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)

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.

[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]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Information Collection 
Renewal; Submission for OMB Review; Market Risk

AGENCY: Office of the Comptroller of the Currency (OCC), Treasury.

ACTION: Notice and request for comment.

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SUMMARY: The OCC, as part of its continuing effort to reduce paperwork 
and respondent burden, invites the general public and other Federal 
agencies to take this opportunity to comment on a continuing 
information collection, as required by the Paperwork Reduction Act of 
1995 (PRA).
    In accordance with the requirements of the PRA, the OCC may not 
conduct or sponsor, and the respondent is not required to respond to, 
an information collection unless it displays a currently valid Office 
of Management and Budget (OMB) control number. The OCC is soliciting 
comment concerning 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 [email protected]. 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 
[email protected].

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