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, 80717-80719 [2016-27555]

Agencies

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

[Federal Register Volume 81, Number 221 (Wednesday, November 16, 2016)]
[Notices]
[Pages 80717-80719]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-27555]



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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 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 comment on a revision to this information collection, as 
required by the Paperwork Reduction Act of 1995 (PRA). 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 17, 2017.

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: 1557-0319, 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 prainfo@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 or, for persons who are deaf or hard of hearing, 
TTY, (202) 649-5597. Upon arrival, visitors will be required to present 
valid government-issued photo identification and 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 include any information in your comment or 
supporting materials that you consider confidential or inappropriate 
for public disclosure.

FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, OCC Clearance 
Officer, (202) 649-5490 or, 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 to the extent permitted by law (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) (codified at 12 CFR 46).
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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 intends to use the data collected 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 OCC recognizes that many covered institutions with total 
consolidated assets of $50 billion or more are required to submit 
reports using reporting form FR Y-14A.\7\ The OCC also recognizes the 
Board has proposed to modify the FR Y-14A 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.\8\ Therefore, the OCC is proposing to revise its 
reporting requirements to mirror the Board's proposed FR Y-14A for 
covered institutions with total consolidated assets of $50 billion or 
more.
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    \7\ https://www.federalreserve.gov/reportforms.
    \8\ 81 FR 49653 (July 28, 2016).
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    The OCC also recognizes that the Board has proposed to modify its 
Capital Plan and Stress Testing rule which included modified reporting 
requirements for bank holding companies (BHCs) categorized by the Board 
as large and noncomplex firms.\9\

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The OCC is reviewing whether to apply similar changes to reporting 
requirements for a subset of covered institutions. In particular, the 
OCC is considering not requiring national banks that are subsidiaries 
of large, non-complex firms as defined by the Board to complete the 
sub-schedules identified in the Board's proposal.
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    \9\ 81 FR 67239 (September 30, 2016) (``Under the proposal, 
large and noncomplex firms would no longer be required to complete 
several elements of the FR Y-14A Schedule A (Summary), including the 
Securities OTTI methodology sub-schedule, Securities Market Value 
source sub-schedule, Securities OTTI by security sub-schedule, the 
Retail repurchase sub-schedule, the Trading sub-schedule, 
Counterparty sub-schedule, and Advanced RWA sub-schedule.'').
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    In addition to the changes that parallel the Board's proposed 
changes to the FR Y-14A, the OCC is also proposing to implement a new 
supplemental schedule to collect certain items not included in the 
Board's FR Y-14A.

Proposed Revisions to Reporting Templates for Institutions With $50 
Billion or More in Assets

    The proposed revisions to the DFAST-14A reporting templates consist 
of the following:
     Adding line items to the Regulatory Capital Instruments 
schedule.
     Updating the Summary schedule to collect items related to 
the supplementary leverage ratio.
     Removing and adding sub-schedules to the Operational Risk 
schedule.
     Creating a new supplemental schedule to collect certain 
items not included in the Board's FR Y-14A.
     Requiring a bank-specific scenario. Covered institutions 
would be required to submit bank-specific baseline and stress 
scenarios.
     Requiring the assumption of largest counterparty default. 
The largest trading covered institutions that also submit the Global 
Market Shock scenario would be required to assume the default of their 
largest counterparty in the supervisory severely adverse and adverse 
scenarios.

Bank-Specific Scenarios

    Covered institutions would be required to submit bank-specific 
baseline and bank-specific stress scenarios and associated projections 
for the 2017 annual stress testing submission. While supervisory 
scenarios provide a homogeneous scenario and a consistent market-wide 
view of the condition of the banking sector, these prescribed scenarios 
may not fully capture all of the risks that may be associated with a 
particular institution. The proposed revisions would require covered 
institutions to provide bank-specific baseline and bank-specific stress 
scenarios.
    The OCC recognizes that the Board requires BHCs to submit BHC-
specific baseline and stress scenarios and projections. Where OCC 
covered institutions also submit BHC-specific scenarios, the OCC would 
require that bank-specific scenarios would be consistent with the BHC-
specific scenarios.

Largest Counterparty Default

    Covered institutions that currently complete the Global Market 
Shock would also be required to complete the Largest Counterparty 
Default component. This is currently required by the Board, and the OCC 
would adopt a similar requirement to enhance consistency and reduce 
regulatory burden.

OCC Supplemental Schedule

    The proposed revisions include a new supplemental schedule that 
would collect additional information not otherwise included in the FR 
Y-14A. This schedule would collect, among other information, additional 
data on auto lending, commercial exposures, and non-U.S. exposures. The 
schedule would also collect information relevant to the calculation of 
the Supplementary Leverage Ratio.\10\
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    \10\ For the OCC Supplemental Schedule, the OCC anticipates that 
covered institutions will use existing models and methodologies to 
furnish the requested information. Covered institutions should not 
develop new models/methodologies just to provide the loss, balance, 
provision, and allowance numbers requested in the OCC Supplemental 
Schedule.
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Other Reporting Template and Instruction Changes

    The other proposed revisions to the DFAST-14A consist of clarifying 
instructions, adding and removing schedules, adding, deleting, and 
modifying existing data items, and altering the as-of dates. These 
proposed changes would increase consistency between the DFAST-14A and 
the FR Y-14A and Call Report.

Summary Schedule, Standardized RWA Worksheet

    The proposed revision includes multiple line item changes intended 
to promote consistency with the FR Y-14A and ensure the collection of 
accurate information.

Summary Schedule, Capital Worksheet

    Covered institutions would be required to estimate their 
supplementary leverage ratio for the planning horizon beginning on 
January 1, 2018. The OCC proposes adding two items to the Summary 
Schedule: Supplementary Leverage Ratio Exposure (SLR Exposure) and 
Supplementary Leverage Ratio (the SLR). The SLR would be a derived 
field.
    In addition, to collect more precise information regarding deferred 
tax assets (DTAs), the OCC proposes modifying one existing item on the 
Capital--DFAST worksheet of the Summary schedule as-of December 31, 
2016. The OCC proposes changing existing item 112 on the Capital--DFAST 
worksheet of the Summary schedule, ``Deferred tax assets arising from 
temporary differences that could not be realized through net operating 
loss carrybacks, net of DTLs, but before related valuation 
allowances,'' to ``Deferred tax assets arising from temporary 
differences, net of DTLs.'' A covered institution in a net deferred tax 
liability (DTL) position would report this item as a negative number. 
This modification would provide more specific information about the 
components of the ``DTAs arising from temporary differences that could 
not be realized through net operating loss carrybacks, net of related 
valuation allowances and net of DTLs'' subject to the common equity 
tier 1 capital deduction threshold.
    The proposed revisions would also remove certain items that 
pertained to the capital regulations in place before the adoption of 
the Basel III final rule.

Summary Schedule, Counterparty Worksheet

    The OCC proposes adding the item ``Other counterparty losses'' to 
the counterparty worksheet of the Summary schedule.

Operational Risk Schedule

    The proposed revisions would remove and add sub-schedules to the 
Operational Risk Schedule to ensure the collection of accurate 
information. The OCC proposes adding two sub-schedules and modifying 
the supporting documentation requirements for this schedule effective 
with the reports as-of December 31, 2016. First, new sub-schedule 
Material Risk Identification would collect information on a firm's 
material operational risks included in loss projections based on their 
risk management framework. Second, new sub-schedule Operational Risk 
Scenarios would collect a covered institution's operational risk 
scenarios included in the BHC Baseline and BHC Stress projections, a 
fundamental element of the framework.
    The Operational Risk Historical Capital sub-schedule would be 
removed from the reporting template.
    Type of Review: Regular.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 23.

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    Estimated Total Annual Burden: 16,466 hours.

The OCC believes that the systems covered institutions use to prepare 
the FR Y-14 reporting templates to submit to the Board will also be 
used to prepare the reporting templates 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 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: November 10, 2016.
Karen Solomon,
Deputy Chief Counsel, Office of the Comptroller of the Currency.
[FR Doc. 2016-27555 Filed 11-15-16; 8:45 am]
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