Agency Information Collection Activities: Revision of an Approved Information Collection; Comment Request; Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions With Total Consolidated Assets of $50 Billion or More Under the Dodd-Frank Wall Street Reform and Consumer Protection Act, 72245-72247 [2014-28575]

Agencies

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

[Federal Register Volume 79, Number 234 (Friday, December 5, 2014)]
[Notices]
[Pages 72245-72247]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-28575]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Revision of an Approved 
Information Collection; Comment Request; Company-Run Annual Stress Test 
Reporting Template and Documentation for Covered Institutions With 
Total Consolidated Assets of $50 Billion or More 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 a revision to this 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 Office of 
Management and Budget (OMB) control number. Currently, the OCC is 
soliciting comment concerning a revision to a 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 $50 Billion 
or More under the Dodd-Frank Wall Street Reform and Consumer Protection 
Act.''

DATES: Comments must be received by January 5, 2015.

ADDRESSES:  Communications Division, Office of the Comptroller of the 
Currency, Mailstop 2-3, Attention: 1557-0319, 400 7th St. SW., 
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 St. 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.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
from 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 St. SW., Washington, DC 20219. In 
addition, copies of the templates referenced in this notice can be 
found on the OCC's Web site under News and Issuances (https://www.occ.treas.gov/tools-forms/forms/bank-operations/stress-test-reporting.html).

SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the 
following revision to an approved information collection:
    Title: Company-Run Annual Stress Test Reporting Template and 
Documentation for Covered Institutions with Total Consolidated Assets 
of $50 Billion or More under the Dodd-Frank Wall Street Reform and 
Consumer Protection Act.
    OMB Control No.: 1557-0319.
    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 are more than $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 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 requirement.\6\ This rule describes the reports and information 
collections 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\ Pub. L. 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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    In 2012, the OCC first implemented the reporting templates 
referenced in the final rule. See 77 FR 49485 (August 16, 2012) and 77 
FR 66663 (November 6, 2012). The OCC is now revising them as described 
below. The OCC proposed these revisions on September 10, 2014.\7\ The 
OCC received one comment and is adopting the revisions as final, with 
some adjustments described below.
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    \7\ 79 FR 53835.
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    The OCC intends to use the data collected to assess the 
reasonableness of the stress test results of covered institutions and 
to analyze forward-looking 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 OCC recognizes that many covered institutions with total 
consolidated assets of $50 billion or more are required to submit 
reports using the Comprehensive Capital Analysis and Review (CCAR) 
reporting form FR Y-14A.\8\ The OCC also recognizes the Board has 
modified the FR Y-14A reporting form, and to the extent practical the 
OCC will keep its reporting requirements consistent with the Board's FR 
Y-14A in order to minimize burden on covered institutions.\9\ 
Therefore, the OCC is revising its reporting requirements to remain 
consistent with the Board's FR Y-14A for covered institutions with 
total consolidated assets of $50 billion

[[Page 72246]]

or more. Furthermore, the OCC is revising the Scenario schedule, which 
collects information on scenario variables beyond those provided by 
regulators. The purpose of this revision is to require further clarity 
on the definitions of the additional scenario variables as well as 
information on how the additional scenario variables are used by 
covered institutions.
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    \8\ https://www.federalreserve.gov/reportforms.
    \9\ 79 FR 64026 (Oct. 27, 2014).
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Revisions To Reporting Templates for Institutions With $50 Billion or 
More in Assets

    The revisions to the DFAST-14A reporting templates consist of 
adding data items, deleting data items, redefining existing data items, 
and renumbering data items. These changes would provide additional 
information to enhance the ability of the OCC to analyze the validity 
and integrity of firms' projections and increase consistency between 
the FR Y-14A reporting templates and DFAST-14A reporting templates. The 
OCC has conducted a thorough review of the changes and believes that 
the incremental burden of these changes is justified given the need for 
this data to properly conduct the OCC's supervisory responsibilities 
related to the stress testing.

Summary Schedule

    The OCC is making a number of changes to the Summary schedule to 
better assess covered institutions' calculation of risk-weighted assets 
(RWA) and certain other items detailed below. Please note that all line 
item numbers referenced in this Notice refer to the existing reporting 
schedules, not the revised reporting schedules. Because the changes add 
and delete some data items, line-item numbering between the existing 
and templates may be different (e.g., Income Statement item 125, Total 
Other Losses, in the existing reporting template is now item 124 in the 
template).

Revisions to Income Statement Worksheet

    In order to accurately collect information for the Income 
Statement, the OCC is changing items 127 and 128 (Realized Gains/Losses 
on available-for-sale securities and held-to-maturity securities, 
including OTTI) to be reported items instead of being equal to the 
total amounts on the Securities OTTI by Portfolio worksheet. 
Additionally, for consistency with changes to the Counterparty Risk 
Worksheet described below, items 59 and 62 (Trading Incremental Default 
Losses and Other CCR Losses) would be modified to be Trading Issuer 
Default Losses and CCR Losses, and line item 61 (Counterparty 
Incremental Default Losses) is being removed.

Revisions to RWA and Capital Worksheets

    To better align the collection of regulatory capital components 
with the Board's FR Y-14A, the OCC is modifying the definitions of the 
items on the Capital--DFAST worksheet to refer to or mirror the 
definitions that appear on revisions to the FR Y-14A. Respondents are 
required to apply the appropriate transition provisions to all 
transition-affected items of the Capital--DFAST schedule consistent 
with revisions to regulatory capital rules. With regard to the RWA 
worksheets, the standardized approach RWA and market RWA items of the 
General RWA worksheet have been changed in accordance with proposed 
modifications to Schedule RC-R of the Call Report \10\ and 
modifications to the FR Y-14A that are currently being considered, and 
moved to a separate worksheet (Standardized RWA). These changes include 
both the modification and addition of items, for an overall addition of 
12 items. Additionally, the computed items one through five of the 
current Advanced RWA worksheet are being removed.
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    \10\ 70 FR 35634 (June 23, 2014).
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Revisions to Retail Repurchase Worksheet

    Due to recent activity by respondents involving settlements related 
to their representation and warranty (R&W) liabilities related to 
residential mortgages, the OCC will collect additional detail about the 
R&W liabilities. Specifically, line items are being added that collect 
the unpaid principal balance (UPB) of loans covered by completed 
settlements for which liability remains and for which no liability 
remains by vintage beginning with 2004, as well as total settlement 
across vintages, for the following categories of loans: Loans sold to 
Fannie Mae, loans sold to Freddie Mac, loans insured by the U.S. 
government, loans securitized with monoline insurance, loans secured 
without monoline insurance, and whole loans sold.

Revisions to Securities Worksheets

    Because covered bonds have unique characteristics relative to other 
asset categories currently on this worksheet, the OCC is adding a 
separate covered bond category to the Securities worksheets to evaluate 
respondents' projections of these assets. Additionally, two columns 
would be added to collect information for the Securities AFS OCI by 
Portfolio worksheet that would allow changes in market value to be 
distinguished from changes in portfolio allocation for each projected 
quarter: Beginning Fair Market Value and Fair Value Rate of Change, 
which is the weighted average percent change in fair value over the 
quarter. Finally, to reduce reporting burden and increase efficiency in 
reporting, the nine sub-asset categories of Domestic Non-Agency 
Residential Mortgage-Backed Securities (RMBS) are being removed from 
the same worksheet, and the available-for-sale and held-to-maturity 
portions of the Securities OTTI by Portfolio worksheet are being 
combined with the addition of a column to identify AFS amounts versus 
HTM amounts.

Revisions to Trading Worksheet

    Because credit valuation adjustment (CVA) losses are modeled 
separately from trading portfolio losses, the OCC is requiring that the 
profit (loss) amount related to CVA hedges be reported separately from 
other trading activity.

Revisions to Counterparty Risk Worksheet

    To allow respondents to use alternative methodologies for 
estimating losses related to the default of issuers and counterparties, 
the requirement of using the incremental default risk (IDR) methodology 
are being removed. Accordingly, line items 1, 1a and 1b (Trading 
Incremental Default Losses, Trading Incremental Default Losses from 
securitized products, and Trading Incremental Default Losses from other 
credit sensitive instruments) are modified to be Issuer Default Losses. 
Additionally, line items 3 (Counterparty Incremental Default Losses) 
and 3a (Impact of CCR IDR Hedges) are being removed, line item 4 (Other 
CCR Losses) are modified to be CCR Losses, and the line item Effect of 
CCR Hedges is being added.

Regulatory Capital Instruments Schedule

    Changes to the Regulatory Capital Instruments schedule are 
consistent with changes to the FR Y-14A. Specifically, the OCC is (1) 
adding an item that collects employee stock compensation to the four 
quarterly redemption/repurchase and issuance activity sub-sections; (2) 
adding 18 items to the general risk-based capital rules section and 28 
items to the revised regulatory capital section; and (3) changing the 
capital balance items in the general risk-based capital rules

[[Page 72247]]

section and the revised regulatory capital section from reported items 
to formulas to permit the capital balance items to be automatically 
computed using the new items.

Regulatory Capital Transitions Schedule

    Similar to the changes being made to the RWA and Capital worksheets 
of the Summary schedule, changes to the Regulatory Capital Transitions 
schedule will better align the collection of regulatory capital 
components with revisions to the FR Y-14A and proposed revisions to 
Schedule RC-R of the Call Report. The OCC is (1) aligning the 
definitions of the items on the Capital Composition worksheet to be 
consistent with the FR Y-14A; (2) modifying the RWA General worksheet 
to align with revisions to the FR Y-14A, including changing the name to 
Standardized RWA and modifying, removing and adding items for a net 
increase of 15 items; (3) modifying, adding and removing items on the 
Advanced RWA worksheet to align with the Advanced RWA worksheet on the 
Summary schedule, for a net increase of 21 items; and (4) revising the 
Leverage Exposure worksheet in accordance with changes to the 
supplementary leverage requirement, for a net increase of ten items.

Counterparty Credit Risk Schedule

    Significant additions are being made to the CCR schedule to more 
adequately and accurately capture exposure information related to 
derivatives and securities financing transactions (SFTs) used in 
supervisory loss estimates and supervisory activities. These additions 
would remediate deficiencies discovered in the current collection 
related to exposure, including a lack of information regarding 
collateral, asset types, and total exposure to a given counterparty.
    The OCC is (1) adding a worksheet that collects the derivative 
exposures at a legal-entity netting-agreement level for the top 25 non-
central clearing counterparties (non-CCP) and non-G-7 counterparties, 
as well as all CCPs and the G-7 counterparties that includes a breakout 
of collateral into cash and non-cash, and exposures into 14 asset 
categories; (2) changing the current SFT sub-schedule to collect 
exposures and collateral separately at a counterparty legal-entity 
netting-agreement level for the top 25 non-CCP and non-G-7 
counterparties as well as all CCPs and the G-7 counterparties and 
adding asset sub-categories for a total of 30 specific asset types; (3) 
removing all columns with the bank specification of margin period of 
risk (MPOR) under the global market shocks from worksheets 1(a)-1(e); 
(4) removing the column LGD Derived from Unstressed PD on the EE 
profile by CP worksheet; and (5) adding columns to worksheet 1(e) to 
collect both gross and net stressed and unstressed current exposure to 
CCPs.

Scenario Schedule

    Additional scenario variables, which are collected on this 
schedule, are key drivers in projection methodologies. The OCC is 
revising the Scenario schedule to further clarify the definitions of 
the additional scenario variables as well as to gather further 
information on how the additional scenario variables are used by 
covered institutions. It is expected that this additional clarity and 
information will assist in comparing information in this schedule 
across covered institutions.
    The OCC is (1) providing additional guidance on the syntax for 
naming additional scenario variables to increase the comparability of 
additional scenario variables across covered institutions; (2) adding a 
column to explicitly capture the ``unit of measure'' of the additional 
scenario variables, e.g., basis points, percentages, dollars; (3) 
adding a column to explicitly capture the frequency of the variable, 
e.g., monthly or 3-month average; and (4) adding multiple columns to 
understand where the additional scenario variables are used in 
modeling. These last additional columns align with the methodology 
documentation framework described in Appendix A of the instructions.

Supporting Documentation

    The instructions provide that banks must provide a comprehensive 
inventory of models used in the projection of losses, revenues, 
expenses, balances, and RWAs. Additionally, the instructions provide 
that covered institutions must submit written procedures or other 
documentation that outlines internal controls and processes used to 
ensure the accuracy of the submissions

Technical Changes

    The OCC received one comment letter. The commenter expressed 
concerns about certain differences between the DFAST-14A reporting 
templates and the FR Y-14A reporting form used by the Board, 
particularly the additional information on the DFAST-14A Scenario 
schedule. While the OCC has attempted to keep the DFAST-14A reporting 
templates very similar to the FR Y-14A, the OCC supervises different 
legal entities than the Board and is required to administer different 
statutory and regulatory requirements.
    Therefore, some differences exist between the final DFAST-14A 
reporting templates and FR Y-14A. The revised templates include changes 
to some line items in order to match the FR Y-14A as much as possible. 
With respect to the additional information required on the DFAST-14A 
Scenario schedule, the OCC believes that additional scenario variables 
are key model inputs that are critical to assessing the reasonableness 
of a covered institution's model-based estimates. Accordingly, the 
final revised templates require submission of this additional 
information. The revised templates also contain various technical, 
syntax, and reference changes.
    Type of Review: Revision.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 23.
    Estimated Total Annual Burden: 16,466 hours.
    The OCC recognizes that the Board has estimated 67,848 hours for 
bank holding companies to prepare the reporting schedules submitted for 
the FR Y-14A. The OCC believes that the systems the covered 
institutions use to prepare the FR Y-14A reporting schedules will also 
be used to prepare the reporting schedules described in this notice. 
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 continue to be 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: December 2, 2014.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division.
[FR Doc. 2014-28575 Filed 12-4-14; 8:45 am]
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