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
SUMMARY: The OCC, Board,
FDIC, and OTS (collectively, the Agencies), as part of their continuing
effort to reduce paperwork and respondent
burden, invite financial institutions, the general public, and other
Federal agencies to comment on a proposed new information collection,
as required by the Paperwork Reduction Act of 1995. The Agencies may
not conduct or sponsor, and a respondent need not respond to, an
information collection unless it displays a currently valid Office of
Management and Budget (OMB) control number. Currently, the Agencies are
soliciting comment concerning a voluntary, one-time quantitative impact
study and an operational risk loss data collection stemming from the
Basel Capital Accord.
DATES: You should submit your comments by October 15, 2004.
ADDRESSES: You should
direct your comments to the Agencies and the OMB Desk Officer for the
Agencies as follows:
OCC: Office of the Comptroller of the Currency, Public Information
Room, 250 E Street, SW., Mail Stop 1-5, Attention: 1557-QIS4,
Washington, DC 20219. Due to delays in delivery of paper mail in the
Washington, DC area, you are encouraged to submit your comments by fax
or electronic mail. Comments may be sent by fax to (202) 874-4448, or
by electronic mail to firstname.lastname@example.org. You can inspect and
photocopy comments at the OCC's Public Information Room. You can make
an appointment to inspect the comments by calling (202) 874-5043.
Board: You may submit comments, identified by Docket No. R-------,
by any of the following methods: (1) Agency Web Site: http://www.federalreserve.gov.
Follow the instructions for submitting comments on the http://www.federalreserve.gov/
(2) Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments, the
subject line of the message, (4) FAX: (202) 452-3819 or (202) 452- 3102, and
(5) 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, except as necessary 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
FDIC: Comments/Legal Division, Federal Deposit Insurance
Corporation, 550 17th Street, NW., Washington, DC 20429. All comments
should refer to ``Quantitative Impact Study 4, 3064-QIS4.'' 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. Comments may also be submitted electronically through the
FDIC's Web site, http://www.fdic.gov/regulations/laws/federal/propose.html,
or by E-mail, email@example.com. Comments
may be inspected and photocopied in the FDIC Public Information Center, Room
100, 801 17th Street, NW., Washington, DC between 9 a.m. and 4:30 p.m.
on business days.
OTS: Information Collection Comments, Chief Counsel's Office,
Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552, related
index on the OTS Internet Site at http://www.ots.treas.gov. In addition,
interested persons may inspect comments at the Public Reading Room, 1700 G
Street, NW., by appointment. To make an appointment, call
(202) 906-5922, send an E-mail to firstname.lastname@example.org, or send a
facsimile transmission to (202) 906-7755
OMB Desk Officer for the Agencies: Mark Menchik, Office of
Information and Regulatory Affairs, Office of Management and Budget,
New Executive Office Building, Room 10235, Washington, DC 20503, or E-
mail to email@example.com.
FOR FURTHER INFORMATION CONTACT: You may request additional information
OCC: John Ference, OCC Clearance Officer, or Camille Dixon, (202)
874-5090, Legislative and Regulatory Activities Division, Office of the
Comptroller of the Currency, 250 E Street, SW., Washington, DC 20219.
Board: Cindy Ayouch, Federal Reserve Board Clearance Officer, (202)
452-3829, Division of Research and Statistics, Board of Governors of
the Federal Reserve System, 20th and C Streets, NW., M/S 41,
Washington, DC 20551.
FDIC: Leneta Gregorie, Paperwork Clearance Officer, (202) 898-3907,
Legal Division, Federal Deposit Insurance
Corporation, 550 17th Street, NW., Washington, DC 20429.
OTS: Marilyn K. Burton, OTS Clearance Officer, (202) 906-6467,
Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552.
Title: Quantitative Impact Study and Loss Data Collection Exercise.
OMB Control Numbers: Board: 7100-0303, OCC: 1557-NEW, FDIC: 3064-
NEW, OTS: 1550-NEW.
Type of Review: Board: Reinstatement, with change. OCC, FDIC, OTS:
Form Number: Board: FR 3045, OCC, FDIC, OTS: QIS-4.
General Description of Report: This information collection is
voluntary (Board: 12 U.S.C. 1844, OCC: 12 U.S.C. 161, FDIC: 12 U.S.C.
1819, OTS: 12 U.S.C. 1463) and is considered confidential (5 U.S.C.
Abstract: The Basel Committee on Banking Supervision (BCBS) has
developed new regulatory capital standards for internationally active
banking institutions, (the ``International Convergence of Capital
Measurement and Capital Standards: A Revised Framework'') (the
Framework), to replace the current Capital Accord (the ``International
Convergence of Capital Measurement and Capital Standards'') (1988
Capital Accord) that has been in place since 1988. The new Framework is
more complex than the original 1988 Capital Accord and is more risk-
sensitive. It addresses the advances and innovations in financial
instruments and risk measurement practices that have occurred during
the past decade.
As members of the BCBS, the Agencies share the common goal of
promoting a capital standard that provides adequate safety and
soundness to world financial markets in a way that is more sensitive to
different levels of economic risk than the 1988 Capital Accord. To do
this, the Agencies believe they must rely heavily on an institution's
internal risk measurement systems and its own quantitative assessment
of risk, particularly for the largest, most complex, and highly
sophisticated financial institutions. For other institutions, less
complex capital standards could suffice.
The Framework contains several alternative measures for calculating
minimum regulatory capital requirements, but the U.S. Agencies are
planning to adopt only the most advanced approaches for credit and
operational risk for U.S. financial institutions. They further intend
to make the new Framework mandatory for only a small number of large,
complex financial institutions in the United States and would allow
other financial institutions that have adequate risk measurement
systems and controls to ``opt-in'' to the new standard if they sought
to do so. Those that did not opt-in would continue to operate under the
current capital standard or future variations of that standard. The
Agencies plan to conduct two distinct surveys that are part of this
information collection to improve their understanding of the likely
effects of the new Framework and to help in implementing new regulatory
capital standards in the United States. This information collection
consists of: (1) A quantitative impact study (``QIS'') and (2) An
operational risk loss data collection exercise (``LDCE'').
Quantitative Impact Study
The QIS would be the fourth such study and would build on earlier
versions that gathered information about each participant's risk
profile and risk measurement process. On a best-efforts basis,
participating financial institutions would provide information about
the amount of credit exposures (e.g., loans and loan commitments) for
each major loan portfolio (corporate, interbank, sovereign, and retail)
and the risk characteristics of each portfolio, as indicated by
internal measures of a loan's probability of default (``PD''), loss
given default (``LGD''), remaining maturity, and likelihood that
currently undrawn lines of credit will be drawn. Exposures in each
portfolio could be slotted into as many as twenty PD ``bands'' and a
variety of maturity and LGD categories. Retail portfolios would be
further divided among first residential mortgages, home equity loans
and lines of credit, credit card, and other retail exposures. To the
extent possible, corporate exposures would differentiate between those
arising from credit extended to small and medium sized firms versus
credit extended to larger businesses, because the proposal assumes that
smaller companies are generally less exposed to business cycles. These
and other distinctions among exposures would parallel differences
embodied in the new Framework and attempt, to the extent practicable,
to reflect distinctions important to banks in pricing and measuring
Participants would also be asked to provide estimated capital
requirements under the Framework for market risk and operational risk.
Finally, participants would also be asked to complete a
questionnaire to provide information about the internal procedures that
were used in deriving the various indicators of portfolio risk (i.e.,
PDs, LGDs, etc.). They would also be asked to describe the robustness
of internal or external data used, critical assumptions made, and
substantive deviations from proposed U.S. supervisory standards for
deriving such parameters.
Loss Data Collection Exercise
Participants would also be asked to provide information about their
internal loss data relating to operational risk in a loss data
collection exercise. Internal loss data would include the amount of
each individual operational loss exceeding a threshold, the internal
business line, the event type, and the amount of any recoveries.
Affected Public: Businesses or other for-profit.
Estimated Average Hours per Response:
QIS: 280 hours.
LDCE: 40 hours.
Estimated Number of Respondents:
OCC: 25 national banks.
Board: 25 bank holding companies.
FDIC: 5 state nonmember bank.
OTS: 2 thrift.
Frequency of Response: One time.
Comments: Comments submitted in response to this notice will be
summarized in the Agencies' request for OMB approval. All comments will
become a matter of public record.
Comments are invited on: (a) Whether the collection is necessary
for the proper performance of the functions of the Agencies, including
whether the information has practical utility; (b) The accuracy of each
Agency'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 startup costs and costs of operation, maintenance, and
purchase of services to provide information.
Dated: August 4, 2004.
Assistant Director, Legislative and Regulatory Activities Division,
Office of the Comptroller of the Currency.
By order of the Board of Governors of the Federal Reserve
System, August 10, 2004.
Jennifer J. Johnson,
Secretary of the Board.
Dated at Washington, DC, this 6th day of August, 2004.
Federal Deposit Insurance Corporation.
Valerie J. Best,
Assistant Executive Secretary.
Dated: August 9, 2004.
By the Office of Thrift Supervision,
James E. Gilleran,
[FR Doc. 04-18670 Filed 8-13-04; 8:45 am]