80 FR 71915 - Agency Information Collection Activities: Revision of an Approved Information Collection; Comment Request; Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions With Total Consolidated Assets of $50 Billion or More Under the Dodd-Frank Wall Street Reform and Consumer Protection Act

DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency

Federal Register Volume 80, Issue 221 (November 17, 2015)

The OCC, as part of its continuing effort to reduce paperwork and respondent burden, invites the general public and other Federal agencies to comment on a revision to this information collection, as required by the Paperwork Reduction Act of 1995. An agency may not conduct or sponsor, and a respondent is not required to respond to, an information collection unless it displays a currently valid Office of Management and Budget (OMB) control number. Currently, the OCC is soliciting comment concerning a revision to a regulatory reporting requirement for national banks and federal savings associations titled, ``Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions with Total Consolidated Assets of $50 Billion or More under the Dodd-Frank Wall Street Reform and Consumer Protection Act.''

[Federal Register Volume 80, Number 221 (Tuesday, November 17, 2015)]
[Notices]
[Pages 71915-71918]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-29211]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


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

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

ACTION:  Notice and request for comment.

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[[Page 71916]]

SUMMARY:  The OCC, as part of its continuing effort to reduce paperwork 
and respondent burden, invites the general public and other Federal 
agencies to comment on a revision to this information collection, as 
required by the Paperwork Reduction Act of 1995. An agency may not 
conduct or sponsor, and a respondent is not required to respond to, an 
information collection unless it displays a currently valid Office of 
Management and Budget (OMB) control number. Currently, the OCC is 
soliciting comment concerning a revision to a regulatory reporting 
requirement for national banks and federal savings associations titled, 
``Company-Run Annual Stress Test Reporting Template and Documentation 
for Covered Institutions with Total Consolidated Assets of $50 Billion 
or More under the Dodd-Frank Wall Street Reform and Consumer Protection 
Act.''

DATES: Comments must be received by January 19, 2016.

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: 1557-0311, 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.

FOR FURTHER INFORMATION CONTACT: Shaquita Merritt or Mary H. Gottlieb, 
OCC Clearance Officers, (202) 649-5490 or, for persons who are deaf or 
hard of hearing, TTY, (202) 649-5597, Legislative and Regulatory 
Activities Division, Office of the Comptroller of the Currency, 400 7th 
St. SW., Washington, DC 20219. In addition, copies of the templates 
referenced in this notice can be found on the OCC's Web site under News 
and Issuances (http://www.occ.treas.gov/tools-forms/forms/bank-operations/stress-test-reporting.html).

SUPPLEMENTARY INFORMATION: The OCC is requesting comment on the 
following revision to an approved information collection:
    Title: Company-Run Annual Stress Test Reporting Template and 
Documentation for Covered Institutions with Total Consolidated Assets 
of $50 Billion or More under the Dodd-Frank Wall Street Reform and 
Consumer Protection Act.
    OMB Control No.: 1557-0311.
    Description: Section 165(i)(2) of the Dodd-Frank Wall Street Reform 
and Consumer Protection Act \1\ (Dodd-Frank Act) requires certain 
financial companies, including national banks and federal savings 
associations, to conduct annual stress tests \2\ and requires the 
primary financial regulatory agency \3\ of those financial companies to 
issue regulations implementing the stress test requirements.\4\ A 
national bank or Federal savings association is a ``covered 
institution'' and therefore subject to the stress test requirements if 
its total consolidated assets are more than $10 billion. Under section 
165(i)(2), a covered institution is required to submit to the Board of 
Governors of the Federal Reserve System (Board) and to its primary 
financial regulatory agency a report at such time, in such form, and 
containing such information as the primary financial regulatory agency 
may require.\5\ On October 9, 2012, the OCC published in the Federal 
Register a final rule implementing the section 165(i)(2) annual stress 
test requirement.\6\ This rule describes the reports and information 
collections required to meet the reporting requirements under section 
165(i)(2). These information collections will be given confidential 
treatment (5 U.S.C. 552(b)(4)).
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    \1\ Public Law 111-203, 124 Stat. 1376, July 2010.
    \2\ 12 U.S.C. 5365(i)(2)(A).
    \3\ 12 U.S.C. 5301(12).
    \4\ 12 U.S.C. 5365(i)(2)(C).
    \5\ 12 U.S.C. 5365(i)(2)(B).
    \6\ 77 FR 61238 (October 9, 2012) (codified at 12 CFR 46).
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    In 2012, the OCC first implemented the reporting templates 
referenced in the final rule. See 77 FR 49485 (August 16, 2012) and 77 
FR 66663 (November 6, 2012). The OCC is now revising them as described 
below.
    The OCC intends to use the data collected to assess the 
reasonableness of the stress test results of covered institutions and 
to provide forward-looking information to the OCC regarding a covered 
institution's capital adequacy. The OCC also may use the results of the 
stress tests to determine whether additional analytical techniques and 
exercises could be appropriate to identify, measure, and monitor risks 
at the covered institution. The stress test results are expected to 
support ongoing improvement in a covered institution's stress testing 
practices with respect to its internal assessments of capital adequacy 
and overall capital planning.
    The OCC recognizes that many covered institutions with total 
consolidated assets of $50 billion or more are required to submit 
reports using CCAR reporting form FR Y-14A.\7\ The OCC also recognizes 
the Board has a proposal to modify the FR Y-14A out for comment and, to 
the extent practical, the OCC will keep its reporting requirements 
consistent with the Board's FR Y-14A in order to minimize burden on 
covered institutions.\8\ Therefore, the OCC is proposing to revise its 
reporting requirements to remain consistent with the Board's proposed 
FR Y-14A for covered institutions with total consolidated assets of $50 
billion or more. The OCC is also proposing to revise the Scenario 
Schedule, which collects information on scenario variables beyond those 
provided by the OCC. The purpose of this revision is to require further 
clarity on the definitions of the additional scenario variables.
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    \7\ http://www.federalreserve.gov/reportforms.
    \8\ 80 FR 55631 (Sept. 16, 2015).
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Proposed Revisions to Reporting Templates for Institutions With $50 
Billion or More in Assets

    The proposed revisions to the DFAST-14A reporting templates consist 
of the following:
     Bank-specific scenario: Covered institutions would be 
required to submit bank-specific baseline and stress scenarios and 
projections for 2017 and will have the option to do so for 2016;
     Largest counterparty default: For the largest trading 
covered institutions that also submit the Global Market Shock scenario, 
they would be required to assume the default of their largest 
counterparty in the supervisory severely adverse and adverse scenarios 
for 2017 and will have the option to do so for 2016;
     Advanced approaches banks: (1) Delay incorporation of the 
supplemental leverage ratio for one year and (2)

[[Page 71917]]

indefinitely defer the use of the advance approaches for stress testing 
projections;
     Reporting Template and Supporting Documentation Changes: 
Clarifying instructions, adding data items, deleting data items, and 
redefining existing data items. This includes an expansion of the 
information collected in the scenario schedule. The proposed revisions 
also include a shift of the as-of date in accordance with modifications 
to the OCC's stress testing rule.\9\
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    \9\ See 79 FR 71630 (Dec. 3, 2014) (shifting the dates of the 
annual stress testing cycle).
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     These revisions also reflect the implementation of the 
final Basel III regulatory capital rule. On July 9, 2013, the OCC 
approved a joint final rule that will revise and replace the OCC's 
risk-based and leverage capital requirements to be consistent with 
agreements reached by the Basel Committee on Banking Supervision in 
``Basel III: A Global Regulatory Framework for More Resilient Banks and 
Banking Systems'' (Basel III).\10\ Accordingly, the proposed revisions 
would reflect the fact that institutions will no longer report items 
based on the pre-Basel III capital rules.
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    \10\ http://www.occ.gov/news-issuances/news-releases/2013/nr-occ-2013-110.html.
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Bank-Specific Scenarios

    Covered institutions would be required to submit bank-specific 
baseline and bank-specific stress scenarios and associated projections 
for the 2017 annual stress testing submission and may do so optionally 
for the 2016 annual stress testing submission. While supervisory 
scenarios provide a homogeneous scenario and a consistent market-wide 
view of the condition of the banking sector, these prescribed scenarios 
may not fully capture all of the risks that may be associated with a 
particular institution. The proposed revisions would require covered 
institutions to provide bank-specific baseline and bank-specific stress 
scenarios.
    The OCC recognizes that the Board requires bank holding companies 
(BHCs) to submit BHC-specific baseline and stress scenarios and 
projections. Where OCC-covered institutions also submit BHC-specific 
scenarios, the OCC would require that bank-specific scenarios would be 
consistent with the BHC-specific scenarios.

Largest Counterparty Default

    Covered institutions that currently complete the Global Market 
Shock would also be required to complete the Largest Counterparty 
Default component for the 2017 submission and have the option to do so 
for the 2016 submission. This is currently required by the Board, and 
the OCC would adopt a similar requirement to enhance consistency and 
reduce regulatory burden.

Supplemental Leverage Ratio

    The supplementary leverage ratio requirement applies only to 
covered institutions that use the advanced approaches to calculate 
their minimum regulatory capital requirements. For these covered 
institutions, the proposal would delay the incorporation of the 
supplementary leverage ratio in stress testing projections for one 
year. Under the proposal, these covered institutions would not be 
required to include an estimate of the supplementary leverage ratio for 
the stress test cycle beginning on January 1, 2016. The OCC understands 
that the Board is proposing a similar requirement, and the OCC would 
adopt a similar requirement to enhance consistency and reduce 
regulatory burden.

Advanced Approaches

    Covered institutions have noted that the use of advanced approaches 
in stress test rules would require significant resources and would 
introduce complexity and opacity. In light of the concerns raised by 
these covered institutions, and pending a review of how the stress test 
rules interact with the regulatory capital rules as described above, 
the proposal would delay until further notice the use of the advanced 
approaches for calculating risk-based capital requirements for purposes 
of the capital plan and stress test rule.

Other Reporting Template and Instruction Changes

    The proposed revisions to the DFAST-14A consist of clarifying 
instructions, adding and removing schedules, adding, deleting, and 
modifying existing data items, and altering the as-of dates. These 
proposed changes would (1) increase consistency between the DFAST-14A 
with the FR Y-14A, Call Report, FFIEC 101, and FFIEC 102; (2) remove 
the requirement to calculate tier 1 common capital and the tier 1 
common ratio; (3) shift the as-of dates by one quarter in accordance 
with the modifications to the stress test rules; (4) modify and expand 
the supporting documentation requirements; and (5) increase the 
historical information collected in the scenario schedule in order to 
facilitate comparisons of the data. Furthermore, the OCC understands 
that the Board is currently collecting information for the Summary 
Schedule via XML scheme technology, and the OCC would use a similar 
format to enhance consistency and reduce regulatory burden. Technical 
details on these forms will be provided separately.

Schedule A (Summary)--A.1.c.1 (General RWA)

    This schedule would be removed in accordance with the proposed 
revisions to eliminate use of the tier 1 common ratio, effective for 
the 2016 DFAST submission. However, in order to mitigate operational 
issues and allow for appropriate time to adjust internal systems to 
accommodate changes this schedule would remain part of the technical 
XML instructions for the 2016 DFAST submission.

Schedule A (Summary)--Revisions to Schedule A.1.c.2 (Standardized RWA)

    This schedule would be modified to increase consistency with the 
FFIEC 102. Specifically, the items of the existing market risk-weighted 
asset portion would be replaced with the appropriate items from the 
FFIEC 102. These changes would be effective for the 2017 DFAST 
submission.

Schedule A (Summary)--Revisions to Schedule A.1.d (Capital)

    The OCC proposes removing certain items related to tier 1 common 
capital, effective for the 2016 DFAST submission. However, in order to 
mitigate operational issues and allow for appropriate time to adjust 
internal systems to accommodate changes, this schedule would remain 
part of the technical XML instructions for the DFAST 2016 submission. 
Additionally, effective for the 2016 DFAST submission, the OCC proposes 
adding one item that captures the aggregate non-significant investments 
in the capital of unconsolidated financial institutions in the form of 
common stock and breaking out two items related to deferred tax assets 
into the amount before valuation allowances and the associated 
valuation allowance. The additional information from these changes 
would result in two existing items converting to derived items based on 
the additional information.

Schedule A (Summary)--Revisions to Schedule A.2.b (Retail Repurchase)

    This schedule would be removed to reduce reporting burden, 
effective for the 2017 DFAST submission.

Schedule A (Summary)--Deletion of Schedule A.2.c (ASC 310-30)

    This schedule would be removed to reduce reporting burden, 
effective for the 2017 DFAST submission.

[[Page 71918]]

Schedule A (Summary)--Revisions to Schedule A.7.c (PPNR Metrics)

    In order to fully align the schedule with the stress scenarios, the 
beta information would be collected according to the scenario instead 
of the current ``normal environment'' requirement, effective for the 
2016 DFAST submission.

Counterparty Credit Risk Schedule

    This schedule would be removed to reduce reporting burden effective 
for the 2016 DFAST submission. Aggregate counterparty credit risk 
information will continue to be obtained through the Summary Schedule 
(Schedule A).

Scenario Schedule

    Information about additional scenarios that are used by covered 
institutions is currently submitted in a format with limited structure, 
which makes it difficult for the OCC to evaluate. As such, the OCC 
would require that covered institutions provide three more historical 
quarters in addition to the currently required most recent historical 
quarter of actual data values for each additional variable submitted. 
The OCC would also provide additional instructions on variable naming 
conventions and other appropriate standardizations in order to 
facilitate more streamlined electronic processing of the data.
    Type of Review: Revision.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 23.
    Estimated Total Annual Burden: 16,466 hours.
    The OCC believes that the systems covered institutions use to 
prepare the FR Y-14 reporting templates to submit to the Board will 
also be used to prepare the reporting templates described in this 
notice. Comments submitted in response to this notice will be 
summarized and included in the request for OMB approval. All comments 
will become a matter of public record. Comments are invited on:
    (a) Whether the collection of information is necessary for the 
proper performance of the functions of the OCC, including whether the 
information has practical utility;
    (b) The accuracy of the OCC's estimate of the burden of the 
collection of information;
    (c) Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    (d) Ways to minimize the burden of the collection on respondents, 
including through the use of automated collection techniques or other 
forms of information technology; and
    (e) Estimates of capital or start-up costs and costs of operation, 
maintenance, and purchase of services to provide information.

    Dated: November 9, 2015.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division.
[FR Doc. 2015-29211 Filed 11-16-15; 8:45 am]
 BILLING CODE 4810-33-P