Agency Information Collection Activities: Information Collection Renewal; Submission for OMB Review; Capital Adequacy Standards, 28598-28601 [2014-11397]
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Federal Register / Vol. 79, No. 95 / Friday, May 16, 2014 / Notices
Federal savings associations use these
required reports and records for internal
management control purposes and
examiners use them to determine
whether Federal savings associations are
being operated safely, soundly, and in
compliance with regulations. The
absence of these reporting and record
keeping requirements would make it
difficult for institutions to establish
prudent internal controls and limit the
ability of examiners to determine the
accurate performance and condition of
Federal savings associations.
Affected Public: Businesses or other
for-profit.
Burden Estimates:
Estimated Number of Respondents:
500.
Estimated Total Burden: 68,345
hours.
Frequency of Response: On occasion.
Comments: The OCC issued a Federal
Register notice regarding the collection
for 60 days of comment on February 14,
2014. 79 FR 9044. No comments were
received. Comments continue to be
invited on:
(a) Whether the collections of
information are necessary for the proper
performance of the OCC’s functions,
including whether the information has
practical utility;
(b) The accuracy of the OCC’s
estimates of the burden of the
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.
Dated: May 12, 2014.
Stuart E. Feldstein,
Director, Legislative and Regulatory Activities
Division.
[FR Doc. 2014–11393 Filed 5–15–14; 8:45 am]
BILLING CODE 4810–33–P
EMCDONALD on DSK67QTVN1PROD with NOTICES
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
Agency Information Collection
Activities: Information Collection
Renewal; Submission for OMB Review;
Capital Adequacy Standards
Office of the Comptroller of the
Currency (OCC), Treasury.
AGENCY:
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ACTION:
Notice and request for comment.
The OCC, as part of its
continuing effort to reduce paperwork
and respondent burden, invites the
general public and other Federal
agencies to take this opportunity to
comment on a continuing information
collection, as required by the Paperwork
Reduction Act of 1995 (PRA).
In accordance with the requirements
of the PRA, the OCC 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 OCC is soliciting comment
concerning renewal of its information
collection titled, ‘‘Capital Adequacy
Standards.’’ It is also giving notice that
it has submitted the collection to OMB
for review.
DATES: Comments must be submitted on
or before June 16, 2014.
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:
1557–0318, 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.
Additionally, please send a copy of
your comments by mail to: OCC Desk
Officer, 1557–0318, U.S. Office of
Management and Budget, 725 17th
Street NW., #10235, Washington, DC
20503, or by email to: oira submission@
omb.eop.gov.
FOR FURTHER INFORMATION CONTACT:
Johnny Vilela or Mary H. Gottlieb, OCC
Clearance Officers, (202) 649–5490, for
SUMMARY:
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persons who are deaf or hard of hearing,
TTY, (202) 649–5597, 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.
SUPPLEMENTARY INFORMATION: Under the
PRA (44 U.S.C. 3501–3520), Federal
agencies must obtain approval from
OMB for each collection of information
they conduct or sponsor. ‘‘Collection of
information’’ is defined in 44 U.S.C.
3502(3) and 5 CFR 1320.3(c) to include
agency requests or requirements that
members of the public submit reports,
keep records, or provide information to
a third party.
In connection with issuance of the
Basel III final rule,1 OMB provided a
six-month approval for this information
collection. The OCC is requesting that
OMB extend approval of the collection
for the standard three years.
Title: Capital Adequacy Standards.
OMB Control No.: 1557–0318.
Frequency of Response: On occasion.
Affected Public: Business or other forprofit.
Estimated Number of Respondents:
823.
Estimated Total Burden: 189,348.50
hours.
Section-by-Section-Analysis
Twelve CFR part 3 sets forth the
OCC’s minimum capital requirements
and overall capital adequacy standards
for national banks and Federal savings
associations.
Section 3.3(c) allows for the
recognition of netting across multiple
types of transactions or agreements if
the institution obtains a written legal
opinion verifying the validity and
enforceability of the agreement under
certain circumstances and maintains
sufficient written documentation of this
legal review.
Section 3.22(h)(2)(iii)(A) permits the
use of a conservative estimate of the
amount of an institution’s investment in
its own capital or the capital of
unconsolidated financial institutions
held through an index security with
prior approval by the OCC.
Section 3.35(b)(3)(i)(A) requires, for a
cleared transaction with a qualified
central counterparty (QCCP), that a
client bank apply a risk weight of two
percent, provided that the collateral
posted by the bank to the QCCP is
subject to certain arrangements and the
client bank has conducted a sufficient
legal review (and maintains sufficient
written documentation of the legal
review) to conclude with a well1 78
FR 62018 (October 11, 2013).
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founded basis that the arrangements, in
the event of a legal challenge, would be
found to be legal, valid, binding, and
enforceable under the law of the
relevant jurisdictions.
Section 3.37(c)(4)(i)(E), regarding
collateralized transactions, requires that
a bank have policies and procedures in
place describing how it determines the
period of significant financial stress
used to calculate its own internal
estimates for haircuts and be able to
provide empirical support for the period
used.
Section 3.41(b)(3), which sets forth
operational requirements for
securitization exposures, allows a
national bank or Federal savings
association to recognize for risk-based
capital purposes, in the case of synthetic
securitizations, a credit risk mitigant to
hedge underlying exposures if certain
conditions are met, including a
requirement that the national bank or
Federal savings association obtain a
well-reasoned opinion from legal
counsel that confirms the enforceability
of the credit risk mitigant in all relevant
jurisdictions.
Section 3.41(c)(2)(i) requires that a
national bank or Federal savings
association demonstrate its
comprehensive understanding of a
securitization exposure by conducting
an analysis of the risk characteristics of
each securitization exposure prior to its
acquisition, taking into account a
number of specified considerations and
documenting the analysis within three
business days after the acquisition.
If a national bank or Federal savings
association provides non-contractual
support to a securitization, § 3.42(e)(2),
regarding risk-weighted assets for
securitization exposures, requires that a
national bank or Federal savings
association to publicly disclose that is
has provided implicit support to a
securitization and the risk-based capital
impact to the bank of providing such
implicit support.
Section 3.62 sets forth disclosure
requirements related to the capital
requirements of a national bank or
Federal savings association. Section
3.61 provides that these requirements
apply only to a national bank or Federal
savings association with total
consolidated assets of $50 billion or
more that is not a consolidated
subsidiary of an entity that is itself
subject to Basel III disclosures. For
national banks and Federal savings
associations subject to the disclosure
requirements, section 3.62(a) requires
quarterly disclosure of information in
the applicable tables in section 3.63
and, if a significant change occurs, such
that the most recent reported amounts
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are no longer reflective of the
institution’s capital adequacy and risk
profile, section 3.62(a) requires the
national bank or Federal savings
association to disclose as soon as
practicable thereafter, a brief discussion
of the change and its likely impact.
Section 3.62(a) permits annual
disclosure of qualitative information
that typically does not change each
quarter, provided that any significant
changes are disclosed in the interim.
Section 3.62(b) requires that a national
bank or Federal savings association have
a formal disclosure policy approved by
the board of directors that addresses its
approach for determining the
disclosures it makes. The policy must
address the associated internal controls
and disclosure controls and procedures.
Section 3.62(c) permits a national bank
or Federal savings association to
disclose more general information about
certain subjects if the national bank or
Federal savings association concludes
that the specific commercial or financial
information required to be disclosed
under § 3.62 is exempt from disclosure
under the Freedom of Information Act
(5 U.S.C. 552), and national bank or
Federal savings association provides the
reason the specific items of information
have not been disclosed.
Section 3.63 sets forth the specific
disclosure requirements for a nonadvanced approaches national bank or
Federal savings association with total
consolidated assets of $50 billion or
more that is not a consolidated
subsidiary of an entity that is itself
subject to Basel III disclosure
requirements. Section 3.63(a) requires
those institutions to make the
disclosures in Tables 1 through 10 to
§ 3.63 and in § 3.63(b) for each of the
last three years beginning on the
effective date of the rule. Section 3.63(b)
requires quarterly disclosure of an
institution’s common equity tier 1
capital, additional tier 1 capital, tier 2
capital, tier 1 and total capital ratios,
including the regulatory capital
elements and all the regulatory
adjustments and deductions needed to
calculate the numerator of such ratios;
total risk-weighted assets, including the
different regulatory adjustments and
deductions needed to calculate total
risk-weighted assets; regulatory capital
ratios during any transition periods,
including a description of all the
regulatory capital elements and all
regulatory adjustments and deductions
needed to calculate the numerator and
denominator of each capital ratio during
any transition period; and a
reconciliation of regulatory capital
elements as they relate to its balance
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sheet in any audited consolidated
financial statements. Tables 1 through
10 to § 3.63 set forth qualitative and/or
quantitative requirements for scope of
application, capital structure, capital
adequacy, capital conservation buffer,
credit risk, counterparty credit riskrelated exposures, credit risk mitigation,
securitizations, equities not subject to
Subpart F (Market Risk requirements) of
the rule, and interest rate risk for nontrading activities.
Section 3.121 requires a national bank
or Federal savings association subject to
the advanced approaches risk-based
capital requirements to adopt a written
implementation plan to address how it
will comply with the advanced capital
adequacy framework’s qualification
requirements and also develop and
maintain a comprehensive and sound
planning and governance process to
oversee the implementation efforts
described in the plan. Section 3.122
further requires these institutions to:
develop processes for assessing capital
adequacy in relation to an organization’s
risk profile; establish and maintain
internal risk rating and segmentation
systems for wholesale and retail risk
exposures, including comprehensive
risk parameter quantification processes
and processes for annual reviews and
analyses of reference data to determine
their relevance; document its process for
identifying, measuring, monitoring,
controlling, and internally reporting
operational risk; verify the accurate and
timely reporting of risk-based capital
requirements; and monitor, validate,
and refine its advanced systems.
Section 3.123 sets forth ongoing
qualification requirements that require
an institution to notify the OCC of any
material change to an advance system
and to establish and submit to the OCC
a plan for returning to compliance with
the qualification requirements.
Section 3.124 requires a national bank
of Federal savings association to submit
to the OCC, within 90 days of
consummating a merger or acquisition,
an implementation plan for using its
advanced systems for the merged or
acquired company.
Section 3.132(b)(2)(iii)(A) addresses
counterparty credit risk of repo-style
transactions, eligible margin loans, and
over-the-counter (OTC) derivative
contracts, and internal estimates for
haircuts. With the prior written
approval of the OCC, an institution may
calculate haircuts (Hs and Hfx) using its
own internal estimates of the volatilities
of market prices and foreign exchange
rates. The section requires national
banks and Federal savings associations
to satisfy certain minimum quantitative
standards in order to receive OCC
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approval to use its own internal
estimates.
Section 3.132(b)(3) covers
counterparty credit risk of repo-style
transactions, eligible margin loans, OTC
derivative contracts, and simple Valueat-Risk (VaR) methodology. With the
prior written approval of the OCC, a
national bank or Federal savings
association may estimate exposure at
default (EAD) for a netting set using a
VaR model that meets certain
requirements.
Section 3.132(d)(1) permits the use of
the internal models methodology (IMM)
to determine EAD for counterparty
credit risk for derivative contracts with
prior written approval from the OCC.
Section 3.132(d)(1)(iii) permits the use
of the internal models methodology for
derivative contracts, eligible margin
loans, and repo-style transactions
subject to a qualifying cross-product
netting agreement with prior written
approval from the OCC.
Section 3.132(d)(2)(iv) addresses
counterparty credit risk of repo-style
transactions, eligible margin loans, and
OTC derivative contracts, and riskweighted assets using IMM. Under the
IMM, an institution uses an internal
model to estimate the expected
exposure (EE) for a netting set and then
calculates EAD based on that EE. An
institution must calculate two EEs and
two EADs (one stressed and one
unstressed) for each netting as outlined
in this section. A national bank or
Federal savings association may use a
conservative measure of EAD subject to
prior written approval of the OCC.
Section 3.132(d)(3)(vi) addresses
counterparty credit risk of repo-style
transactions, eligible margin loans, and
OTC derivative contracts. To obtain
OCC approval to calculate the
distributions of exposures upon which
the EAD calculation is based, a national
bank or Federal savings association
must demonstrate to the satisfaction of
the OCC that it has been using for at
least one year an internal model that
broadly meets the minimum standards,
with which the institution must
maintain compliance. The institution
must have procedures to identify,
monitor, and control wrong-way risk
throughout the life of an exposure and
they must include stress testing and
scenario analysis.
Section 3.132(d)(3)(viii) addresses
counterparty credit risk of repo-style
transactions, eligible margin loans, and
OTC derivative contracts. When
estimating model parameters based on a
stress period, a national bank or Federal
savings association must use at least
three years of historical data that
include a period of stress to the credit
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default spreads of the institution’s
counterparties. The institution must
review the data set and update the data
as necessary, particularly for any
material changes in its counterparties.
The institution must demonstrate at
least quarterly that the stress period
coincides with increased credit default
swap (CDS) or other credit spreads of
the institution’s counterparties. The
institution must have procedures to
evaluate the effectiveness of its stress
calibration that include a process for
using benchmark portfolios that are
vulnerable to the same risk factors as the
institution’s portfolio. The OCC may
require the institution to modify its
stress calibration to better reflect actual
historic losses of the portfolio.
Section 3.132(d)(3)(ix), regarding
counterparty credit risk of repo-style
transactions, eligible margin loans, and
OTC derivative contracts, requires that
an institution must subject its internal
model to an initial validation and
annual model review process that
includes consideration of whether the
inputs and risk factors, as well as the
model outputs, are appropriate. The
section requires national banks and
Federal savings associations to have a
backtesting program for its model that
includes a process by which
unacceptable model performance will
be determined and remedied.
Section 3.132(d)(3)(x), regarding
counterparty credit risk of repo-style
transactions, eligible margin loans, and
OTC derivative contracts, provides that
an national bank or Federal savings
association must have policies for the
measurement, management, and control
of collateral and margin amounts.
Section 3.132(d)(3)(xi), concerning
counterparty credit risk of repo-style
transactions, eligible margin loans, and
OTC derivative contracts, states that an
institution must have a comprehensive
stress testing program that captures all
credit exposures to counterparties, and
incorporates stress testing of principal
market risk factors and creditworthiness
of counterparties.
Section 3.141 relates to operational
criteria for recognizing the transfer of
risk in connection with a securitization.
Section 3.141(b)(3) requires a national
bank or Federal savings association to
obtain a well-reasoned legal opinion
confirming the enforceability of the
credit risk mitigant in all relevant
jurisdictions in order to recognize the
transference of risk in connection with
a synthetic securitization. An institution
must demonstrate its comprehensive
understanding of a securitization
exposure under § 3.141(c)(2) for each
securitization exposure by conducting
an analysis of the risk characteristics of
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a securitization exposure prior to
acquiring the exposure and document
such analysis within three business
days after acquiring the exposure.
Sections 3.141(c)(2)(i) and (ii) require
that institutions, on an on-going basis
(at least quarterly), evaluate, review, and
update as appropriate the analysis
required under this section for each
securitization exposure.
Section 3.142(h)(2), regarding the
capital treatment for securitization
exposures, requires a national bank or
Federal savings association to disclose
publicly if it has provided implicit
support to a securitization and the
regulatory capital impact to the
institution of providing such implicit
support.
Section 3.153(b), outlining the
Internal Models Approach (IMA) for
calculating risk-weighted assets for
equity exposures, specifies that a
national bank or Federal savings
association must receive prior written
approval from the OCC before it can use
IMA.
Section 3.172 specifies that each
advanced approaches national bank or
Federal savings association that has
completed the parallel run process must
publicly disclose its total and tier 1 riskbased capital ratios and their
components.
Section 3.173 addresses disclosures
by an advanced approaches national
bank or Federal savings association that
is not a consolidated subsidiary of an
entity that is subject to the Basel III
disclosure requirements. An advanced
approaches institution that is subject to
the disclosure requirements must make
the disclosures described in Tables 1
through 12. The institution must make
these disclosures publicly available for
each of the last three years (that is,
twelve quarters) or such shorter period
beginning on the effective date of this
subpart E.
The tables to section 3.173 require
qualitative and quantitative public
disclosures for capital structure, capital
adequacy, capital conservation and
countercyclical buffers, credit risk,
securitization, operational risk, equities
not subject to the market risk capital
requirements, and interest rate risk for
non-trading activities.
On February 28, 2014, the OCC issued
a notice for 60 days of comment
concerning renewal of this collection.
79 FR 11501. No comments were
received. Comments continue to be
invited on:
(a) Whether the collections of
information are necessary for the proper
performance of the OCC’s functions,
including whether the information has
practical utility;
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(b) The accuracy of the OCC’s
estimates of the burden of the
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; and
(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.
Dated: May 12, 2014.
Stuart E. Feldstein,
Legislative and Regulatory Activities Division.
[FR Doc. 2014–11397 Filed 5–15–14; 8:45 am]
BILLING CODE 4810–33–P
DEPARTMENT OF THE TREASURY
Office of Foreign Assets Control
Designation of Persons Whose
Property and Interests in Property Are
Blocked Pursuant to Executive Order
13664 of April 3, 2014, ‘‘Blocking
Property of Certain Persons With
Respect to South Sudan.’’
Office of Foreign Assets
Control, Treasury.
ACTION: Notice.
AGENCY:
The Treasury Department’s
Office of Foreign Assets Control
(‘‘OFAC’’) is publishing the names of 2
individuals whose property and
interests in property are blocked
pursuant to Executive Order 13664 of
April 3, 2014, ‘‘Blocking Property of
Certain Persons With Respect to South
Sudan.’’
FOR FURTHER INFORMATION CONTACT:
Assistant Director, Compliance
Outreach & Implementation, Office of
Foreign Assets Control, Department of
the Treasury, 1500 Pennsylvania
Avenue NW (Treasury Annex),
Washington, DC 20220, Tel.: 202/622–
2490.
SUPPLEMENTARY INFORMATION:
EMCDONALD on DSK67QTVN1PROD with NOTICES
SUMMARY:
Electronic and Facsimile Availability
The List of Specially Designated
Nationals and Blocked Persons (‘‘SDN
List’’) and additional information
concerning OFAC are available from
OFAC’s Web site (www.treas.gov/ofac).
Certain general information pertaining
to OFAC’s sanctions programs also is
available via facsimile through a 24hour fax-on-demand service, tel.: 202/
622–0077.
of Certain Persons With Respect to
South Sudan’’ (the ‘‘Order’’) pursuant
to, inter alia, the International
Emergency Economic Powers Act (50
U.S.C. 1701–06). In the Order, the
President declared a national emergency
to address the unusual and
extraordinary threat to the national
security and foreign policy of the United
States posed by activities that threaten
the peace, security, or stability of South
Sudan and the surrounding region,
including widespread violence and
atrocities, human rights abuses,
recruitment and use of child soldiers,
attacks on peacekeepers, and
obstruction of humanitarian operations.
Section 1 of the Order blocks, with
certain exceptions, all property and
interests in property that are in the
United States, that come within the
United States, or that are or come within
the possession or control of any United
States person and of persons determined
by the Secretary of the Treasury, in
consultation with the Secretary of State,
to satisfy certain criteria set forth in the
Order. On May 6, 2014, the Director of
OFAC, in consultation with the
Department of State, designated,
pursuant to one or more of the criteria
set forth in Section 1 of the Order, the
following 2 individuals, whose names
have been added to the list of Specially
Designated Nationals and Blocked
Persons and whose property and
interests in property are blocked
pursuant to Executive Order 13664:
1. MANGOK, Marial Chanuong Yol (a.k.a.
CHINOUM, Marial; a.k.a. CHINUONG,
Marial; a.k.a. YOL, Marial Chanoung;
a.k.a. ‘‘CHAN, Marial’’); DOB 01 Jan
1960; POB Yirol, Lakes State;
Commander, Presidential Guard Unit;
Major General, Sudan People’s
Liberation Army (individual) [SOUTH
SUDAN].
2. GADET, Peter (a.k.a. GATDET, Peter; a.k.a.
YAAK, Peter Gadet; a.k.a. YAAK, Peter
Gatdet; a.k.a. YAK, Peter Gadet; a.k.a.
YAKA, Peter Gatdeet; a.k.a. YAKA, Peter
Gatdet); DOB 1957 to 1959; POB Mayon
County Unity State; alt. POB Mayan,
Unity State; General (individual)
[SOUTH SUDAN].
Dated: May 6, 2014.
Adam J. Szubin,
Director, Office of Foreign Assets Control.
[FR Doc. 2014–11409 Filed 5–15–14; 8:45 am]
BILLING CODE 4810–AL–P
Background
On April 3, 2014, the President issued
the Executive Order ‘‘Blocking Property
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DEPARTMENT OF THE TREASURY
Office of Foreign Assets Control
Unblocking of One Individual and Four
Entities Blocked Pursuant to Executive
Order 13315 of August 28, 2003
Office of Foreign Assets
Control, Treasury.
ACTION: Notice.
AGENCY:
The Treasury Department’s
Office of Foreign Assets Control
(‘‘OFAC’’) is removing the names of one
individual and four entities whose
property and interests in property were
blocked pursuant to Executive Order
13315 of August 28, 2003, ‘‘Blocking
Property of the Former Iraqi Regime, Its
Senior Officials and Their Family
Members, and Taking Certain Other
Actions’’ from the list of Specially
Designated Nationals and Blocked
Persons (‘‘SDN List’’).
DATES: The removal of the individual
and the entities from the SDN List was
effective as of April 29, 2014.
FOR FURTHER INFORMATION CONTACT:
Assistant Director, Compliance
Outreach & Implementation, Office of
Foreign Assets Control, Department of
the Treasury, Washington, DC 20220,
tel.: 202/622–2490.
SUPPLEMENTARY INFORMATION:
SUMMARY:
Electronic and Facsimile Availability
This document and additional
information concerning OFAC are
available from OFAC’s Web site
(www.treas.gov/ofac) or via facsimile
through a 24-hour fax-on-demand
service, tel.: 202/622–0077.
Background
On August 28, 2003, the President
issued Executive Order 13315 (the
‘‘Order’’) pursuant to the International
Emergency Economic Powers Act, 50
U.S.C. 1701 et seq., the National
Emergencies Act, 50 U.S.C. 1601 et seq.,
section 5 of the United Nations
Participation Act, as amended, 22 U.S.C.
287c, section 301 of title 3, United
States Code, and in view of United
Nations Security Council Resolution
1483 of May 22, 2003. In the Order, the
President expanded the scope of the
national emergency declared in
Executive Order 13303 of May 22, 2003,
to address the unusual and
extraordinary threat to the national
security and foreign policy of the United
States posed by obstacles to the orderly
reconstruction of Iraq, the restoration
and maintenance of peace and security
in that country, and the development of
political, administrative, and economic
institutions in Iraq. The Order blocks
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[Federal Register Volume 79, Number 95 (Friday, May 16, 2014)]
[Notices]
[Pages 28598-28601]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-11397]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
Agency Information Collection Activities: Information Collection
Renewal; Submission for OMB Review; Capital Adequacy Standards
AGENCY: Office of the Comptroller of the Currency (OCC), Treasury.
ACTION: Notice and request for comment.
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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 take this opportunity to comment on a continuing
information collection, as required by the Paperwork Reduction Act of
1995 (PRA).
In accordance with the requirements of the PRA, the OCC 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 OCC is soliciting comment concerning renewal of its information
collection titled, ``Capital Adequacy Standards.'' It is also giving
notice that it has submitted the collection to OMB for review.
DATES: Comments must be submitted on or before June 16, 2014.
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: 1557-0318, 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.
Additionally, please send a copy of your comments by mail to: OCC
Desk Officer, 1557-0318, U.S. Office of Management and Budget, 725 17th
Street NW., 10235, Washington, DC 20503, or by email to: oira
submission@omb.eop.gov.
FOR FURTHER INFORMATION CONTACT: Johnny Vilela or Mary H. Gottlieb, OCC
Clearance Officers, (202) 649-5490, for persons who are deaf or hard of
hearing, TTY, (202) 649-5597, 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.
SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501-3520), Federal
agencies must obtain approval from OMB for each collection of
information they conduct or sponsor. ``Collection of information'' is
defined in 44 U.S.C. 3502(3) and 5 CFR 1320.3(c) to include agency
requests or requirements that members of the public submit reports,
keep records, or provide information to a third party.
In connection with issuance of the Basel III final rule,\1\ OMB
provided a six-month approval for this information collection. The OCC
is requesting that OMB extend approval of the collection for the
standard three years.
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\1\ 78 FR 62018 (October 11, 2013).
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Title: Capital Adequacy Standards.
OMB Control No.: 1557-0318.
Frequency of Response: On occasion.
Affected Public: Business or other for-profit.
Estimated Number of Respondents: 823.
Estimated Total Burden: 189,348.50 hours.
Section-by-Section-Analysis
Twelve CFR part 3 sets forth the OCC's minimum capital requirements
and overall capital adequacy standards for national banks and Federal
savings associations.
Section 3.3(c) allows for the recognition of netting across
multiple types of transactions or agreements if the institution obtains
a written legal opinion verifying the validity and enforceability of
the agreement under certain circumstances and maintains sufficient
written documentation of this legal review.
Section 3.22(h)(2)(iii)(A) permits the use of a conservative
estimate of the amount of an institution's investment in its own
capital or the capital of unconsolidated financial institutions held
through an index security with prior approval by the OCC.
Section 3.35(b)(3)(i)(A) requires, for a cleared transaction with a
qualified central counterparty (QCCP), that a client bank apply a risk
weight of two percent, provided that the collateral posted by the bank
to the QCCP is subject to certain arrangements and the client bank has
conducted a sufficient legal review (and maintains sufficient written
documentation of the legal review) to conclude with a well-
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founded basis that the arrangements, in the event of a legal challenge,
would be found to be legal, valid, binding, and enforceable under the
law of the relevant jurisdictions.
Section 3.37(c)(4)(i)(E), regarding collateralized transactions,
requires that a bank have policies and procedures in place describing
how it determines the period of significant financial stress used to
calculate its own internal estimates for haircuts and be able to
provide empirical support for the period used.
Section 3.41(b)(3), which sets forth operational requirements for
securitization exposures, allows a national bank or Federal savings
association to recognize for risk-based capital purposes, in the case
of synthetic securitizations, a credit risk mitigant to hedge
underlying exposures if certain conditions are met, including a
requirement that the national bank or Federal savings association
obtain a well-reasoned opinion from legal counsel that confirms the
enforceability of the credit risk mitigant in all relevant
jurisdictions.
Section 3.41(c)(2)(i) requires that a national bank or Federal
savings association demonstrate its comprehensive understanding of a
securitization exposure by conducting an analysis of the risk
characteristics of each securitization exposure prior to its
acquisition, taking into account a number of specified considerations
and documenting the analysis within three business days after the
acquisition.
If a national bank or Federal savings association provides non-
contractual support to a securitization, Sec. 3.42(e)(2), regarding
risk-weighted assets for securitization exposures, requires that a
national bank or Federal savings association to publicly disclose that
is has provided implicit support to a securitization and the risk-based
capital impact to the bank of providing such implicit support.
Section 3.62 sets forth disclosure requirements related to the
capital requirements of a national bank or Federal savings association.
Section 3.61 provides that these requirements apply only to a national
bank or Federal savings association with total consolidated assets of
$50 billion or more that is not a consolidated subsidiary of an entity
that is itself subject to Basel III disclosures. For national banks and
Federal savings associations subject to the disclosure requirements,
section 3.62(a) requires quarterly disclosure of information in the
applicable tables in section 3.63 and, if a significant change occurs,
such that the most recent reported amounts are no longer reflective of
the institution's capital adequacy and risk profile, section 3.62(a)
requires the national bank or Federal savings association to disclose
as soon as practicable thereafter, a brief discussion of the change and
its likely impact. Section 3.62(a) permits annual disclosure of
qualitative information that typically does not change each quarter,
provided that any significant changes are disclosed in the interim.
Section 3.62(b) requires that a national bank or Federal savings
association have a formal disclosure policy approved by the board of
directors that addresses its approach for determining the disclosures
it makes. The policy must address the associated internal controls and
disclosure controls and procedures. Section 3.62(c) permits a national
bank or Federal savings association to disclose more general
information about certain subjects if the national bank or Federal
savings association concludes that the specific commercial or financial
information required to be disclosed under Sec. 3.62 is exempt from
disclosure under the Freedom of Information Act (5 U.S.C. 552), and
national bank or Federal savings association provides the reason the
specific items of information have not been disclosed.
Section 3.63 sets forth the specific disclosure requirements for a
non-advanced approaches national bank or Federal savings association
with total consolidated assets of $50 billion or more that is not a
consolidated subsidiary of an entity that is itself subject to Basel
III disclosure requirements. Section 3.63(a) requires those
institutions to make the disclosures in Tables 1 through 10 to Sec.
3.63 and in Sec. 3.63(b) for each of the last three years beginning on
the effective date of the rule. Section 3.63(b) requires quarterly
disclosure of an institution's common equity tier 1 capital, additional
tier 1 capital, tier 2 capital, tier 1 and total capital ratios,
including the regulatory capital elements and all the regulatory
adjustments and deductions needed to calculate the numerator of such
ratios; total risk-weighted assets, including the different regulatory
adjustments and deductions needed to calculate total risk-weighted
assets; regulatory capital ratios during any transition periods,
including a description of all the regulatory capital elements and all
regulatory adjustments and deductions needed to calculate the numerator
and denominator of each capital ratio during any transition period; and
a reconciliation of regulatory capital elements as they relate to its
balance sheet in any audited consolidated financial statements. Tables
1 through 10 to Sec. 3.63 set forth qualitative and/or quantitative
requirements for scope of application, capital structure, capital
adequacy, capital conservation buffer, credit risk, counterparty credit
risk-related exposures, credit risk mitigation, securitizations,
equities not subject to Subpart F (Market Risk requirements) of the
rule, and interest rate risk for non-trading activities.
Section 3.121 requires a national bank or Federal savings
association subject to the advanced approaches risk-based capital
requirements to adopt a written implementation plan to address how it
will comply with the advanced capital adequacy framework's
qualification requirements and also develop and maintain a
comprehensive and sound planning and governance process to oversee the
implementation efforts described in the plan. Section 3.122 further
requires these institutions to: develop processes for assessing capital
adequacy in relation to an organization's risk profile; establish and
maintain internal risk rating and segmentation systems for wholesale
and retail risk exposures, including comprehensive risk parameter
quantification processes and processes for annual reviews and analyses
of reference data to determine their relevance; document its process
for identifying, measuring, monitoring, controlling, and internally
reporting operational risk; verify the accurate and timely reporting of
risk-based capital requirements; and monitor, validate, and refine its
advanced systems.
Section 3.123 sets forth ongoing qualification requirements that
require an institution to notify the OCC of any material change to an
advance system and to establish and submit to the OCC a plan for
returning to compliance with the qualification requirements.
Section 3.124 requires a national bank of Federal savings
association to submit to the OCC, within 90 days of consummating a
merger or acquisition, an implementation plan for using its advanced
systems for the merged or acquired company.
Section 3.132(b)(2)(iii)(A) addresses counterparty credit risk of
repo-style transactions, eligible margin loans, and over-the-counter
(OTC) derivative contracts, and internal estimates for haircuts. With
the prior written approval of the OCC, an institution may calculate
haircuts (Hs and Hfx) using its own internal
estimates of the volatilities of market prices and foreign exchange
rates. The section requires national banks and Federal savings
associations to satisfy certain minimum quantitative standards in order
to receive OCC
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approval to use its own internal estimates.
Section 3.132(b)(3) covers counterparty credit risk of repo-style
transactions, eligible margin loans, OTC derivative contracts, and
simple Value-at-Risk (VaR) methodology. With the prior written approval
of the OCC, a national bank or Federal savings association may estimate
exposure at default (EAD) for a netting set using a VaR model that
meets certain requirements.
Section 3.132(d)(1) permits the use of the internal models
methodology (IMM) to determine EAD for counterparty credit risk for
derivative contracts with prior written approval from the OCC. Section
3.132(d)(1)(iii) permits the use of the internal models methodology for
derivative contracts, eligible margin loans, and repo-style
transactions subject to a qualifying cross-product netting agreement
with prior written approval from the OCC.
Section 3.132(d)(2)(iv) addresses counterparty credit risk of repo-
style transactions, eligible margin loans, and OTC derivative
contracts, and risk-weighted assets using IMM. Under the IMM, an
institution uses an internal model to estimate the expected exposure
(EE) for a netting set and then calculates EAD based on that EE. An
institution must calculate two EEs and two EADs (one stressed and one
unstressed) for each netting as outlined in this section. A national
bank or Federal savings association may use a conservative measure of
EAD subject to prior written approval of the OCC.
Section 3.132(d)(3)(vi) addresses counterparty credit risk of repo-
style transactions, eligible margin loans, and OTC derivative
contracts. To obtain OCC approval to calculate the distributions of
exposures upon which the EAD calculation is based, a national bank or
Federal savings association must demonstrate to the satisfaction of the
OCC that it has been using for at least one year an internal model that
broadly meets the minimum standards, with which the institution must
maintain compliance. The institution must have procedures to identify,
monitor, and control wrong-way risk throughout the life of an exposure
and they must include stress testing and scenario analysis.
Section 3.132(d)(3)(viii) addresses counterparty credit risk of
repo-style transactions, eligible margin loans, and OTC derivative
contracts. When estimating model parameters based on a stress period, a
national bank or Federal savings association must use at least three
years of historical data that include a period of stress to the credit
default spreads of the institution's counterparties. The institution
must review the data set and update the data as necessary, particularly
for any material changes in its counterparties. The institution must
demonstrate at least quarterly that the stress period coincides with
increased credit default swap (CDS) or other credit spreads of the
institution's counterparties. The institution must have procedures to
evaluate the effectiveness of its stress calibration that include a
process for using benchmark portfolios that are vulnerable to the same
risk factors as the institution's portfolio. The OCC may require the
institution to modify its stress calibration to better reflect actual
historic losses of the portfolio.
Section 3.132(d)(3)(ix), regarding counterparty credit risk of
repo-style transactions, eligible margin loans, and OTC derivative
contracts, requires that an institution must subject its internal model
to an initial validation and annual model review process that includes
consideration of whether the inputs and risk factors, as well as the
model outputs, are appropriate. The section requires national banks and
Federal savings associations to have a backtesting program for its
model that includes a process by which unacceptable model performance
will be determined and remedied.
Section 3.132(d)(3)(x), regarding counterparty credit risk of repo-
style transactions, eligible margin loans, and OTC derivative
contracts, provides that an national bank or Federal savings
association must have policies for the measurement, management, and
control of collateral and margin amounts.
Section 3.132(d)(3)(xi), concerning counterparty credit risk of
repo-style transactions, eligible margin loans, and OTC derivative
contracts, states that an institution must have a comprehensive stress
testing program that captures all credit exposures to counterparties,
and incorporates stress testing of principal market risk factors and
creditworthiness of counterparties.
Section 3.141 relates to operational criteria for recognizing the
transfer of risk in connection with a securitization. Section
3.141(b)(3) requires a national bank or Federal savings association to
obtain a well-reasoned legal opinion confirming the enforceability of
the credit risk mitigant in all relevant jurisdictions in order to
recognize the transference of risk in connection with a synthetic
securitization. An institution must demonstrate its comprehensive
understanding of a securitization exposure under Sec. 3.141(c)(2) for
each securitization exposure by conducting an analysis of the risk
characteristics of a securitization exposure prior to acquiring the
exposure and document such analysis within three business days after
acquiring the exposure. Sections 3.141(c)(2)(i) and (ii) require that
institutions, on an on-going basis (at least quarterly), evaluate,
review, and update as appropriate the analysis required under this
section for each securitization exposure.
Section 3.142(h)(2), regarding the capital treatment for
securitization exposures, requires a national bank or Federal savings
association to disclose publicly if it has provided implicit support to
a securitization and the regulatory capital impact to the institution
of providing such implicit support.
Section 3.153(b), outlining the Internal Models Approach (IMA) for
calculating risk-weighted assets for equity exposures, specifies that a
national bank or Federal savings association must receive prior written
approval from the OCC before it can use IMA.
Section 3.172 specifies that each advanced approaches national bank
or Federal savings association that has completed the parallel run
process must publicly disclose its total and tier 1 risk-based capital
ratios and their components.
Section 3.173 addresses disclosures by an advanced approaches
national bank or Federal savings association that is not a consolidated
subsidiary of an entity that is subject to the Basel III disclosure
requirements. An advanced approaches institution that is subject to the
disclosure requirements must make the disclosures described in Tables 1
through 12. The institution must make these disclosures publicly
available for each of the last three years (that is, twelve quarters)
or such shorter period beginning on the effective date of this subpart
E.
The tables to section 3.173 require qualitative and quantitative
public disclosures for capital structure, capital adequacy, capital
conservation and countercyclical buffers, credit risk, securitization,
operational risk, equities not subject to the market risk capital
requirements, and interest rate risk for non-trading activities.
On February 28, 2014, the OCC issued a notice for 60 days of
comment concerning renewal of this collection. 79 FR 11501. No comments
were received. Comments continue to be invited on:
(a) Whether the collections of information are necessary for the
proper performance of the OCC's functions, including whether the
information has practical utility;
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(b) The accuracy of the OCC's estimates of the burden of the
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; and
(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.
Dated: May 12, 2014.
Stuart E. Feldstein,
Legislative and Regulatory Activities Division.
[FR Doc. 2014-11397 Filed 5-15-14; 8:45 am]
BILLING CODE 4810-33-P
