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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]
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