82 FR 9273 - Agency Information Collection Activities: Revision of an Approved Information Collection; Submission for OMB Review; 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 82, Issue 22 (February 3, 2017)

Page Range		9273-9277
FR Document		2017-02255
The OCC, as part of its continuing effort to reduce paperwork and respondent burden, invites the general public and other Federal agencies to comment on a revision to this information collection, as required by the Paperwork Reduction Act of 1995 (PRA). An agency may not conduct or sponsor, and a respondent is not required to respond to, an information collection unless it displays a currently valid Office of Management and Budget (OMB) control number. Currently, the OCC is finalizing 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.'' The OCC also is giving notice that it has sent the collection to OMB for review.
Federal Register, Volume 82 Issue 22 (Friday, February 3, 2017)
[Federal Register Volume 82, Number 22 (Friday, February 3, 2017)]
[Notices]
[Pages 9273-9277]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-02255]


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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; Submission for OMB Review; Company-Run Annual 
Stress Test Reporting Template and Documentation for Covered 
Institutions With Total Consolidated Assets of $50 Billion or More 
Under the Dodd-Frank Wall Street Reform and Consumer Protection Act

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

ACTION: Notice and request for comment.

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SUMMARY: The OCC, as part of its continuing effort to reduce paperwork 
and respondent burden, invites the general public and other Federal 
agencies to comment on a revision to this information collection, as 
required by the Paperwork Reduction Act of 1995 (PRA). An agency may 
not conduct or sponsor, and a respondent is not required to respond to, 
an information collection unless it displays a currently valid Office 
of Management and Budget (OMB) control number. Currently, the OCC is 
finalizing 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.'' 
The OCC also is giving notice that it has sent the collection to OMB 
for review.

DATES: Comments must be received by March 6, 2017.

ADDRESSES: Because paper mail in the Washington, DC area and at the OCC 
is subject to delay, commenters are encouraged to submit comments by 
email, if possible. Comments may be sent to: Legislative and Regulatory 
Activities Division, Office of the Comptroller of the Currency, 
Attention: 1557-0319, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-
11, Washington, DC 20219. In addition, comments may be sent by fax to 
(571) 465-4326 or by electronic mail to [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, 1557-0319, 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, OCC Clearance 
Officer, (202) 649-5490 or, for persons who are deaf or hard of 
hearing, TTY, (202) 649-5597, Legislative and Regulatory Activities 
Division, Office of the Comptroller of the Currency, 400 7th St. SW., 
Washington, DC 20219. In addition, copies of the templates referenced 
in this notice can be found on the OCC's Web site under News and 
Issuances (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.: 1557-0319.
    Description: Section 165(i)(2) of the Dodd-Frank Wall Street Reform 
and Consumer Protection Act \1\ (Dodd-Frank Act) requires certain 
financial companies, including national banks and federal savings 
associations, to conduct annual stress tests \2\ and requires the 
primary financial regulatory agency \3\ of those financial companies to 
issue regulations implementing the stress test requirements.\4\ A 
national bank or federal savings association is a ``covered 
institution'' and therefore subject to the stress test requirements if 
its total consolidated assets are more than $10 billion. Under section 
165(i)(2), a covered institution is required to submit to the Board of

[[Page 9274]]

Governors of the Federal Reserve System (Board) and to its primary 
financial regulatory agency a report at such time, in such form, and 
containing such information as the primary financial regulatory agency 
may require.\5\ On October 9, 2012, the OCC published in the Federal 
Register a final rule implementing the section 165(i)(2) annual stress 
test requirement.\6\ This rule describes the reports and information 
collections required to meet the reporting requirements under section 
165(i)(2). These information collections will be given confidential 
treatment to the extent permitted by law (5 U.S.C. 552(b)(4)).
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    \1\ Public Law 111-203, 124 Stat. 1376, July 2010.
    \2\ 12 U.S.C. 5365(i)(2)(A).
    \3\ 12 U.S.C. 5301(12).
    \4\ 12 U.S.C. 5365(i)(2)(C).
    \5\ 12 U.S.C. 5365(i)(2)(B).
    \6\ 77 FR 61238 (October 9, 2012) (codified at 12 CFR 46).
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    In 2012, the OCC first implemented the reporting templates 
referenced in the final rule. See 77 FR 49485 (August 16, 2012) and 77 
FR 66663 (November 6, 2012). The OCC proposed revisions to these 
reporting templates on November 16, 2016.\7\ The OCC is now finalizing 
these revisions as described below.
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    \7\ 81 FR 70717.
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    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 
similar reports to the Board using reporting form FR Y-14A.\8\ The OCC 
also recognizes the Board has modified the FR Y-14A and, to the extent 
practical, the OCC has kept its reporting requirements consistent with 
the Board's FR Y-14A in order to minimize burden on covered 
institutions.\9\
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    \8\ http://www.federalreserve.gov/reportforms.
    \9\ 81 FR 93917 (December 22, 2016).
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    The OCC also recognizes that the Board has proposed an amendment to 
its Capital Plan and Stress Testing rule and that the Board's proposed 
amendment includes modified reporting requirements for bank holding 
companies (BHCs) categorized by the Board as large and noncomplex 
firms.\10\ One commenter urged the OCC to adopt similar modified 
reporting requirements for covered institutions, as well as additional 
reporting relief for covered institutions. In order to minimize 
regulatory burden, the OCC is applying similar changes for a subset of 
covered institutions. In particular, the OCC is not requiring covered 
institutions that are subsidiaries of large, non-complex firms, as 
defined by the Board, to complete the sub-schedules identified in the 
Board's revisions.
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    \10\ 81 FR 67239 (September 30, 2016) (``Under the proposal, 
large and noncomplex firms would no longer be required to complete 
several elements of the FR Y-14A Schedule A (Summary), including the 
Securities OTTI methodology sub-schedule, Securities Market Value 
source sub-schedule, Securities OTTI by security sub-schedule, the 
Retail repurchase sub-schedule, the Trading sub-schedule, 
Counterparty sub-schedule, and Advanced RWA sub-schedule.'').
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    In addition to the changes that parallel the Board's changes to the 
FR Y-14A, the OCC is also implementing a new supplemental schedule to 
collect certain items not included in the Board's FR Y-14A. It is 
anticipated that this data will help the OCC better understand and 
monitor salient risks at covered institutions.

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

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

Bank-Specific Scenarios

    Covered institutions will be required to submit bank-specific 
baseline and bank-specific stress scenarios and associated projections 
for the 2017 annual stress testing submission. While supervisory 
scenarios provide a homogeneous scenario and a consistent market-wide 
view of the condition of the banking sector, these prescribed scenarios 
may not fully capture all of the risks that may be associated with a 
particular institution. The revisions require covered institutions to 
provide bank-specific baseline and bank-specific stress scenarios.
    The OCC recognizes that the Board requires BHCs to submit BHC-
specific baseline and stress scenarios and projections. Where OCC 
covered institutions also submit BHC-specific scenarios, bank-specific 
scenarios must be consistent with the BHC-specific scenarios.
    One commenter objected to the submission of bank-specific 
scenarios. The commenter argued that the submission of a bank-specific 
scenario would be duplicative with the submission of a BHC-specific 
scenario if a covered institution subsidiary constitutes nearly all of 
the BHC's assets. The commenter also argued that, if a covered 
institution represents a smaller fraction of a BHC's assets, then it is 
inappropriate for the bank-specific scenario to be consistent with the 
BHC-specific scenario. The commenter further asked whether the OCC and 
the Board would draw the same conclusions on the adequacy of the BHC-
specific versus bank-specific scenarios.
    While the bank-specific scenario results may be broadly similar to 
the BHC-specific scenario results, especially for holding companies 
where the covered institution includes an overwhelming majority of the 
holding company's total assets and exposures, the holding company's 
nonbank assets may contain risks that are materially different from the 
rest of the holding company's exposures. Applying the bank-specific 
scenario against the covered institution's exposures ensures that 
supervisory analysis is conducted on the covered institution's reported 
numbers, rather than OCC estimates interpolated from results at the 
holding-company level. Furthermore, the holding company and the 
subsidiary national bank or federal savings association may implement 
different capital actions which may result in different capital 
outcomes between the BHC and bank-specific scenarios. Therefore, the 
bank-specific scenario may potentially result in a different assessment 
from the BHC-specific scenario.

[[Page 9275]]

Largest Counterparty Default

    Covered institutions that complete the Global Market Shock are also 
required to complete the Largest Counterparty Default component. The 
completion of the Largest Counterparty Default component is currently 
required by the Board, and the OCC is adopting a similar requirement to 
enhance consistency and comparability of BHC and bank results.

OCC Supplemental Schedule

    The revisions include a new supplemental schedule that collects 
additional information not included in the FR Y-14A. This schedule 
collects additional data on auto lending, commercial exposures, and 
non-U.S. exposures. The schedule also collects information relevant to 
the calculation of the Supplementary Leverage Ratio.\11\
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    \11\ For the OCC Supplemental Schedule, the OCC anticipates that 
covered institutions will use existing models and methodologies to 
furnish the requested information, which provides a more granular 
view on information provided elsewhere in the DFAST-14A. Covered 
institutions should not develop new models or methodologies just to 
provide the loss, balance, provision, and allowance numbers 
requested in the OCC Supplemental Schedule. If existing models and 
methodologies do not generate data at the requested level of 
granularity, covered institutions may use allocations, expert 
judgment, or other methods for projections of balances, losses, and 
allowances. Covered institutions should supply appropriate 
documentation explaining their approach. Institutions should not 
supply ``N/A'' for any fields in the supplemental schedule. If the 
covered institution does not meet the materiality threshold for a 
given item, the institution should leave this item blank.
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    One commenter indicated that covered institutions may have the data 
required for the Supplemental Schedule but that this data may not be 
segmented in the manner used by the Supplemental Schedule. Another 
commenter noted that covered institutions do not have systems in place 
to report the level of granularity required in the schedule, as much of 
the additional information would require substantial systems revisions 
and information technology changes. The OCC understands that existing 
data systems and processes may not be currently designed to align with 
the specific loan types, product types, and other classifications 
delineated on the OCC Supplemental Schedule. As indicated in the OCC's 
proposal, covered institutions should not develop new models or 
methodologies to provide the loss, balance, provision, and allowance 
numbers requested in the OCC Supplemental Schedule. Instead, 
institutions should use existing models and methodologies to furnish 
the requested information. The OCC expects covered institutions to use 
reasonable efforts to supply the data requested by the Supplemental 
Schedule. Also, most items in the OCC Supplemental Schedule include 
materiality thresholds to ensure that only sizeable portfolios and 
exposures, as measured in terms of total assets and as a percentage of 
tier 1 capital, are reported.
    One commenter noted that the additional information to be collected 
in the OCC Supplemental Schedule is already received by the OCC from 
other sources. Certain line items requested in the OCC Supplemental 
Schedule are contained in the Call Report; however, the Call Report 
collects historical information, whereas the OCC Supplemental Schedule 
collects forward-looking projections. Existing sources of information 
do not contain the forward-looking projections which are essential to 
evaluating impact on capital adequacy in adverse and severely adverse 
macroeconomic conditions.
    One commenter suggested that covered institutions will need clear 
instructions about what each line in the Supplemental Schedule 
requires. Another commenter requested that the Supplemental Schedule be 
dropped in its entirety from the final template. Another commenter 
provided detailed feedback on the proposed line items. This commenter 
recommended that (a) owner-occupied commercial real estate (CRE) loans 
be reclassified as commercial and industrial (C&I) loans, especially 
since the Board classifies these loans as C&I in the FR Y-14Q Schedule; 
(b) line items relating to portfolio vacancy rates and weighted-average 
loan to value (LTV) be removed from the schedule; (c) more guidance be 
provided on calculating counterparty funding value adjustment (FVA) 
losses; (d) institutions not be required to submit historical data for 
line items relating to C&I exposures; (e) the OCC provide analysis of 
the purported benefits of the additional information to be provided in 
the Supplemental Schedule; and (f) institutions whose internal modeling 
practices do not align to the regulatory definition with respect to the 
additional granularity in the OCC Supplemental Schedule be permitted to 
use a pro-rata allocation approach or to note ``N/A'' as applicable.
    For certain line items, the OCC has provided North American 
Industry Classification System (NAICS) code industry mappings to 
indicate which obligor-types must be included. Additionally, in the 
final instructions, the OCC has provided additional clarity on which 
obligors must be included for non-U.S. exposures. Line items pertaining 
to leverage exposure for the Supplementary Leverage Ratio are defined 
in the same way as analogous line items contained in the DFAST-14A 
Regulatory Capital Transitions Schedule. In regards to (a), we have re-
categorized these line items as C&I loans rather than CRE loans. For 
(b), we have removed line items for portfolio vacancy rates and 
weighted-average committed LTV throughout the schedule. For (c), only 
those institutions that fill out the trading worksheet are responsible 
for completing this line item. Institutions that do not consider 
counterparty FVA losses within their counterparty credit modeling 
should not complete this item. Institutions that are currently 
calculating counterparty FVA losses should use existing calculations to 
fill out this item and provide information on how this item was 
calculated in the bank's supporting documentation. For (d), as the 
Supplemental Schedule only collects information on the current quarter 
and projected quarters, historical balances and/or losses need not be 
submitted. For (e) and (f), the OCC considers those items included in 
the OCC Supplemental Schedule as material risks which are necessary for 
monitoring and assessing a covered institution's capital adequacy and 
capital planning process. Covered institutions that cannot use existing 
models and methodologies to furnish requested information on the OCC 
Supplemental Schedule may use allocations, expert judgment, or other 
methods for projections of balances, losses, and allowances if data is 
not available at the requested level of granularity. Covered 
institutions should supply appropriate documentation explaining their 
approach. Institutions should not supply ``N/A'' for any fields in the 
Supplemental Schedule. If the covered institution does not meet the 
materiality threshold for a given item, the institution should leave 
this item blank.
    One commenter requested a delay of at least one year before 
requiring submission of the Supplemental Schedule. According to the 
commenter, submissions of this data would require changes in internal 
processes. Another commenter requested a delay of unspecified length 
for the same reasons. As mentioned, covered institutions are expected 
to use existing models and methodologies and to undertake reasonable 
effort to furnish requested information. It is not the OCC's intent to 
cause institutions to redesign existing processes to complete the 
Supplemental Schedule. The OCC considers those items included in the 
OCC

[[Page 9276]]

Supplemental Schedule as material risks which are necessary for 
monitoring and assessing a covered institution's capital adequacy and 
capital planning process.

Summary Schedule--Applicability

    Effective for DFAST 2017, covered institutions that are 
subsidiaries of large, non-complex firms, as defined by the Board, are 
not required to report the following sub-schedules of the Summary 
Schedule: Securities OTTI methodology sub-schedule, Securities Market 
Value source sub-schedule, Securities OTTI by security sub-schedule, 
Retail repurchase sub-schedule, Trading sub-schedule, Counterparty sub-
schedule, and Advanced RWA sub-schedule.\12\ This change increases 
consistency between the DFAST-14A and the FR Y-14A.
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    \12\ All firms will be required to report line item 138 of the 
income statement, as that line item is currently derived from the 
Retail repurchase sub-schedule.
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Other Reporting Template and Instruction Changes

    The other 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 
changes increase consistency between the DFAST-14A and the FR Y-14A and 
the Call Report.

Summary Schedule, Standardized RWA Worksheet

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

Summary Schedule, Capital Worksheet

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

Summary Schedule, Counterparty Worksheet

    The OCC is adding the item ``Other counterparty losses'' to the 
counterparty worksheet of the Summary Schedule.

Summary Schedule, Retail ASC 310-30

    One commenter noted that the ASC 310-30 Schedule had been omitted 
from the templates but had not been discussed in the PRA notice. This 
sub-schedule has been removed, effective for the DFAST 2017 submission. 
This change had already been finalized in the OCC's 2016 Final PRA 
notice.

Operational Risk Schedule

    The revisions remove and add sub-schedules to the Operational Risk 
Schedule to ensure the collection of accurate information. The OCC is 
adding two sub-schedules and modifying the supporting documentation 
requirements for this schedule. First, the new Material Risk 
Identification sub-schedule collects information on a covered 
institution's material operational risks included in loss projections 
based on their risk management framework. Second, the new Operational 
Risk Scenarios sub-schedule collects a covered institution's 
operational risk scenarios included in the BHC Baseline and BHC Stress 
projections, a fundamental element of the framework.
    One commenter argued that the OCC should remove the operational 
risk component from the stress testing reporting forms. However, 
operational risk is a key element of the stress testing framework. 
Operational risk losses can significantly influence a covered 
institution's capital and earnings projections and thus comprises an 
integral part of stress testing.
    The adverse and severely adverse scenarios do not prescribe 
specific operational risk events that covered institutions must 
consider. Rather, institutions are instructed to identify their own 
idiosyncratic operational risk exposures as part of the material risk 
identification and scenario design process.
    The OCC proposed to eliminate the Operational Risk Historical 
Capital subsection and is adopting this proposal as final. In addition, 
in order to align with the Board's Y-14A reporting requirements, the 
OCC will only require the Material Risk Identification and Operational 
Risk Scenarios worksheets for a subset of covered institutions.
    One commenter recommended that the OCC revise its instructions to 
exclude operational losses from idiosyncratic or low-probability 
events. However, each covered institution is responsible for assessing 
the reasonableness of its operational risk loss projections. The 
decision of which operational risk events to include or omit is a key 
part of each covered institution's risk identification and scenario 
design process, and institutions use a combination of quantitative and 
qualitative approaches, as appropriate, to determine an estimate of 
operational risk losses. Prohibiting covered institutions from 
overlaying certain operational risk losses would represent a constraint 
to the covered institution's risk identification and would prevent the 
institution from considering its full range of potential operational 
risk outcomes.
    One commenter recommended that the OCC remove the Material Risk 
Identification worksheet and the Operational Risk Scenarios worksheet 
from the Operational Risk Schedule. In response to this comment and in 
order to align with the Board's Y-14A reporting requirements, the OCC 
will only require the Material Risk Identification and Operational Risk 
Scenarios worksheet for a subset of covered institutions. Specifically, 
institutions that are subsidiaries of large, non-complex firms, as 
defined by the Board, are not required to provide the Material Risk 
Identification and Operational Risk Scenarios sub-schedules.
    Although operational risk is evaluated as part of the OCC ongoing 
supervision, forecasted operational risk losses can significantly 
influence a covered institution's capital and earnings projections. 
Operational risk event types and loss projections may vary considerably 
from firm to firm, but results will provide significant insights on a 
covered institution's operational risk exposures and potential effect 
on capital and earnings estimates. Moreover, within each institution, 
year-over-year comparisons of operational risk estimates may indicate 
changes in

[[Page 9277]]

a covered institution's operational risk exposures due to factors such 
as changes in relationships with third-party vendors, overhaul of 
compliance management system, or potential new litigation exposures.

Response to Comments on Timing of Schedule Changes

    One commenter requested (a) a minimum of six months between the 
publication of final changes to the reporting templates and the 
effective date of the changes; (b) the effective date for changes be 
aligned with the release of the technical instructions related to the 
changes; (c) clarifying questions be addressed before the effective 
date of a change; and (d) the technical instructions accompanying any 
proposed changes in the reporting templates be subject to public notice 
and comment. The OCC recognizes the challenges with implementing 
changes in a timely and controlled manner, especially when the changes 
are finalized close to the effective date. The OCC continues to balance 
the need to collect additional information with the objective of 
providing as much time as is feasible in advance of implementation.
    In regards to the proposed changes contained in this notice, the 
OCC notes that the changes related to collecting components of the 
Supplementary Leverage Ratio on the Capital worksheet of the Summary 
Schedule allow for the incorporation of key measures of regulatory 
capital adequacy into the stress test. In the Operational Risk 
Schedule, the Material Risk Identification and Operational Risk 
Scenarios sub-schedules, which are not required for firms deemed 
``Large and Non-Complex,'' are often provided as part of the DFAST 
review in response to follow-up supervisory requests, so filling out 
these worksheets would simply formalize an existing process. Other 
changes are clarifying in nature: Streamlining the instructions, 
removing information, or aligning with the Board's FR Y-14A data 
collection. The OCC will continue to publish technical instructions as 
early as feasible.
    Type of Review: Revision.
    Affected Public: Businesses or other for-profit.
    Estimated Number of Respondents: 25.
    Estimated Total Annual Burden: 13,412.5.
    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 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: January 30, 2017.
Stuart Feldstein,
Director, Legislative and Regulatory Activities Division, Office of the 
Comptroller of the Currency.
[FR Doc. 2017-02255 Filed 2-2-17; 8:45 am]
BILLING CODE 4810-33-P
Federal Register / Vol. 82, No. 22 / Friday, February 3, 2017 / Notices 9273

also will post the transcript and DEPARTMENT OF THE TREASURY will be required to present valid
recording of the hearing on the USTR government-issued photo identification
Web site as soon after the hearing as Office of the Comptroller of the and submit to security screening in
possible. Currency order to inspect and photocopy
comments.
Prepared oral testimony before the Agency Information Collection All comments received, including
Special 301 Subcommittee must be Activities: Revision of an Approved attachments and other supporting
delivered in person, in English, and will Information Collection; Submission for materials, are part of the public record
be limited to five minutes. OMB Review; Company-Run Annual and subject to public disclosure. Do not
Subcommittee member agencies may Stress Test Reporting Template and include any information in your
ask questions following the prepared Documentation for Covered comment or supporting materials that
statement. Persons, except Institutions With Total Consolidated you consider confidential or
representatives of foreign governments, Assets of $50 Billion or More Under the inappropriate for public disclosure.
wishing to testify at the hearing must Dodd-Frank Wall Street Reform and Additionally, please send a copy of
submit a ‘‘Notice of Intent to Testify’’ Consumer Protection Act your comments by mail to: OCC Desk
and ‘‘Hearing Statement’’ by the Officer, 1557–0319, U.S. Office of
AGENCY: Office of the Comptroller of the
February 9, 2017, deadline to Management and Budget, 725 17th
Currency, Treasury (OCC).
www.regulations.gov following the Street NW., #10235, Washington, DC
ACTION: Notice and request for comment. 20503, or by email to: oira submission@
procedures set forth in part IV below.
The Notice of Intent to Testify must SUMMARY: The OCC, as part of its omb.eop.gov.
include the name of the witness, name continuing effort to reduce paperwork FOR FURTHER INFORMATION CONTACT:
of the organization (if applicable), and respondent burden, invites the Shaquita Merritt, OCC Clearance
address, telephone number, fax number, general public and other Federal Officer, (202) 649–5490 or, for persons
and email address. A Hearing Statement agencies to comment on a revision to who are deaf or hard of hearing, TTY,
must accompany the Notice of Intent to this information collection, as required (202) 649–5597, Legislative and
by the Paperwork Reduction Act of 1995 Regulatory Activities Division, Office of
Testify. There is no requirement
(PRA). An agency may not conduct or the Comptroller of the Currency, 400 7th
regarding the length of the Hearing St. SW., Washington, DC 20219. In
Statement; however, the content of the sponsor, and a respondent is not
required to respond to, an information addition, copies of the templates
testimony must be relevant to the referenced in this notice can be found
Special 301 Review. collection unless it displays a currently
valid Office of Management and Budget on the OCC’s Web site under News and
All representatives of foreign (OMB) control number. Currently, the Issuances (http://www.occ.treas.gov/
governments that wish to testify at the OCC is finalizing a revision to a tools-forms/forms/bank-operations/
hearing must submit a ‘‘Notice of Intent regulatory reporting requirement for stress-test-reporting.html).
to Testify’’ by the February 23, 2017, national banks and federal savings SUPPLEMENTARY INFORMATION: The OCC
deadline to www.regulations.gov associations titled, ‘‘Company-Run is requesting comment on the following
following the procedures set forth in Annual Stress Test Reporting Template revision to an approved information
part IV below. The Notice of Intent to and Documentation for Covered collection:
Testify must include the name of the Institutions with Total Consolidated Title: Company-Run Annual Stress
witness, name of the organization (if Assets of $50 Billion or More under the Test Reporting Template and
applicable), address, telephone number, Dodd-Frank Wall Street Reform and Documentation for Covered Institutions
fax number, and email address. Consumer Protection Act.’’ The OCC with Total Consolidated Assets of $50
also is giving notice that it has sent the Billion or More under the Dodd-Frank
Although not mandatory, government
collection to OMB for review. Wall Street Reform and Consumer
witnesses may submit a Hearing
DATES: Comments must be received by Protection Act.
Statement when filing the Notice of OMB Control No.: 1557–0319.
Intent to Testify. March 6, 2017.
Description: Section 165(i)(2) of the
ADDRESSES: Because paper mail in the Dodd-Frank Wall Street Reform and
Probir Mehta, Washington, DC area and at the OCC is Consumer Protection Act 1 (Dodd-Frank
Assistant United States Trade Representative subject to delay, commenters are
for Innovation and Intellectual Property,
Act) requires certain financial
encouraged to submit comments by companies, including national banks
Office of the United States Trade email, if possible. Comments may be
Representative. and federal savings associations, to
sent to: Legislative and Regulatory conduct annual stress tests 2 and
[FR Doc. 2017–02251 Filed 2–2–17; 8:45 am] Activities Division, Office of the requires the primary financial regulatory
BILLING CODE 3290–F7–P Comptroller of the Currency, Attention: agency 3 of those financial companies to
1557–0319, 400 7th Street SW., Suite issue regulations implementing the
3E–218, Mail Stop 9W–11, Washington, stress test requirements.4 A national
DC 20219. In addition, comments may bank or federal savings association is a
be sent by fax to (571) 465–4326 or by ‘‘covered institution’’ and therefore
electronic mail to prainfo@occ.treas.gov. subject to the stress test requirements if
You may personally inspect and
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its total consolidated assets are more
photocopy comments at the OCC, 400 than $10 billion. Under section
7th Street SW., Washington, DC 20219. 165(i)(2), a covered institution is
For security reasons, the OCC requires required to submit to the Board of
that visitors make an appointment to
inspect comments. You may do so by 1 Public Law 111–203, 124 Stat. 1376, July 2010.
calling (202) 649–6700 or, for persons 2 12 U.S.C. 5365(i)(2)(A).
who are deaf or hard of hearing, TTY, 3 12 U.S.C. 5301(12).

(202) 649–5597. Upon arrival, visitors 4 12 U.S.C. 5365(i)(2)(C).

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9274 Federal Register / Vol. 82, No. 22 / Friday, February 3, 2017 / Notices

Governors of the Federal Reserve Board as large and noncomplex firms.10 associated projections for the 2017
System (Board) and to its primary One commenter urged the OCC to adopt annual stress testing submission. While
financial regulatory agency a report at similar modified reporting requirements supervisory scenarios provide a
such time, in such form, and containing for covered institutions, as well as homogeneous scenario and a consistent
such information as the primary additional reporting relief for covered market-wide view of the condition of
financial regulatory agency may institutions. In order to minimize the banking sector, these prescribed
require.5 On October 9, 2012, the OCC regulatory burden, the OCC is applying scenarios may not fully capture all of
published in the Federal Register a final similar changes for a subset of covered the risks that may be associated with a
rule implementing the section 165(i)(2) institutions. In particular, the OCC is particular institution. The revisions
annual stress test requirement.6 This not requiring covered institutions that require covered institutions to provide
rule describes the reports and are subsidiaries of large, non-complex bank-specific baseline and bank-specific
information collections required to meet firms, as defined by the Board, to stress scenarios.
the reporting requirements under complete the sub-schedules identified
The OCC recognizes that the Board
section 165(i)(2). These information in the Board’s revisions.
collections will be given confidential In addition to the changes that requires BHCs to submit BHC-specific
treatment to the extent permitted by law parallel the Board’s changes to the FR baseline and stress scenarios and
(5 U.S.C. 552(b)(4)). Y–14A, the OCC is also implementing a projections. Where OCC covered
In 2012, the OCC first implemented new supplemental schedule to collect institutions also submit BHC-specific
the reporting templates referenced in certain items not included in the scenarios, bank-specific scenarios must
the final rule. See 77 FR 49485 (August Board’s FR Y–14A. It is anticipated that be consistent with the BHC-specific
16, 2012) and 77 FR 66663 (November this data will help the OCC better scenarios.
6, 2012). The OCC proposed revisions to understand and monitor salient risks at One commenter objected to the
these reporting templates on November covered institutions. submission of bank-specific scenarios.
16, 2016.7 The OCC is now finalizing Revisions to Reporting Templates for The commenter argued that the
these revisions as described below. Institutions With $50 Billion or More in submission of a bank-specific scenario
The OCC intends to use the data would be duplicative with the
Assets
collected to assess the reasonableness of submission of a BHC-specific scenario if
the stress test results of covered The revisions to the DFAST–14A a covered institution subsidiary
institutions and to provide forward- reporting templates consist of the constitutes nearly all of the BHC’s
looking information to the OCC following: assets. The commenter also argued that,
regarding a covered institution’s capital • Adding line items to the Regulatory
if a covered institution represents a
adequacy. The OCC also may use the Capital Instruments Schedule.
• Updating the Summary Schedule to smaller fraction of a BHC’s assets, then
results of the stress tests to determine it is inappropriate for the bank-specific
whether additional analytical collect items related to the
supplementary leverage ratio. scenario to be consistent with the BHC-
techniques and exercises could be
appropriate to identify, measure, and • Removing sub-schedules of the specific scenario. The commenter
Operational Risk Schedule for all further asked whether the OCC and the
monitor risks at the covered institution. Board would draw the same conclusions
The stress test results are expected to covered institutions and adding sub-
schedules to the Operational Risk on the adequacy of the BHC-specific
support ongoing improvement in a versus bank-specific scenarios.
covered institution’s stress testing Schedule for a subset of covered
practices with respect to its internal institutions. While the bank-specific scenario
• Creating a new supplemental results may be broadly similar to the
assessments of capital adequacy and
schedule to collect certain items not BHC-specific scenario results, especially
overall capital planning.
included in the Board’s FR Y–14A. for holding companies where the
The OCC recognizes that many • Requiring a bank-specific scenario.
covered institutions with total covered institution includes an
Covered institutions would be required overwhelming majority of the holding
consolidated assets of $50 billion or to submit bank-specific baseline and
more are required to submit similar company’s total assets and exposures,
stress scenarios.
reports to the Board using reporting the holding company’s nonbank assets
• Requiring the assumption of largest
form FR Y–14A.8 The OCC also counterparty default. The largest trading may contain risks that are materially
recognizes the Board has modified the covered institutions that also submit the different from the rest of the holding
FR Y–14A and, to the extent practical, Global Market Shock scenario would be company’s exposures. Applying the
the OCC has kept its reporting required to assume the default of their bank-specific scenario against the
requirements consistent with the largest counterparty in the supervisory covered institution’s exposures ensures
Board’s FR Y–14A in order to minimize severely adverse and adverse scenarios. that supervisory analysis is conducted
burden on covered institutions.9 on the covered institution’s reported
The OCC also recognizes that the Bank-Specific Scenarios numbers, rather than OCC estimates
Board has proposed an amendment to Covered institutions will be required interpolated from results at the holding-
its Capital Plan and Stress Testing rule to submit bank-specific baseline and company level. Furthermore, the
and that the Board’s proposed bank-specific stress scenarios and holding company and the subsidiary
amendment includes modified reporting national bank or federal savings
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requirements for bank holding 10 81 FR 67239 (September 30, 2016) (‘‘Under the
association may implement different
companies (BHCs) categorized by the proposal, large and noncomplex firms would no capital actions which may result in
longer be required to complete several elements of
the FR Y–14A Schedule A (Summary), including different capital outcomes between the
5 12 U.S.C. 5365(i)(2)(B).
6 77
the Securities OTTI methodology sub-schedule, BHC and bank-specific scenarios.
FR 61238 (October 9, 2012) (codified at 12
CFR 46).
Securities Market Value source sub-schedule, Therefore, the bank-specific scenario
Securities OTTI by security sub-schedule, the Retail may potentially result in a different
7 81 FR 70717.
repurchase sub-schedule, the Trading sub-schedule,
8 http://www.federalreserve.gov/reportforms.
Counterparty sub-schedule, and Advanced RWA assessment from the BHC-specific
9 81 FR 93917 (December 22, 2016). sub-schedule.’’). scenario.

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9276 Federal Register / Vol. 82, No. 22 / Friday, February 3, 2017 / Notices

Supplemental Schedule as material ‘‘Deferred tax assets arising from their own idiosyncratic operational risk
risks which are necessary for monitoring temporary differences, net of DTLs.’’ A exposures as part of the material risk
and assessing a covered institution’s covered institution in a net DTL identification and scenario design
capital adequacy and capital planning position must report this item as a process.
process. negative number. This modification The OCC proposed to eliminate the
provides more specific information Operational Risk Historical Capital
Summary Schedule—Applicability subsection and is adopting this proposal
about the components of the ‘‘DTAs
Effective for DFAST 2017, covered arising from temporary differences that as final. In addition, in order to align
institutions that are subsidiaries of could not be realized through net with the Board’s Y–14A reporting
large, non-complex firms, as defined by operating loss carrybacks, net of related requirements, the OCC will only require
the Board, are not required to report the valuation allowances and net of DTLs’’ the Material Risk Identification and
following sub-schedules of the subject to the common equity tier 1 Operational Risk Scenarios worksheets
Summary Schedule: Securities OTTI capital deduction threshold. for a subset of covered institutions.
methodology sub-schedule, Securities The revisions also remove certain One commenter recommended that
Market Value source sub-schedule, items that pertained to the capital the OCC revise its instructions to
Securities OTTI by security sub- regulations in place before the adoption exclude operational losses from
schedule, Retail repurchase sub- of the Basel III final rule. idiosyncratic or low-probability events.
schedule, Trading sub-schedule, However, each covered institution is
Counterparty sub-schedule, and Summary Schedule, Counterparty responsible for assessing the
Advanced RWA sub-schedule.12 This Worksheet reasonableness of its operational risk
change increases consistency between The OCC is adding the item ‘‘Other loss projections. The decision of which
the DFAST–14A and the FR Y–14A. counterparty losses’’ to the counterparty operational risk events to include or
worksheet of the Summary Schedule. omit is a key part of each covered
Other Reporting Template and
institution’s risk identification and
Instruction Changes Summary Schedule, Retail ASC 310–30 scenario design process, and institutions
The other revisions to the DFAST– One commenter noted that the ASC use a combination of quantitative and
14A consist of clarifying instructions, 310–30 Schedule had been omitted from qualitative approaches, as appropriate,
adding and removing schedules, adding, the templates but had not been to determine an estimate of operational
deleting, and modifying existing data discussed in the PRA notice. This sub- risk losses. Prohibiting covered
items, and altering the as-of dates. These schedule has been removed, effective for institutions from overlaying certain
changes increase consistency between the DFAST 2017 submission. This operational risk losses would represent
the DFAST–14A and the FR Y–14A and change had already been finalized in the a constraint to the covered institution’s
the Call Report. OCC’s 2016 Final PRA notice. risk identification and would prevent
Summary Schedule, Standardized RWA the institution from considering its full
Operational Risk Schedule
Worksheet range of potential operational risk
The revisions remove and add sub- outcomes.
The revision includes multiple line schedules to the Operational Risk One commenter recommended that
item changes intended to promote Schedule to ensure the collection of the OCC remove the Material Risk
consistency with the FR Y–14A and accurate information. The OCC is Identification worksheet and the
ensure the collection of accurate adding two sub-schedules and Operational Risk Scenarios worksheet
information. modifying the supporting from the Operational Risk Schedule. In
Summary Schedule, Capital Worksheet documentation requirements for this response to this comment and in order
schedule. First, the new Material Risk to align with the Board’s Y–14A
Covered institutions are required to Identification sub-schedule collects reporting requirements, the OCC will
estimate their Supplementary Leverage information on a covered institution’s only require the Material Risk
Ratio for the planning horizon material operational risks included in Identification and Operational Risk
beginning on January 1, 2018. The OCC loss projections based on their risk Scenarios worksheet for a subset of
is adding two items to the Summary management framework. Second, the covered institutions. Specifically,
Schedule: Supplementary Leverage new Operational Risk Scenarios sub- institutions that are subsidiaries of
Ratio Exposure (SLR Exposure) and schedule collects a covered institution’s large, non-complex firms, as defined by
Supplementary Leverage Ratio (the operational risk scenarios included in the Board, are not required to provide
SLR). The SLR is a derived field. the BHC Baseline and BHC Stress the Material Risk Identification and
In addition, to collect more precise Operational Risk Scenarios sub-
projections, a fundamental element of
information regarding deferred tax schedules.
the framework.
assets (DTAs), the OCC is modifying one One commenter argued that the OCC Although operational risk is evaluated
existing item on the Capital—DFAST should remove the operational risk as part of the OCC ongoing supervision,
worksheet of the Summary Schedule. component from the stress testing forecasted operational risk losses can
The OCC is changing existing item 112 reporting forms. However, operational significantly influence a covered
on the Capital—DFAST worksheet of risk is a key element of the stress testing institution’s capital and earnings
the Summary Schedule, ‘‘Deferred tax framework. Operational risk losses can projections. Operational risk event types
assets arising from temporary significantly influence a covered and loss projections may vary
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differences that could not be realized institution’s capital and earnings considerably from firm to firm, but
through net operating loss carrybacks, projections and thus comprises an results will provide significant insights
net of deferred tax liabilities (DTLs), but integral part of stress testing. on a covered institution’s operational
before related valuation allowances,’’ to The adverse and severely adverse risk exposures and potential effect on
12 All firms will be required to report line item
scenarios do not prescribe specific capital and earnings estimates.
138 of the income statement, as that line item is
operational risk events that covered Moreover, within each institution, year-
currently derived from the Retail repurchase sub- institutions must consider. Rather, over-year comparisons of operational
schedule. institutions are instructed to identify risk estimates may indicate changes in

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Document Created: 2018-02-01 14:34:40
Document Modified: 2018-02-01 14:34:40
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		Comments must be received by March 6, 2017.
Contact		Shaquita Merritt, OCC Clearance Officer, (202) 649-5490 or, for persons who are deaf or hard of hearing, TTY, (202) 649-5597, Legislative and Regulatory Activities Division, Office of the Comptroller of the Currency, 400 7th St. SW., Washington, DC 20219. In addition, copies of the templates referenced in this notice can be found on the OCC's Web site under News and Issuances (http://www.occ.treas.gov/tools-forms/forms/bank-operations/ stress-test-reporting.html).
FR Citation		82 FR 9273
DEPARTMENT OF THE TREASURYOffice of the Comptroller of the Currency

Federal Register Volume 82, Issue 22 (February 3, 2017)

DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
