82 FR 9958 - Agency Information Collection Activities: Information Collection Renewal; Comment Request; Capital Adequacy Standards
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency Federal Register Volume 82, Issue 25 (February 8, 2017)
Office of the Comptroller of the Currency
Federal Register Volume 82, Issue 25 (February 8, 2017)
| Page Range | 9958-9960 | |
| FR Document | 2017-02583 |
[Federal Register Volume 82, Number 25 (Wednesday, February 8, 2017)] [Notices] [Pages 9958-9960] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-02583] ======================================================================= ----------------------------------------------------------------------- DEPARTMENT OF THE TREASURY Office of the Comptroller of the Currency Agency Information Collection Activities: Information Collection Renewal; Comment Request; Capital Adequacy Standards AGENCY: Office of the Comptroller of the Currency (OCC), Treasury. ACTION: Notice and request for comment. ----------------------------------------------------------------------- SUMMARY: The OCC, as part of its continuing effort to reduce paperwork and respondent burden, invites 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 renewal of its information collection titled ``Capital Adequacy Standards.'' DATES: Comments must be submitted on or before April 10, 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: 1557-0318, 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, 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 Street SW., Washington, DC 20219. SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501-3520), Federal agencies must obtain approval from OMB for each collection of information that they conduct or sponsor. ``Collection of information'' is defined in 44 U.S.C. 3502(3) and 5 CFR 1320.3(c) to include agency requests or requirements that members of the public submit reports, keep records, or provide information to a third party. Section 3506(c)(2)(A) of title 44 requires Federal agencies to provide a 60-day notice in the Federal Register concerning each proposed collection of information, including each proposed extension of an existing collection of information, before submitting the collection to OMB for approval. To comply with this requirement, the OCC is publishing notice of the renewal of the collection of information set forth in this document. Title: Capital Adequacy Standards. OMB Control No.: 1557-0318. Frequency of Response: On occasion. Affected Public: Business or other for-profit. Section-by-Section-Analysis Twelve CFR part 3 sets forth the OCC's minimum capital requirements and overall capital adequacy standards for national banks and Federal savings associations (institutions). Section 3.3(c) allows for the recognition of netting across multiple types of transactions or agreements if an institution obtains a written legal opinion verifying the validity and enforceability of the agreement under certain circumstances and maintains sufficient written documentation of this legal review. Section 3.22(h)(2)(iii)(A) permits the use of a conservative estimate of the amount of an institution's investment in its own capital or the capital of unconsolidated financial institutions held through the index security with prior approval by the OCC. Section 3.35(b)(3)(i)(A) requires, for a cleared transaction with a qualified central counterparty (QCCP), that a client bank apply a risk weight of two percent, provided that the collateral posted by the bank to the QCCP is subject to certain arrangements and the client bank has conducted a sufficient legal review (and maintains sufficient written documentation of the legal review) to conclude with a well-founded basis that the arrangements, in the event of a legal challenge, would be found to be legal, valid, binding, and enforceable under the law of the relevant jurisdictions. Section 3.37(c)(4)(i)(E), regarding collateralized transactions, requires that an institution have policies and procedures in place describing how it determines the period of significant financial stress used to calculate its own internal estimates for haircuts and be able to provide empirical support for the period used. Section 3.41(b)(3) which sets forth operational requirements for securitization exposures, allows an institution to recognize for risk- based capital purposes, in the case of synthetic securitizations, a credit risk mitigant to hedge underlying exposures if certain conditions are met, including a requirement that the institution obtain a well-reasoned opinion from legal counsel that confirms the enforceability of the credit risk mitigant in all relevant jurisdictions. Section 3.41(c)(2)(i) requires that an institution demonstrate its comprehensive understanding of a [[Page 9959]] securitization exposure by conducting and documenting an analysis of the risk characteristics of each securitization exposure prior to its acquisition, taking into account a number of specified considerations. If an institution provides non-contractual support to a securitization, Sec. 3.42(e)(2) requires the institution to publicly disclose that it has provided implicit support to a securitization and the risk-based capital impact to the bank of providing such implicit support. Section 3.62 sets forth disclosure requirements related to the capital requirements of an institution. These requirements apply to an institution with total consolidated assets of $50 billion or more that is not a consolidated subsidiary of an entity that is itself subject to Basel III disclosures. Section 3.62(a) requires quarterly disclosure of information in the applicable tables in section 3.63 and, if a significant change occurs, such that the most recent reported amounts are no longer reflective of the institution's capital adequacy and risk profile, Sec. 3.62(a) requires the institution to disclose as soon as practicable thereafter, a brief discussion of the change and its likely impact. Section 3.62(a) permits annual disclosure of qualitative information that typically does not change each quarter, provided that any significant changes are disclosed in the interim. Section 3.62(b) requires that an institution have a formal disclosure policy approved by the board of directors that addresses its approach for determining the disclosures it makes. The policy must address the associated internal controls and disclosure controls and procedures. Section 3.62(c) permits an institution to disclose more general information about certain subjects if the institution concludes that the specific commercial or financial information required to be disclosed under Sec. 3.62 is exempt from disclosure under the Freedom of Information Act (5 U.S.C. 552), and the institution provides the reason the specific items of information have not been disclosed. Section 3.63 sets forth the specific disclosure requirements for a non-advanced approaches institution with total consolidated assets of $50 billion or more that is not a consolidated subsidiary of an entity that is itself subject to Basel III disclosure requirements. Section 3.63(a) requires those institutions to make the disclosures in Tables 1 through 10 to Sec. 3.63 and in Sec. 3.63(b) for each of the last three years beginning on the effective date of the rule. Section 3.63(b) requires quarterly disclosure of an institution's common equity tier 1 capital, additional tier 1 capital, tier 2 capital, tier 1 and total capital ratios, including the regulatory capital elements and all the regulatory adjustments and deductions needed to calculate the numerator of such ratios; total risk-weighted assets, including the different regulatory adjustments and deductions needed to calculate total risk-weighted assets; regulatory capital ratios during any transition periods, including a description of all the regulatory capital elements and all regulatory adjustments and deductions needed to calculate the numerator and denominator of each capital ratio during any transition period; and a reconciliation of regulatory capital elements as they relate to its balance sheet in any audited consolidated financial statements. Tables 1 through 10 to Sec. 3.63 set forth qualitative and/or quantitative requirements for scope of application, capital structure, capital adequacy, capital conservation buffer, credit risk, counterparty credit risk-related exposures, credit risk mitigation, securitizations, equities not subject to Subpart F (Market Risk requirements) of the rule, and interest rate risk for non- trading activities. Section 3.121 requires an institution subject to the advanced approaches risk-based capital requirements to adopt a written implementation plan to address how it will comply with the advanced capital adequacy framework's qualification requirements and also develop and maintain a comprehensive and sound planning and governance process to oversee the implementation efforts described in the plan. Section 3.122 further requires these institutions to: Develop processes for assessing capital adequacy in relation to an organization's risk profile; establish and maintain internal risk rating and segmentation systems for wholesale and retail risk exposures, including comprehensive risk parameter quantification processes and processes for annual reviews and analyses of reference data to determine their relevance; document their processes for identifying, measuring, monitoring, controlling, and internally reporting operational risk; verify the accurate and timely reporting of risk-based capital requirements; and monitor, validate, and refine their advanced systems. Section 3.123 sets forth ongoing qualification requirements that require an institution to notify the OCC of any material change to an advance system and to establish and submit to the OCC a plan for returning to compliance with the qualification requirements. Section 3.124 requires an institution to submit to the OCC, within 90 days of consummating a merger or acquisition, an implementation plan for using its advanced systems for the merged or acquired company. Section 3.132(b)(2)(iii)(A) addresses counterparty credit risk of repo-style transactions, eligible margin loans, and over-the-counter (OTC) derivative contracts, and internal estimates for haircuts. With the prior written approval of the OCC, an institution may calculate haircuts using its own internal estimates of the volatilities of market prices and foreign exchange rates. The section requires institutions to satisfy certain minimum quantitative standards in order to receive OCC approval to use its own internal estimates. Section 3.132(b)(3) covers counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts, and simple Value-at-Risk (VaR) methodology. With the prior written approval of the OCC, an institution may estimate exposure at default (EAD) for a netting set using a VaR model that meets certain requirements. Section 3.132(d)(1) permits the use of the internal models methodology (IMM) to determine EAD for counterparty credit risk for derivative contracts with prior written approval from the OCC. Section 3.132(d)(1)(iii) permits the use of the internal models methodology for derivative contracts, eligible margin loans, and repo-style transactions subject to a qualifying cross-product netting agreement with prior written approval from the OCC. Section 3.132(d)(2)(iv) addresses counterparty credit risk of repo- style transactions, eligible margin loans, and OTC derivative contracts, and risk-weighted assets using IMM. Under the IMM, an institution uses an internal model to estimate the expected exposure (EE) for a netting set and then calculates EAD based on that EE. An institution must calculate two EEs and two EADs (one stressed and one unstressed) for each netting as outlined in this section. An institution may use a conservative measure of EAD subject to prior written approval of the OCC. Section 3.132(d)(3)(vi) addresses counterparty credit risk of repo- style transactions, eligible margin loans, and OTC derivative contracts. To obtain OCC approval to calculate the distributions of exposures upon which the EAD calculation is based, an institution must demonstrate to the satisfaction of the OCC that it has been using for at least one year an internal model that broadly meets the minimum standards, with which the institution [[Page 9960]] must maintain compliance. The institution must have procedures to identify, monitor, and control wrong-way risk throughout the life of an exposure and they must include stress testing and scenario analysis. Section 3.132(d)(3)(viii) addresses counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts. When estimating model parameters based on a stress period, an institution must use at least three years of historical data that include a period of stress to the credit default spreads of the institution's counterparties. The institution must review the data set and update the data as necessary, particularly for any material changes in its counterparties. The institution must demonstrate at least quarterly that the stress period coincides with increased credit default swap (CDS) or other credit spreads of the institution's counterparties. The institution must have procedures to evaluate the effectiveness of its stress calibration that include a process for using benchmark portfolios that are vulnerable to the same risk factors as the institution's portfolio. The OCC may require the institution to modify its stress calibration to better reflect actual historic losses of the portfolio. Section 3.132(d)(3)(ix), regarding counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts, requires that an institution must subject its internal model to an initial validation and annual model review process that includes consideration of whether the inputs and risk factors, as well as the model outputs, are appropriate. This section requires institutions to have a backtesting program for its model that includes a process by which unacceptable model performance will be determined and remedied. Section 3.132(d)(3)(x), regarding counterparty credit risk of repo- style transactions, eligible margin loans, and OTC derivative contracts, provides that an institution must have policies for the measurement, management, and control of collateral and margin amounts. Section 3.132(d)(3)(xi), concerning counterparty credit risk of repo-style transactions, eligible margin loans, and OTC derivative contracts, states that an institution must have a comprehensive stress testing program that captures all credit exposures to counterparties, and incorporates stress testing of principal market risk factors and creditworthiness of counterparties. Section 3.141 relates to operational criteria for recognizing the transfer of risk in connection with a securitization. Section 3.141(b)(3) requires an institution to obtain a well-reasoned legal opinion confirming the enforceability of the credit risk mitigant in all relevant jurisdictions in order to recognize the transference of risk in connection with a synthetic securitization. An institution must demonstrate its comprehensive understanding of a securitization exposure under Sec. 3.141(c)(2) for each securitization exposure by conducting an analysis of the risk characteristics of a securitization exposure prior to acquiring the exposure and document such analysis within three business days after acquiring the exposure. Sections 3.141(c)(2)(i) and (ii) require that institutions, on an on-going basis (at least quarterly), evaluate, review, and update as appropriate the analysis required under this section for each securitization exposure. Section 3.142(h)(2), regarding the capital treatment for securitization exposures, requires an institution to disclose publicly if it has provided implicit support to a securitization and the regulatory capital impact to the institution of providing such implicit support. Section 3.153(b), outlining the Internal Models Approach (IMA) for calculating risk-weighted assets for equity exposures, specifies that an institution must receive prior written approval from the OCC before it can use IMA. Section 3.172 specifies that each advanced approaches institution that has completed the parallel run process must publicly disclose its total and tier 1 risk-based capital ratios and their components. Section 3.173 addresses disclosures by an advanced approaches institution that is not a consolidated subsidiary of an equity that is subject to the Basel III disclosure requirements. An advanced approaches institution that is subject to the disclosure requirements must make the disclosures described in Tables 1 through 12. The institution must make these disclosures publicly available for each of the last three years (that is, twelve quarters) or such shorter period beginning on the effective date of this subpart E. The tables to Sec. 3.173 require qualitative and quantitative public disclosures for capital structure, capital adequacy, capital conservation and countercyclical buffers, credit risk, securitization, operational risk, equities not subject to the market risk capital requirements, and interest rate risk for non-trading activities. Burden Estimates: Estimated Number of Respondents: 1,365. Estimated Total Annual Burden Hours: 240,711. 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 collections of information are necessary for the proper performance of the OCC's functions, including whether the information has practical utility; (b) The accuracy of the OCC's estimates of the burden of the information collections, including the validity of the methodology and assumptions used; (c) Ways to enhance the quality, utility, and clarity of the information to be collected; and (d) Ways to minimize the burden of information collections on respondents, including through the use of automated collection techniques or other forms of information technology. Dated: February 1, 2017. Karen Solomon, Deputy Chief Counsel, Office of the Comptroller of the Currency. [FR Doc. 2017-02583 Filed 2-7-17; 8:45 am] BILLING CODE 4810-33-P
![9958 Federal Register / Vol. 82, No. 25 / Wednesday, February 8, 2017 / Notices
criteria given in § 388.4 of MARAD’s DATES: Comments must be submitted on Title: Capital Adequacy Standards.
regulations at 46 CFR part 388. or before April 10, 2017. OMB Control No.: 1557–0318.
ADDRESSES: Because paper mail in the Frequency of Response: On occasion.
Privacy Act Affected Public: Business or other for-
Washington, DC area and at the OCC is
In accordance with 5 U.S.C. 553(c), subject to delay, commenters are profit.
DOT/MARAD solicits comments from encouraged to submit comments by Section-by-Section-Analysis
the public to better inform its email, if possible. Comments may be
rulemaking process. DOT/MARAD posts sent to: Legislative and Regulatory Twelve CFR part 3 sets forth the
these comments, without edit, to Activities Division, Office of the OCC’s minimum capital requirements
www.regulations.gov, as described in Comptroller of the Currency, Attention: and overall capital adequacy standards
the system of records notice, DOT/ALL– 1557–0318, 400 7th Street SW., Suite for national banks and Federal savings
14 FDMS, accessible through 3E–218, mail stop 9W–11, Washington, associations (institutions).
www.dot.gov/privacy. In order to Section 3.3(c) allows for the
DC 20219. In addition, comments may
facilitate comment tracking and recognition of netting across multiple
be sent by fax to (571) 465–4326 or by
response, we encourage commenters to types of transactions or agreements if an
electronic mail to prainfo@occ.treas.gov.
provide their name, or the name of their institution obtains a written legal
You may personally inspect and
organization; however, submission of opinion verifying the validity and
photocopy comments at the OCC, 400
names is completely optional. Whether enforceability of the agreement under
7th Street SW., Washington, DC 20219.
or not commenters identify themselves, certain circumstances and maintains
For security reasons, the OCC requires
all timely comments will be fully sufficient written documentation of this
that visitors make an appointment to
considered. If you wish to provide legal review.
inspect comments. You may do so by Section 3.22(h)(2)(iii)(A) permits the
comments containing proprietary or calling (202) 649–6700 or, for persons
confidential information, please contact use of a conservative estimate of the
who are deaf or hard of hearing, TTY, amount of an institution’s investment in
the agency for alternate submission (202) 649–5597. Upon arrival, visitors
instructions. its own capital or the capital of
will be required to present valid unconsolidated financial institutions
Authority: 49 CFR 1.93(a), 46 U.S.C. government-issued photo identification held through the index security with
55103, 46 U.S.C. 12121 and submit to security screening in prior approval by the OCC.
By Order of the Maritime Administrator, order to inspect and photocopy Section 3.35(b)(3)(i)(A) requires, for a
comments. cleared transaction with a qualified
Dated: February 2, 2017.
All comments received, including central counterparty (QCCP), that a
T. Mitchell Hudson, Jr., attachments and other supporting
Secretary, Maritime Administration. client bank apply a risk weight of two
materials, are part of the public record percent, provided that the collateral
[FR Doc. 2017–02500 Filed 2–7–17; 8:45 am] and subject to public disclosure. Do not posted by the bank to the QCCP is
BILLING CODE 4910–81–P include any information in your subject to certain arrangements and the
comment or supporting materials that client bank has conducted a sufficient
you consider confidential or legal review (and maintains sufficient
DEPARTMENT OF THE TREASURY inappropriate for public disclosure. written documentation of the legal
FOR FURTHER INFORMATION CONTACT: review) to conclude with a well-
Office of the Comptroller of the Shaquita Merritt, OCC Clearance founded basis that the arrangements, in
Currency Officer, (202) 649–5490 or, for persons the event of a legal challenge, would be
who are deaf or hard of hearing, TTY, found to be legal, valid, binding, and
Agency Information Collection (202) 649–5597, Legislative and
Activities: Information Collection enforceable under the law of the
Regulatory Activities Division, Office of relevant jurisdictions.
Renewal; Comment Request; Capital the Comptroller of the Currency, 400 7th
Adequacy Standards Section 3.37(c)(4)(i)(E), regarding
Street SW., Washington, DC 20219. collateralized transactions, requires that
AGENCY: Office of the Comptroller of the SUPPLEMENTARY INFORMATION: Under the an institution have policies and
Currency (OCC), Treasury. PRA (44 U.S.C. 3501–3520), Federal procedures in place describing how it
ACTION: Notice and request for comment. agencies must obtain approval from determines the period of significant
OMB for each collection of information financial stress used to calculate its own
SUMMARY: The OCC, as part of its that they conduct or sponsor. internal estimates for haircuts and be
continuing effort to reduce paperwork ‘‘Collection of information’’ is defined able to provide empirical support for the
and respondent burden, invites the in 44 U.S.C. 3502(3) and 5 CFR period used.
general public and other Federal 1320.3(c) to include agency requests or Section 3.41(b)(3) which sets forth
agencies to take this opportunity to requirements that members of the public operational requirements for
comment on a continuing information submit reports, keep records, or provide securitization exposures, allows an
collection as required by the Paperwork information to a third party. Section institution to recognize for risk-based
Reduction Act of 1995 (PRA). 3506(c)(2)(A) of title 44 requires Federal capital purposes, in the case of synthetic
In accordance with the requirements agencies to provide a 60-day notice in securitizations, a credit risk mitigant to
of the PRA, the OCC may not conduct the Federal Register concerning each hedge underlying exposures if certain
or sponsor, and the respondent is not proposed collection of information, conditions are met, including a
asabaliauskas on DSK3SPTVN1PROD with NOTICES
required to respond to, an information including each proposed extension of an requirement that the institution obtain a
collection unless it displays a currently existing collection of information, well-reasoned opinion from legal
valid Office of Management and Budget before submitting the collection to OMB counsel that confirms the enforceability
(OMB) control number. for approval. To comply with this of the credit risk mitigant in all relevant
The OCC is soliciting comment requirement, the OCC is publishing jurisdictions.
concerning renewal of its information notice of the renewal of the collection Section 3.41(c)(2)(i) requires that an
collection titled ‘‘Capital Adequacy of information set forth in this institution demonstrate its
Standards.’’ document. comprehensive understanding of a
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![9960 Federal Register / Vol. 82, No. 25 / Wednesday, February 8, 2017 / Notices
must maintain compliance. The institution to obtain a well-reasoned Estimated Total Annual Burden
institution must have procedures to legal opinion confirming the Hours: 240,711.
identify, monitor, and control wrong- enforceability of the credit risk mitigant Comments submitted in response to
way risk throughout the life of an in all relevant jurisdictions in order to this notice will be summarized and
exposure and they must include stress recognize the transference of risk in included in the request for OMB
testing and scenario analysis. connection with a synthetic approval. All comments will become a
Section 3.132(d)(3)(viii) addresses securitization. An institution must matter of public record. Comments are
counterparty credit risk of repo-style demonstrate its comprehensive invited on:
transactions, eligible margin loans, and understanding of a securitization (a) Whether the collections of
OTC derivative contracts. When exposure under § 3.141(c)(2) for each information are necessary for the proper
estimating model parameters based on a securitization exposure by conducting performance of the OCC’s functions,
stress period, an institution must use at an analysis of the risk characteristics of including whether the information has
least three years of historical data that a securitization exposure prior to practical utility;
include a period of stress to the credit acquiring the exposure and document (b) The accuracy of the OCC’s
default spreads of the institution’s such analysis within three business estimates of the burden of the
counterparties. The institution must days after acquiring the exposure. information collections, including the
review the data set and update the data Sections 3.141(c)(2)(i) and (ii) require validity of the methodology and
as necessary, particularly for any that institutions, on an on-going basis assumptions used;
material changes in its counterparties. (at least quarterly), evaluate, review, and (c) Ways to enhance the quality,
The institution must demonstrate at update as appropriate the analysis utility, and clarity of the information to
least quarterly that the stress period required under this section for each be collected; and
coincides with increased credit default securitization exposure. (d) Ways to minimize the burden of
swap (CDS) or other credit spreads of Section 3.142(h)(2), regarding the information collections on respondents,
the institution’s counterparties. The capital treatment for securitization including through the use of automated
institution must have procedures to exposures, requires an institution to collection techniques or other forms of
evaluate the effectiveness of its stress disclose publicly if it has provided information technology.
calibration that include a process for implicit support to a securitization and
using benchmark portfolios that are the regulatory capital impact to the Dated: February 1, 2017.
vulnerable to the same risk factors as the institution of providing such implicit Karen Solomon,
institution’s portfolio. The OCC may support. Deputy Chief Counsel, Office of the
require the institution to modify its Section 3.153(b), outlining the Comptroller of the Currency.
stress calibration to better reflect actual Internal Models Approach (IMA) for [FR Doc. 2017–02583 Filed 2–7–17; 8:45 am]
historic losses of the portfolio. calculating risk-weighted assets for BILLING CODE 4810–33–P
Section 3.132(d)(3)(ix), regarding equity exposures, specifies that an
counterparty credit risk of repo-style institution must receive prior written
transactions, eligible margin loans, and approval from the OCC before it can use DEPARTMENT OF THE TREASURY
OTC derivative contracts, requires that IMA.
an institution must subject its internal Section 3.172 specifies that each Office of Foreign Assets Control
model to an initial validation and advanced approaches institution that
annual model review process that has completed the parallel run process Sanctions Actions Pursuant to
includes consideration of whether the must publicly disclose its total and tier Executive Orders 13382
inputs and risk factors, as well as the 1 risk-based capital ratios and their AGENCY: Office of Foreign Assets
model outputs, are appropriate. This components. Control, Treasury.
section requires institutions to have a Section 3.173 addresses disclosures ACTION: Notice.
backtesting program for its model that by an advanced approaches institution
includes a process by which that is not a consolidated subsidiary of SUMMARY: The U.S. Department of the
unacceptable model performance will an equity that is subject to the Basel III Treasury’s Office of Foreign Assets
be determined and remedied. disclosure requirements. An advanced Control (OFAC) is publishing the names
Section 3.132(d)(3)(x), regarding approaches institution that is subject to of nine individuals and eight entities
counterparty credit risk of repo-style the disclosure requirements must make whose property and interests in
transactions, eligible margin loans, and the disclosures described in Tables 1 property are blocked pursuant to
OTC derivative contracts, provides that through 12. The institution must make Executive Order (E.O.) 13382.
an institution must have policies for the these disclosures publicly available for DATES: OFAC’s actions described in this
measurement, management, and control each of the last three years (that is, notice were effective on February 3,
of collateral and margin amounts. twelve quarters) or such shorter period 2017, as further specified below.
Section 3.132(d)(3)(xi), concerning beginning on the effective date of this
counterparty credit risk of repo-style FOR FURTHER INFORMATION CONTACT: The
subpart E.
transactions, eligible margin loans, and The tables to § 3.173 require Department of the Treasury’s Office of
OTC derivative contracts, states that an qualitative and quantitative public Foreign Assets Control: Assistant
institution must have a comprehensive disclosures for capital structure, capital Director for Licensing, tel.: 202–622–
stress testing program that captures all 2480, Assistant Director for Regulatory
asabaliauskas on DSK3SPTVN1PROD with NOTICES
adequacy, capital conservation and
credit exposures to counterparties, and countercyclical buffers, credit risk, Affairs, tel.: 202–622–4855, Assistant
incorporates stress testing of principal securitization, operational risk, equities Director for Sanctions Compliance &
market risk factors and creditworthiness not subject to the market risk capital Evaluation, tel.: 202–622–2490; or the
of counterparties. requirements, and interest rate risk for Department of the Treasury’s Office of
Section 3.141 relates to operational non-trading activities. the Chief Counsel (Foreign Assets
criteria for recognizing the transfer of Burden Estimates: Control), Office of the General Counsel,
risk in connection with a securitization. Estimated Number of Respondents: tel.: 202–622–2410.
Section 3.141(b)(3) requires an 1,365. SUPPLEMENTARY INFORMATION:
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Document Created: 2017-02-08 02:59:08
Document Modified: 2017-02-08 02:59:08
| 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 submitted on or before April 10, 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 Street SW., Washington, DC 20219. | |
| FR Citation | 82 FR 9958 |
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