Agency Information Collection Activities: Information Collection Renewal; Submission for OMB Review; Capital Adequacy Standards, 9909-9913 [2024-02736]
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Federal Register / Vol. 89, No. 29 / Monday, February 12, 2024 / Notices
would be required to be registered
except for the exemption from
registration provided by section
12(g)(2)(B) or section 12(g)(2)(G), to file
with the appropriate regulatory agency
(ARA) an application for registration in
such form and containing such
information and documents as such
appropriate regulatory agency may
prescribe as necessary or appropriate in
furtherance of the purposes of this
section.1 In general, an entity
performing transfer agent functions for a
qualifying security is required to register
with its appropriate regulatory agency.
The OCC’s regulations at 12 CFR 9.20
implement these provisions of the Act.
To accomplish the registration of
transfer agents, Form TA–1 was
developed in 1975 as an interagency
effort by the Securities and Exchange
Commission (SEC) and the Federal
banking agencies (the OCC, the Board of
Governors of the Federal Reserve
System, and the Federal Deposit
Insurance Corporation). The agencies
primarily use the data collected on
Form TA–1 to determine whether an
application for registration should be
approved, denied, accelerated, or
postponed, and they use the data in
connection with their supervisory
responsibilities. In addition, when a
national bank or Federal savings
association no longer acts as a transfer
agent for qualifying securities or when
the national bank or Federal savings
association is no longer supervised by
the OCC, i.e., liquidates or converts to
another form of financial institution, the
national bank or Federal savings
association must file Form TA–W with
the OCC, requesting withdrawal from
registration as a transfer agent.
Forms TA–1 and TA–W are
mandatory, and their collection is
authorized by sections 17A(c), 17(a)(3),
and 23(a)(1) of the Act, as amended (15
U.S.C. 78q–1(c), 78q(a)(3), and
78w(a)(1)). Additionally, section
3(a)(34)(B)(i) of the Act (15 U.S.C.
78c(a)(34)(B)(i)) provides that the OCC
is the ARA in the case of a national
banks and Federal savings associations
and subsidiaries of such institutions.
The registrations are public filings and
are not considered confidential. The
OCC needs the information contained in
this collection to fulfill its statutory
responsibilities. Section 17A(c)(2) of the
Act (15 U.S.C. 78q–1(c)(2)), as amended,
provides that all those authorized to
transfer securities registered under
section 12 of the Act (transfer agents)
shall register by filing with the
appropriate regulatory agency an
application for registration in such form
1 15
U.S.C. 78q–1(c).
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and containing such information and
documents as such appropriate
regulatory agency may prescribe to be
necessary or appropriate in furtherance
of the purposes of this section.
Request for Comment
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.
Theodore J. Dowd,
Deputy Chief Counsel, Office of the
Comptroller of the Currency.
[FR Doc. 2024–02822 Filed 2–9–24; 8:45 am]
BILLING CODE 4810–33–P
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.
ACTION: Notice and request for comment.
AGENCY:
The OCC, as part of its
continuing effort to reduce paperwork
and respondent burden, invites
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 a
revision to its information collection
SUMMARY:
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9909
titled, ‘‘Capital Adequacy Standards.’’
The OCC also is giving notice that it has
sent the collection to OMB for review.
DATES: Comments must be received by
March 13, 2024.
ADDRESSES: Commenters are encouraged
to submit comments by email, if
possible. You may submit comments by
any of the following methods:
• Email: prainfo@occ.treas.gov.
• Mail: Chief Counsel’s Office,
Attention: Comment Processing, Office
of the Comptroller of the Currency,
Attention: 1557–0318, 400 7th Street
SW, Suite 3E–218, Washington, DC
20219.
• Hand Delivery/Courier: 400 7th
Street SW, Suite 3E–218, Washington,
DC 20219.
• Fax: (571) 293–4835.
Instructions: You must include
‘‘OCC’’ as the agency name and ‘‘1557–
0318’’ in your comment. In general, the
OCC will publish comments on
www.reginfo.gov without change,
including any business or personal
information provided, such as name and
address information, email addresses, or
phone numbers. 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.
Written comments and
recommendations for the proposed
information collection should also be
sent within 30 days of publication of
this notice to www.reginfo.gov/public/
do/PRAMain. You can find this
information collection by selecting
‘‘Currently under 30-day Review—Open
for Public Comments’’ or by using the
search function.
You may review comments and other
related materials that pertain to this
information collection following the
close of the 30-day comment period for
this notice by the method set forth in
the next bullet.
• Viewing Comments Electronically:
Go to www.reginfo.gov. Hover over the
‘‘Information Collection Review’’ tab
and click on ‘‘Information Collection
Review’’ from the drop-down menu.
From the ‘‘Currently under Review’’
drop-down menu, select ‘‘Department of
Treasury’’ and then click ‘‘submit.’’ This
information collection can be located by
searching OMB control number ‘‘1557–
0318’’ or ‘‘Capital Adequacy
Standards.’’ Upon finding the
appropriate information collection, click
on the related ‘‘ICR Reference Number.’’
On the next screen, select ‘‘View
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Supporting Statement and Other
Documents’’ and then click on the link
to any comment listed at the bottom of
the screen.
• For assistance in navigating
www.reginfo.gov, please contact the
Regulatory Information Service Center
at (202) 482–7340.
FOR FURTHER INFORMATION CONTACT:
Shaquita Merritt, Clearance Officer,
(202) 649–5490, Chief Counsel’s Office,
Office of the Comptroller of the
Currency, 400 7th Street SW,
Washington, DC 20219. If you are deaf,
hard of hearing, or have a speech
disability, please dial 7–1–1 to access
telecommunications relay services.
SUPPLEMENTARY INFORMATION: Under the
PRA (44 U.S.C. 3501 et seq.), Federal
agencies must obtain approval from the
OMB for each collection of information
that 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. The OCC
asks that OMB extend its approval of the
collection in this notice.
Title: Capital Adequacy Standards.
OMB Control No.: 1557–0318.
Type of Review: Regular.
Affected Public: Businesses or other
for-profit.
Abstract: The OCC is seeking renewal
with revision of an information
collection approval for the
recordkeeping, reporting, and disclosure
requirements associated with capital
adequacy standards applicable to
national banks and Federal savings
associations. The OCC is proposing
revisions in connection with this
extension to reflect more granular detail
for certain existing reporting and
recordkeeping provisions and is
improving prior estimates regarding the
number of respondents and burden
associated with these existing
provisions. In addition, reporting
burden associated with 12 CFR 3.304 is
being removed as that portion of the
rule is no longer in effect.
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.
Minimum Regulatory Capital Ratios
Reporting Requirements
Section 3.3(c) allows for the
recognition of netting across multiple
types of transactions or agreements if
the national bank or Federal savings
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association obtains a written legal
opinion verifying the validity and
enforceability of the agreement under
certain circumstances.
Section 3.22(b)(2)(iv) permits, with
prior notice to the OCC, a national bank
or Federal savings association resulting
from a merger, acquisition, or purchase
transaction that is not an advanced
approaches national bank or Federal
savings association to change its AOCI
opt-out election.
Section 3.22(c)(4) provides that, with
the prior written approval of the OCC,
a national bank or Federal savings
association that underwrites a failed
underwriting is not required to deduct
an investment in the capital of an
unconsolidated financial institution to
the extent the investment is related to
the failed underwriting.
Section 3.22(c)(5)(i) provides that,
with the prior written approval of the
OCC, an advanced approaches national
bank or Federal savings association that
underwrites a failed underwriting, for
the period of time stipulated by the
OCC, is not required to deduct from
capital a non-significant investment in
the capital of an unconsolidated
financial institution or an investment in
a covered debt instrument to the extent
the investment is related to the failed
underwriting.
Section 3.22(c)(6) provides that, with
prior written approval of the OCC and
for the period of time stipulated by the
OCC, an advanced approaches national
bank or Federal savings association that
underwrites a failed underwriting is not
required to deduct the significant
investment in the capital of an
unconsolidated financial institution or
an investment in a covered debt
instrument if such investment is related
to such failed underwriting.
Section 3.22(d)(2)(i)(C) provides that,
with the prior written approval of the
OCC and for the period of time
stipulated by the OCC, an advanced
approaches national bank or Federal
savings association that underwrites a
failed underwriting is not required to
deduct a significant investment in the
capital of an unconsolidated financial
institution in the form of common stock
if such investment is related to such
failed underwriting.
Section 3.22(d)(2)(iii) permits an
advanced approaches national bank or
Federal savings association to change its
exclusion preference to exclude
deferred tax assets (DTAs) and deferred
tax liabilities (DTLs) relating to
adjustments relating to common equity
tier 1 capital after obtaining the prior
approval of the OCC.
Section 3.22(h)(2)(iii)(A) permits the
use of a conservative estimate of the
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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.
Recordkeeping Requirements
Section 3.3(d) allows for the
recognition of an agreement as a
qualifying master netting agreement if
the national bank or Federal savings
association conducts a sufficient legal
review and maintains sufficient written
documentation of that legal review to
conclude that the agreement continues
to satisfy the requirements of the
definition of qualifying master netting
agreement that a relevant court would
find to be legal, valid, binding, and
enforceable. Section 3.3(d) further
requires national banks and Federal
savings associations to establish and
maintain written procedures to monitor
possible changes in relevant law and to
ensure that the agreement continues to
satisfy the requirements of the
definition of qualifying master netting
agreement.
Standardized Approach
Reporting Requirements
Section 3.37(c)(4)(i)(E) requires that a
bank or Federal savings association
obtain the prior approval of the OCC for,
and notify the OCC if it makes, any
material changes to the policies and
procedures 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.
Recordkeeping Requirements
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 national bank or Federal
savings association 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 wellfounded 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) requires that a
national bank or Federal savings
association 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
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able to provide empirical support for the
period used.
Section 3.41(b), 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. Section 3.41(b)(3)
includes 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 acquiring the
exposure.
Section 3.41(c)(2)(ii) requires a
national bank or Federal savings
association, on an on-going basis (no
less frequently than quarterly), to
evaluate, review, and update as
appropriate the analysis required under
§ 3.41(c)(1) for each securitization
exposure.
Disclosure Requirements
In a case where a national bank or
Federal savings association provides
non-contractual support (i.e., implicit
support) to a securitization, § 3.42(e)(2)
requires the national bank or Federal
savings association to publicly disclose
that it has provided implicit support to
the securitization and the risk-based
capital impact to the bank or savings
association 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 to an institution with total
consolidated assets of $50 billion or
more that is not a consolidated
subsidiary of a bank holding company,
savings and loan holding company, or a
depository institution subject to the
disclosure requirements of § 3.62. For
national banks or Federal savings
associations subject to the disclosure
requirements, § 3.62(a) requires
quarterly disclosure of information in
the applicable tables in § 3.63 and, if a
significant change occurs, such that the
most recent reported amounts are no
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longer reflective of the institution’s
capital adequacy and risk profile,
§ 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) also 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 the national bank or Federal
savings association provides the reason
the specific items of information have
not been disclosed.
Currently, § 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 a bank holding company,
savings and loan holding company, or a
depository institution subject to the
disclosure requirements of § 3.62.
Section 3.63(a) requires those
institutions to make the disclosures in
Tables 1 through 10 in § 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
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elements as they relate to its balance
sheet in any audited consolidated
financial statements. Tables 1 through
10 in § 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.
Advanced Approaches
Reporting Requirements
Section 3.121(b)(2) requires a national
bank or Federal savings association to
submit an implementation plan,
together with a copy of the minutes of
the board of director’s approval, to the
OCC at least 60 days before the national
bank or Federal savings association
proposes to begin its parallel run, unless
the OCC waives prior notice.
Section 3.121(c) requires that during a
parallel run, a national bank or Federal
savings association report to the OCC on
a calendar quarterly basis its risk-based
capital ratios.
Section 3.122(d)–(g) requires a
national bank or Federal savings
association to obtain the prior written
approval of the OCC under § 3.132 to
use the internal models methodology for
counterparty credit risk and the
advanced CVA approach for the CVA
capital requirement, § 3.135 to use the
double default treatment, § 3.153 to use
the internal models approach for equity
exposures, and § 3.122(g)(3) to generate
an estimate of its operational risk
exposure using an alternative approach.
Section 3.123 references ongoing
qualification requirements that would
require an institution to notify the OCC
of any material change to an advance
system and establish and submit to the
OCC a plan for returning to compliance
with the qualification requirements.
Section 3.124 requires a national bank
or 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
internal estimates for haircuts for
counterparty credit risk of repo-style
transactions, eligible margin loans, and
over-the-counter (OTC) derivative
contracts. With the prior written
approval of the OCC, a national bank or
Federal savings association may
calculate haircuts using its own internal
estimates of the volatilities of market
prices and foreign exchange rates. The
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section requires national banks and
Federal savings associations to satisfy
certain minimum quantitative standards
in order to receive OCC 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)(i) 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) 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. A
national bank or Federal savings
association must calculate two EEs and
two EADs (one stressed and one
unstressed) for each netting as outlined
in this section. Section 3.132(d)(2)(iv)
provides that a national bank or Federal
savings association may use a
conservative measure of EAD subject to
prior written approval of the OCC.
Section 3.153(b) outlines the Internal
Models Approach (IMA) for calculating
risk-weighted assets for equity
exposures and specifies that a national
bank or Federal savings association
must receive prior written approval
from the OCC before it can use IMA by
demonstrating to the OCC that the
national bank or Federal savings
association meets certain criteria.
Recordkeeping Requirements
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
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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 their
processes for identifying, measuring,
monitoring, controlling, and internally
reporting operational risk; verify the
accurate and timely reporting of riskbased capital requirements; and
monitor, validate, and refine their
advanced systems.
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 national bank or Federal
savings association must maintain
compliance. The national bank or
Federal savings association 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 its counterparties.
The national bank or Federal savings
association must review the data set and
update the data as necessary,
particularly for any material changes in
its counterparties. The national bank or
Federal savings association 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 national bank or
Federal savings association 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 national bank’s or Federal
savings association’s portfolio. The OCC
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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 a
national bank or Federal savings
association 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
a 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 a
national bank or Federal savings
association 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 3.133(b)(3)(i)(A) permits a
national bank or Federal savings
association to assign a two percent risk
weight to an exposure to a qualifying
central counterparty (QCCP), if the
institution conducts sufficient legal
review, and maintains written
documentation of that review.
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.
Sections 3.141(c)(1) and 3.141(c)(2)(i)
require a national bank or Federal
savings association to demonstrate its
comprehensive understanding of a
securitization exposure 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.
Section 3.141(c)(2)(ii) requires that
institutions, on an on-going basis (at
least quarterly), evaluate, review, and
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update as appropriate the analysis
required under this section for each
securitization exposure.
Disclosure Requirements
Section 3.142, which outlines the
capital treatment for securitization
exposures, requires a national bank or
Federal savings association to disclose
publicly that it has provided implicit
support to a securitization and the
regulatory capital impact to the
institution of providing such implicit
support. Specifically, § 3.124(a) requires
a national bank or Federal savings
association that merges with or acquires
a company that does not calculate its
risk-based capital requirements using
advanced systems and uses subpart D to
determine the risk-weighted asset
amounts for the merged or acquired
company’s exposures, the national bank
or Federal savings association must
disclose publicly the amounts of riskweighted assets and qualifying capital
calculated under this subpart for the
bank or savings association and under
subpart D for the acquired company.
Section 3.172 specifies that each
national bank or Federal savings
association that is an 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 a
bank holding company, savings and
loan holding company, or a depository
institution subject to the disclosure
requirements of § 3.172. An advanced
approaches institution that is subject to
the disclosure requirements must make
the disclosures described in § 3.173,
Tables 1 through 12. The national bank
or Federal savings association 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 in § 3.173
require qualitative and quantitative
public disclosures for capital structure,
capital adequacy, capital conservation
and countercyclical buffers, general
disclosures related to credit risk, credit
risk disclosures for portfolios subject to
IRB risk-based capital formulas, general
disclosures related to counterparty
credit risk of OTC derivative contracts,
repo-style transactions, and eligible
margin loans, credit risk mitigation,
securitization, operational risk, equities
not subject to the market risk capital
requirements, and interest rate risk for
non-trading activities.
VerDate Sep<11>2014
21:06 Feb 09, 2024
Jkt 262001
Estimated Burden:
Estimated Number of Respondents:
1,014 national banks and Federal
savings associations.1
Estimated Total Annual Burden
Hours: 87,087.
Estimated Frequency of Response: On
occasion.
Comments: On November 21, 2023,
the OCC published a 60-day notice for
this information collection, (88 FR
81176). No comments were received.
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.
Theodore J. Dowd,
Deputy Chief Counsel, Office of the
Comptroller of the Currency.
[FR Doc. 2024–02736 Filed 2–9–24; 8:45 am]
BILLING CODE 4810–33–P
DEPARTMENT OF THE TREASURY
Financial Crimes Enforcement Network
Agency Information Collection
Activities; Proposed Renewal;
Comment Request; Renewal Without
Change of Reports by Financial
Institutions of Suspicious
Transactions and FinCEN Form 111—
Suspicious Activity Report
Financial Crimes Enforcement
Network (FinCEN), Treasury.
ACTION: Notice and request for
comments.
AGENCY:
As part of its continuing effort
to reduce paperwork and respondent
burden, FinCEN invites comment on a
renewal, without change, of existing
information collection requirements
relating to reports of suspicious
transactions. Under Bank Secrecy Act
regulations, financial institutions are
required to report suspicious
SUMMARY:
1 Respondents represent all active national banks
and Federal savings associations as of September
30, 2023.
PO 00000
Frm 00080
Fmt 4703
Sfmt 4703
9913
transactions using FinCEN Form 111
(the suspicious activity report, or SAR).
This request for comments is made
pursuant to the Paperwork Reduction
Act of 1995 (PRA).
DATES: Written comments are welcome
and must be received on or before April
12, 2024.
ADDRESSES: Comments may be
submitted by any of the following
methods:
• Federal E-rulemaking Portal: https://
www.regulations.gov. Follow the
instructions for submitting comments.
Refer to Docket Number FINCEN–2024–
0004 and the specific Office of
Management and Budget (OMB) control
numbers 1506–0001, 1506–0006, 1506–
0015, 1506–0019, 1506–0029, 1506–
0061, and 1506–0065.
• Mail: Policy Division, Financial
Crimes Enforcement Network, P.O. Box
39, Vienna, VA 22183. Refer to Docket
Number FINCEN–2024–0004 and OMB
control numbers 1506–0001, 1506–0006,
1506–0015, 1506–0019, 1506–0029,
1506–0061, and 1506–0065.
Please submit comments by one
method only. Comments will be
reviewed consistent with the PRA 1 and
applicable OMB regulations and
guidance. All comments submitted in
response to this notice will become a
matter of public record. Therefore, you
should submit only information that
you wish to make publicly available.
FOR FURTHER INFORMATION CONTACT:
FinCEN’s Regulatory Support Section at
1–800–767–2825 or electronically at
frc@fincen.gov.
SUPPLEMENTARY INFORMATION:
I. Statutory and Regulatory Provisions
The legislative framework generally
referred to as the Bank Secrecy Act
(BSA) consists of the Currency and
Foreign Transactions Reporting Act of
1970, as amended by the Uniting and
Strengthening America by Providing
Appropriate Tools Required to Intercept
and Obstruct Terrorism Act of 2001
(USA PATRIOT Act), Public Law 107–
56 (October 26, 2001), and other
legislation, including the Anti-Money
Laundering Act of 2020 (AML Act).2
The BSA is codified at 12 U.S.C. 1829b,
12 U.S.C. 1951–1960, and 31 U.S.C.
5311–5314 and 5316–5336, and notes
thereto, with implementing regulations
at 31 CFR chapter X.
The BSA authorizes the Secretary of
the Treasury (the ‘‘Secretary’’), inter
1 Public
Law 104–13, 44 U.S.C. 3506(c)(2)(A).
AML Act was enacted as Division F,
sections 6001–6511, of the William M. (Mac)
Thornberry National Defense Authorization Act for
Fiscal Year 2021, Public Law 116–283, 134 Stat.
3388 (2021).
2 The
E:\FR\FM\12FEN1.SGM
12FEN1
]]>Agencies
[Federal Register Volume 89, Number 29 (Monday, February 12, 2024)]
[Notices]
[Pages 9909-9913]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-02736]
-----------------------------------------------------------------------
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.
-----------------------------------------------------------------------
SUMMARY: The OCC, as part of its continuing effort to reduce paperwork
and respondent burden, invites 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 a revision to its information collection titled,
``Capital Adequacy Standards.'' The OCC also is giving notice that it
has sent the collection to OMB for review.
DATES: Comments must be received by March 13, 2024.
ADDRESSES: Commenters are encouraged to submit comments by email, if
possible. You may submit comments by any of the following methods:
Email: [email protected].
Mail: Chief Counsel's Office, Attention: Comment
Processing, Office of the Comptroller of the Currency, Attention: 1557-
0318, 400 7th Street SW, Suite 3E-218, Washington, DC 20219.
Hand Delivery/Courier: 400 7th Street SW, Suite 3E-218,
Washington, DC 20219.
Fax: (571) 293-4835.
Instructions: You must include ``OCC'' as the agency name and
``1557-0318'' in your comment. In general, the OCC will publish
comments on www.reginfo.gov without change, including any business or
personal information provided, such as name and address information,
email addresses, or phone numbers. 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.
Written comments and recommendations for the proposed information
collection should also be sent within 30 days of publication of this
notice to www.reginfo.gov/public/do/PRAMain. You can find this
information collection by selecting ``Currently under 30-day Review--
Open for Public Comments'' or by using the search function.
You may review comments and other related materials that pertain to
this information collection following the close of the 30-day comment
period for this notice by the method set forth in the next bullet.
Viewing Comments Electronically: Go to www.reginfo.gov.
Hover over the ``Information Collection Review'' tab and click on
``Information Collection Review'' from the drop-down menu. From the
``Currently under Review'' drop-down menu, select ``Department of
Treasury'' and then click ``submit.'' This information collection can
be located by searching OMB control number ``1557-0318'' or ``Capital
Adequacy Standards.'' Upon finding the appropriate information
collection, click on the related ``ICR Reference Number.'' On the next
screen, select ``View
[[Page 9910]]
Supporting Statement and Other Documents'' and then click on the link
to any comment listed at the bottom of the screen.
For assistance in navigating www.reginfo.gov, please
contact the Regulatory Information Service Center at (202) 482-7340.
FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, Clearance Officer,
(202) 649-5490, Chief Counsel's Office, Office of the Comptroller of
the Currency, 400 7th Street SW, Washington, DC 20219. If you are deaf,
hard of hearing, or have a speech disability, please dial 7-1-1 to
access telecommunications relay services.
SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501 et seq.),
Federal agencies must obtain approval from the OMB for each collection
of information that 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.
The OCC asks that OMB extend its approval of the collection in this
notice.
Title: Capital Adequacy Standards.
OMB Control No.: 1557-0318.
Type of Review: Regular.
Affected Public: Businesses or other for-profit.
Abstract: The OCC is seeking renewal with revision of an
information collection approval for the recordkeeping, reporting, and
disclosure requirements associated with capital adequacy standards
applicable to national banks and Federal savings associations. The OCC
is proposing revisions in connection with this extension to reflect
more granular detail for certain existing reporting and recordkeeping
provisions and is improving prior estimates regarding the number of
respondents and burden associated with these existing provisions. In
addition, reporting burden associated with 12 CFR 3.304 is being
removed as that portion of the rule is no longer in effect.
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.
Minimum Regulatory Capital Ratios
Reporting Requirements
Section 3.3(c) allows for the recognition of netting across
multiple types of transactions or agreements if the national bank or
Federal savings association obtains a written legal opinion verifying
the validity and enforceability of the agreement under certain
circumstances.
Section 3.22(b)(2)(iv) permits, with prior notice to the OCC, a
national bank or Federal savings association resulting from a merger,
acquisition, or purchase transaction that is not an advanced approaches
national bank or Federal savings association to change its AOCI opt-out
election.
Section 3.22(c)(4) provides that, with the prior written approval
of the OCC, a national bank or Federal savings association that
underwrites a failed underwriting is not required to deduct an
investment in the capital of an unconsolidated financial institution to
the extent the investment is related to the failed underwriting.
Section 3.22(c)(5)(i) provides that, with the prior written
approval of the OCC, an advanced approaches national bank or Federal
savings association that underwrites a failed underwriting, for the
period of time stipulated by the OCC, is not required to deduct from
capital a non-significant investment in the capital of an
unconsolidated financial institution or an investment in a covered debt
instrument to the extent the investment is related to the failed
underwriting.
Section 3.22(c)(6) provides that, with prior written approval of
the OCC and for the period of time stipulated by the OCC, an advanced
approaches national bank or Federal savings association that
underwrites a failed underwriting is not required to deduct the
significant investment in the capital of an unconsolidated financial
institution or an investment in a covered debt instrument if such
investment is related to such failed underwriting.
Section 3.22(d)(2)(i)(C) provides that, with the prior written
approval of the OCC and for the period of time stipulated by the OCC,
an advanced approaches national bank or Federal savings association
that underwrites a failed underwriting is not required to deduct a
significant investment in the capital of an unconsolidated financial
institution in the form of common stock if such investment is related
to such failed underwriting.
Section 3.22(d)(2)(iii) permits an advanced approaches national
bank or Federal savings association to change its exclusion preference
to exclude deferred tax assets (DTAs) and deferred tax liabilities
(DTLs) relating to adjustments relating to common equity tier 1 capital
after obtaining the prior approval of the OCC.
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.
Recordkeeping Requirements
Section 3.3(d) allows for the recognition of an agreement as a
qualifying master netting agreement if the national bank or Federal
savings association conducts a sufficient legal review and maintains
sufficient written documentation of that legal review to conclude that
the agreement continues to satisfy the requirements of the definition
of qualifying master netting agreement that a relevant court would find
to be legal, valid, binding, and enforceable. Section 3.3(d) further
requires national banks and Federal savings associations to establish
and maintain written procedures to monitor possible changes in relevant
law and to ensure that the agreement continues to satisfy the
requirements of the definition of qualifying master netting agreement.
Standardized Approach
Reporting Requirements
Section 3.37(c)(4)(i)(E) requires that a bank or Federal savings
association obtain the prior approval of the OCC for, and notify the
OCC if it makes, any material changes to the policies and procedures
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.
Recordkeeping Requirements
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
national bank or Federal savings association 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-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) requires that a national bank or Federal
savings association 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
[[Page 9911]]
able to provide empirical support for the period used.
Section 3.41(b), 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. Section 3.41(b)(3)
includes 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 acquiring
the exposure.
Section 3.41(c)(2)(ii) requires a national bank or Federal savings
association, on an on-going basis (no less frequently than quarterly),
to evaluate, review, and update as appropriate the analysis required
under Sec. 3.41(c)(1) for each securitization exposure.
Disclosure Requirements
In a case where a national bank or Federal savings association
provides non-contractual support (i.e., implicit support) to a
securitization, Sec. 3.42(e)(2) requires the national bank or Federal
savings association to publicly disclose that it has provided implicit
support to the securitization and the risk-based capital impact to the
bank or savings association 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 to an institution
with total consolidated assets of $50 billion or more that is not a
consolidated subsidiary of a bank holding company, savings and loan
holding company, or a depository institution subject to the disclosure
requirements of Sec. 3.62. For national banks or Federal savings
associations subject to the disclosure requirements, Sec. 3.62(a)
requires quarterly disclosure of information in the applicable tables
in Sec. 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, Sec. 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) also 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 the
national bank or Federal savings association provides the reason the
specific items of information have not been disclosed.
Currently, Sec. 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 a bank holding company,
savings and loan holding company, or a depository institution subject
to the disclosure requirements of Sec. 3.62. Section 3.63(a) requires
those institutions to make the disclosures in Tables 1 through 10 in
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 in 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.
Advanced Approaches
Reporting Requirements
Section 3.121(b)(2) requires a national bank or Federal savings
association to submit an implementation plan, together with a copy of
the minutes of the board of director's approval, to the OCC at least 60
days before the national bank or Federal savings association proposes
to begin its parallel run, unless the OCC waives prior notice.
Section 3.121(c) requires that during a parallel run, a national
bank or Federal savings association report to the OCC on a calendar
quarterly basis its risk-based capital ratios.
Section 3.122(d)-(g) requires a national bank or Federal savings
association to obtain the prior written approval of the OCC under Sec.
3.132 to use the internal models methodology for counterparty credit
risk and the advanced CVA approach for the CVA capital requirement,
Sec. 3.135 to use the double default treatment, Sec. 3.153 to use the
internal models approach for equity exposures, and Sec. 3.122(g)(3) to
generate an estimate of its operational risk exposure using an
alternative approach.
Section 3.123 references ongoing qualification requirements that
would require an institution to notify the OCC of any material change
to an advance system and establish and submit to the OCC a plan for
returning to compliance with the qualification requirements.
Section 3.124 requires a national bank or 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 internal estimates for
haircuts for counterparty credit risk of repo-style transactions,
eligible margin loans, and over-the-counter (OTC) derivative contracts.
With the prior written approval of the OCC, a national bank or Federal
savings association may calculate haircuts using its own internal
estimates of the volatilities of market prices and foreign exchange
rates. The
[[Page 9912]]
section requires national banks and Federal savings associations to
satisfy certain minimum quantitative standards in order to receive OCC
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)(i) 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) 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. A
national bank or Federal savings association must calculate two EEs and
two EADs (one stressed and one unstressed) for each netting as outlined
in this section. Section 3.132(d)(2)(iv) provides that a national bank
or Federal savings association may use a conservative measure of EAD
subject to prior written approval of the OCC.
Section 3.153(b) outlines the Internal Models Approach (IMA) for
calculating risk-weighted assets for equity exposures and specifies
that a national bank or Federal savings association must receive prior
written approval from the OCC before it can use IMA by demonstrating to
the OCC that the national bank or Federal savings association meets
certain criteria.
Recordkeeping Requirements
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 their
processes 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 their advanced systems.
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 national bank or
Federal savings association must maintain compliance. The national bank
or Federal savings association 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 its counterparties. The national bank or Federal
savings association must review the data set and update the data as
necessary, particularly for any material changes in its counterparties.
The national bank or Federal savings association 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 national bank or Federal savings association 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 national bank's or Federal
savings association'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 a national bank or Federal savings association
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 a 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 a national bank or Federal savings association
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 3.133(b)(3)(i)(A) permits a national bank or Federal
savings association to assign a two percent risk weight to an exposure
to a qualifying central counterparty (QCCP), if the institution
conducts sufficient legal review, and maintains written documentation
of that review.
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.
Sections 3.141(c)(1) and 3.141(c)(2)(i) require a national bank or
Federal savings association to demonstrate its comprehensive
understanding of a securitization exposure 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.
Section 3.141(c)(2)(ii) requires that institutions, on an on-going
basis (at least quarterly), evaluate, review, and
[[Page 9913]]
update as appropriate the analysis required under this section for each
securitization exposure.
Disclosure Requirements
Section 3.142, which outlines the capital treatment for
securitization exposures, requires a national bank or Federal savings
association to disclose publicly that it has provided implicit support
to a securitization and the regulatory capital impact to the
institution of providing such implicit support. Specifically, Sec.
3.124(a) requires a national bank or Federal savings association that
merges with or acquires a company that does not calculate its risk-
based capital requirements using advanced systems and uses subpart D to
determine the risk-weighted asset amounts for the merged or acquired
company's exposures, the national bank or Federal savings association
must disclose publicly the amounts of risk-weighted assets and
qualifying capital calculated under this subpart for the bank or
savings association and under subpart D for the acquired company.
Section 3.172 specifies that each national bank or Federal savings
association that is an 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 a bank holding company, savings and loan holding company,
or a depository institution subject to the disclosure requirements of
Sec. 3.172. An advanced approaches institution that is subject to the
disclosure requirements must make the disclosures described in Sec.
3.173, Tables 1 through 12. The national bank or Federal savings
association 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 in Sec.
3.173 require qualitative and quantitative public disclosures for
capital structure, capital adequacy, capital conservation and
countercyclical buffers, general disclosures related to credit risk,
credit risk disclosures for portfolios subject to IRB risk-based
capital formulas, general disclosures related to counterparty credit
risk of OTC derivative contracts, repo-style transactions, and eligible
margin loans, credit risk mitigation, securitization, operational risk,
equities not subject to the market risk capital requirements, and
interest rate risk for non-trading activities.
Estimated Burden:
Estimated Number of Respondents: 1,014 national banks and Federal
savings associations.\1\
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\1\ Respondents represent all active national banks and Federal
savings associations as of September 30, 2023.
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Estimated Total Annual Burden Hours: 87,087.
Estimated Frequency of Response: On occasion.
Comments: On November 21, 2023, the OCC published a 60-day notice
for this information collection, (88 FR 81176). No comments were
received. 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.
Theodore J. Dowd,
Deputy Chief Counsel, Office of the Comptroller of the Currency.
[FR Doc. 2024-02736 Filed 2-9-24; 8:45 am]
BILLING CODE 4810-33-P
