2013-19354. Proposed Agency Information Collection Activities; Comment Request

AGENCY:

Office of the Comptroller of the Currency (OCC), Treasury; Board of Governors of the Federal Reserve System (Board); and Federal Deposit Insurance Corporation (FDIC).

ACTION:

Joint notice and request for comment.

SUMMARY:

In accordance with the requirements of the Paperwork Reduction Act (PRA) of 1995 (44 U.S.C. chapter 35), the OCC, the Board, and the FDIC (the agencies) 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 agencies, under the auspices of the Federal Financial Institutions Examination Council (FFIEC), have approved the publication for public comment of proposed revisions to regulatory capital components and ratios portion of Schedule RC-R, Regulatory Capital, in the Consolidated Reports of Condition and Income (Call Report or FFIEC 031 and FFIEC 041) and to the Risk-Based Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101). The proposed revisions to the Call Report and the FFIEC 101 are consistent with the revised regulatory capital rules approved by the agencies during July 2013 (revised regulatory capital rules).^[1]

Institutions subject to the advanced approaches risk-based capital rules (advanced approaches banking organizations) that are not savings and loan holding companies would begin reporting on the proposed revised FFIEC 101 and, if applicable, proposed revised Call Report Schedule RC-R effective March 31, 2014. Advanced approaches banking organizations that are savings and loan holding companies and that are subject to the revised regulatory capital rules would begin reporting on the proposed revised FFIEC 101 effective March 31, 2015. All other institutions that are required to file the Call Report would begin reporting on proposed revised Call Report Schedule RC-R effective March 31, 2015.

At the end of the comment period, the comments and recommendations received will be analyzed to determine the extent to which the FFIEC and the agencies should modify the proposed reporting revisions prior to giving final approval. The agencies will then submit the proposed reporting revisions to OMB for review and approval.

In connection with the revised regulatory capital rules, published elsewhere in today's Federal Register, the Board proposes to make corresponding revisions to the Consolidated Financial Statements for Holding Companies (FR Y-9C) and to collect consolidated regulatory capital data from savings and loan holding companies with total consolidated assets of less than $500 million that are subject to the revised regulatory capital rules on the Parent Company Only Financial Statements for Holding Companies (FR Y-9SP).

DATES:

Comments must be submitted on or before October 11, 2013.

ADDRESSES:

Interested parties are invited to submit written comments to any or all of the agencies. All comments, which should refer to the OMB control number(s), will be shared among the agencies.

OCC: 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: 1557-0081 and 1557-0239, 400 7th Street SW., Suite 3E-218, Mail Stop 9W-11, Washington, DC 20219. In addition, comments may be sent by fax to [phone] or by electronic mail to [e-mail]. 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 [phone]. 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.

All comments received, including attachments and other supporting materials, are part of the public record and subject to public disclosure. Do not enclose any information in your comment or supporting materials that you consider confidential or inappropriate for public disclosure.

Board: You may submit comments, which should refer to “FFIEC 031, FFIEC 041, and FFIEC 101,” by any of the following methods:

• Agency Web site: http://www.federalreserve.gov. Follow the instructions for submitting comments at: http://www.federalreserve.gov/​generalinfo/​foia/​ProposedRegs.cfm.
• Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for submitting comments.
• Email: [e-mail]. Include reporting form number in the subject line of the message.
• Fax: [phone] or [phone].
• Mail: Robert DeV. Frierson, 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 Web site at www.federalreserve.gov/​generalinfo/​foia/​ProposedRegs.cfm 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 in Room MP-500 of the Board's Martin Building (20th and C Streets NW.) between 9:00 a.m. and 5:00 p.m. on weekdays.

FDIC: You may submit comments, which should refer to “FFIEC 031, FFIEC 041, and FFIEC 101,” by any of the following methods:

• Agency Web site: http://www.fdic.gov/​regulations/​laws/​federal/​propose.html. Follow the instructions for submitting comments on the FDIC Web site.
• Federal eRulemaking Portal: http://www.regulations.gov. Follow the instructions for submitting comments.
• Email: [e-mail]. Include “FFIEC 031, FFIEC 041, and FFIEC 101” in the subject line of the message.
• Mail: Gary A. Kuiper, Counsel, Attn: Comments, Room NYA-5046, Federal Deposit Insurance Corporation, 550 17th Street NW., Washington, DC 20429.
• Hand Delivery: Comments may be hand delivered to the guard station at the rear of the 550 17th Street Building (located on F Street) on business days between 7 a.m. and 5 p.m. Public Inspection: All comments received will be posted without change to http://www.fdic.gov/​regulations/​laws/​federal/​propose.html including any personal information provided. Comments may be inspected at the FDIC Public Information Center, Room E-1002, 3501 Fairfax Drive, Arlington, VA 22226, between 9 a.m. and 5 p.m. on business days.

Additionally, commenters may send a copy of their comments to the OMB desk officer for the agencies by mail to the Office of Information and Regulatory Affairs, U.S. Office of Management and Budget, New Executive Office Building, Room 10235, 725 17th Street NW., Washington, DC 20503; by fax to [phone]; or by email to [e-mail].

FOR FURTHER INFORMATION CONTACT:

For further information about the proposed revisions to regulatory reporting requirements discussed in this notice, please contact any of the agency clearance officers whose names appear below. In addition, copies of the proposed revised Call Report Schedule RC-R and FFIEC 101 forms and instructions can be obtained at the FFIEC's Web site (http://www.ffiec.gov/​ffiec_​report_​forms.htm).

OCC: Mary H. Gottlieb and Johnny Vilela, OCC Clearance Officers, [phone], Legislative and Regulatory Activities Division, Office of the Comptroller of the Currency, 400 7th Street SW., Washington, DC 20219.

Board: Cynthia Ayouch, Federal Reserve Board Clearance Officer, [phone], Office of the Chief Data Officer, Board of Governors of the Federal Reserve System, 20th and C Streets NW., Washington, DC 20551. Telecommunications Device for the Deaf (TDD) users may call [phone].

FDIC: Gary A. Kuiper, Counsel, [phone], Legal Division, Federal Deposit Insurance Corporation, 550 17th Street NW., Washington, DC 20429.

SUPPLEMENTARY INFORMATION:

The agencies are proposing to revise, without extension, the Call Report and to revise, with extension, the FFIEC 101, which are currently approved collections of information for each agency.

Report Title: Consolidated Reports of Condition and Income (Call Report).

Form Number: Call Report: FFIEC 031 (for banks with domestic and foreign offices) and FFIEC 041 (for banks with domestic offices only).

Frequency of Response: Quarterly.

Affected Public: Business or other for-profit.

OCC:

OMB Number: 1557-0081.

Estimated Number of Respondents: 1,787 national banks and federal savings associations.

Estimated Time per Response: 55.39 burden hours per quarter to file.

Estimated Total Annual Burden: 395,928 burden hours to file.

Board:

OMB Number: 7100-0036.

Estimated Number of Respondents: 843 state member banks.

Estimated Time per Response: 57.29 burden hours per quarter to file.

Estimated Total Annual Burden: 193,182 burden hours to file.

FDIC:

OMB Number: 3064-0052.

Estimated Number of Respondents: 4,369 insured state nonmember banks and state savings associations.

Estimated Time per Response: 42.06 burden hours per quarter to file.

Estimated Total Annual Burden: 735,041 burden hours to file.

The estimated time per response for the quarterly filings of the Call Report is an average that varies by agency because of differences in the composition of the institutions under each agency's supervision (e.g., size distribution of institutions, types of activities in which they are engaged, and existence of foreign offices). The average reporting burden for the filing of the Call Report as it is proposed to be revised is estimated to range from 18 to 750 hours per quarter, depending on an individual institution's circumstances.

Report Title: Risk-Based Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework.

Form Number: FFIEC 101.

Frequency of Response: Quarterly.

Affected Public: Business or other for-profit.

OCC:

OMB Number: 1557-0239.

Estimated Number of Respondents: 14 national banks and federal savings associations.

Estimated Time per Response: 676 burden hours per quarter to file.

Estimated Total Annual Burden: 37,856 burden hours to file.

Board:

OMB Number: 7100-0319.

Estimated Number of Respondents: 20 state member banks, bank holding companies, and savings and loan holding companies.

Estimated Time per Response: 676 burden hours per quarter to file.

Estimated Total Annual Burden: 54,080 burden hours to file.

FDIC:

OMB Number: 3064-0159.

Estimated Number of Respondents: 8 insured state nonmember banks and state savings associations.

Estimated Time per Response: 676 burden hours per quarter to file.

Estimated Total Annual Burden: 21,632 burden hours to file.

General Description of Reports

The Call Report information collections are mandatory for the following institutions: 12 U.S.C. 161 (national banks), 12 U.S.C. 324 (state member banks), 12 U.S.C. 1817 (insured state nonmember commercial and savings banks), and 12 U.S.C. 1464 (savings associations) (collectively, Call Report filers). At present, except for selected data items, Call Report information collections are not given confidential treatment.

The FFIEC 101 information collections are mandatory for institutions using the advanced approaches risk-based capital rule (advanced approaches banking organizations): 12 U.S.C. 161 (national banks), 12 U.S.C. 324 and 12 U.S.C. 1844(c) (state member banks and bank holding companies, respectively), 12 U.S.C. 1467a(b) (savings and loan holding companies), 12 U.S.C. 1817 (insured state nonmember commercial and savings banks), and 12 U.S.C. 1464 (savings associations). Under the agencies' current practice, the FFIEC 101 information collections are given confidential treatment (5 U.S.C. 552(b)(4)) for report dates until after the reporting institution conducts a satisfactory parallel run. For report dates thereafter, Schedules A and B, as well as line items 1 and 2 of Schedule S, of the institution's FFIEC 101 are no longer given confidential treatment. The agencies propose to make public the information collected on the proposed FFIEC 101 Schedule A, except for a few advanced approaches-specific line items, for all advanced approaches banking organizations, regardless of their parallel run status, starting with the report for the March 31, 2014, report date, consistent with the implementation timeline established by the revised regulatory capital rules.

Abstract

Call Report: Institutions submit Call Report data to the agencies each quarter for the agencies' use in monitoring the condition, performance, and risk profile of individual institutions and the industry as a whole. Call Report data provide the most current statistical data available for evaluating institutions' corporate applications, identifying areas of focus for on-site and off-site examinations, and monetary and other public policy purposes. The agencies use Call Report data in evaluating interstate merger and acquisition applications to determine, as required by law, whether the resulting institution would control more than ten percent of the total amount of deposits of insured depository institutions in the United States. Call Report data also are used to calculate institutions' deposit insurance and Financing Corporation assessments and national banks' and federal savings associations' semiannual assessment fees.

FFIEC 101: Each advanced approaches banking organization is required to file quarterly regulatory capital data. The agencies use these data to assess and monitor the levels and components of each reporting entity's risk-based capital requirements and the adequacy of the entity's capital under the Advanced Capital Adequacy Framework; to evaluate the impact and competitive implications of the Advanced Capital Adequacy Framework on individual reporting entities and on an industry-wide basis; and to supplement on-site examination processes. The reporting schedules also assist advanced approaches banking organizations in understanding expectations around the system development necessary for implementation and validation of the Advanced Capital Adequacy Framework. Submitted data that are released publicly will also provide other interested parties with information about advanced approaches banking organizations' regulatory capital.

Current Actions

I. Overview of the Proposed Changes

A. Summary of Proposed Changes

Call Report

Call Report Schedule RC-R collects regulatory data on tier 1, tier 2, and total capital and regulatory capital ratios (regulatory capital components and ratios portion) and on risk-weighted assets (risk-weighted assets portion). The agencies are proposing at this time to revise the reporting requirements for the regulatory capital components and ratios portion of Call Report Schedule RC-R, consistent with the revised regulatory capital rules. Compared to the current schedule, the proposed regulatory capital components and ratios portion of Schedule RC-R would provide a more detailed breakdown of the regulatory capital elements, including deductions and adjustments, consistent with the revised regulatory capital rules. For report dates in 2014, the regulatory capital components and ratios portion of Schedule RC-R would be designated Parts I.A and I.B. Call Report filers that are not advanced approaches institutions ^[2] would file Part I.A, which would include existing data items 1 through 33 of current Schedule RC-R. Call Report filers that are subject to advanced approaches and to the revised regulatory capital rule effective January 1, 2014, would file Part I.B, which would include the reporting revisions proposed herein consistent with the revised regulatory capital rules. In March 2015, Part I.A would be removed and Part I.B would be designated Part I; all Call Report filers would then submit Part I. The proposed changes to Call Report Schedule RC-R are discussed in more detail in section II below.

The agencies expect to publish at a later date a request for comment on a separate proposal to revise the risk-weighted assets portion of Call Report Schedule RC-R to incorporate the standardized approach for calculating risk-weighted assets under the revised regulatory capital rules. The revisions to the risk-weighted assets portion of Schedule RC-R would take effect March 31, 2015. The agencies are proposing changes to Schedule RC-R in two stages to allow interested parties to better understand the proposed revisions and focus their comments on areas of particular interest. Therefore, for report dates in 2014, all Call Report filers would continue to report risk-weighted assets in the portion of Schedule RC-R that contains existing data items 34 through 62 and Memorandum items 1 and 2 of current Schedule RC-R, but this portion of the schedule would be designated Part II and the data items would be renumbered beginning with item 1.

FFIEC 101

The proposed revised FFIEC 101 Schedule A for advanced approaches banking organizations incorporates the Basel III common disclosure template that was adopted by the Basel Committee on Banking Supervision in June 2012 (Basel III common disclosure template).^[3] The proposed revised Schedule A incorporates the Basel III capital disclosure template in its entirety, with some minor changes to the titles of the line items, consistent with the revised regulatory capital rules and accounting terminology of U.S. generally accepted accounting principles (GAAP). Line items that are not applicable to U.S. banking organizations are shaded out and marked as not applicable (for example, prudential valuation adjustments in line item 7 and additional tier 1 capital instruments classified as equity or liabilities under GAAP in line items 31 and 32). The agencies believe that incorporating the complete Basel III common disclosure template into Schedule A is essential to ensure transparency and comparability of reporting of regulatory capital elements among internationally active institutions. The proposed revised Schedule A also includes additional line items, such as the supplementary leverage ratio, to collect data on the new requirements established by the revised regulatory capital rules.

To ensure transparency of reporting regulatory capital by internationally active institutions, the agencies propose to make public the information collected on the proposed revised Schedule A, except for a few specific line items, starting with the March 31, 2014, report date. The agencies propose to continue granting confidential treatment to certain items that are dependent on the implementation of the advanced approaches systems while an advanced approaches banking organization is in its parallel run period. The agencies believe that according confidential treatment to such line items is important to ensure that the organization conducts a satisfactory parallel run and reports this data publicly only after its primary federal supervisor approves its internal systems to apply the revised advanced approaches rules.

The agencies also propose to revise the risk-weighted assets schedules of the FFIEC 101 (Schedules B, C, D, H, I, J, P, Q, and R) consistent with the revised regulatory capital rules at this time to facilitate the timely implementation of the revised advanced approaches rules in 2014.

B. Timing of Implementation of the Proposed Reporting Requirements

Call Report Filers

Call Report filers that are not subject to the advanced approaches rules would continue to report their regulatory capital data and regulatory capital ratios using the current template of Schedule RC-R, which would be designated Part I.A, during the reporting periods in 2014.^[4] These institutions would begin using proposed Schedule RC-R, Part I.B, to report their regulatory capital data and regulatory capital ratios effective March 31, 2015, at which time Part I.B would be relabeled Part I and Part I.A would be eliminated.

Advanced Approaches Banking Organizations

Reporting regulatory capital: An advanced approaches banking organization that is not a savings and loan holding company would use proposed revised FFIEC 101 Schedule A and proposed Call Report Schedule RC-R, Part I.B, if applicable, to report its regulatory capital consistent with the revised regulatory capital rules, effective March 31, 2014.^[5] An advanced approaches banking organization that is a savings and loan holding company (SLHC), except top-tier SLHCs that are substantially engaged in insurance and commercial activities, would file the FFIEC 101 effective March 31, 2015, consistent with the revised regulatory capital rules.^[6]

Reporting risk-weighted assets and regulatory capital ratios: An advanced approaches banking organization that is in a parallel run period would apply the generally applicable risk-based capital rules for report dates in 2014 ^[7] and the standardized approach for report dates beginning in 2015 to report its risk-weighted assets and capital ratios on proposed revised FFIEC 101 Schedule A (line items 60 through 63) and on proposed Call Report Schedule RC-R, Part I.B (in 2014, which would be designated Part I in 2015), if applicable (line items 40 through 43, Column A). In addition, such an institution would apply the revised advanced approaches rules to report its risk-weighted assets and risk-based capital ratios on proposed revised FFIEC 101 Schedule A (line items 87 through 90).

Beginning in 2014, an advanced approaches banking organization that conducts a satisfactory parallel run would report its advanced approaches risk-weighted assets and risk-based capital ratios on proposed revised FFIEC 101 Schedule A (line items 60 through 63) and on proposed revised Call Report Schedule RC-R, Part I.B, if applicable (line item 40.b and line items 41 through 43, Column B).

Supplementary leverage ratio and capital buffer: All advanced approaches banking organizations, regardless of their parallel run status, would report their supplementary leverage ratio effective March 31, 2015, on proposed revised FFIEC 101 Schedule A (line item 98) and on proposed revised Call Report Schedule RC-R, Part I (as relabeled in 2015), if applicable (line item 44). All banking organizations would report the applicable capital buffer effective March 31, 2016, on proposed revised FFIEC 101 Schedule A (line items 64 through 68) and on proposed Call Report Schedule RC-R, Part I (as relabeled in 2015), if applicable (line items 45 through 47).

Initial Reporting

For the March 31, 2014, and March 31, 2015, report dates, as applicable, institutions may provide reasonable estimates for any new or revised Call Report and FFIEC 101 items initially required to be reported as of that date for which the requested information is not readily available. The specific wording of the captions for the new or revised Call Report and FFIEC 101 data items discussed in this proposal and the numbering of these data items should be regarded as preliminary.

II. Discussion of Proposed Call Report Schedule RC-R, Part I.B

This section describes the proposed changes to Call Report Schedule RC-R to implement the reporting of regulatory capital information and ratios consistent with the revised regulatory capital rules. As previously discussed, effective March 31, 2014: (1) the existing regulatory capital ratios portion of Schedule RC-R would be designated Part I.A and would be completed by institutions that are not advanced approaches institutions during the 2014 reporting periods, and (2) a new Part I.B would be added to Schedule RC-R effective March 31, 2014, and would be completed by advanced approaches institutions during the 2014 reporting period. Then, effective March 31, 2015, Part I.A would be eliminated, Part I.B would be redesignated Part I of Schedule RC-R, and all institutions would complete Part I. Call Report filers should refer to the revised regulatory capital rules and the proposed reporting instructions for further information. The proposed reporting instructions also provide guidance on how to calculate and report items subject to the transition provisions under section 300 of the revised regulatory capital rules.

Proposed Part I.B of Schedule RC-R would be divided into the following sections: (A) Common equity tier 1 capital; (B) common equity tier 1 capital: adjustments and deductions; (C) additional tier 1 capital; (D) tier 2 capital; (E) total assets for the leverage ratio; (F) capital ratios; and (G) capital buffer. A brief description of each of these sections and the corresponding line items is provided below.

A. Schedule RC-R, Part I.B, Items 1-5: Common Equity Tier 1 Capital

Proposed line items 1 through 5 would collect information regarding the new regulatory capital component, common equity tier 1 capital. The proposed line items align with the elements of common equity tier 1 capital under the revised definition of capital, including (item 1) common stock plus related surplus (net of treasury stock and unearned employee stock ownership plan shares), (item 2) retained earnings, (item 3) accumulated other comprehensive income (AOCI), and (item 4) common equity tier 1 minority interests.^[8] As explained in section 21 of the revised regulatory capital rules, an institution may include a limited amount of common equity tier 1 minority interest in a consolidated subsidiary that is a depository institution or a foreign bank in its common equity tier 1 capital. Line item 5 collects the sum of items 1 through 4 to determine common equity tier 1 capital before adjustments and deductions.

For purposes of reporting line item 3, AOCI, an institution that is not subject to the advanced approaches rules may make a one-time election to opt out of the requirement to include most components of AOCI in common equity tier 1 capital (AOCI opt-out election). An institution that makes an AOCI opt-out election must report “Yes” in line item 3.a and report the amounts in line items 9.a, 9.b, 9.c, 9.d, and 9.e. An institution that is not an advanced approaches institution would make this election when it completes Schedule RC-R in its Call Report for March 31, 2015 (or, for an institution that becomes insured after March 31, 2015, in the first Call Report it files after becoming insured). If an institution makes an AOCI opt-out election, the transition provisions for AOCI under section 300 of the revised regulatory capital rules would not apply to the reporting of AOCI in line item 3.

All advanced approaches banking organizations that file the Call Report and all other insured depository institutions that choose not to make the AOCI opt-out election must report “No” in line item 3.a and complete line item 9.f. In addition, such institutions must report AOCI in item 3 subject to the transition provisions, as described in section 300 of the revised regulatory capital rules and the corresponding instructions.

B. Schedule RC-R, Part I.B, Items 6-19: Common Equity Tier 1 Capital: Adjustments and Deductions

Proposed line items 6 through 18 reflect adjustments and deductions to common equity tier 1 capital, as described in section 22 of the revised regulatory capital rules. Institutions must refer to the revised regulatory capital rules to determine the conditions under which deferred tax liabilities (DTLs) may be netted against assets subject to deduction. An institution would calculate and report the following adjustments and deductions, as described below, which would be summed in line item 18 and deducted from common equity tier 1 capital in line item 19.

Schedule RC-R, Part I.B, item 6: LESS: Goodwill net of associated DTLs: Goodwill is reported and deducted from common equity tier 1 capital.

Schedule RC-R, Part I.B, item 7: LESS: Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs: Intangible assets, other than goodwill and MSAs, net of associated DTLs, must be deducted from common equity tier 1 capital.

Schedule RC-R, Part I.B, item 8: LESS: Deferred tax assets (DTAs) that arise from operating loss and tax credit carryforwards, net of any related valuation allowances and net of associated DTLs: An institution must deduct DTAs that arise from operating loss and tax credit carryforwards, net of any related valuation allowances and net of associated DTLs, from common equity tier 1 elements.^[9]

Schedule RC-R, Part I.B, item 9: AOCI-related adjustments: An institution that makes an AOCI opt-out election in line item 3.a would adjust its common equity tier 1 capital by reporting the amount of specified AOCI components in line items 9.a, 9.b, 9.c, 9.d, and 9.e, that is, net unrealized gains (losses) on available-for-sale (AFS) securities; net unrealized loss on AFS preferred stock classified as an equity security under GAAP and AFS equity exposures; accumulated net gains (losses) on cash flow hedges; amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application of the relevant GAAP standards that pertain to such plans; and net unrealized gains (losses) on held-to-maturity securities that are included in AOCI.

An advanced approaches banking organization that files the Call Report and any other insured depository institution that chooses not to make the AOCI opt-out election would report in line item 9.f any accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items that are not recognized at fair value on the balance sheet.

Schedule RC-R, Part I.B, item 10: LESS: Other deductions from (additions to) common equity tier 1 capital: Under the revised regulatory capital rules, institutions must make the following deductions from or additions to common equity tier 1 capital.

Schedule RC-R, Part I.B, item 10.a: Unrealized net gain (loss) related to changes in the fair value of liabilities that are due to changes in own credit risk: An institution would report the amount of unrealized net gain (loss) related to changes in the fair value of liabilities measured at fair value on the balance sheet that are due to changes in its own credit risk. Advanced approaches banking organizations would include the credit spread premium over the risk-free rate for derivatives that are liabilities.

Schedule RC-R, Part I.B, item 10.b: LESS: All other deductions from (additions to) common equity tier 1 capital before threshold-based deductions: An institution would report in line item 10.b the total of the following deductions and additions:

(1) Gain-on-sale associated with a securitization exposure: An institution must deduct from common equity tier 1 capital any after-tax gain-on-sale associated with a securitization exposure. Gain-on-sale means an increase in the equity capital of the institution resulting from the consummation or issuance of a securitization (other than an increase in equity capital resulting from the institution's receipt of cash in connection with the securitization).

(2) Defined benefit pension fund net assets net of associated DTLs: Defined benefit pension fund assets, net of any associated DTLs, must be deducted from common equity tier 1 capital. (This deduction does not pertain to defined benefit pension fund net assets owned by depository institutions.)

(3) Investments in own regulatory capital instruments: To avoid double-counting of regulatory capital, an institution must deduct any investments in its own common equity tier 1, own additional tier 1, and own tier 2 capital instruments from its common equity tier 1, additional tier 1, and tier 2 capital elements, respectively. Any common equity tier 1, additional tier 1, or tier 2 capital instrument issued by the institution which the institution could be contractually obligated to purchase must be deducted from its common equity tier 1, additional tier 1, or tier 2 capital elements, respectively. If an institution already deducts its investment in its own shares (for example, treasury stock) from its common equity tier 1 capital elements, it does not need to make such deduction twice.

(4) Reciprocal cross holdings in the capital instruments of financial institutions: A reciprocal cross holding results from a formal or informal arrangement between two financial institutions to swap, exchange, or otherwise intend to hold each other's capital instruments. Institutions must deduct reciprocal holdings of capital instruments of other financial institutions in certain circumstances. The deduction is made by using the corresponding deduction approach as described in section 22(c) of the revised regulatory capital rules. The corresponding deduction approach requires the institution to make the deduction from the tier of capital for which the instrument would qualify. However, if the institution does not have a sufficient amount of the tier of capital to effect the required deduction, the shortfall must be deducted from the next higher (that is, more subordinated) component of regulatory capital. For example, if an institution is required to deduct a certain amount of regulatory capital from additional tier 1 capital and it does not have sufficient additional tier 1 capital to effectuate the deduction, then the amount of the deduction in excess of the available additional tier 1 capital must be made from common equity tier 1 capital.

(5) Equity investments in financial subsidiaries: An institution must deduct the aggregate amount of its outstanding equity investments, including retained earnings, in its financial subsidiaries ^[10] from common equity tier 1 capital and may not consolidate the assets and liabilities of a financial subsidiary with those of the parent institution. No other deduction is required for these investments in the capital instruments of financial subsidiaries.

(6) Advanced approaches banking organizations that file Call Report: After such an institution conducts a satisfactory parallel run, it would include expected credit losses that exceed its eligible credit reserves in this line item.

Schedule RC-R, Part I.B, item 11: LESS: Non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that exceed the 10 percent threshold for non-significant investments: Non-significant investments in the capital of unconsolidated financial institutions are investments where an institution owns 10 percent or less of the issued and outstanding common shares of an unconsolidated financial institution. An institution must deduct the amount of its non-significant investments that exceeds the 10 percent threshold for non-significant investments (calculated as described in section 22(c)(4) of the revised regulatory capital rules and in the reporting instructions for this line item), applying the corresponding deduction approach.

Schedule RC-R, Part I.B, item 12: Subtotal: An institution would report the amount in item 5 less the amounts in items 6 through 11. The amount reported in this item is used to calculate the common equity tier 1 capital deduction thresholds that are used for reporting items 13, 14, 15, and 16.

Schedule RC-R, Part I.B, items 13 through 16: LESS: Items subject to the 10 and 15 percent common equity tier 1 capital threshold deductions: An institution must report the amount of each of the following items that individually exceeds the 10 percent common equity tier 1 capital deduction threshold (that is, 10 percent of the amount reported in line item 12). These items are referred to as items subject to the threshold deductions in section 22(d) of the revised regulatory capital rules and include: (1) DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of any related valuation allowances and net of DTLs; (2) MSAs net of associated DTLs; and (3) significant investments in the capital of financial institutions in the form of common stock.

The aggregate amount of the items subject to the threshold deductions (that are not deducted in line items 13, 14, and 15) are not permitted to exceed 15 percent of an institution's common equity tier 1 capital. The aggregate amount in excess of the 15 percent threshold, if any, calculated in accordance with section 22(d)(2) of the revised regulatory capital rules and the corresponding line item instructions, must be deducted in line item 16.

Schedule RC-R, Part I.B, item 17: LESS: Deductions applied to common equity tier 1 capital due to insufficient amount of additional tier 1 capital and tier 2 capital to cover deductions: If an institution does not have a sufficient amount of additional tier 1 capital and tier 2 capital to cover deductions, then the shortfall must be reported in this line item.

Schedule RC-R, Part I.B, items 18 and 19: An institution would summarize total adjustments and deductions in line item 18 and deduct that amount from its common equity tier 1 capital before adjustments and deductions to determine its common equity tier 1 capital, which would be reported in line item 19.

C. Schedule RC-R, Part I.B, Items 20 through 25: Additional Tier 1 Capital, and Item 26: Tier 1 Capital

Proposed line items 20 through 25 pertain to the reporting of additional tier 1 capital elements. Additional tier 1 capital is the sum of: (item 20) additional tier 1 capital instruments that satisfy the eligibility criteria described in section 20 of the revised regulatory capital rules plus related surplus; (item 21) non-qualifying capital instruments subject to phase-out from additional tier 1 capital; and (item 22) tier 1 minority interest that is not included in an institution's common equity tier 1 capital; less (item 24) applicable deductions.

Line item 26 collects information on the institution's tier 1 capital, calculated as the sum of (item 19) common equity tier 1 capital and (item 25) additional tier 1 capital.

D. Schedule RC-R, Part I.B, Items 27 Through 34: Tier 2 Capital, and Item 35: Total Capital

Proposed line items 27 through 34 would require reporting of tier 2 capital elements. Tier 2 capital is the sum of: (item 27) tier 2 capital instruments that satisfy the eligibility criteria described in section 20 of the revised regulatory capital rules, plus related surplus; (item 28) non-qualifying capital instruments subject to phase-out from tier 2 capital; (item 29) total capital minority interest not included in an institution's tier 1 capital; (item 30.a) allowance for loan and lease losses (ALLL) includable in tier 2 capital; and (item 31) unrealized gains on AFS preferred stock classified as an equity security under GAAP and AFS equity exposures; less (item 33) tier 2 capital deductions.

Advanced approaches banking organizations would report line items 30.b (eligible credit reserves includable in tier 2 capital), 32.b (tier 2 capital before deductions), 34.b (tier 2 capital), and 35.b (total capital) only after these institutions conduct a satisfactory parallel run.

Line item 35.a would collect information on an institution's total capital, which is the sum of (item 26) tier 1 capital and (item 34) tier 2 capital.

E. Schedule RC-R, Part I.B, Items 36 Through 39: Total Assets for the Leverage Ratio

Institutions would report total assets for the leverage ratio denominator in line item 39, calculated as: (item 36) average total consolidated assets; less (item 37) deductions from common equity tier 1 capital and additional tier 1 capital; and less (item 38) other deductions from (additions to) assets for leverage ratio purposes, as described under sections 22(a), (c), and (d) of the revised regulatory capital rules.

F. Schedule RC-R, Part I.B, Items 40 Through 45: Total Risk-Weighted Assets and Capital Ratios

Line item 40 would collect information on an institution's risk-weighted assets. Line items 41 through 45 would collect information on the following regulatory capital ratios: (item 41) common equity tier 1 capital ratio; (item 42) tier 1 capital ratio; (item 43) total capital ratio; (item 44) tier 1 leverage ratio; and, for advanced approaches institutions, (item 45) supplementary leverage ratio, all calculated as described in section 10 of the revised regulatory capital rules.

During the reporting periods in 2014, Call Report filers would continue applying the general risk-based capital rules to report their total risk-weighted assets in line item 40.a of Part I of Schedule RC-R (as currently reported in item 62 of the risk-weighted assets portion of Schedule RC-R). The amount in line item 40 would serve as the denominator of the risk-based capital ratios reported in line items 41 through 44 (Column A). Effective March 31, 2015, Call Report filers would apply the standardized approach, described in subpart D of the revised regulatory capital rules, to report their risk-weighted assets in line item 40.a and the risk-based capital ratios in line items 41 through 44 (Column A) of the regulatory capital ratios portion of Schedule RC-R.

Advanced approaches institutions would report line items 40 through 45 on the proposed Schedule RC-R, Part I.B, as follows.

• During the reporting periods in 2014, these institutions would continue applying the general risk-based capital rules to report their total risk-weighted assets in line item 40.a, which would serve as the denominator of the ratios reported in line items 41 through 44 (Column A).
• Starting on March 31, 2015, these institutions would apply the standardized approach, described in subpart D of the revised regulatory capital rules, to report their risk-weighted assets in item 40.a and the regulatory capital ratios in items 41 through 44. After they conduct a satisfactory parallel run, these institutions would report their total risk-weighted assets (item 40.b) and regulatory capital ratios (items 41 through 44, Column B) using the advanced approaches rule.
• In addition, starting on March 31, 2015, these institutions would report a supplementary leverage ratio in item 45, as described in section 10 of the revised regulatory capital rules.

G. Schedule RC-R, Part I.B, Items 46 Through 48: Capital Buffer

Under section 11 of the revised regulatory capital rules, institutions must hold sufficient common equity tier 1 capital to avoid limitations on distributions and discretionary bonus payments. An institution's capital conservation buffer, which would be reported in item 46.a, is the lowest of the following measures: (1) The institution's common equity tier 1 capital ratio minus the applicable minimum (4 percent in 2014, 4.5 percent in 2015 and thereafter); (2) the institution's tier 1 capital ratio minus the applicable minimum (5.5 percent in 2014, 6 percent in 2015 and thereafter); and (3) the institution's total capital ratio minus 8 percent. Advanced approaches banking organizations must make additional calculations to account for all the applicable buffers and report the resulting amount in item 46.b, as described in section 11 of the revised regulatory capital rules. If an institution's capital buffer is less than or equal to the applicable minimum capital conservation buffer (or, in the case of an advanced approaches institution, the applicable minimum capital conservation buffer plus any other applicable capital buffers), then it must report eligible retained income in item 47 and distributions and discretionary bonus payments to executive officers in item 48, as described in section 11 of the revised regulatory capital rules.

III. Discussion of the Proposed FFIEC 101 Changes

A. Schedule A: Advanced Risk-Based Capital

As described in section I.A of this notice, the proposed revised FFIEC 101 Schedule A incorporates the Basel III common disclosure template to ensure consistency and comparability of reporting of regulatory capital elements by internationally active institutions. Although the changes proposed to be made to Schedule A of the FFIEC 101 are consistent with the regulatory capital reporting approach followed in proposed Call Report Schedule RC-R, Part I.B, as described in section II of this notice, advanced approaches banking organizations would provide a more granular breakdown of regulatory capital elements, deductions and adjustments, and regulatory capital instruments subject to phase-out in Schedule A, consistent with the Basel III common disclosure template. Advanced approaches banking organizations would be able to continue to import the majority of the line items from proposed Call Report Schedule RC-R, Part I.B, into proposed revised FFIEC 101 Schedule A.^[11]

Reporting confidential line items during the parallel run period: As noted in section I.B of this notice, the agencies propose to make public the information collected on proposed revised Schedule A, except for a few specific line items, for all advanced approaches banking organizations, starting with the March 31, 2014, report date. Since the majority of the line items on the proposed Schedule A would also be publicly reported on the proposed Call Report Schedule RC-R, the additional disclosure of regulatory capital elements on proposed revised Schedule A while the institution is conducting its parallel run would be minimal.

The agencies propose to grant confidential treatment to items that are dependent on the implementation of the advanced approaches systems to ensure compliance with the revised advanced approaches rules. Specifically, while an institution is conducting its parallel run, the following line items on proposed revised Schedule A would be reported on a confidential basis using the revised advanced approaches rules: item 78 (total eligible credit reserves calculated under the advanced approaches rules); item 79 (amount of eligible credit reserves includable in tier 2 capital); item 86 (expected credit loss that exceeds eligible credit reserves); item 87 (advanced approaches risk-weighted assets); item 88 (common equity tier 1 capital ratio calculated using the advanced approaches); item 89 (tier 1 capital ratio calculated using the advanced approaches); and item 90 (total capital ratio using the advanced approaches). In addition, an institution that is conducting its parallel run would report “zero” in line item 12 (expected credit loss that exceeds eligible credit reserves) and would report line item 50 (eligible credit reserves) and line item 60 (total risk-weighted assets) by applying the general risk-based capital rules in 2014 and the standardized approach in 2015.

After an institution conducts a satisfactory parallel run, the entire Schedule A would be made public. In addition, such an institution would then begin to report line item 12 (expected credit loss that exceeds eligible credit reserves), line item 50 (eligible credit reserves), and line item 60 (total risk-weighted assets) using the revised advanced approaches rules.

Supplementary leverage ratio: Proposed line items 91 through 98 in the Schedule A would collect data on a new supplementary leverage ratio requirement for advanced approaches banking organizations, effective March 31, 2015. Consistent with the revised regulatory capital rules, an advanced approaches banking organization would report the supplementary leverage ratio calculated as the simple arithmetic mean of the three monthly leverage ratios over the reporting quarter.

B. Schedules B, C, D, H, I, J, P, Q, and R: Risk-Weighted Assets

This section describes the proposed revisions to Schedules B, C, D, H, I, J, P, Q, and R of the FFIEC 101, which are intended to be consistent with the revised advanced approaches rules to calculate the risk-weighted assets. The proposed revisions reflect changes to the methodologies for calculating regulatory capital for counterparty credit risk, securitization exposures, and exposures to central counterparties (CCPs). In addition, the proposed changes incorporate capital requirements for credit valuation adjustments (CVA), wrong-way risk, margin risk, exposures subject to a wholesale correlation factor multiplier of 1.25, cleared derivative and repo-style transactions, and default fund contributions to CCPs.

As is currently the case, FFIEC 101 Schedules B through S will be given confidential treatment while an institution is conducting its parallel run. Also, as is currently the case, after an institution conducts a satisfactory parallel run, Schedule B and line items 1 and 2 of Schedule S will no longer be given confidential treatment.

Schedules H and J: Credit valuation adjustments (CVAs): The proposed insertion of memorandum items in Schedule H (Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives with Cross-Product Netting) and Schedule J (Wholesale Exposure: OTC Derivatives No Cross-Product Netting) reflects the CVA requirements for over-the-counter (OTC) derivative activities. Under the revised regulatory capital rules, CVA is the fair value adjustment to reflect counterparty credit risk in the valuation of an OTC derivative contract. Advanced approaches banking organizations must hold capital to reflect the CVA due to changes in counterparties' credit spreads, assuming fixed expected exposure (EE) profiles. The advanced approaches rules provide two approaches for calculating the CVA capital requirement: the simple and advanced CVA approaches. The conditions for each approach, as well as the methods for calculation, are described in section 132 of the revised regulatory capital rules.

Schedule P: Securitization exposures: The agencies propose to combine the current Schedule P (Securitization Exposures Subject to Ratings-based or Internal Assessment Approaches) and Schedule Q (Securitization Detail Schedule) into a new Schedule P (Securitization Exposures). This proposed revision reflects a number of changes to the securitization framework, including the replacement of the ratings-based and internal assessment approaches from the advanced approaches rules with the simplified supervisory formula approach, and the introduction of a specific treatment for resecuritization exposures. The revised advanced approaches rules introduce enhanced due diligence requirements and require banking organizations to assign higher risk weights to resecuritization exposures than other securitization exposures with similar credit characteristics. The revised advanced approaches rules introduce new operational criteria for recognizing risk transfer as well as revisions to the hierarchy of approaches in the securitization framework. The operational criteria as well as the revised hierarchy of approaches are described in sections 141 through 145 of the revised regulatory capital rules.

Schedule Q: Cleared transactions: The proposed new Schedule Q (Cleared Transactions) reflects the treatment for cleared transactions and is intended to capture exposures to CCPs. The revised advanced approaches rules introduce a capital requirement for transactions with CCPs and a more risk-sensitive approach for determining the capital requirement for a banking organization's contributions to the default funds of these CCPs. The calculation of the trade exposure amount for a cleared transaction is described in section 133 of the revised regulatory capital rules.

Schedules C, D, H, I, and J: Exposures subject to a 1.25 asset correlation factor: The proposed insertion of memorandum items in Schedule C (Wholesale Exposure: Corporate), Schedule D (Wholesale Exposure: Bank), Schedule H (Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives with Cross-Product Netting); Schedule I (Wholesale Exposure: Eligible Margin Loans and Repo-Style Transactions No Cross-Product Netting), and Schedule J (Wholesale Exposure: OTC Derivatives No Cross-Product Netting) reflects the new 1.25 asset correlation factor for certain unregulated financial institutions as well as regulated financial institutions with assets of at least $100 billion. The advanced approaches rules introduce the 1.25 multiplier to capture the correlation of financial institutions' common risk factors. The formula for these wholesale exposures is described in section 131 of the revised regulatory capital rules.

Schedules H, I, and J: Internal models methodology (IMM) margin period of risk and specific wrong-way risk: The proposed insertion of memorandum items in Schedule H (Wholesale Exposure: Eligible Margin Loans, Repo-Style Transactions, and OTC Derivatives with Cross-Product Netting), Schedule I (Wholesale Exposure: Eligible Margin Loans and Repo-Style Transactions No Cross-Product Netting) and Schedule J (Wholesale Exposure: OTC Derivatives No Cross-Product Netting) reflects the new capital requirements for the margin period of risk and wrong-way risk in the advanced approaches. The revised advanced approaches rules introduce an increased margin period of risk of 20 days. In addition, for OTC derivative transactions, repo-style transactions, and margin loans that exhibit wrong-way risk, the advanced approaches rules require a banking organization to apply an increased capital requirement rather than the IMM to these exposures. The calculations and requirements associated with margin period of risk and wrong-way risk are described in section 132 of the revised regulatory capital rules.

Schedules B and R: Summary table and equity exposures: The proposed revisions to Schedule B (Summary Risk-weighted Assets Information for Banks) reflect the proposed changes to the schedules described above in this section III.B. In addition, the revised advanced approaches rules remove the prior money market fund approach for equity exposures. Accordingly, in proposed revised Schedule R (Equity Exposures), the agencies propose to remove this approach.

IV. Scope and Frequency of Reporting

The proposed regulatory reporting changes to Call Report Schedule RC-R ultimately would apply to all Call Report filers. The proposed revisions to the FFIEC 101 would apply only to advanced approaches banking organizations. Each reporting entity would continue to submit the applicable quarterly reports on the same due dates as are currently in effect for the reporting entity. In addition, the agencies expect all reporting entities to meet the existing reporting standards for accuracy and other requirements as currently mandated by their primary federal supervisor.

See section I.B of this notice for a detailed discussion of the timing for the implementation of the proposed reporting changes.

V. Request for Comment

Public comment is requested on all aspects of this joint notice. In particular, do advanced approaches institutions expect that making any specific line items on proposed revised FFIEC 101 Schedule A public would cause them competitive or other harm? If so, identify the specific line items and describe in detail the nature of the harm.

Additionally, comments are invited on

(a) Whether the collections of information that are the subject of this notice are necessary for the proper performance of the agencies' functions, including whether the information has practical utility;

(b) The accuracy of the agencies' estimates of the burden of the information collections as they are proposed to be revised, 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 collections 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.

Comments submitted in response to this joint notice will be shared among the agencies and will be summarized or included in the agencies' requests for OMB approval. All comments will become a matter of public record.

Dated: August 5, 2013.

Stuart Feldstein,

Director, Legislative and Regulatory Activities Division, Office of the Comptroller of the Currency.

Board of Governors of the Federal Reserve System, August 5, 2013.

Robert deV. Frierson,

Secretary of the Board.

Dated at Washington, DC, this 2nd day of August, 2013.

Federal Deposit Insurance Corporation.

Valerie J. Best,

Assistant Executive Secretary.

Footnotes

1.  See http://www.occ.treas.gov/​news-issuances/​news-releases/​2013/​nr-occ-2013-110.html,, July 9, 2013 (OCC); http://www.federalreserve.gov/​newsevents/​press/​bcreg/​20130702a.htm,, July 2, 2013 (Board); and http://www.fdic.gov/​news/​news/​press/​2013/​pr13060.html,, July 9, 2013 (FDIC).

2.  An advanced approaches institution as defined in the agencies' revised regulatory capital rules (i) has consolidated total assets (excluding assets held by an insurance underwriting subsidiary) on its most recent year-end regulatory report equal to $250 billion or more; (ii) has consolidated total on-balance sheet foreign exposure on its most recent year-end regulatory report equal to $10 billion or more (excluding exposures held by an insurance underwriting subsidiary); (iii) is a subsidiary of a depository institution that uses the advanced approaches pursuant to subpart E of 12 CFR part 3 (OCC), 12 CFR part 217 (Board), or 12 CFR part 325 (FDIC) to calculate its total risk-weighted assets; (iv) is a subsidiary of a bank holding company or savings and loan holding company that uses the advanced approaches pursuant to 12 CFR part 217 to calculate its total risk-weighted assets; or (v) elects to use the advanced approaches to calculate its total risk-weighted assets.

3.  See Basel Committee on Banking Supervision, Composition of capital disclosure requirements; Annex 1; available at http://www.bis.org/​publ/​bcbs221.pdf.

4.  For report dates in 2014, the regulatory capital components and ratios portion of Schedule RC-R would be presented as two parts. Part 1.A would be identical to the current regulatory capital components and ratios portion of Schedule RC-R and it would be used by Call Report filers that are not subject to the advanced approaches rules. Part I.B would be the proposed revised regulatory capital components and ratios portion of Schedule RC-R and it would be used by Call Report filers that are subject to the advanced approaches rules. Starting on the March 31, 2015, report date, Part I.A would be eliminated and the proposed Part I.B of Schedule RC-R would be relabeled Part I, would be the only template for reporting regulatory capital data and regulatory capital ratios, and would be used by all Call Report filers.

5.  Advanced approaches banking organizations that file the FR Y-9C would report their regulatory capital on proposed revised FR Y-9C Schedule HC-R, as described in the Federal Register notice published by the Board.

6.  The revised regulatory capital rules apply to top-tier SLHCs that are not substantially engaged in insurance or commercial activities (covered SLHCs) as defined in the rules.

7.  The agencies' general risk-based capital rules are at 12 CFR part 3, appendix A, and 12 CFR part 167 (OCC); 12 CFR parts 208 and 225, appendix A (Board); and 12 CFR part 325, appendix A, and 12 CFR part 390, subpart Z (FDIC).

8.  Under current GAAP, minority interests are referred to as noncontrolling interests. In this regard, on the Call Report balance sheet (Schedule RC), such interests are labeled “Noncontrolling (minority) interests in consolidated subsidiaries.”

9.  DTAs arising from temporary differences that the banking organization could realize through net operating loss carrybacks are not subject to deduction and instead receive a 100 percent risk weight.

10.  The agencies' definitions of financial subsidiary are at 12 CFR 5.39 (OCC); 12 CFR 208.77 (Board); and 12 CFR 362.17 (FDIC).

11.  Advanced approaches banking organizations that file the FR Y-9C rather than the Call Report would be able to import the majority of the line items from proposed revised Schedule HC-R published by the Federal Reserve Board into proposed revised FFIEC 101 Schedule A.