83 FR 56148 - Agency Information Collection Activities: Information Collection Renewal; Comment Request; Market Risk

DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency

Federal Register Volume 83, Issue 218 (November 9, 2018)

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

[Federal Register Volume 83, Number 218 (Friday, November 9, 2018)]
[Notices]
[Pages 56148-56150]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2018-24494]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Information Collection 
Renewal; Comment Request; Market Risk

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

ACTION:  Notice and request for comment.

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

DATES: You should submit written comments by: January 8, 2019.

ADDRESSES: Commenters are encouraged to submit comments by email, if 
possible. You may submit comments by any of the following methods:
     Email: [email protected].
     Mail: Legislative and Regulatory Activities Division, 
Office of the Comptroller of the Currency, Attention: 1557-0247, 400 
7th Street SW, Suite 3E-218, Washington, DC 20219.
     Hand Delivery/Courier: 400 7th Street SW, Suite 3E-218, 
Washington, DC 20219.
     Fax: (571) 465-4326.
    Instructions: You must include ``OCC'' as the agency name and 
``1557-00247'' in your comment. In general, the OCC will publish them 
on www.reginfo.gov without change, including any business or personal 
information that you provide, such as name and address information, 
email addresses, or phone numbers. 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.
    You may review comments and other related materials that pertain to 
this information collection beginning on the

[[Page 56149]]

date of publication of the second notice for this collection \1\ by any 
of the following methods:
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    \1\ Following the close of the 60-Day comment period for this 
notice, the OCC will publish a notice for 30 days of comment for 
this collection.
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     Viewing Comments Electronically: Go to www.reginfo.gov. 
Click on the ``Information Collection Review'' tab. Underneath the 
``Currently under Review'' section heading, from the drop-down menu, 
select ``Department of Treasury'' and then click ``submit''. This 
information collection can be located by searching by OMB control 
number ``1557-0247'' or ``Market Risk.'' Upon finding the appropriate 
information collection, click on the related ``ICR Reference Number.'' 
On the next screen, select ``View Supporting Statement and Other 
Documents'' and then click on the link to any comment listed at the 
bottom of the screen.
     For assistance in navigating www.reginfo.gov, please 
contact the Regulatory Information Service Center at (202) 482-7340.
     Viewing Comments Personally: You may personally inspect 
comments at the OCC, 400 7th Street, SW, Washington, DC. 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 hearing impaired, 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 
comments.

FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, Clearance Officer, 
(202) 649-5490, for persons who are deaf or hearing impaired, TTY, 
(202) 649-5597, Chief Counsel's Office, Office of the Comptroller of 
the Currency, 400 7th Street SW, Suite 3E-218, Washington, DC 20219.

SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501-3520), federal 
agencies must obtain approval from the 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 renewal 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: Market Risk.
    OMB Control No.: 1557-0247.
    Description: The Office of the Comptroller of the Currency's (OCC) 
market risk capital rules (12 CFR part 3, subpart F) apply to national 
banks and federal savings associations with significant exposure to 
market risk, which include those national banks and federal savings 
associations with aggregate trading assets and trading liabilities (as 
reported in the national bank's or federal savings association's most 
recent Call Report) equal to 10 percent or more of quarter-end total 
assets or $1 billion or more. The rules capture positions for which the 
market risk capital rules are appropriate; reduce procyclicality in 
market risk capital requirements; enhance the risk sensitivity of the 
OCC's capital requirements by measuring risks that are not adequately 
captured under the requirements for credit risk; and increase 
transparency through enhanced disclosures.
    The information collection requirements are located at 12 CFR 3.203 
through 3.212. The rules enhance risk sensitivity and include 
requirements for the public disclosure of certain qualitative and 
quantitative information about the market risk of national banks and 
federal savings associations. The collection of information is 
necessary to ensure capital adequacy appropriate for the level of 
market risk.
    Section 3.203 sets forth the requirements for applying the market 
risk framework. Section 3.203(a)(1) requires national banks and federal 
savings associations to have clearly defined policies and procedures 
for determining which trading assets and trading liabilities are 
trading positions and specifies the factors a national bank or federal 
savings association must take into account in drafting those policies 
and procedures. Section 3.203(a)(2) requires national banks and federal 
savings associations to have clearly defined trading and hedging 
strategies for trading positions that are approved by senior management 
and specifies what those strategies must articulate. Section 
3.203(b)(1) requires national banks and federal savings associations to 
have clearly defined policies and procedures for actively managing all 
covered positions and specifies the minimum requirements for those 
policies and procedures. Sections 3.203(c)(4) through 3.203(c)(10) 
require the review, at least annually, of internal models and specify 
certain requirements for those models. Section 3.203(d)(4) requires the 
internal audit group of a national bank or federal savings association 
to report, at least annually, to the board of directors on the 
effectiveness of controls supporting the market risk measurement 
systems.
    Section 3.204(b) requires national banks and federal savings 
associations to conduct quarterly backtesting. Section 3.205(a)(5) 
requires institutions to demonstrate to the OCC the appropriateness of 
proxies used to capture risks within value-at-risk models. Section 
3.205(c) requires institutions to develop, retain, and make available 
to the OCC value-at-risk and profit and loss information on sub-
portfolios for two years. Section 3.206(b)(3) requires national banks 
and federal savings associations to have policies and procedures that 
describe how they determine the period of significant financial stress 
used to calculate the institution's stressed value-at-risk models and 
to obtain prior OCC approval for any material changes to these policies 
and procedures.
    Section 3.207(b)(1) details requirements applicable to a national 
bank or federal savings association when the national bank or federal 
savings association uses internal models to measure the specific risk 
of certain covered positions. Section 3.208 requires national banks and 
federal savings associations to obtain prior written OCC approval for 
incremental risk modeling. Section 3.209(a) requires prior OCC approval 
for the use of a comprehensive risk measure. Section 3.209(c)(2) 
requires national banks and federal savings associations to retain and 
report the results of supervisory stress testing. Section 
3.210(f)(2)(i) requires national banks and federal savings associations 
to document an internal analysis of the risk characteristics of each 
securitization position in order to demonstrate an understanding of the 
position. Section 3.212 requires quarterly quantitative disclosures, 
annual qualitative disclosures, and a formal disclosure policy approved 
by the board of directors that addresses the approach for determining 
the market risk disclosures it makes.
    Type of Review: Extension of a currently approved collection. 
Affected Public: Individuals; Businesses or other for-profit.
    Number of Respondents: 12.
    Estimated Burden per Respondent: 1,964 hours.
    Total Estimated Annual Burden: 25,568 hours.
    Comments submitted in response to this notice will be summarized,

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included in the request for OMB approval, and 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 5, 2018.
Theodore J. Dowd,
Deputy Chief Counsel, Comptroller of the Currency.
[FR Doc. 2018-24494 Filed 11-8-18; 8:45 am]
 BILLING CODE 4810-33-P