portfolio.
    \8\ For 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.
---------------------------------------------------------------------------

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 Ratings-Based 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 risk-
weighted assets relating to early amortization features of
securitizations as prescribed in the NPR.\9\
---------------------------------------------------------------------------

    \9\ Amounts are further broken down by retail and non-retail.
---------------------------------------------------------------------------

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

[[Page 55986]]

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
lookback-portfolio 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 period-to-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

  
 


Last Updated 09/25/2006 Regs@fdic.gov