Notice2022-05037
Agency Information Collection Activities: Information Collection Renewal; Comment Request; Market Risk
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
March 10, 2022
Issuing agencies
Treasury DepartmentComptroller of the Currency
Abstract
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."
Full Text
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<title>Federal Register, Volume 87 Issue 47 (Thursday, March 10, 2022)</title>
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[Federal Register Volume 87, Number 47 (Thursday, March 10, 2022)]
[Notices]
[Pages 13790-13792]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-05037]
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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: May 9, 2022.
ADDRESSES: Commenters are encouraged to submit comments by email, if
possible. You may submit comments by any of the following methods:
<bullet> Email: <a href="/cdn-cgi/l/email-protection#671715060e0901082708040449131502061449000811"><span class="__cf_email__" data-cfemail="7c0c0e1d15121a133c131f1f52080e191d0f521b130a">[email protected]</span></a>.
<bullet> Mail: Chief Counsel's Office, Attention: Comment
Processing, Office of the Comptroller of the Currency, Attention: 1557-
0247, 400 7th Street SW, Suite 3E-218, Washington, DC 20219.
<bullet> Hand Delivery/Courier: 400 7th Street SW, Suite 3E-218,
Washington, DC 20219.
<bullet> Fax: (571) 465-4326.
Instructions: You must include ``OCC'' as the agency name and
``1557-0247'' in your comment. In general, the OCC will publish
comments on <a href="http://www.reginfo.gov">www.reginfo.gov</a> without change, including any business or
personal information provided, 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.
Following the close of this notice's 60-day comment period, the OCC
will publish a second notice with a 30-day
[[Page 13791]]
comment period. You may review comments and other related materials
that pertain to this information collection beginning on the date of
publication of the second notice for this collection by the method set
forth in the next bullet.
<bullet> Viewing Comments Electronically: Go to <a href="http://www.reginfo.gov">www.reginfo.gov</a>.
Hover over the ``Information Collection Review'' tab and click on
``Information Collection Review'' dropdown. 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.
<bullet> For assistance in navigating <a href="http://www.reginfo.gov">www.reginfo.gov</a>, please
contact the Regulatory Information Service Center at (202) 482-7340.
FOR FURTHER INFORMATION CONTACT: Shaquita Merritt, Clearance Officer,
(202) 649-5490, Chief Counsel's Office, Office of the Comptroller of
the Currency, 400 7th Street SW, Suite 3E-218, Washington, DC 20219. If
you are deaf, hard of hearing, or have a speech disability, please dial
7-1-1 to access telecommunications relay services.
SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501 et seq.),
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 generally 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 rule (12 CFR part 3, subpart F) applies 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 rule captures positions for which the
market risk capital rule is appropriate; reduces procyclicality in
market risk capital requirements; enhances the risk sensitivity of the
OCC's capital requirements by measuring risks that are not adequately
captured under the requirements for credit risk; and increases
transparency through enhanced disclosures.
The information collection requirements are located at 12 CFR 3.203
through 3.212. The rule enhances risk sensitivity and includes
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. Section 3.203(c)(1) requires national banks
and Federal savings associations to obtain prior written approval of
the OCC before using any internal model to calculate their risk-based
capital requirement under the market risk capital rule. 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
any 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 OCC approval for
incremental risk modeling of portfolios of equity positions and
describes the requirements for incremental risk modeling. Section 3.209
requires prior OCC approval for the use of a comprehensive risk measure
and describes applicable requirements. Section 3.209(c)(2) requires
national banks and Federal savings associations to retain and make
available to the OCC the results of supervisory stress testing. Section
3.210(f) requires national banks and Federal savings associations to
document an internal analysis of the risk characteristics of each
securitization position in order to demonstrate to the satisfaction of
the OCC 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: 19.
Estimated Burden per Respondent: 1,964 hours.
Total Estimated Annual Burden: 37,316 hours.
[[Page 13792]]
Comments submitted in response to this notice will be summarized,
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.
Theodore J. Dowd,
Deputy Chief Counsel, Comptroller of the Currency.
[FR Doc. 2022-05037 Filed 3-9-22; 8:45 am]
BILLING CODE 4810-33-P
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