80 FR 70879 - Agency Information Collection Activities: Information Collection Renewal; Submission for OMB Review; Market Risk
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency Federal Register Volume 80, Issue 220 (November 16, 2015)
Office of the Comptroller of the Currency
Federal Register Volume 80, Issue 220 (November 16, 2015)
| Page Range | 70879-70880 | |
| FR Document | 2015-28914 |
[Federal Register Volume 80, Number 220 (Monday, November 16, 2015)] [Notices] [Pages 70879-70880] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2015-28914] ======================================================================= ----------------------------------------------------------------------- DEPARTMENT OF THE TREASURY Office of the Comptroller of the Currency Agency Information Collection Activities: Information Collection Renewal; Submission for OMB Review; Market Risk 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 the general public and other Federal agencies to take this opportunity to comment on a continuing information collection, as required by the Paperwork Reduction Act of 1995 (PRA). In accordance with the requirements of the PRA, the OCC may not conduct or sponsor, and the respondent is not required to respond to, an information collection unless it displays a currently valid Office of Management and Budget (OMB) control number. The OCC is soliciting comment concerning the renewal of its information collection titled, ``Market Risk.'' The OCC also is giving notice that it has sent the collection to OMB for review. DATES: You should submit written comments by: December 16, 2015. 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: 1557-0247, 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. Additionally, please send a copy of your comments by mail to: OCC Desk Officer, 1557-0247, U.S. Office of Management and Budget, 725 17th Street NW., #10235, Washington, DC 20503, or by email to: oira submission@omb.eop.gov. FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, 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 Street SW., Washington, DC 20219. SUPPLEMENTARY INFORMATION: The OCC is requesting extension of OMB approval for this collection. There have been no changes to the requirements of the regulations. Title: Market Risk. OMB Control No.: 1557-0247. Description: The Office of the Comptroller of the Currency's (OCC) market risk capital rules (12 CFR part 3, subpart F) capture positions for which the market risk capital rules are appropriate; reduce procyclicality in market risk capital requirements; enhance the rules' sensitivity to risks that are not adequately captured under the current regulatory measurement methodologies; and increase transparency through enhanced disclosures. The information collection requirements are located at 12 CFR 3.203 through 3.212. The rules enhance risk sensitivity and include requirements for the public disclosure of certain qualitative and quantitative information about the market risk of national banks and Federal savings associations. The collection of information is necessary to ensure capital adequacy appropriate for the level of market risk. Section 3.203 sets forth the requirements for applying the market risk framework. Section 3.203(a)(1) requires national banks and Federal savings associations to have clearly defined policies and procedures for determining which trading assets and trading liabilities are trading positions and specifies the factors a national bank or Federal savings association must take into account in drafting those policies and procedures. Section 3.203(a)(2) requires national banks and Federal savings associations to have clearly defined trading and hedging strategies for trading positions that are approved by senior management and specifies what the strategies must articulate. Section 3.203(b)(1) requires national banks and Federal savings associations to have clearly defined policies and procedures for actively managing all covered positions and specifies the minimum requirements for those policies and procedures. Sections 3.203(c)(4) through 3.203(c)(10) require the annual review of internal models and specify certain requirements for those models. Section 3.203(d) requires the internal audit group of a national bank or Federal savings association to prepare an annual report to the board of directors on the effectiveness of controls supporting the market risk measurement systems. Section 3.204(b) requires national banks and Federal savings associations to conduct quarterly backtesting. Section 3.205(a)(5) requires institutions to demonstrate to the OCC the appropriateness of proxies used to capture risks within value-at-risk models. Section 3.205(c) requires institutions to develop, retain, and make available to the OCC value-at-risk and profit and loss information on sub- portfolios for two years. Section 3.206(b)(3) requires national banks and Federal savings associations to have policies and procedures that describe how they determine the period of significant financial stress used to calculate the institution's stressed value-at-risk models and to obtain prior OCC approval for any material changes to these policies and procedures. Section 3.207(b)(1) details requirements applicable to a national bank or Federal savings association when the national bank or Federal savings association uses internal models [[Page 70880]] to measure the specific risk of certain covered positions. Section 3.208 requires national banks and Federal savings associations to obtain prior written OCC approval for incremental risk modeling. Section 3.209(a) requires prior OCC approval for the use of a comprehensive risk measure. Section 3.209(c)(2) requires national banks and Federal savings associations to retain and report the results of supervisory stress testing. Section 3.210(f)(2)(i) requires national banks and Federal savings associations to document an internal analysis of the risk characteristics of each securitization position in order to demonstrate an understanding of the position. Section 3.212 requires quarterly quantitative disclosures, annual qualitative disclosures, and a formal disclosure policy approved by the board of directors that addresses the approach for determining the market risk disclosures it makes. Type of Review: Regular. Affected Public: Businesses or other for-profit. Number of Respondents: 13. Estimated Burden per Respondent: 1,964 hours. Total Estimated Annual Burden: 25,532 hours. The OCC issued a notice for 60 days of comment on August 10, 2015, 80 FR 47987. 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. Dated: November 9, 2015. Mary H. Gottlieb, Regulatory Specialist, Legislative and Regulatory Activities Division. [FR Doc. 2015-28914 Filed 11-13-15; 8:45 a.m.] BILLING CODE 4810-33-P
![Federal Register / Vol. 80, No. 220 / Monday, November 16, 2015 / Notices 70879
administrative determinations of Activities Division, Office of the requirements for the public disclosure
preemption as to certain requirements Comptroller of the Currency, Attention: of certain qualitative and quantitative
in Chapter 6.95 of the California Health 1557–0247, 400 7th Street SW., Suite information about the market risk of
and Safety Code and Titles 2 and 32 of 3E–218, Mail Stop 9W–11, Washington, national banks and Federal savings
the Los Angeles County Code relating to DC 20219. In addition, comments may associations. The collection of
unloading and storage of hazardous be sent by fax to (571) 465–4326 or by information is necessary to ensure
materials. electronic mail to prainfo@occ.treas.gov. capital adequacy appropriate for the
A person who is adversely affected or You may personally inspect and level of market risk.
aggrieved by a preemption photocopy comments at the OCC, 400 Section 3.203 sets forth the
determination may file a petition for 7th Street SW., Washington, DC 20219. requirements for applying the market
judicial review of that determination in For security reasons, the OCC requires risk framework. Section 3.203(a)(1)
the United States Court of Appeals for that visitors make an appointment to requires national banks and Federal
the District of Columbia or in the Court inspect comments. You may do so by savings associations to have clearly
of Appeals for the United States for the calling (202) 649–6700 or, for persons defined policies and procedures for
circuit in which the petitioner resides or who are deaf or hard of hearing, TTY, determining which trading assets and
has its principal place of business, (202) 649–5597. Upon arrival, visitors trading liabilities are trading positions
within 60 days after the determination will be required to present valid and specifies the factors a national bank
becomes final. 49 U.S.C. 5127(a). government-issued photo identification or Federal savings association must take
and submit to security screening in into account in drafting those policies
Issued in Washington, DC, on November
order to inspect and photocopy and procedures. Section 3.203(a)(2)
10, 2015.
comments. requires national banks and Federal
Joseph Solomey,
All comments received, including savings associations to have clearly
Senior Assistant Chief Counsel. defined trading and hedging strategies
attachments and other supporting
[FR Doc. 2015–28921 Filed 11–13–15; 8:45 am] for trading positions that are approved
materials, are part of the public record
BILLING CODE 4910–60–P
and subject to public disclosure. Do not by senior management and specifies
include any information in your what the strategies must articulate.
comment or supporting materials that Section 3.203(b)(1) requires national
DEPARTMENT OF THE TREASURY you consider confidential or banks and Federal savings associations
inappropriate for public disclosure. to have clearly defined policies and
Office of the Comptroller of the procedures for actively managing all
Additionally, please send a copy of
Currency covered positions and specifies the
your comments by mail to: OCC Desk
Officer, 1557–0247, U.S. Office of minimum requirements for those
Agency Information Collection policies and procedures. Sections
Activities: Information Collection Management and Budget, 725 17th
Street NW., #10235, Washington, DC 3.203(c)(4) through 3.203(c)(10) require
Renewal; Submission for OMB Review; the annual review of internal models
Market Risk 20503, or by email to: oira submission@
omb.eop.gov. and specify certain requirements for
AGENCY: Office of the Comptroller of the those models. Section 3.203(d) requires
FOR FURTHER INFORMATION CONTACT:
Currency (OCC), Treasury. the internal audit group of a national
Shaquita Merritt, Clearance Officer, bank or Federal savings association to
ACTION: Notice and request for comment. (202) 649–5490 or, for persons who are prepare an annual report to the board of
deaf or hard of hearing, TTY, (202) 649– directors on the effectiveness of controls
SUMMARY: The OCC, as part of its 5597, Legislative and Regulatory
continuing effort to reduce paperwork supporting the market risk measurement
Activities Division, Office of the systems.
and respondent burden, invites the Comptroller of the Currency, 400 7th
general public and other Federal Section 3.204(b) requires national
Street SW., Washington, DC 20219. banks and Federal savings associations
agencies to take this opportunity to
SUPPLEMENTARY INFORMATION: The OCC to conduct quarterly backtesting.
comment on a continuing information
is requesting extension of OMB Section 3.205(a)(5) requires institutions
collection, as required by the Paperwork
approval for this collection. There have to demonstrate to the OCC the
Reduction Act of 1995 (PRA).
been no changes to the requirements of appropriateness of proxies used to
In accordance with the requirements
the regulations. capture risks within value-at-risk
of the PRA, the OCC may not conduct
Title: Market Risk. models. Section 3.205(c) requires
or sponsor, and the respondent is not OMB Control No.: 1557–0247. institutions to develop, retain, and make
required to respond to, an information Description: The Office of the available to the OCC value-at-risk and
collection unless it displays a currently Comptroller of the Currency’s (OCC) profit and loss information on sub-
valid Office of Management and Budget market risk capital rules (12 CFR part 3, portfolios for two years. Section
(OMB) control number. The OCC is subpart F) capture positions for which 3.206(b)(3) requires national banks and
soliciting comment concerning the the market risk capital rules are Federal savings associations to have
renewal of its information collection appropriate; reduce procyclicality in policies and procedures that describe
titled, ‘‘Market Risk.’’ The OCC also is market risk capital requirements; how they determine the period of
giving notice that it has sent the enhance the rules’ sensitivity to risks significant financial stress used to
collection to OMB for review. that are not adequately captured under calculate the institution’s stressed
DATES: You should submit written the current regulatory measurement value-at-risk models and to obtain prior
comments by: December 16, 2015.
tkelley on DSK3SPTVN1PROD with NOTICES
methodologies; and increase OCC approval for any material changes
ADDRESSES: Because paper mail in the transparency through enhanced to these policies and procedures.
Washington, DC area and at the OCC is disclosures. Section 3.207(b)(1) details
subject to delay, commenters are The information collection requirements applicable to a national
encouraged to submit comments by requirements are located at 12 CFR bank or Federal savings association
email, if possible. Comments may be 3.203 through 3.212. The rules enhance when the national bank or Federal
sent to: Legislative and Regulatory risk sensitivity and include savings association uses internal models
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![70880 Federal Register / Vol. 80, No. 220 / Monday, November 16, 2015 / Notices
to measure the specific risk of certain DEPARTMENT OF THE TREASURY government-issued photo identification
covered positions. Section 3.208 and submit to security screening in
requires national banks and Federal Office of the Comptroller of the order to inspect and photocopy
savings associations to obtain prior Currency comments.
written OCC approval for incremental All comments received, including
risk modeling. Section 3.209(a) requires Agency Information Collection attachments and other supporting
prior OCC approval for the use of a Activities: Information Collection materials, are part of the public record
comprehensive risk measure. Section Revision; Comment Request; and subject to public disclosure. Do not
Domestic First Lien Residential include any information in your
3.209(c)(2) requires national banks and
Mortgage Data comment or supporting materials that
Federal savings associations to retain
and report the results of supervisory AGENCY: Office of the Comptroller of the you consider confidential or
stress testing. Section 3.210(f)(2)(i) Currency (OCC), Treasury. inappropriate for public disclosure.
requires national banks and Federal ACTION: Notice and request for comment. FOR FURTHER INFORMATION CONTACT:
savings associations to document an Shaquita Merritt, Clearance Officer,
internal analysis of the risk SUMMARY: The OCC, as part of its (202) 649–5490 or, for persons who are
characteristics of each securitization continuing effort to reduce paperwork deaf or hard of hearing, TTY, (202) 649–
position in order to demonstrate an and respondent burden, invites the 5597, Legislative and Regulatory
understanding of the position. Section general public and other Federal Activities Division, Office of the
3.212 requires quarterly quantitative agencies to take this opportunity to Comptroller of the Currency, 400 7th
disclosures, annual qualitative comment on a revision to an Street SW., Washington, DC 20219.
disclosures, and a formal disclosure information collection, as required by SUPPLEMENTARY INFORMATION: The OCC
policy approved by the board of the Paperwork Reduction Act of 1995 is requesting OMB approval for the
directors that addresses the approach for (PRA). following information collection:
Under the PRA, Federal agencies are Title: Domestic First Lien Residential
determining the market risk disclosures
required to publish notice in the Mortgage Data.
it makes.
Federal Register concerning each OMB Control Number: 1557–0331.
Type of Review: Regular. proposed collection of information, Description:
Affected Public: Businesses or other including each proposed extension of or Comprehensive mortgage data is vital
for-profit. revision to an existing collection of to assessing and monitoring credit
information, and to allow 60 days for quality and loss mitigation activities in
Number of Respondents: 13.
public comment in response to the the residential mortgage market and the
Estimated Burden per Respondent: notice. federal banking system. This data is
1,964 hours. In accordance with the requirements important and necessary to support
Total Estimated Annual Burden: of the PRA, the OCC may not conduct supervisory activities to ensure the
25,532 hours. or sponsor, and a respondent is not safety and soundness of the federal
required to respond to, an information banking system.
The OCC issued a notice for 60 days
collection unless it displays a currently The Dodd-Frank Wall Street Reform
of comment on August 10, 2015, 80 FR valid Office of Management and Budget
47987. No comments were received. and Regulatory Improvement Act of
(OMB) control number. The OCC is 2010 requires that this data be collected.
Comments continue to be invited on: soliciting comment concerning a 12 U.S.C. 1715z–25.
(a) Whether the collection of revision to its information collection This data collection is being revised
information is necessary for the proper titled, ‘‘Domestic First Lien Residential to include aggregate values to be
performance of the functions of the Mortgage Data.’’ calculated from data that is currently
OCC, including whether the information DATES: You should submit written reported in loan level format. These
has practical utility; comments by: January 15, 2016. aggregate values will be industry
(b) The accuracy of the OCC’s ADDRESSES: Because paper mail in the standard measures of portfolio
estimate of the burden of the collection Washington, DC area and at the OCC is performance, including but not limited
of information; subject to delay, commenters are to: Outstanding loan count and unpaid
(c) Ways to enhance the quality, encouraged to submit comments by principal balance; delinquency and
utility, and clarity of the information to email, if possible. Comments may be liquidation ratios; and the number of
be collected; sent to: Legislative and Regulatory loss mitigation actions completed.
Activities Division, Office of the Aggregate values generally will be
(d) Ways to minimize the burden of Comptroller of the Currency, Attention: reported at the total portfolio level, with
the collection on respondents, including 1557–0331, 400 7th Street SW., Suite some values also reported by portfolio
through the use of automated collection 3E–218, Mail Stop 9W–11, Washington, segments including, but not limited to:
techniques or other forms of information DC 20219. In addition, comments may borrower credit class and type and
technology; and be sent by fax to (571) 465–4326 or by execution date of loss mitigation action.
(e) Estimates of capital or start-up electronic mail to prainfo@occ.treas.gov. The reported data items will still be
costs and costs of operation, You may personally inspect and calculated from loan level data that
maintenance, and purchase of services photocopy comments at the OCC, 400 includes: Bankruptcy or foreclosure
to provide information. 7th Street SW., Washington, DC 20219. status; and other detailed loan
tkelley on DSK3SPTVN1PROD with NOTICES
For security reasons, the OCC requires information. Banks would not be
Dated: November 9, 2015.
that visitors make an appointment to required to report this data to the OCC
Mary H. Gottlieb, inspect comments. You may do so by monthly, but would be required to
Regulatory Specialist, Legislative and calling (202) 649–6700 or, for persons provide it upon OCC’s request.
Regulatory Activities Division. who are deaf or hard of hearing, TTY, Type of Review: Regular review.
[FR Doc. 2015–28914 Filed 11–13–15; 8:45 a.m.] (202) 649–5597. Upon arrival, visitors Affected Public: Businesses or other
BILLING CODE 4810–33–P will be required to present valid for-profit.
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Document Created: 2015-12-14 14:13:04
Document Modified: 2015-12-14 14:13:04
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| Action | Notice and request for comment. | |
| Dates | You should submit written comments by: December 16, 2015. | |
| Contact | Shaquita Merritt, 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 Street SW., Washington, DC 20219. | |
| FR Citation | 80 FR 70879 |
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