Agency Information Collection Activities: Proposed Information Collection; Comment Request, 52718-52721 [2012-21417]

Agencies

• FEDERAL DEPOSIT INSURANCE CORPORATION

[Federal Register Volume 77, Number 169 (Thursday, August 30, 2012)]
[Notices]
[Pages 52718-52721]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-21417]


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FEDERAL DEPOSIT INSURANCE CORPORATION

RIN 3064-AD91


Agency Information Collection Activities: Proposed Information 
Collection; Comment Request

AGENCY: Federal Deposit Insurance Corporation (FDIC).

ACTION: Notice and request for comment.

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SUMMARY: The FDIC, as part of its continuing effort to reduce paperwork 
and respondent burden, invites the general public and other Federal 
agencies to comment on this proposed information collection, as 
required by the Paperwork Reduction Act of 1995. An agency may not 
conduct or sponsor, and a respondent is not required to respond to, an 
information collection unless it displays a currently valid

[[Page 52719]]

Office of Management and Budget (OMB) control number. Currently, the 
FDIC is soliciting comment concerning a proposed new regulatory 
reporting requirement for state nonmember banks and state savings 
associations titled, ``Annual Stress Test Reporting Template and 
Documentation for Covered Banks with Total Consolidated Assets of $50 
Billion or More under the Dodd-Frank Wall Street Reform and Consumer 
Protection Act.'' The proposal describes the scope of reporting and the 
proposed reporting requirements.

DATES: Comments must be received by October 29, 2012

ADDRESSES: You may submit written comments by any of the following 
methods:
     Agency Web Site: https://www.fdic.gov/regulations/laws/federal/propose.html. Follow the instructions for submitting comments 
on the FDIC Web site.
     Federal eRulemaking Portal: https://www.regulations.gov. 
Follow the instructions for submitting comments.
     Email: Comments@FDIC.gov. Include RIN 3064-AD91 on the 
subject line of the message.
     Mail: Robert E. Feldman, Executive Secretary, Attention: 
Comments, FDIC, 550 17th Street NW., Washington, DC 20429.
     Hand Delivery/Courier: 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 https://www.fdic.gov/regulations/laws/federal/propose.html 
including any personal information provided. Comments may be inspected 
at the FDIC Public Information Center, 3501 North Fairfax Drive, Room 
E-1002, Arlington, VA 22226 between 9 a.m. and 4:30 p.m. on business 
days.
    Additionally, please send a copy of your comments to: By mail to 
the U.S. Office of Management and Budget, 725 17th Street NW., 
10235, Washington, DC 20503 or by facsimile to 202.395.6974, 
Attention: Federal Banking Agency Desk Officer.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
from Gary Kuiper, 202.898.3877, Legal Division, Federal Deposit 
Insurance Corporation, 550 17th Street NW., NYA-5046, Washington, DC 
20429. In addition, copies of the templates referenced in this notice 
can be found on the FDIC's Web site (https://www.fdic.gov/regulations/laws/federal/propose.html).

SUPPLEMENTARY INFORMATION: The FDIC is requesting comment on the 
following new proposed information collection:
    Title: Annual Stress Test Reporting Template and Documentation for 
Covered Banks with Total Consolidated Assets of $50 Billion or More 
under the Dodd-Frank Wall Street Reform and Consumer Protection Act.
    OMB Control No.: 3064-NEW
    Description: Section 165(i)(2) of the Dodd-Frank Wall Street Reform 
and Consumer Protection Act \1\ (Dodd-Frank Act) requires certain 
financial companies, including state nonmember banks and state savings 
associations, to conduct annual stress tests \2\ and requires the 
primary financial regulatory agency \3\ of those financial companies to 
issue regulations implementing the stress test requirements.\4\ A state 
nonmember bank or state savings association is a financial company and 
therefore subject to the stress test requirements if its total 
consolidated assets are more than $10 billion and it is regulated by 
the FDIC (``covered bank''). Under section 165(i)(2), a covered bank is 
required to submit to the Board of Governors of the Federal Reserve 
System (Board) and to its primary financial regulatory agency a report 
at such time, in such form, and containing such information as the 
primary financial regulatory agency may require.\5\ On January 23, 
2012, the FDIC published in the Federal Register a notice of proposed 
rulemaking (NPR) implementing the section 165(i)(2) annual stress test 
requirement.\6\ This notice describes the reports and information 
required to meet the reporting requirements under section 165(i)(2). 
These information collections will be given confidential treatment (5 
U.S.C. 552(b)(4)).
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    \1\ Public Law 111-203, 124 Stat. 1376, July 2010.
    \2\ 12 U.S.C. 5365(i)(2)(A).
    \3\ 12 U.S.C. 5301(12).
    \4\ 12 U.S.C. 5365(i)(2)(C).
    \5\ 12 U.S.C. 5365(i)(2)(B).
    \6\ 77 FR 3166, Jan. 23, 2012.
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    The FDIC intends to use the data collected through this proposal to 
assess the reasonableness of the company-run stress test results and to 
provide forward-looking information to the FDIC regarding a covered 
bank's capital adequacy. The FDIC also may use the results of the 
stress tests to determine whether additional analytical techniques and 
exercises could be appropriate to identify, measure, and monitor risks 
at the covered bank. The stress test results are expected to support 
ongoing improvement in a covered bank's stress testing practices with 
respect to its internal assessments of capital adequacy and overall 
capital planning.
    The Dodd-Frank Act stress testing requirements apply to all covered 
banks, but the FDIC recognizes that many covered banks with 
consolidated total assets of $50 billion or more have been subject to 
stress testing requirements under the Board's Comprehensive Capital 
Analysis and Review (CCAR) or Capital Plan Review (CapPR). The FDIC 
also recognizes that these banks' stress tests will be applied to more 
complex portfolios and therefore warrant a broader set of reports to 
adequately capture the results of the company-run stress tests. These 
reports will necessarily require more detail than would be appropriate 
for smaller, less complex banks. Therefore, the FDIC will propose 
simplified and separate reporting templates for covered banks with 
total consolidated assets more than $10 billion and less than $50 
billion and for covered banks with total consolidated assets of $50 
billion or more. In cases where a covered bank with assets less than 
$50 billion is affiliated with an organization with assets of $50 
billion or more, the FDIC reserves the authority to require that 
covered bank use the reporting template for larger banks. The FDIC may 
also, on a case-by-case basis, require a covered bank to report stress 
test results using a simpler format to be specified by the FDIC. The 
reporting templates for banks with assets of $50 billion or more are 
described below.
    The FDIC has worked closely with the Board and the Office of the 
Comptroller of the Currency (OCC) to make the agencies' respective 
rules implementing annual stress testing under the Dodd-Frank Act 
consistent and comparable by requiring similar standards for scope of 
application, scenarios, data collection and reporting forms. The FDIC 
has worked to minimize any potential duplication of effort related to 
the annual stress test requirements. The FDIC also recognizes that many 
covered banks with total consolidated assets of $50 billion or more are 
required to submit reports using CCAR reporting form FR Y-14A.\7\ 
Therefore, the FDIC is proposing to base reporting requirements closely 
on the Board's form FR Y-14A for covered banks with total consolidated 
assets of $50 billion or more. The FDIC recognizes the Board has a 
proposal to modify the FR Y-14A out for comment and, to the extent 
practical, the FDIC will keep its reporting requirements consistent 
with the Board's FR Y-14A in order to

[[Page 52720]]

minimize burden on covered institutions.\8\
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    \7\ https://www.federalreserve.gov/reportforms.
    \8\ 77 FR 40051, July 6, 2012.
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Description of Reporting Templates for Banks With $50 Billion or More 
in Assets

    The FDIC DFAST-14A Summary Schedule includes data collection 
worksheets necessary for the FDIC to assess the company-run stress test 
results for baseline, adverse and severely adverse scenarios as well as 
any other scenario specified in accordance with regulations specified 
by the FDIC. The DFAST-14A Summary Schedule includes worksheets that 
collect information on the following areas:
    1. Income Statement;
    2. Balance Sheet;
    3. Capital Statement;
    4. Retail Risk;
    5. Available-for-Sale/Held to Maturity Securities (AFS/HTM);
    6. Trading;
    7. Counterparty Credit Risk;
    8. Operational Risk; and
    9. Pre-Provision Net Revenue (PPNR).
    Each covered bank reporting to the FDIC using this form would be 
required to submit to the FDIC a separate DFAST-14A Summary Schedule 
for each scenario provided to covered banks in accordance with 
regulations implementing Section 165(i)(2) as specified by the FDIC.

Worksheets: Income Statement

    This income statement collects data for the quarter preceding the 
planning horizon and for each quarter of the planning horizon for the 
stress test on projected losses and revenues in the following 
categories.
    1. Loan losses;
    2. Losses due to contingent commitments and liabilities;
    3. Other Than Temporary Impairments (OTTI) on assets held to 
maturity and available for sale;
    4. Trading account losses;
    5. Allowance for loan and lease losses;
    6. Pre-provision net revenue; and
    7. Repurchase reserve/liability for reps and warranties.

This schedule provides information used to assess losses that covered 
banks can sustain in adverse and severely adverse stress scenarios.

Worksheets: Balance Sheet

    The balance sheet statement collects data for the quarter preceding 
the planning horizon and for each quarter of the planning horizon for 
the stress test on projected equity capital, as well as on assets and 
liabilities in the following categories.
    1. HTM securities;
    2. AFS securities;
    3. Loans;
    4. Trading Assets;
    5. Intangibles;
    6. Deposits; and
    7. Trading Liabilities.

The FDIC intends to use this worksheet to assess the projected changes 
in assets and liabilities that a covered bank can sustain in an adverse 
and severely adverse stress scenario. This worksheet will also be used 
to assess the revenue and loss projections identified in the income 
statement worksheet.

Worksheets: Capital Worksheet

    The capital statement collects data for the quarter preceding the 
planning horizon and for each quarter of the planning horizon for the 
stress test on the following areas:
    1. Changes to Equity Capital;
    2. Changes to Regulatory capital; and
    3. Capital Actions.

The FDIC intends to use this worksheet to assess the impact on capital 
of the projected losses and projected changes in assets that the 
covered bank can sustain in a stressed scenario. In addition to 
reviewing the worksheet in the context of the balance sheet and income 
statement projections, the FDIC also intends to use this worksheet to 
assess the adequacy of the capital plans and capital planning processes 
for each covered bank with total consolidated assets of $50 billion or 
more.

Worksheets: Retail Projections

    The Retail projections worksheets collects data for each quarter of 
the planning horizon for the stress test on projected balances and 
losses for major retail portfolios: Residential real estate, credit 
card, automobile, student loans, small business loans, and other 
consumer. For residential real estate, the worksheets collect data for 
first lien mortgages, home equity lines of credit, and home equity 
loans. For all major retail portfolios, the worksheets contain separate 
segments for domestic and international loans for various product 
types. Within each broad product-type segment, the reporting for the 
portfolio is divided into a number of sub-segments that embody unique 
risk characteristics. This modular product-type design of the Retail 
worksheet allows for a targeted data collection that encompasses only 
the material portfolios in a given product area for a particular 
covered bank. A covered bank with total consolidated assets of $50 
billion or more would be required to complete only the segments and 
sub-segments material for that bank. This design is intended to limit 
burden while maximizing the supervisory information produced from the 
collection.

Worksheets: Trading and Counterparty Risk

    The Trading and Counterparty Risk worksheets collect projected 
losses associated with a specified global market risk shock from 
covered banks with total consolidated assets of $50 billion or more 
with large trading operations. The FDIC provides a set of hypothetical 
shocks to the risk factors most relevant to the trading and 
counterparty positions of respondent covered banks.

Worksheets: Operational Risk

    The Operational Risk worksheets collect data on covered banks' with 
total consolidated assets of $50 billion or more projections of 
operational losses for each quarter of planning horizon for the stress 
test. Operational losses are defined as losses arising from inadequate 
or failed internal processes, people, and systems or from external 
events including legal losses. Some examples of operational loss events 
are losses related to improper business practices (including class 
action lawsuits), execution errors, and fraud. Additional detail may be 
requested in order to translate the respondent covered banks' 
historical loss experience into operational loss projections. 
Additional detail also may be requested and on any budgeting processes 
used to project operational losses.
    Completion of the Operational Risk schedule would be required only 
for those banks subject to advanced approaches risk-based capital 
rules.

Worksheets: PPNR

    For the PPNR schedule, covered banks with total consolidated assets 
of $50 billion or more must provide projections for the three major 
components of PPNR (net interest income, non-interest income, and non-
interest expense) for each quarter of the planning horizon. Collection 
of these data in this format is based on the assumption that the 
revenues generated by different business lines are affected differently 
by different stress scenarios, and such a view facilitates a more 
robust analysis of the resulting projections.

[[Page 52721]]

Description of FDIC DFAST-14A Counterparty Credit Risk/CVA Template

    The CCR schedule collects, on various worksheets, data to identify 
credit valuation adjustment (CVA), exposures, and CVA sensitivities for 
the respondent covered bank's top counterparties along a number of 
dimensions, including current CVA, stressed CVA, net current exposure, 
and gross current exposure. Covered banks with total consolidated 
assets of $50 billion or more also must submit aggregate CVA, 
exposures, and CVA sensitivities by ratings categories. The Notes to 
the CCR Schedule worksheet allows respondent covered banks to 
voluntarily submit additional information to provide clarity to the 
portfolio. Covered banks with total consolidated assets of $50 billion 
or more are required to report results under two scenarios (adverse, 
severely adverse) and two specifications (Covered Bank, FDIC) to 
capture Expected Exposure profiles.
    Completion of the Counterparty Credit Risk/CVA schedule would be 
required only for those banks subject to the market shock provided by 
the FDIC.

Description of FDIC DFAST-14A Basel III Template

    The Basel III & Dodd-Frank schedule collects projections of Tier 1 
Common Equity, Tier 1 Capital, Risk-Weighted Assets (RWA), and Leverage 
Exposures (along with granular components of those elements) for each 
quarter of the planning horizon for the stress test under baseline, 
adverse and severely adverse scenarios, based on the Basel III 
framework promulgated by the Basel Committee on Bank Supervision. 
Covered banks with total consolidated assets of $50 billion or more 
also are required to include data on the projected impact of any 
significant actions planned in response to Basel III and the Dodd-Frank 
Act (for example, asset sales, asset winddowns, and data collection and 
modeling enhancements).

Description of FDIC DFAST-14A Company Variables Template

    To conduct the stress test required under this rule, a respondent 
covered bank may need to project additional economic and financial 
variables to estimate losses or revenues for some or all of its 
portfolios. In such a case, the covered bank is required to complete 
the DFAST-14A Company Variables schedule for each scenario where such 
additional variables are used to conduct the stress test. Each scenario 
worksheet collects the variable name (matching that reported on the 
Scenario Variable Definitions worksheet), the actual value of the 
variable during the third quarter of the reporting year, and the 
projected value of the variable for nine future quarters.

Description of Supporting Documentation

    Covered banks with total consolidated assets of $50 billion or more 
must submit clear documentation in support of the projections included 
in the worksheets to support efficient and timely review of annual 
stress test results by the FDIC. The supporting documentation should be 
submitted electronically and is not expected to be reported in the 
workbooks used for required data reporting. This supporting 
documentation must clearly describe the methodology used to produce the 
stress test projections, and must include how the macroeconomic factors 
were translated into a covered bank's projections, as well as technical 
details of any underlying statistical methods used. Where company-
specific assumptions are made that differ from the broad macro-economic 
assumptions incorporated in stress scenarios provided by the FDIC, the 
documentation must also describe such assumptions and how those 
assumptions relate to reported projections. Where historical 
relationships are relied upon, the respondent covered banks must 
describe the historical data and provide the basis for the expectation 
that these relationships would be maintained in each scenario, 
particularly under adverse and severely adverse conditions.
    Type of Review: New collection.
    Affected Public: State nonmember banks and state savings 
associations supervised by the FDIC with total consolidated assets of 
$50 billion or more.
    Estimated Number of Respondents: 4
    Estimated Time per Response: 1,040 hours.
    Estimated Total Annual Burden: 4,160 hours.
    Comments submitted in response to this notice will be summarized 
and included in the request for OMB approval. All comments will become 
a matter of public record. Comments are invited on:
    (a) Whether the collection of information is necessary for the 
proper performance of the functions of the FDIC, including whether the 
information has practical utility;
    (b) The accuracy of the FDIC'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;
    (e) Estimates of capital or start-up costs and costs of operation, 
maintenance, and purchase of services to provide information; and
    (f) The ability of FDIC-supervised banks and thrifts with assets 
greater than $50 billion to provide the requested information to the 
FDIC by January, 2013.

    Dated at Washington, DC, this 23rd day of August 2012.

Federal Deposit Insurance Corporation
Valerie J. Best,
Assistant Executive Secretary.
[FR Doc. 2012-21417 Filed 8-29-12; 8:45 am]
BILLING CODE 6714-01-P