FDIC Federal Register Citations

[Federal Register: September 25, 2006 (Volume 71, Number 185)]

[Notices]

[Page 55986-55989]

From the Federal Register Online via GPO Access [wais.access.gpo.gov]

[DOCID:fr25se06-69]

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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.

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SUMMARY: In accordance with the requirements of the Paperwork Reduction

Act of 1995 (44 U.S.C.

[[Page 55987]]

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 are subject to the agencies' revised market risk

capital rules. 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.

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\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 Section 1(b) of the proposed

regulatory text in the notice of proposed rulemaking entitled Risk-

Based Capital Standards: Market Risk.

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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 ``Market Risk

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 ``Market

Risk 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 ``Market Risk

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 ``Market Risk 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 ``Market Risk 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 ``Market Risk 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: ``Market Risk 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:

``Market Risk Framework Regulatory Reporting Requirements (1550-NEW).''

Instructions: All submissions received must include the agency name

and ``Market Risk Framework Regulatory Reporting Requirements (1550-

NEW).'' All 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/[fxsp0

]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

[[Page 55988]]

any of the agency clearance officers whose names appear below. In

addition, copies of the reporting schedule and instructions can be

obtained at each agency's web site as well as the FFIEC's Web site.\2\

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\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.

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OCC: Please direct substantive questions to Margot Schwadron, Risk

Expert, Capital Policy Division, (202) 874-6022, 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: Market Risk Regulatory Reporting Requirements.

Form Numbers: FFIEC 102.

Frequency of Response: Quarterly.

Affected Public: Business or other for-profit.

OCC

OMB Number: 1557-NEW.

Estimated Number of Respondents: 10 national banks.

Estimated Time per Response: 11.75 burden hours.

Estimated Total Annual Burden: 470 hours.

Board

OMB Number: 7100-NEW.

Estimated Number of Respondents: 4 state member banks.

Estimated Time per Response: 11.75 hours.

Estimated Total Annual Burden: 188 hours.

OMB Number: 7100-NEW.

Estimated Number of Respondents: 18 BHCs.

Estimated Time per Response: 11.75 hours.

Estimated Total Annual Burden: 846 hours.

FDIC

OMB Number: 3064-NEW.

Estimated Number of Respondents: 3 state nonmember banks.

Estimated Time per Response: 11.75 burden hours.

Estimated Total Annual Burden: 141 hours.

OTS

OMB Number: 1550-NEW.

Estimated Number of Respondents: 1 savings association.

Estimated Time per Response: 11.75 hours.

Estimated Total Annual Burden: 47 hours.

General Description of Reports

These information collections would be mandatory for banks that

meet the market risk requirements within the agencies' risk-based

capital standards: 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)).

Abstract

Each bank that meets the market risk requirements within the

agencies' risk-based capital standards would file quarterly regulatory

reports for the agencies' use in assessing the reasonableness and

accuracy of a reporting entity's calculation of its minimum capital

requirements under the market risk rules and in evaluating an entity's

capital in relation to its risks.

Current Actions

Risk-Based Capital Standards: Market Risk Framework: Regulatory

Reporting Requirements

I. Background

The agencies have today published a joint notice of proposed

rulemaking entitled Risk-Based Capital Standards: Market Risk (the

Market Risk NPR).\3\ The Market Risk NPR, which would apply to all

banks that meet the market risk requirements, describes proposed

changes to the agencies' existing market risk rules.\4\ Included within

the Market Risk NPR are requirements for public disclosure of certain

information at the consolidated banking organization level as well as a

reference to certain additional regulatory reporting by depository

institutions (DIs) and BHCs. The additional regulatory reporting

referenced within the Market Risk NPR, and described more fully herein,

comprise the agencies' proposed regulatory reporting requirements.

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\3\ Terms used in this text and in the proposed regulatory

reporting schedule and instructions are used as defined in the

Market Risk NPR.

\4\ For the OTS, the Market Risk NPR provides a new framework

for assessing capital for market risk.

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The agencies are publishing the Market Risk NPR and the regulatory

reporting proposal described herein at the same time as their notice of

proposed rulemaking for the Advanced Capital Adequacy Framework for

risk-based capital and its associated regulatory reporting proposal so

that the industry, and other interested parties, may assess the full

impact of the two proposed rules.

At present, banks and BHCs that are subject to the existing market

risk rules report the amount of their market risk equivalent assets in

their respective quarterly regulatory reports.\5\ This current

reporting requirement reveals only the end result of the market risk

calculations without providing any information concerning the key

inputs to the measure for market risk. Accordingly, the agencies are

proposing the standardized regulatory reporting requirements described

herein in order to assess the reasonableness and accuracy of a bank's

calculation of its minimum capital requirements under the proposed

revised Market Risk rule and to evaluate a bank's capital in relation

to its risks. Importantly, the new reports will allow the agencies to

better track growth in more credit-risk related, less liquid, and less

actively traded products in the trading book that, in the past, have

had risks that have been difficult to capture and measure. These

reports should assist the agencies in ensuring that these risks are

adequately reflected for safety and soundness purposes.

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\5\ For banks, the Consolidated Reports of Condition and Income

(Call Report) (Form FFIEC 031 or FFIEC 041; OMB No. 1557-0081 for

the OCC, 7100-0036 for the Board, and 3064-0052 for the FDIC) and,

for BHCs, the Consolidated Financial Statements for Bank Holding

Companies (Board Form FR Y-9C; OMB No. 7100-0128). As mentioned in

footnote 4, for the OTS, the Market Risk NPR provides a new

framework for assessing capital for market risk. As a consequence,

savings associations currently are not subject to a regulatory

reporting requirement related to market risk in the Thrift Financial

Report (OTS Form 1313; OMB No. 1550-0023). 1

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In this regard, the reported data will enable the agencies to

monitor the levels

[[Page 55989]]

of and trends in components that comprise the market risk measure under

the proposed revised rule within and across reporting banks. Such

component reporting will allow supervisors to better understand, on an

ongoing basis, model implied diversification benefits for individual

banks. The agencies also will gain the ability to perform bank-to-bank

comparisons of the drivers underlying banks' measures for market risk,

identify potential outliers through bank-to-peer comparisons, track

these drivers at banks over time relative to trends in other risk

indicators, and focus onsite examination efforts. Furthermore, the

agencies believe that requiring certain common reporting across banks

would facilitate comparable application of the proposed revised Market

Risk rule.

Scope and Frequency of Regulatory Reporting

The proposed regulatory reporting requirements associated with the

Market Risk NPR would apply, on a consolidated basis, to each BHC and

each DI that is required to calculate its risk-based capital using the

market risk rules (see Section 1(b) of the proposed regulatory text in

the Market Risk NPR for a detailed description of the institutions

covered by this notice). Reporting BHCs and DIs would submit reports

quarterly because efforts to monitor banks' progress toward, and

actions under, the Market Risk rules require regular and consistent

reports from all of the institutions subject to this rule.

The agencies expect that the report due dates for the proposal

described herein would be the same as the report due dates currently

required by banks, savings associations, and bank holding companies

when filing their respective quarterly regulatory reports. 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.

Schedule 1, for market risk, would first be reported at the end of

the first calendar quarter in which the market risk rule becomes

effective.

II. Overview of the Data Collection Proposal

Schedule 1 shows the data elements within the market risk exposure

class that would be reported under the Market Risk NPR. The data

submitted in Schedule 1 will be shared among the four agencies but will

not be released to the public. The schedule is subdivided into

sections. The first section contains data elements relating to banks'

approved regulatory market risk models including details of value at

risk (VaR) measures (as of the reporting date and averaged over 60

days) broken down by associated risk categories (interest rate, equity,

foreign exchange, commodities, and credit) and specific risk charges.

The second section contains data elements relating to market risk

exposures covered under the standard method broken down by covered debt

and equity positions. Other sections contain data elements relating to

summary information on default risk charges and valuation adjustments.

In developing this proposal, the agencies considered several trade-

offs between reporting burden and the information needs of bank

supervisors. One issue that the agencies identified was that banks have

exposures in certain products that might fit into more than one of the

specified risk categories (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 bank

might classify some as foreign exchange risk. As a result, the agencies

propose that banks may classify their exposures in the same categories

in which they are reported internally for purposes of calculating the

VaRs for this reporting schedule. Similarly, the agencies, for purposes

of this reporting schedule, have defined correlation benefit as any

adjustment to VaR that a bank makes to reflect statistical correlation

between the values of the underlying positions. The agencies also

recognize that some banks may not adjust for correlation benefits in

their VaR estimates, and in that case a bank need not estimate it for

purposes of this reporting schedule.

III. 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 and data alternatives. In

addition, comments are invited 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 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.

Federal Deposit Insurance Corporation.

Dated at Washington, DC, this 8th day of September, 2006.

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. 06-7675 Filed 9-22-06; 8:45 am]

BILLING CODE 4810-33-P