Proposed Agency Information Collection Activities; Comment Request

AGENCY:

Board of Governors of the Federal Reserve System.

ACTION:

Notice, request for comment.

SUMMARY:

The Board of Governors of the Federal Reserve System (Board) invites comment on a proposal to revise, without extension, Capital Assessments and Stress Testing (FR Y-14A/Q/M; OMB No. 7100-0341).

DATES:

Comments must be submitted on or before October 9, 2018.

ADDRESSES:

You may submit comments, identified by FR Y-14A, FR Y-14Q, or FR Y-14M, by any of the following methods:

• Agency website: http://www.federalreserve.gov. Follow the instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx .
• Email: regs.comments@federalreserve.gov. Include OMB number in the subject line of the message.
• FAX: (202) 452-3819 or (202) 452-3102.
• Mail: Ann E. Misback, Secretary, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551.

All public comments are available from the Board's website at http://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted, unless modified for technical reasons. Accordingly, your comments will not be edited to remove any identifying or contact information. Public comments may also be viewed electronically or in paper form in Room 3515, 1801 K Street NW (between 18th and 19th Streets NW), Washington, DC 20006 between 9:00 a.m. and 5:00 p.m. on weekdays. For security reasons, the Board requires that visitors make an appointment to inspect comments. You may do so by calling (202) 452-3684. Upon arrival, visitors will be required to present valid government-issued photo identification and to submit to security screening in order to inspect and photocopy comments.

Additionally, commenters may send a copy of their comments to the OMB Desk Officer—Shagufta Ahmed—Office of Information and Regulatory Affairs, Office of Management and Budget, New Executive Office Building, Room 10235, 725 17th Street NW, Washington, DC 20503 or by fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT:

A copy of the PRA OMB submission, including the proposed reporting form and instructions, supporting statement, and other documentation will be placed into OMB's public docket files, if approved. These documents will also be made available on the Federal Reserve Board's public website at: http://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested from the agency clearance officer, whose name appears below.

Federal Reserve Board Clearance Officer—Nuha Elmaghrabi—Office of the Chief Data Officer, Board of Governors of the Federal Reserve System, Washington, DC 20551, (202) 452-3829. Telecommunications Device for the Deaf (TDD) users may contact (202) 263-4869, Board of Governors of the Federal Reserve System, Washington, DC 20551.

SUPPLEMENTARY INFORMATION:

On June 15, 1984, the Office of Management and Budget (OMB) delegated to the Board authority under the Paperwork Reduction Act (PRA) to approve and assign OMB control numbers to collection of information requests and requirements conducted or sponsored by the Board. In exercising this delegated authority, the Board is directed to take every reasonable step to solicit comment. In determining whether to approve a collection of information, the Board will consider all comments received from the public and other agencies.

Request for Comment on Information Collection Proposal

The Board invites public comment on the following information collection, which is being reviewed under authority delegated by the OMB under the PRA. Comments are invited on the following:

a. Whether the proposed collection of information is necessary for the proper performance of the Federal Reserve's functions; including whether the information has practical utility;

b. The accuracy of the Federal Reserve's estimate of the burden of the proposed information collection, including the validity of the methodology and assumptions used;

c. Ways to enhance the quality, utility, and clarity of the information to be collected;

d. Ways to minimize the burden of information collection on respondents, including through the use of automated collection techniques or other forms of information technology; and

e. Estimates of capital or startup costs and costs of operation, maintenance, and purchase of services to provide information.

At the end of the comment period, the comments and recommendations received will be analyzed to determine the extent to which the Federal Reserve should modify the proposal.

Proposal To Approve Under OMB Delegated Authority the Revision, Without Extension, of the Following Report

Report title: Capital Assessments and Stress Testing.

Agency form number: FR Y-14A/Q/M.

OMB control number: 7100-0341.

Frequency: Annually, semi-annually, quarterly, and monthly.

Respondents: The respondent panel consists of any top-tier bank holding company (BHC) that has $100 billion or more in total consolidated assets, as determined based on: (i) The average of the firm's total consolidated assets in the four most recent quarters as reported quarterly on the firm's FR Y-9C; or (ii) the average of the firm's total consolidated assets in the most recent consecutive quarters as reported quarterly on the firm's FR Y-9Cs, if the firm has not filed an FR Y-9C for each of the most recent four quarters. The respondent panel also consists of any U.S. intermediate holding company (IHC). Reporting is required as of the first day of the quarter immediately following the quarter in which the respondent meets this asset threshold, unless otherwise directed by the Board.

Number of respondents: 36.

Estimated annual reporting hours: FR Y-14A: Summary, 63,864 hours; Macro Scenario, 2,232 hours; Operational Risk, 648 hours; Regulatory Capital Instruments, 756 hours; Business Plan Changes, 576 hours; and Adjusted Capital Plan Submission, 500 hours. FR Y-14Q: Retail, 2,160 hours; Securities, 1,872 hours; Pre-Provision Net Revenue (PPNR), 102,385 hours; Wholesale, 21,744 hours; Trading, 92,448 hours; Regulatory Capital Transitions, 3,312 hours; Regulatory Capital Instruments, 7,776 hours; Operational risk, 7,200 hours; Mortgage Servicing Rights (MSR) Valuation, 1,380 hours; Supplemental, 576 hours; Retail Fair Value Option/Held for Sale (Retail FVO/HFS), 1,500 hours; Counterparty, 24,672 hours; and Balances, 2,304 hours. FR Y-14M: 1st Lien Mortgage, 210,528 hours; Home Equity, 173,376 hours; and Credit Card, 86,016 hours. FR Y-14 On-going Automation Revisions, 17,280 hours. FR Y-14 Attestation On-going Audit and Review, 33,280 hours.

Estimated average hours per response: FR Y-14A: Summary, 887 hours; Macro Scenario, 31 hours; Operational Risk, 18 hours; Regulatory Capital Instruments, 21 hours; Business Plan Changes, 16 hours; and Adjusted Capital Plan Submission, 100 hours. FR Y-14Q: Retail, 15 hours; Securities, 13 hours; PPNR, 711 hours; Wholesale, 151 hours; Trading, 1,926 hours; Regulatory Capital Transitions, 23 hours; Regulatory Capital Instruments, 54 hours; Operational Risk, 50 hours; MSR Valuation, 23 hours; Supplemental, 4 hours; Retail FVO/HFS, 15 hours; Counterparty, 514 hours; and Balances, 16 hours. FR Y-14M: 1st Lien Mortgage, 516 hours; Home Equity, 516 hours; and Credit Card, 512 hours. FR Y-14 On-going Automation Revisions, 480 hours. FR Y-14 Attestation On-going Audit and Review, 2,560 hours.

General description of report: These collections of information are applicable to top-tier BHCs with total consolidated assets of $100 billion or more and U.S. IHCs. This family of information collections is composed of the following three reports:

• The FR Y-14A collects quantitative projections of balance sheet, income, losses, and capital across a range of macroeconomic scenarios and qualitative information on methodologies used to develop internal projections of capital across scenarios either annually or semi-annually.
• The quarterly FR Y-14Q collects granular data on various asset classes, including loans, securities, and trading assets, and PPNR for the reporting period.
• The monthly FR Y-14M is comprised of three retail portfolio- and loan-level schedules, and one detailed address-matching schedule to supplement two of the portfolio and loan-level schedules.

The data collected through the FR Y-14A/Q/M reports provide the Board with the information and perspective needed to help ensure that large firms have strong, firm-wide risk measurement and management processes supporting their internal assessments of capital adequacy and that their capital resources are sufficient given their business focus, activities, and resulting risk exposures. The annual Comprehensive Capital Analysis and Review (CCAR) exercise complements other Board supervisory efforts aimed at enhancing the continued viability of large firms, including continuous monitoring of firms' planning and management of liquidity and funding resources, as well as regular assessments of credit, market and operational risks, and associated risk management practices. Information gathered in this data collection is also used in the supervision and regulation of these financial institutions. To fully evaluate the data submissions, the Board may conduct follow-up discussions with, or request responses to follow up questions from, respondents. Respondent firms are currently required to complete and submit up to 18 filings each year: two semi-annual FR Y-14A filings, four quarterly FR Y-14Q filings, and 12 monthly FR Y-14M filings. Compliance with the information collection is mandatory.

Proposed revisions: In December 2017, the Board approved modifications to the FR Y-14 series of reports and a notice was published in the Federal Register (December 15, 2017; 82 FR 59608). The proposal modified the FR Y-14Q, Schedule L (Counterparty) effective as of the March 31, 2018, report date. These changes included simplifying the ranking methodology required for reporting positions and combining the previously separate collections of counterparties as ranked by derivatives and securities financing transactions (SFTs), respectively. Following the finalization and adoption of these proposed changes, the Board became aware of unintended omissions from the report forms and instructions for the FR Y-14Q. The omitted items required respondents to report their total stressed net current exposure under the two supervisory stressed scenarios.

To rectify the unintended changes, the Board is proposing to revise sub-schedule L.5 (Derivatives and SFT Profile) on the FR Y-14Q by adding the mistakenly omitted items. This modification would allow continued operationalization of supervisory modeling, and would provide for total stressed net current exposure reporting under the two supervisory stressed scenarios.

With the addition of the total stressed net current exposure item, the instructions would be changed to modify the associated ranking methodologies for the yearly stressed/CCAR submission in sub-schedule L.5 to require the top 25 counterparties to be reported as ranked by the total stressed net current exposure. This modification would ensure that top counterparties are properly rank-ordered by the total stressed net current exposure to be added on sub-schedule L.5 in a manner that captures both derivative and securities financing transaction exposures.

The proposed revisions do not result in a change to the estimated burden for this series of reports, as the burden from the proposed revisions is already captured in the burden estimates associated with the FR Y-14Q report.