2010-4203. Basel Comprehensive Quantitative Impact Study

AGENCY:

Office of Thrift Supervision (OTS), Treasury.

ACTION:

Notice and request for comment.

SUMMARY:

The Department of the Treasury, as part of its continuing effort to reduce paperwork and respondent burden, invites the general public and other Federal agencies to comment on proposed and continuing information collections, as required by the Paperwork Reduction Act of 1995, 44 U.S.C. 3507. The Office of Thrift Supervision within the Department of the Treasury will submit the proposed information collection requirement described below to the Office of Management and Budget (OMB) for review, as required by the Paperwork Reduction Act. Today, OTS is soliciting public comments on its proposal to extend this information collection.

DATES:

Submit written comments on or before May 3, 2010.

ADDRESSES:

Send comments, referring to the collection by title of the proposal or by OMB approval number, to Information Collection Comments, Chief Counsel's Office, Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552; send a facsimile transmission to [phone]; or send an e-mail to [e-mail]. OTS will post comments and the related index on the OTS Internet Site at http://www.ots.treas.gov. In addition, interested persons may inspect comments at the Public Reading Room, 1700 G Street, NW., by appointment. To make an appointment, call [phone], send an e-mail to [e-mail], or send a facsimile transmission to [phone].

FOR FURTHER INFORMATION CONTACT:

You can request additional information about this proposed information collection from Roberta M. Renz [phone], Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552.

SUPPLEMENTARY INFORMATION:

OTS may not conduct or sponsor an information collection, and respondents are not required to respond to an information collection, unless the information collection displays a currently valid OMB control number. As part of the approval process, we invite comments on the following information collection.

Comments should address one or more of the following points:

a. Whether the proposed collection of information is necessary for the proper performance of the functions of OTS;

b. The accuracy of OTS's estimate of the burden of the proposed information collection;

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

d. Ways to minimize the burden of the information collection on respondents, including through the use of information technology.

We will summarize the comments that we receive and include them in the OTS request for OMB approval. All comments will become a matter of public record. In this notice, OTS is soliciting comments concerning the following information collection.

Title of Proposal: Basel Comprehensive Quantitative Impact Study.

OMB Number: 1550-0NEW.

Form Numbers: N/A.

Regulation requirement: 12 CFR Part 567.

Description: The International Convergence of Capital Measurement and Capital Standards: A Revised Framework, also known as the Basel II Capital Accord, sets out a general international capital framework for financial institutions. The Basel II Capital Accord was adopted under the auspices of the Basel Committee on Banking Supervision ^[1] (Basel Committee), and was implemented into domestic regulations in the United States by the Federal financial agencies on December 7, 2007 (72 FR 69288). In an effort to refine the Basel II Capital Accord, the Basel Committee will conduct a quantitative impact study (QIS) to assess the impact of the proposed revisions that were published by the Basel Committee on December 17, 2009.^[2] As part of this effort, the OTS, in coordination with the other Federal financial agencies, is proposing to collect data from national financial institutions with respect to the following subjects:

■ Revisions to the Basel II market risk framework ^[3] and guidelines for computing capital for incremental risk in the trading book,^[4] including the incremental risk capital charge; the comprehensive risk measure for correlation trading portfolios; the new rules for securitization exposures in the trading book; and the revised capital charges for certain equity exposures subject to the standardized measurement method for market risk.

■ Enhancements to the Basel II framework ^[5] including the revised risk weights for re-securitizations held in the banking book.

■ Enhancements to strengthen the resilience of the financial institution sector ^[6] including the proposed changes to the definition of capital; the proposed introduction of a leverage ratio; and the proposed changes to the treatment of counterparty credit risk.

■ Liquidity enhancements referring to the international framework for liquidity risk measurement, standards and monitoring.^[7]

■ Operational risk and countercyclical tools.

The OTS intends to collect data for the QIS from financial institutions subject to the Basel II Capital Framework ^[8] and those subject to the current risk-based capital guidelines (Basel I).^[9] Unless otherwise noted, all data would be reported on a consolidated basis. Ideally, financial institutions should include all their assets in this information collection. However, due to data limitations, inclusion of some assets (for example, the portfolio of a minor subsidiary) may not be feasible. Exclusion of such assets is acceptable, as long as the remaining assets are representative of the financial institution as a whole.

Type of Review: New collection.

Affected Public: Businesses or other for-profit.

Estimated Number of Respondents: 5.

Estimated Burden Hours per Response: 117.

Estimated Frequency of Response: On occasion.

Estimated Total Burden: 585 hours.

Dated: February 24, 2010.

Ira L. Mills,

Paperwork Clearance Officer, Office of Chief Counsel, Office of Thrift Supervision.

Footnotes

1.  The Basel Committee on Banking Supervision is a committee of banking supervisory authorities, which was established by the central bank Governors of the Group of Ten countries in 1975. It consists of senior representatives of bank supervisory authorities and central banks from Argentina, Australia, Belgium, Brazil, Canada, China, France, Germany, Hong Kong SAR, India, Indonesia, Italy, Japan, Korea, Luxembourg, Mexico, the Netherlands, Russia, Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Turkey, the United Kingdom and the United States. It usually meets at the Bank for International Settlements (BIS) in Basel, Switzerland, where its permanent Secretariat is located.

2.  Basel Committee on Banking Supervision, Strengthening the resilience of the banking sector, consultative document, December 17, 2009.

3.  Basel Committee on Banking Supervision, Revisions to the Basel II market risk framework, July 2009.

4.  Basel Committee on Banking Supervision, Guidelines for computing capital for incremental risk in the trading book, July 2009.

5.  Basel Committee on Banking Supervision, Enhancements to the Basel II framework, July 2009.

6.  See footnote 2.

7.  Basel Committee on Banking and Supervision, International Framework for liquidity risk measurement, standards and monitoring, consultative document, December 17, 2009.

8.  See 12 CFR Part 3, Appendix C.

9.  See 12 CFR Part 3, Appendix A.