Agency Information Collection Activities; Proposed Collection; Comment Request; Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions With Total Consolidated Assets of $10 Billion to $50 Billion Under the Dodd-Frank Wall Street Reform and Consumer Protection Act, 15403-15405 [2013-05448]

Agencies

• Office of the Comptroller of the Currency
• DEPARTMENT OF THE TREASURY

[Federal Register Volume 78, Number 47 (Monday, March 11, 2013)]
[Notices]
[Pages 15403-15405]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-05448]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities; Proposed Collection; 
Comment Request; Company-Run Annual Stress Test Reporting Template and 
Documentation for Covered Institutions With Total Consolidated Assets 
of $10 Billion to $50 Billion Under the Dodd-Frank Wall Street Reform 
and Consumer Protection Act

AGENCY: Office of the Comptroller of the Currency, Treasury (OCC).

ACTION: Notice.

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SUMMARY: The OCC, as part of its continuing effort to reduce paperwork 
and respondent burden, invites the general public and other Federal 
agencies to comment on this continuing information collection, as 
required by the Paperwork Reduction Act of 1995. Under the Paperwork 
Reduction Act, Federal agencies are required to publish notice in the 
Federal Register concerning each proposed collection of information and 
to allow 60 days for public comment in response to the notice. 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 Office of Management and Budget (OMB) control number.
    The OCC is soliciting comment on a proposed new regulatory 
reporting requirement for national banks and Federal savings 
associations titled, ``Company-Run Annual Stress Test Reporting 
Template and Documentation for Covered Institutions with Total 
Consolidated Assets of $10 Billion to $50 Billion 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 May 10, 2013.

ADDRESSES: Because paper mail in the Washington, DC area and at the OCC 
is subject to delay, commenters are encouraged to submit comments by 
email if possible. Comments may be sent to: Legislative and Regulatory 
Activities Division, Office of the Comptroller of the Currency, 
Attention: 1557-0311, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-
11, Washington, DC 20219. In addition, comments may be sent by fax to 
(571) 465-4326 or by electronic mail to regs.comments@occ.treas.gov. 
You may personally inspect and photocopy comments at the OCC, 400 7th 
Street SW., Washington, DC 20219. For security reasons, the OCC 
requires that visitors make an appointment to inspect comments. You may 
do so by calling (202) 649-6700. Upon arrival, visitors will be 
required to present valid government-issued photo identification and to 
submit to security screening in order to inspect and photocopy 
comments.
    All comments received, including attachments and other supporting 
materials, are part of the public record and subject to public 
disclosure. Do not enclose any information in your comment or 
supporting materials that you consider confidential or inappropriate 
for public disclosure.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
from or a copy of the collection from Johnny Vilela or Mary H. 
Gottlieb, Clearance Officers, (202) 649-5490, Legislative and 
Regulatory Activities Division, Office of the Comptroller of the 
Currency, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-11, 
Washington, DC 20219. In addition, copies of the templates referenced 
in this notice can be found on the OCC's Web site under Tools and Forms 
(https://www.occ.gov/tools-forms/forms/bank-operations/stress-test-reporting.html).

SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the 
following new proposed information collection:
    Title: Company-Run Annual Stress Test Reporting Template and 
Documentation for Covered Institutions with Total Consolidated Assets 
of $10 Billion to $50 Billion under the Dodd-Frank Wall Street Reform 
and Consumer Protection Act.
    OMB Control No.: 1557-0311.
    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 national banks and Federal 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 
national bank or Federal savings association is a ``covered 
institution,'' and therefore subject to the stress test requirements if 
its total consolidated assets exceed $10 billion. Under section 
165(i)(2), a covered institution is required to submit to the Board of 
Governors of the Federal Reserve System (Board) and to its

[[Page 15404]]

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 October 9, 2012, the OCC published 
in the Federal Register a final rule implementing the section 165(i)(2) 
annual stress test requirements.\6\ This notice describes the reports 
and information required to meet the reporting requirements under 
section 165(i)(2) for covered institutions with average total 
consolidated assets between $10 and $50 billion. 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 61238, October 9, 2012.
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    The OCC intends to use the data collected through this proposal to 
assess the reasonableness of the stress test results of covered 
institutions and to provide forward-looking information to the OCC 
regarding a covered institution's capital adequacy. The OCC 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 institution. The stress test 
results are expected to support ongoing improvement in a covered 
institution'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 
institutions, but the OCC recognizes that many covered institutions 
with consolidated total assets of $50 billion or more have been subject 
to existing stress testing requirements under the Board's Comprehensive 
Capital Analysis and Review (CCAR). The OCC also recognizes that these 
institutions' 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 necessarily 
will require more detail than would be appropriate for smaller, less 
complex institutions. Therefore, the OCC has decided to specify 
separate reporting templates for covered institutions with total 
consolidated assets between $10 and $50 billion and for covered 
institutions with total consolidated assets of $50 billion or more.\7\
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    \7\ See 77 FR 49485 for the Paperwork Reduction Act Notice and 
the OCC Web site at https://occ.gov/news-issuances/news-releases/2012/nr-occ-2012-121.html for the reporting templates for covered 
institutions with total consolidated assets of $50 billion or more.
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    While the general reporting categories are the same (income 
statement, balance sheet and capital), the level of granularity for 
individual reporting items is less for $10 to $50 billion institutions. 
For example, accounting for provisions by category is not required, and 
less detail is required for commercial and industrial lending. Because 
smaller banks with assets of $10 to $50 billion generally have less 
complex balance sheets, the OCC believes that highly detailed reporting 
is not warranted, and so the OCC is not requiring supplemental 
schedules on such areas as retail balances, securities and trading, 
operational risk, and pre-provision net revenue (PPNR). However, where 
a covered institution with assets less than $50 billion is affiliated 
with an organization with assets of $50 billion or more, the OCC 
reserves the authority to require the smaller covered institution to 
use the reporting template for larger institutions.
    The OCC has worked closely with the Board and the Federal Deposit 
Insurance Corporation (FDIC) to make the agencies' respective rules 
implementing the annual stress testing requirements under the Dodd-
Frank Act consistent and comparable by requiring similar standards for 
scope of application, scenarios, data collection and reporting forms. 
The OCC also has worked to minimize any potential duplication of effort 
related to the annual stress test requirements. The reporting templates 
for institutions with assets of $10 to $50 billion are described below.

Description of Reporting Results Templates for Institutions With $10 
Billion to $50 Billion in Assets

    The ``Dodd-Frank Annual Stress Test Reporting Results Template for 
Covered Institutions with Total Consolidated Assets Between $10 and $50 
Billion'' ($10-$50B results template) includes data collection 
worksheets necessary for the OCC 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 issued by 
the OCC. The $10-$50B results template includes worksheets that collect 
information on the following areas:
1. Income Statement;
2. Balance Sheet; and,
3. Capital.
    Each $10 to $50 billion covered institution reporting to the OCC 
using this form will be required to submit to the OCC worksheets for 
each scenario provided to covered institutions in accordance with 
regulations implementing Section 165(i)(2) as specified by the OCC.

Worksheets: Income Statement

    The income statement worksheet 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. Net charge-offs
2. Pre-provision net revenue
3. Provision for loan and lease losses
4. Realized gains (losses) on held to maturity (HTM) and available-for-
sale (AFS) securities
5. All other gains (losses)
6. Taxes

    Memoranda items:
7. Net gains and losses on sales of other real estate owned
8. Total other than temporary impairment (OTTI) losses

    This schedule provides information used to assess losses and 
revenues that covered institutions can sustain in baseline, adverse and 
severely adverse stress scenarios.

Worksheets: Balance Sheet

    The balance sheet worksheet 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. Loans
2. HTM securities
3. AFS securities
4. Trading assets
5. Total intangible assets
6. Other real estate
7. All other assets

    Memoranda items:

8. Loans and leases guaranteed by other U.S. government or GSE 
guarantees (non-FDIC loss-sharing agreements)
9. Troubled debt restructurings
10. Loans secured by 1-4 family properties in foreclosure
11. Retail funding (core deposits)
12. Wholesale funding
13. Trading liabilities
14. All other liabilities
15. Perpetual preferred stock and related surplus
16. Common stock
17. Surplus
18. Retained earnings
19. Other equity capital components
20. Memoranda items: Average rates for loans, securities, retail 
funding, wholesale funding, interest-bearing deposits, trading and 
other liabilities.

    The OCC intends to use this worksheet to assess the projected

[[Page 15405]]

changes in assets and liabilities that a covered institution 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

    The capital worksheet, which is appended to the Balance Sheet, 
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. Unrealized gains (losses) on AFS securities
2. Disallowed deferred tax asset
3. Tier 1 common capital elements
4. Tier 1 capital
5. Tier 2 capital
6. Total risk-based capital
7. Total capital
8. Risk-weighted assets
9. Total assets for leverage purposes
10. Tier 1 common equity ratio
11. Tier 1 risk-based capital ratio
12. Tier 1 leverage ratio
13. Total risk-based capital ratio

    Memoranda:

14. Sale, conversion, acquisition or retirement of capital stock
15. Cash dividends declared on preferred stock
16. Cash dividends declared on common stock

    Additionally, the Summary Schedule captures projections for 
regulatory capital ratios over the planning horizon by scenario.
    The OCC intends to use these worksheets to assess the impact on 
capital of the projected losses and projected changes in assets that 
the covered institution can sustain in a stressed scenario. In addition 
to reviewing the worksheet in the context of the balance sheet and 
income statement projections, the OCC also intends to use this 
worksheet in assessing capital plans and the capital planning processes 
for each covered institution.

Description of DFAST Scenario Variables Template

    To conduct the stress test required under this rule, a covered 
institution 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 institution is required to 
complete the DFAST Scenario Variables worksheet 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 institutions 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 OCC. 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 describe the types of risks included in 
the stress test; describe clearly the methodology used to produce the 
stress test projections; describe the methods used to translate the 
macroeconomic factors into a covered institution's projections; and 
also include an explanation of the most significant causes for the 
changes in regulatory capital ratios. The supporting documentation also 
should address the impact of anticipated corporate events, including 
mergers, acquisitions or divestitures of business lines or entities, 
and changes in strategic direction, and should describe how such 
changes are reflected in stress test results, including the impact on 
estimates of losses, expenses and revenues, net interest margins, non-
interest income items, and balance sheet amounts.
    Where company-specific assumptions are made that differ from the 
broad macroeconomic assumptions incorporated in stress scenarios 
provided by the OCC, the documentation also must describe such 
assumptions and how those assumptions relate to reported projections. 
Where historical relationships are relied upon, the covered 
institutions 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: Revision to an existing collection.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 26.
    Estimated Total Annual Burden: 12,064 hours.
    The burden for each $10 to $50 billion covered institution that 
completes the $10-$50B results template is estimated to be 440 hours 
for a total of 11,440 hours. This burden includes 20 hours to input 
these data and 420 hours for work related to modeling efforts. The 
estimated burden for each $10 to $50 billion covered institution that 
completes the annual DFAST Scenarios Variables Template is estimated to 
be 24 hours for a total of 624 hours. Start up costs for new 
respondents are estimated to be 93,600 hours and ongoing revisions for 
existing firms, 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 OCC, including whether the 
information has practical utility;
    (b) The accuracy of the OCC'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 start-up costs and costs of operation, 
maintenance, and purchase of services to provide information.

    Dated: March 4, 2013.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division.
[FR Doc. 2013-05448 Filed 3-8-13; 8:45 am]
BILLING CODE 4810-33-P