[Federal Register Volume 76, Number 51 (Wednesday, March 16, 2011)]
[Notices]
[Pages 14460-14470]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-6046]
[[Page 14460]]
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DEPARTMENT OF THE TREASURY
Office of the Comptroller of the Currency
FEDERAL RESERVE SYSTEM
FEDERAL DEPOSIT INSURANCE CORPORATION
DEPARTMENT OF THE TREASURY
Office of Thrift Supervision
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); Federal
Deposit Insurance Corporation (FDIC); and Office of Thrift Supervision
(OTS), Treasury.
ACTION: Joint notice and request for comment.
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SUMMARY: In accordance with the requirements of the Paperwork Reduction
Act (PRA) of 1995 (44 U.S.C. chapter 35), the OCC, the Board, the FDIC,
and the OTS (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 Federal Financial Institutions Examination
Council (FFIEC), of which the agencies are members, has approved the
agencies' publication for public comment of a proposal to revise the
Consolidated Reports of Condition and Income (Call Report) for banks,
the Thrift Financial Report (TFR) for savings associations, the Report
of Assets and Liabilities of U.S. Branches and Agencies of Foreign
Banks (FFIEC 002), and the Report of Assets and Liabilities of a Non-
U.S. Branch that is Managed or Controlled by a U.S. Branch or Agency of
a Foreign (Non-U.S.) Bank (FFIEC 002S), all of which are currently
approved collections of information, effective as of the June 30, 2011,
report date. 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 revisions
prior to giving final approval. The agencies will then submit the
revisions to OMB for review and approval.
DATES: Comments must be submitted on or before May 16, 2011.
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: You should direct all written comments to: Communications
Division, Office of the Comptroller of the Currency, Mailstop 2-3,
Attention: 1557-0081, 250 E Street, SW., Washington, DC 20219. In
addition, comments may be sent by fax to (202) 874-5274, or by
electronic mail to [email protected]. You may personally
inspect and photocopy comments at the OCC, 250 E 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 (202) 874-4700. 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.
Board: You may submit comments, which should refer to
``Consolidated Reports of Condition and Income (FFIEC 031 and 041)'' or
``Report of Assets and Liabilities of U.S. Branches and Agencies of
Foreign Banks (FFIEC 002) and Report of Assets and Liabilities of a
Non-U.S. Branch that is Managed or Controlled by a U.S. Branch or
Agency of a Foreign (Non-U.S.) Bank (FFIEC 002S),'' by any of the
following methods:
Agency Web Site: http://www.federalreserve.gov. Follow the
instructions for submitting comments on the http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
E-mail: [email protected]. Include
reporting form number in the subject line of the message.
FAX: (202) 452-3819 or (202) 452-3102.
Mail: Jennifer J. Johnson, 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
http://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 a.m. and 5 p.m. on weekdays.
FDIC: You may submit comments, which should refer to ``Consolidated
Reports of Condition and Income, 3064-0052,'' 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.
E-mail: [email protected]. Include ``Consolidated Reports
of Condition and Income, 3064-0052'' in the subject line of the
message.
Mail: Gary A. Kuiper, (202) 898-3877, Counsel, Attn:
Comments, Room F-1086, 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.
OTS: You may submit comments, identified by ``1550-0023 (TFR:
Schedule DI Revisions),'' by any of the following methods:
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
E-mail address: [email protected].
Please include ``1550-0023 (TFR: Schedule DI Revisions)'' in the
subject line of the message and include your name and telephone number
in the message.
Fax: (202) 906-6518.
Mail: Information Collection Comments, Chief Counsel's
Office, Office of Thrift Supervision, 1700 G Street, NW., Washington,
DC 20552, Attention: ``1550-0023 (TFR: Schedule DI Revisions).''
Hand Delivery/Courier: Guard's Desk, East Lobby Entrance,
1700 G Street, NW., from 9 a.m. to 4 p.m. on business days, Attention:
Information Collection Comments, Chief Counsel's Office, Attention:
``1550-0023 (TFR: Schedule DI Revisions).''
Instructions: All submissions received must include the agency name
and OMB Control Number for this information
[[Page 14461]]
collection. All comments received will be posted without change to the
OTS Internet Site at http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1, including any personal information
provided.
Docket: For access to the docket to read background documents or
comments received, go to http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1. In addition, you may inspect comments
at the Public Reading Room, 1700 G Street, NW., by appointment. To make
an appointment for access, call (202) 906-5922, send an e-mail to
public.info@ots.treas.gov">public.info@ots.treas.gov, or send a facsimile transmission to (202)
906-7755. (Prior notice identifying the materials you will be
requesting will assist us in serving you.) We schedule appointments on
business days between 10 a.m. and 4 p.m. In most cases, appointments
will be available the next business day following the date we receive a
request.
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, or by fax to (202) 395-6974.
FOR FURTHER INFORMATION CONTACT: For further information about the
revisions discussed in this notice, please contact any of the agency
clearance officers whose names appear below. In addition, copies of the
Call Report, FFIEC 002, and FFIEC 002S forms can be obtained at the
FFIEC's Web site (http://www.ffiec.gov/ffiec_report_forms.htm).
Copies of the TFR can be obtained from the OTS's Web site (http://www.ots.treas.gov/main.cfm?catNumber=2&catParent=0).
OCC: Mary Gottlieb, OCC Clearance Officer, (202) 874-5090,
Legislative and Regulatory Activities Division, Office of the
Comptroller of the Currency, 250 E Street, SW., Washington, DC 20219.
Board: Cynthia Ayouch, Acting Federal Reserve Board Clearance
Officer, (202) 452-3829, Division of Research and Statistics, 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 (202) 263-4869.
FDIC: Gary A. Kuiper, Counsel, (202) 898-3877, Legal Division,
Federal Deposit Insurance Corporation, 550 17th Street, NW.,
Washington, DC 20429.
OTS: Ira L. Mills, OTS Clearance Officer, at
[email protected], (202) 906-6531, or facsimile number (202) 906-
6518, Regulations and Legislation Division, Chief Counsel's Office,
Office of Thrift Supervision, 1700 G Street, NW., Washington, DC 20552.
SUPPLEMENTARY INFORMATION: The agencies are proposing to revise the
Call Report, the TFR, the FFIEC 002, and the FFIEC 002S, which are
currently approved collections of information.
1. 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: 1,440 national banks.
Estimated Time per Response: 53.24 burden hours.
Estimated Total Annual Burden: 306,662 burden hours.
Board
OMB Number: 7100-0036.
Estimated Number of Respondents: 826 State member banks.
Estimated Time per Response: 55.32 burden hours.
Estimated Total Annual Burden: 182,777 burden hours.
FDIC
OMB Number: 3064-0052.
Estimated Number of Respondents: 4,687 insured State nonmember
banks.
Estimated Time per Response: 40.44 burden hours.
Estimated Total Annual Burden: 758,169 burden hours.
The estimated time per response for 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
Call Report is estimated to range from 17 to 665 hours per quarter,
depending on an individual institution's circumstances.
2. Report Title: Thrift Financial Report (TFR).
Form Number: OTS 1313 (for savings associations).
Frequency of Response: Quarterly; Annually.
Affected Public: Business or other for-profit.
OTS
OMB Number: 1550-0023.
Estimated Number of Respondents: 731 savings associations.
Estimated Time per Response: 60.3 hours average for quarterly
schedules and 2.0 hours average for schedules required only annually
plus recordkeeping of an average of one hour per quarter.
Estimated Total Annual Burden: 183,943 burden hours.
3. Report Titles: Report of Assets and Liabilities of U.S. Branches
and Agencies of Foreign Banks; Report of Assets and Liabilities of a
Non-U.S. Branch that is Managed or Controlled by a U.S. Branch or
Agency of a Foreign (Non-U.S.) Bank.
Form Numbers: FFIEC 002; FFIEC 002S.
Board
OMB Number: 7100-0032.
Frequency of Response: Quarterly.
Affected Public: U.S. branches and agencies of foreign banks.
Estimated Number of Respondents: FFIEC 002--236; FFIEC 002S--57.
Estimated Time per Response: FFIEC 002--25.43 hours; FFIEC 002S--6
hours.
Estimated Total Annual Burden: FFIEC 002--24,003 hours; FFIEC
002S--1,368 hours.
General Description of Reports
These information collections are mandatory: 12 U.S.C. 161 (for
national banks), 12 U.S.C. 324 (for State member banks), 12 U.S.C. 1817
(for insured State nonmember commercial and savings banks), 12 U.S.C.
1464 (for savings associations), and 12 U.S.C. 3105(c)(2), 1817(a), and
3102(b) (for U.S. branches and agencies of foreign banks). Except for
selected data items, the Call Report, the TFR, and the FFIEC 002 are
not given confidential treatment. The FFIEC 002S is given confidential
treatment [5 U.S.C. 552(b)(4)].
Abstracts
Call Report and TFR: Institutions submit Call Report and TFR 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 and TFR data provide the most
current statistical data available for evaluating institutions'
corporate applications, identifying areas of focus for both on-site and
off-site examinations, and monetary and other public policy purposes.
The agencies use Call Report and TFR data in evaluating interstate
merger and acquisition applications to determine, as required by law,
whether the resulting institution would control more than ten
[[Page 14462]]
percent of the total amount of deposits of insured depository
institutions in the United States. Call Report and TFR data also are
used to calculate all institutions' deposit insurance and Financing
Corporation assessments, national banks' semiannual assessment fees,
and the OTS's assessments on savings associations.
FFIEC 002 and FFIEC 002S: On a quarterly basis, all U.S. branches
and agencies of foreign banks are required to file the FFIEC 002, which
is a detailed report of condition with a variety of supporting
schedules. This information is used to fulfill the supervisory and
regulatory requirements of the International Banking Act of 1978. The
data also are used to augment the bank credit, loan, and deposit
information needed for monetary policy and other public policy
purposes. The FFIEC 002S is a supplement to the FFIEC 002 that collects
information on assets and liabilities of any non-U.S. branch that is
managed or controlled by a U.S. branch or agency of the foreign bank.
Managed or controlled means that a majority of the responsibility for
business decisions (including, but not limited to, decisions with
regard to lending or asset management or funding or liability
management) or the responsibility for recordkeeping in respect of
assets or liabilities for that foreign branch resides at the U.S.
branch or agency. A separate FFIEC 002S must be completed for each
managed or controlled non-U.S. branch. The FFIEC 002S must be filed
quarterly along with the U.S. branch or agency's FFIEC 002. The data
from both reports are used for: (1) Monitoring deposit and credit
transactions of U.S. residents; (2) monitoring the impact of policy
changes; (3) analyzing structural issues concerning foreign bank
activity in U.S. markets; (4) understanding flows of banking funds and
indebtedness of developing countries in connection with data collected
by the International Monetary Fund and the Bank for International
Settlements that are used in economic analysis; and (5) assisting in
the supervision of U.S. offices of foreign banks. The Federal Reserve
System collects and processes these reports on behalf of the OCC, the
Board, and the FDIC.
Current Actions
I. Deposit Insurance Assessment Base
In recent years, the FDIC has charged insured depository
institutions (IDIs) an amount for deposit insurance equal to the
deposit insurance assessment base times a risk-based assessment rate.
Under this assessment system, which is set forth in part 327 of the
FDIC's regulations (12 CFR part 327), the assessment base has been
domestic deposits minus a few allowable exclusions, such as pass-
through reserve balances. At present, an IDI reports its assessment
base on a quarter-end basis in its regulatory report (Call Report, TFR,
or FFIEC 002 report, as appropriate). However, the assessment base is
reported on a daily average basis by larger institutions (that is,
those with $1 billion or more in total assets), institutions insured by
the FDIC after March 31, 2007, and other IDIs that elect to do so.
The FDIC calculates an initial base assessment rate (IBAR) for each
IDI based on CAMELS ratings, a number of inputs derived from data the
IDI reports in its regulatory report, and, for large institutions that
have long-term debt issuer ratings, from these ratings. Under the
existing assessment system, an IDI's total base assessment rate can
vary from the IBAR as the result of three possible adjustments: the
unsecured debt adjustment, the secured liability adjustment, and the
brokered deposit adjustment.
The Dodd-Frank Wall Street Reform and Consumer Protection Act (the
Dodd-Frank Act) (Pub. L. 111-203, July 21, 2010) requires the FDIC to
amend its regulations to redefine the assessment base used for
calculating deposit insurance assessments. Specifically, section 331(b)
of the Dodd-Frank Act (to be codified at 12 U.S.C. 1817(nt)) directs
the FDIC:
[T]o define the term `assessment base' with respect to an
insured depository institution * * * as an amount equal to
(1) The average consolidated total assets of the insured
depository institution during the assessment period; minus
(2) The sum of --
(A) the average tangible equity of the insured depository
institution during the assessment period; and
(B) In the case of an insured depository institution that is a
custodial bank (as defined by the Corporation, based on factors
including the percentage of total revenues generated by custodial
businesses and the level of assets under custody) or a banker's bank
(as that term is used in * * * (12 U.S.C. 24)), an amount that the
Corporation determines is necessary to establish assessments
consistent with the definition under section 7(b)(1) of the Federal
Deposit Insurance Act (12 U.S.C. 1817(b)(1) for a custodial bank or
a banker's bank.
On February 7, 2011, the FDIC Board of Directors adopted a final
rule that implements the requirements of section 331(b) of the Dodd-
Frank Act by amending part 327 of the FDIC's regulations to redefine
the assessment base used for calculating deposit insurance assessments
effective April 1, 2011.\1\ In general, the FDIC's final rule requires
that all IDIs report average consolidated total assets in conformance
with existing Call Report calculation requirements, except that
institutions with assets of $1 billion or more and all newly insured
depository institutions must report this average based on daily
balances during the calendar quarter. Institutions with less than $1
billion in assets may report average consolidated total assets based on
weekly balances during the calendar quarter, unless they choose to
report daily averages. However, once an institution begins to report
using daily averages, it must continue to do so.
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\1\ 76 FR 10672, February 25, 2011.
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In the case of an IDI that is the parent company of other IDIs, the
FDIC's final rule requires that the parent IDI report its daily or
weekly average consolidated total assets without consolidating its IDI
subsidiaries into the calculations. For IDIs with consolidated
subsidiaries that are not IDIs, the FDIC's final rule provides that
these subsidiaries' assets, including those eliminated in
consolidation, must be calculated using a daily or weekly averaging
method, corresponding to the daily or weekly averaging requirement of
the parent institution. Call Report instructions in effect for the
quarter for which data are being reported will govern the calculation
of the average amount of subsidiaries' assets, including those
eliminated in consolidation. Current Call Report instructions state
that, for purposes of consolidation, the date of the financial
statements of a subsidiary should, to the extent practicable, match the
date of the parent institution's financial statements, but in no case
differ by more than one quarter. However, under the FDIC's final rule,
once an institution reports the average amount of subsidiaries' assets,
including those eliminated in consolidation, using concurrent data, the
institution must do so for all subsequent quarters.
The FDIC's final rule uses Tier 1 capital as the measure for
tangible equity. In general, the final rule requires institutions with
assets of $1 billion or more and all newly insured institutions to
report the average of the current quarter's month-end balances of Tier
1 capital, but allows an institution with less than $1 billion in
average consolidated total assets to report the end-of-quarter amount
of Tier 1 capital as its average tangible equity. An institution with
less than $1 billion in average consolidated total assets may elect
permanently to report average tangible equity capital using the current
quarter's month-end balances.
[[Page 14463]]
Under the FDIC's final rule, an IDI with one or more IDI
subsidiaries must report average tangible equity (or end-of-quarter
tangible equity, as appropriate) without consolidating its IDI
subsidiaries into the calculations. An IDI that reports average
tangible equity using a monthly averaging method and has subsidiaries
that are not IDIs must use monthly average data for the subsidiaries.
The monthly average data for these subsidiaries, however, may be
calculated using data for the current quarter or the prior quarter
consistent with the method used for these subsidiaries' data when
reporting average consolidated total assets.
For a banker's bank, the final rule provides for the deduction of
certain assets from its assessment base, as permitted by the Dodd-Frank
Act, provided the bank conducts at least 50 percent of its business
with entities other than its parent holding company or entities other
than those controlled directly or indirectly by its parent holding
company. For a qualifying banker's bank, this deduction equals the sum
of its average balances due from Federal Reserve Banks plus its average
Federal funds sold. However, the amount of this deduction cannot exceed
the sum of the banker's bank's average deposits due to commercial banks
and other depository institutions in the United States plus its average
Federal funds purchased. These averages would be calculated on a daily
or weekly basis consistent with the banker's bank's calculation of its
average consolidated total assets.
The FDIC's final rule defines a custodial bank as an IDI that had
``fiduciary and custody and safekeeping assets'' of at least $50
billion as of the end of the previous calendar year or gross fiduciary
and related services income of at least 50 percent of its total revenue
(interest income plus noninterest income) during the previous calendar
year. Consistent with the Dodd-Frank Act, the final rule provides for
the deduction of the daily or weekly average amount of certain low-risk
assets from the assessment base of custodial banks. These assets are
the portion of a custodial bank's cash and balances due from depository
institutions, held-to-maturity securities, available-for-sale
securities, Federal funds sold, and securities purchased under
agreements to resell that have a risk weighting for risk-based capital
purposes of zero percent, regardless of maturity, plus 50 percent of
the portion of these same five types of assets that have a risk
weighting of 20 percent, regardless of maturity. However, the amount of
the deduction of these low-risk assets is limited to the daily or
weekly average amount of the custodial bank's deposit liabilities
classified as transaction accounts and identified by the custodial bank
as being directly linked to a fiduciary, custody, or safekeeping
account.
As previously mentioned, the FDIC's existing assessment system
incorporates adjustments to the assessment rate schedule for types of
funding that pose heightened risk to the Deposit Insurance Fund (DIF)
or help offset risk to the DIF. Because the magnitude of these
adjustments has been calibrated to a domestic deposit assessment base,
the FDIC's final rule recalibrates the unsecured debt and brokered
deposit adjustments and eliminates the secured liability adjustment.
The final rule also adds a depository institution debt adjustment.
These changes should more accurately reflect the risk that these
funding mechanisms pose to the DIF.
Specifically, the FDIC's final rule changes the assessment rate
reduction for long-term unsecured liabilities so the effect of the
assessment system on an institution's cost of borrowing using long-term
unsecured debt will remain unchanged. The final rule also changes the
cap on the unsecured debt adjustment from 5 basis points to the lesser
of 5 basis points or 50 percent of an institution's IBAR to ensure that
no institution's assessment rate is zero or close to zero. In addition,
the final rule removes qualified Tier 1 capital from the definition of
long-term unsecured liabilities for small institutions because Tier 1
capital is already deducted from the assessment base as redefined by
the Dodd-Frank Act. The final rule also eliminates debt that is
redeemable within one year of the reporting date from qualifying as
long-term because such a redemption option negates the benefit to the
DIF of long-term debt.
The FDIC's final rule also creates a new Depository Institution
Debt Adjustment that would apply a 50 basis point charge to every
dollar of long-term unsecured debt (in excess of 3 percent of an
institution's Tier 1 capital) held by an IDI that was issued by another
IDI. This adjustment is intended to offset the benefit received by
institutions that issue long-term, unsecured liabilities when those
liabilities are held by other IDIs because the risk of this debt
remains in the banking system.
The FDIC's final rule retains the brokered deposit adjustment of 25
basis points times the ratio of brokered deposits in excess of 10
percent of domestic deposits, but the adjustment has been recalibrated
to the new assessment base. For small institutions, the adjustment
would continue to apply only to institutions in Risk Categories II,
III, and IV. For large institutions, the final rule provides an
exemption from the adjustment for institutions that are well-
capitalized and have a composite CAMELS rating of 1 or 2. The final
rule maintains the 10 basis points cap on the brokered deposit
adjustment.
Proposed Regulatory Reporting Changes for the New Assessment Base
The implementation of the new assessment base will require the
agencies to collect some information from IDIs that is not currently
collected on the Call Report, the TFR, or the FFIEC 002 report. These
reporting changes would take effect as of the June 30, 2011, report
date, which is the first quarter-end report date after the April 1,
2011, effective date of the FDIC's final rule. However, the burden of
requiring these new data items will be partly offset by deleting some
assessment data items currently collected from these regulatory
reports. More specifically, the agencies are proposing to delete the
existing data items for the total daily averages of deposit liabilities
before exclusions, allowable exclusions, and foreign deposits.\2\
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\2\ In the Call Report, items 4, 5, and 6 in Schedule RC-O--
Other Data for Deposit Insurance and FICO Assessments; in the TFR,
line items DI540, DI550, and DI560 in Schedule DI--Consolidated
Deposit Information; and in the FFIEC 002 report, items 4, 5, and 6
in Schedule O--Other Data for Deposit Insurance Assessments.
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Under the FDIC's final rule, with certain exceptions, the
assessment base for an IDI is defined as the IDI's average consolidated
total assets during the assessment period minus the IDI's average
tangible equity during the assessment period. The exceptions pertain to
banker's banks, custodial banks, and insured U.S. branches of foreign
banks. However, the starting point for the measurement of the
assessment base for banker's banks and custodial banks is average
consolidated total assets minus average tangible equity. As discussed
above, average consolidated total assets must be reported on a daily
average basis by institutions with $1 billion or more in total assets,
all newly insured institutions, and institutions with less than $1
billion in total assets that elect to do so. Institutions with less
than $1 billion in total assets (that are not newly insured) that do
not elect to report on a daily average basis must report average
consolidated total assets on a weekly average basis.
Under the FDIC's final rule, average consolidated total assets is
defined in accordance with the instructions for item 9 of Call Report
Schedule RC-K--
[[Page 14464]]
Quarterly Averages. These instructions provide that the average should
be calculated using the institution's total assets, as defined for Call
Report balance sheet (Schedule RC) purposes, except that the
institution's calculation should incorporate all debt securities (not
held for trading) at amortized cost, equity securities with readily
determinable fair values at the lower of cost or fair value, and equity
securities without readily determinable fair values at historical
cost.\3\ However, the final rule requires certain additional
adjustments to the Schedule RC-K method of calculating average
consolidated total assets for IDIs with consolidated insured depository
subsidiaries \4\ and for IDIs involved in mergers and consolidations
during the quarter.\5\
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\3\ The instructions for Call Report Schedule RC-K, item 9,
further provide that, ``to the extent that net deferred tax assets
included in the bank's total assets, if any, include the deferred
tax effects of any unrealized holding gains and losses on available-
for-sale debt securities, these deferred tax effects may be excluded
from the determination of the quarterly average for total assets. If
these deferred tax effects are excluded, this treatment must be
followed consistently over time.''
\4\ Under the final rule, section 327.5(a)(3)(ii) of the FDIC's
regulations states that ``[i]nvestments in insured depository
institution subsidiaries should be included in total assets using
the equity method of accounting'' rather than on a consolidated
basis.
\5\ Under the final rule, section 327.5(a)(1)(iii) of the FDIC's
regulations states that ``[t]he average calculation of the assets of
the surviving or resulting institution in a merger or consolidation
shall include the assets of all the merged or consolidated
institutions for the days in the quarter prior to the merger or
consolidation, whether reported by the daily or weekly method.''
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Thus, to provide the FDIC with the amount of average consolidated
total assets measured in accordance with the FDIC's assessment
regulations, the agencies are proposing to add an item for this average
to Call Report Schedule RC-O and TFR Schedule DI along with an item in
which the institution would report whether it has measured the average
using the daily or weekly averaging method. For most banks, the
additional adjustments identified in the preceding paragraph will not
be applicable. Therefore, if these banks measure average total assets
for Schedule RC-K purposes using the same averaging method (daily or
weekly) they are required to use for the proposed new Schedule RC-O
item, they will be able to carry the average total assets figure
reported in Schedule RC-K over to Schedule RC-O. In contrast, for
purposes of reporting average total assets in line item SI870 of TFR
Schedule SI--Supplemental Information, savings associations do not
measure debt and equity securities in the same manner as banks.\6\
Thus, savings associations would not be able to carry the average total
assets figure currently reported in Schedule SI to the proposed new
Schedule DI item.
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\6\ In addition, savings associations are permitted to use of
month-end averaging as an alternative to daily or weekly averaging
when reporting average total assets in line item SI870.
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Under the FDIC's final rule, tangible equity is defined as Tier 1
capital. Banks currently report the amount of their Tier 1 capital as
of quarter-end in item 11 of Call Report Schedule RC-R--Regulatory
Capital.\7\ Savings associations currently report the amount of their
Tier 1 capital as of quarter-end in line item CCR20 of TFR Schedule
CCR--Consolidated Capital Requirement. Because the FDIC's final rule
reduces average consolidated total assets by average tangible equity,
the agencies are proposing to add a new item to Call Report Schedule
RC-O and TFR Schedule DI for average Tier 1 capital. In accordance with
the FDIC's final rule, average Tier 1 capital must be reported on a
monthly average basis by institutions with $1 billion or more in total
assets, all newly insured institutions, and institutions with less than
$1 billion in total assets that elect to do so. Monthly average Tier 1
capital is computed by adding Tier 1 capital as of each month-end
during the quarter and dividing by three. Institutions with less than
$1 billion in total assets (that are not newly insured) that do not
elect to report on a monthly average basis will report their quarter-
end Tier 1 capital (from Schedule RC-R or Schedule CCR, as appropriate)
as their ``average'' Tier 1 capital. As with average consolidated total
assets, IDIs with consolidated insured depository subsidiaries \8\ and
IDIs involved in mergers and consolidations during the quarter \9\ must
make certain additional adjustments when reporting average Tier 1
capital.
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\7\ For banks with financial subsidiaries, Tier 1 capital is the
amount reported in Schedule RC-R, item 11, less the adjustment for
investments in financial subsidiaries reported in Schedule RC-R,
item 28.a.
\8\ Under the final rule, section 327.5(a)(3)(ii) of the FDIC's
regulations states that such institutions should report tangible
equity ``without consolidating their insured depository institution
subsidiaries into the calculations. Investments in insured
depository institution subsidiaries should be included in total
assets using the equity method of accounting.''
\9\ Under the final rule, section 327.5(a)(2)(iii) of the FDIC's
regulations states that ``[f]or the surviving institution in a
merger or consolidation, Tier 1 capital shall be calculated as if
the merger occurred on the first day of the quarter in which the
merger or consolidation occurred.''
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The agencies also are proposing to add comparable new items for
average consolidated total assets, the averaging method used for
assets, and average tangible equity to Schedule O of the FFIEC 002
report for insured U.S. branches of foreign banks. In accordance with
the FDIC's final rule, average consolidated total assets for an insured
branch would be calculated using the total assets of the branch
(including net due from related depository institutions), as defined
for purposes of Schedule RAL--Assets and Liabilities of the FFIEC 002
report, but with debt and equity securities measured in the same manner
as in Call Report Schedule RC-K. In addition, insured branches would
calculate average consolidated total assets using a daily or weekly
averaging method, as appropriate, based on the same asset size criteria
that apply to other IDIs. Tangible equity for an insured branch would
be calculated on a monthly average or quarter-end basis, according to
the branch's size, and would be defined as eligible assets (determined
in accordance with section 347.210 of the FDIC's regulations) less the
book value of liabilities (exclusive of liabilities due to the foreign
bank's head office, other branches, agencies, offices, or wholly owned
subsidiaries).
As discussed above, the FDIC's final rule permits an institution
that is a qualifying banker's bank to deduct certain assets from its
assessment base up to a specified limit. To be a qualifying banker's
bank, an institution must meet the definition of this term in 12 U.S.C.
24 and conduct at least 50 percent of its business with entities other
than its parent holding company or entities other than those controlled
either directly or indirectly by its parent holding company.\10\
Accordingly, the agencies propose to add a yes/no question to Call
Report Schedule RC-O and TFR Schedule DI that would ask whether the
reporting institution meets both the statutory definition of a banker's
bank and the business conduct test. If the institution answers in the
affirmative (i.e., that it is a qualifying banker's bank), the
institution would then report the data needed by the FDIC to determine
the amount to be deducted from its assessment base in two proposed new
items. More specifically, a qualifying banker's bank would use the same
averaging method it used to calculate average consolidated total
assets, i.e., daily or weekly, to report the average amounts of (1) its
banker's bank deductions, which is the sum of the
[[Page 14465]]
averages of its balances due from the Federal Reserve and its Federal
funds sold, and (2) its banker's bank deduction limit, which is the sum
of the averages of its deposit balances due to commercial banks and
other depository institutions in the United States and its Federal
funds purchased.
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\10\ Banker's banks that have funds from government capital
infusion programs (such as TARP and the Small Business Lending
Fund), and stock owned by the FDIC as a result of bank failures, as
well as non-bank-owned stock resulting from equity compensation
programs, are not excluded from the definition of a banker's bank.
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Also as mentioned above, an institution that is a custodial bank is
permitted to deduct certain average low-risk assets from its assessment
base up to a specified limit. As defined in the FDIC's final rule, a
custodial bank is an IDI with previous calendar year-end ``fiduciary
and custody and safekeeping assets'' of at least $50 billion \11\ or
previous calendar year income from fiduciary activities of at least 50
percent of its previous calendar year revenue.\12\ Accordingly, as has
been proposed for banker's banks, the agencies propose to add a yes/no
question to Call Report Schedule RC-O and TFR Schedule DI that would
ask whether the reporting institution meets the definition of a
custodial bank. If the institution answers in the affirmative (i.e.,
that it is a qualifying custodial bank), the institution would then
report the data necessary for the FDIC to determine the amount to be
deducted from its assessment base in two proposed new items. In this
regard, custodial banks would report the average amount of (1)
qualifying low-risk assets and (2) transaction account deposit
liabilities linked to a fiduciary, custody, or safekeeping account.\13\
A custodial bank would compute these averages using the same averaging
method it used to calculate average consolidated total assets, i.e.,
daily or weekly. Qualifying low-risk assets are the portion of the
custodial bank's cash and balances due from depository institutions,
held-to-maturity securities, available-for-sale securities, Federal
funds sold, and securities purchased under agreements to resell (as
defined in Call Report Schedule RC--Balance Sheet, items 1, 2.a, 2.b,
3.a, and 3.b, respectively) that have a zero percent risk weight for
risk-based capital purposes plus 50 percent of the portion of these
same five types of assets that have a 20 percent risk weight.\14\
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\11\ In Call Report Schedule RC-T--Fiduciary and Related
Services Income, the sum of item 10, columns A and B, plus item 11,
column B. In TFR Schedule FS--Fiduciary and Related Services, the
sum of line items FS20, FS21, and FS280.
\12\ In the Call Report, income from fiduciary activities is
reported in Schedule RI--Income Statement, item 5.a, and total
revenue is the sum of two Schedule RI items: item 1.h, ``Total
interest income,'' and item 5.m, ``Total noninterest income.'' In
the TFR, income from fiduciary activities is reported in Schedule
FS, line item FS30, and total revenue is the sum of two line items
in Schedule SO--Consolidated Statement of Operations: line item
SO11, Total ``Interest income,'' and line item SO42, Total
``Noninterest income.''
\13\ As defined in Federal Reserve Regulation D, a ``transaction
account'' is defined in general as a deposit or account from which
the depositor or account holder is permitted to make transfers or
withdrawals by negotiable or transferable instruments, payment
orders of withdrawal, telephone transfers, or other similar devices
for the purpose of making payments or transfers to third persons or
others or from which the depositor may make third party payments at
an automated teller machine, a remote service unit, or another
electronic device, including by debit card. For purposes of the
proposed new transaction account item, custodial banks with deposits
in foreign offices would include foreign office deposit liabilities
with the characteristics of a transaction account that are linked to
fiduciary, custody, and safekeeping accounts.
\14\ In the Call Report, the types of assets that are custodial
bank low-risk assets are included, as of quarter-end, in items 34
through 37, columns C (zero percent risk weight) and D (20 percent
risk weight), of Schedule RC-R--Regulatory Capital. In the TFR, the
types of assets that are custodial bank low-risk assets are
included, as of quarter-end, in line items CCR400, CCR405, CCR409,
and CCR415 (zero percent risk weight) and in line items CCR430,
CCR435, CCR440, CCR445, and CCR450 (20 percent risk weight) of
Schedule CCR--Consolidated Capital Requirement.
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As an input to the new Depository Institution Debt adjustment
created in the FDIC's final rule, the agencies propose to add an item
to Call Report Schedule RC-O, TFR Schedule DI, and FFIEC 002 report
Schedule O in which IDIs would report the amount of their holdings of
long-term unsecured debt issued by other IDIs (as reported on the
balance sheet). Debt would be considered long-term if it has a
remaining maturity of at least one year, except if the holder has the
option to redeem the debt within the next 12 months. Unsecured debt
includes senior unsecured liabilities and subordinated debt. Senior
unsecured liabilities are unsecured liabilities that are reportable as
``Other borrowings'' by the issuing IDI on its quarterly regulatory
report, excluding any such liabilities that the FDIC has guaranteed
under the Temporary Liquidity Guarantee Program (12 CFR part 370).
Subordinated debt includes subordinated notes and debentures and
limited-life preferred stock.
Finally, the agencies are proposing to make an instructional change
to two existing Call Report and TFR items that are used to determine
the unsecured debt adjustment. For the data items for ``Unsecured
`Other borrowings' '' and ``Subordinated notes and debentures'' with a
remaining maturity of one year or less,\15\ the instructions would be
revised to include debt instruments for which the holder has the option
to redeem the debt within one year of the report date.
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\15\ In the Call Report, Schedule RC-O, items 7.a and 8.a,
respectively. In the TFR, Schedule DI, line items DI645 and DI655,
respectively.
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II. Risk-Based Assessment System for Large Insured Depository
Institutions
The FDIC's final rule amends the assessment system applicable to
large IDIs to better capture risk at the time the institution assumes
the risk, better differentiate risk among large IDIs during periods of
good economic and banking conditions based on how they would fare
during periods of stress or economic downturns, and better take into
account the losses that the FDIC may incur if a large IDI fails.
Under the FDIC's final rule, assessment rates for large IDIs will
be calculated using a scorecard that combines CAMELS ratings and
certain forward-looking financial measures to assess the risk a large
institution poses to the DIF. One scorecard will apply to most large
institutions and another to institutions that are structurally and
operationally complex or pose unique challenges and risk in the case of
failure (highly complex institutions). In general terms, a large
institution is an IDI with total assets of $10 billion or more whereas
a highly complex institution is an IDI (other than a credit card bank
\16\) with total assets of $50 billion or more that is controlled by a
U.S. holding company that has total assets of $500 billion or more or
an IDI that is a processing bank or trust company.\17\ A processing
bank or trust company generally is an IDI with total assets of $10
billion or more; total fiduciary assets of $500 billion or more; and
total non-lending interest income, fiduciary revenues (which must not
be zero), and investment banking fees for the last three years in
excess of 50 percent of total revenues.\18\
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\16\ As defined in the FDIC's final rule, a credit card bank is
an IDI for which credit card receivables plus securitized
receivables exceed 50 percent of assets plus securitized
receivables.
\17\ Under both the FDIC's final rule and the FDIC's existing
assessment regulations, an insured U.S. branch of a foreign bank is
a ``small institution'' regardless of its total assets.
\18\ See sections 327.8(f), (g), and (s) of the FDIC's
regulations for the full definitions of the terms ``large
institution,'' ``highly complex institution,'' and ``processing bank
or trust company,'' respectively. Insured U.S. branches of foreign
banks are excluded from these categories of institutions.
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The scorecard for large institutions (other than highly complex
institutions) produces two scores--a performance score and a loss
severity score--that are converted into a total score. The performance
score measures a large institution's financial performance and its
ability to withstand stress. The loss severity score measures the
relative magnitude of potential losses to the
[[Page 14466]]
FDIC in the event of a large institution's failure.
The performance score for large institutions is a weighted average
of the scores for three components: (1) Weighted average CAMELS rating
score; (2) ability to withstand asset-related stress score; and (3)
ability to withstand funding-related stress score. The score for the
ability to withstand asset-related stress is a weighted average of the
scores for four measures:
Tier 1 leverage ratio;
Concentration measure (the greater of the higher-risk
assets to the sum of Tier 1 capital and reserves score or the growth-
adjusted portfolio concentrations score);
The ratio of core earnings to average quarter-end total
assets; and
Credit quality measure (the greater of the criticized and
classified items to the sum of Tier 1 capital and reserves score or the
underperforming assets to the sum of Tier 1 capital and reserves
score).
The score for the ability to withstand funding-related stress is
the weighted average of the scores for two measures that are most
relevant to assessing a large institution's ability to withstand such
stress:
A core deposits-to-total liabilities ratio; and
A balance sheet liquidity ratio, which measures the amount
of highly liquid assets needed to cover potential cash outflows in the
event of stress.
The loss severity score for large institutions is based on a loss
severity measure that estimates the relative magnitude of potential
losses to the FDIC in the event of a large institution's failure. The
loss severity measure applies a standardized set of assumptions (based
on recent failures) regarding liability runoffs and the recovery value
of asset categories to calculate possible losses to the FDIC. Asset
loss rate assumptions are based on estimates of recovery values for
IDIs that failed or came close to failure. Run-off assumptions are
based on the actual experience of IDIs that either failed or came close
to failure from 2007 through 2009.
For highly complex institutions, there is a different scorecard
with measures tailored to the risks these institutions pose. However,
the structure and much of the scorecard for a highly complex
institution are similar to the scorecard for other large institutions.
Like the scorecard for other large institutions, the scorecard for
highly complex institutions contains a performance score and a loss
severity score. These scores are converted into a total score. The loss
severity score for highly complex institutions is calculated the same
way as the loss severity score for other large institutions.
The performance score for highly complex institutions is the
weighted average of the scores for the same three components as for
large institutions: (1) Weighted average CAMELS rating score; (2)
ability to withstand asset-related stress score; and (3) ability to
withstand funding-related stress score. However, the measures contained
in the latter two components for highly complex institutions differ
from those for large institutions.
The score for the ability to withstand asset-related stress is a
weighted average of the scores for four measures:
Tier 1 leverage ratio;
Concentration measure (the greatest of the higher-risk
assets to the sum of Tier 1 capital and reserves score, the top 20
counterparty exposure to the sum of Tier 1 capital and reserves score,
or the largest counterparty exposure to the sum of Tier 1 capital and
reserves score);
The ratio of core earnings to average quarter-end total
assets; and
Credit quality measure (the greater of the criticized and
classified items to the sum of Tier 1 capital and reserves score or the
underperforming assets to the sum of Tier 1 capital and reserves score)
and market risk measure (the weighted average of the four-quarter
trading revenue volatility to Tier 1 capital score, the market risk
capital to Tier 1 capital score, and the level 3 trading assets to Tier
1 capital score).
The score for the ability to withstand funding-related stress is
the weighted average of the scores for three measures, the first two of
which are also contained in the scorecard for large institutions:
A core deposits-to-total liabilities ratio;
A balance sheet liquidity ratio; and
An average short-term funding to average total assets
ratio.
The method for calculating the total score for large institutions
and highly complex institutions is the same. Once the performance and
loss severity scores are calculated for a large or highly complex
institution, these scores are converted to a total score. Each
institution's total score is calculated by multiplying its performance
score by a loss severity factor derived from its loss severity score.
The total score is then used to determine the IBAR for each large
institution and highly complex institution.
For complete details on the scorecards for large institutions and
highly complex institutions, including the measures used in the
calculation of performance scores and loss severity scores, see the
FDIC's final rule.
Proposed Regulatory Reporting Changes for the Revised Risk-Based
Assessment System for Large Institutions and Highly Complex
Institutions
Most of the data used as inputs to the scorecard measures for large
institutions and highly complex institutions are available from the
Call Reports and TFRs filed quarterly by these institutions, but the
data items needed to compute four scorecard measures--higher-risk
assets, top 20 counterparty exposures, the largest counterparty
exposure, and criticized/classified items--are not. With the revised
risk-based assessment system for these institutions under the FDIC's
final rule taking effect in the second quarter of 2011, the agencies
are proposing that the new data items described below for large
institutions be added to the Call Report and the TFR effective June 30,
2011, and that the new data items described below for highly complex
institutions be added to the Call Report as of that same date.\19\ In
addition, certain other data items that will be used in the scorecards
for large institutions are not currently reported in the TFR by savings
associations. The agencies are proposing to add these data items to the
TFR as of June 30, 2011, and they would be reported by savings
associations that are large institutions or report $10 billion or more
in total assets as of that or a subsequent quarter-end date. Currently,
there are about 110 IDIs with $10 billion or more in total assets that
would be affected by some or all of these additional reporting
requirements, of which 20 are savings associations.
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\19\ It is not necessary to add the data items for highly
complex institutions to the TFR because no savings associations are
expected to meet the definition of a highly complex institution. If
a savings association were to become a highly complex institution
before its proposed conversion from filing TFRs to filing Call
Reports effective March 31, 2012 (see 76 FR 7082, February 8, 2011),
the FDIC would collect the necessary data directly from the savings
association.
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The proposed new data items that would be completed by large
institutions and highly complex institutions are first discussed below
(sections A through G below), followed by a discussion of those
proposed data items that would be completed only by highly complex
institutions (sections H and I below). The proposed data items for
criticized and classified items, nontraditional mortgage loans,
subprime consumer loans, leveraged loans, top 20 counterparty
exposures, and largest counterparty exposure are currently gathered for
the FDIC's use through examination processes at large
[[Page 14467]]
institutions and are treated as confidential examination information.
The agencies are now proposing to obtain these data items directly from
each large or highly complex institution in its regular quarterly
regulatory report (Call Report or TFR) and use the reported data as
inputs to scorecard measures. Because the agencies would continue to
regard these items as examination information, the information would
continue to be accorded confidential treatment when collected via the
Call Report and TFR. Finally, publicly available data items currently
collected in the Call Report that are proposed for addition to the TFR
as new (publicly available) data items applicable to large institutions
are discussed (section J below).
A. Criticized and Classified Items--Separate data items would be
added to the Call Report for the amount of items designated Special
Mention, Substandard, Doubtful, and Loss.\20\ These four data items
would be completed by large institutions and highly complex
institutions and would cover both on- and off-balance sheet items that
are criticized and classified. These data items are now collected on a
confidential basis from all savings associations on the TFR in Schedule
VA--Consolidated Valuation Allowances and Related Data in line items
VA960, VA965, VA970, and VA975.
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\20\ Loss items would include any items graded Loss that have
not yet been written off against the allowance for loan and leases
losses (or another valuation allowance) or charged directly to
earnings, as appropriate.
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According to Appendix A of the FDIC's final rule:
Criticized and classified items include items an institution or
its primary Federal regulator have graded ``Special Mention'' or
worse and include retail items under Uniform Retail Classification
Guidelines, securities, funded and unfunded loans, other real estate
owned (ORE), other assets, and marked-to-market counterparty
positions, less credit valuation adjustments.\2\ Criticized and
classified items exclude loans and securities in trading books, and
the amount recoverable from the U.S. government, its agencies, or
government-sponsored agencies, under guarantee or insurance
provisions.
\2\ A marked-to-market counterparty position is equal to the sum
of the net marked-to-market derivative exposures for each
counterparty. The net marked-to-market derivative exposure equals
the sum of all positive marked-to-market exposures net of legally
enforceable netting provisions and net of all collateral held under
a legally enforceable CSA plus any exposure where excess collateral
has been posted to the counterparty. For purposes of the Criticized
and Classified Items/Tier 1 Capital and Reserves definition a
marked-to-market counterparty position less any credit valuation
adjustment can never be less than zero.
Saving associations that are large institutions or highly complex
institutions would complete existing line items VA960, VA965, VA970,
and VA975 in accordance with the preceding Appendix A guidance rather
than the existing TFR instructions for these four line items. All other
savings associations would continue to follow the existing TFR
instructions for these four line items.
B. Nontraditional Mortgage Loans--One item would be added to the
Call Report and the TFR for the balance sheet amount of nontraditional
1-4 family residential mortgage loans, including certain
securitizations of such mortgages. The item would be completed by large
institutions and highly complex institutions. As described in Appendix
C of the FDIC's final rule, nontraditional mortgage loans include all:
residential loan products that allow the borrower to defer repayment
of principal or interest and includes all interest-only products,
teaser rate mortgages, and negative amortizing mortgages, with the
exception of home equity lines of credit (HELOCs) or reverse
mortgages.\8, 9, 10\
For purposes of the higher-risk concentration ratio,
nontraditional mortgage loans include securitizations where more
than 50 percent of the assets backing the securitization meet one or
more of the preceding criteria for nontraditional mortgage loans,
with the exception of those securities classified as trading book.
\8\ For purposes of this rule making, a teaser-rate mortgage
loan is defined as a mortgage with a discounted initial rate where
the lender offers a lower rate and lower payments for part of the
mortgage term.
\9\ http://www.fdic.gov/regulations/laws/federal/2006/06noticeFINAL.html.
\10\ A mortgage loan is no longer considered a nontraditional
mortgage once the teaser rate has expired. An interest only loan is
no longer considered nontraditional once the loan begins to
amortize.
The amount to be reported for nontraditional mortgage loans would
include purchased credit impaired loans as defined in Financial
Accounting Standards Board Accounting Standards Codification Subtopic
310-30, Receivables--Loans and Debt Securities Acquired with
Deteriorated Credit Quality (formerly AICPA Statement of Position 03-3,
``Accounting for Certain Loans or Debt Securities Acquired in a
Transfer''). The amount to be reported would exclude amounts
recoverable on nontraditional mortgage loans from the U.S. government,
its agencies, or government-sponsored agencies, under guarantee or
insurance provisions.
C. Subprime Consumer Loans--One item would be added to the Call
Report and the TFR for the balance sheet amount of subprime consumer
loans. The item would be completed by large institutions and highly
complex institutions. According to Appendix C of the FDIC's final rule,
subprime loans include:
loans made to borrowers that display one or more of the following
credit risk characteristics (excluding subprime loans that are
previously included as nontraditional mortgage loans) at origination
or upon refinancing, whichever is more recent.
Two or more 30-day delinquencies in the last 12 months,
or one or more 60-day delinquencies in the last 24 months;
Judgment, foreclosure, repossession, or charge-off in
the prior 24 months;
Bankruptcy in the last 5 years; or
Debt service-to-income ratio of 50 percent or greater,
or otherwise limited ability to cover family living expenses after
deducting total monthly debt-service requirements from monthly
income.\11\
Subprime loans also include loans identified by an insured
depository institution as subprime loans based upon similar borrower
characteristics and securitizations where more than 50 percent of
assets backing the securitization meet one or more of the preceding
criteria for subprime loans, excluding those securities classified
as trading book.
\11\ http://www.fdic.gov/news/news/press/2001/pr0901a.html;
however, the definition in the text above excludes any reference to
FICO or other credit bureau scores.
As with nontraditional mortgages, the amount to be reported for
subprime loans would include purchased credit impaired loans, but would
exclude amounts recoverable on subprime loans from the U.S. government,
its agencies, or government-sponsored agencies, under guarantee or
insurance provisions.
D. Leveraged Loans--One item would be added to the Call Report and
the TFR for the amount of leveraged loans. The item would be completed
by large institutions and highly complex institutions. As described in
Appendix C of the FDIC's final rule, leveraged loans include:
(1) All commercial loans (funded and unfunded) with an original
amount greater than $1 million that meet any one of the conditions
below at either origination or renewal, except real estate loans;
(2) securities issued by commercial borrowers that meet any one of
the conditions below at either origination or renewal, except
securities classified as trading book; and (3) securitizations that
are more than 50 percent collateralized by assets that meet any one
of the conditions below at either origination or renewal, except
securities classified as trading book.\4, 5\
[[Page 14468]]
Loans or securities where borrower's total or senior
debt to trailing twelve-month EBITDA \6\ (i.e. operating leverage
ratio) is greater than 4 or 3 times, respectively. For purposes of
this calculation, the only permitted EBITDA adjustments are those
adjustments specifically permitted for that borrower in its credit
agreement; or
Loans or securities that are designated as highly
leveraged transactions (HLT) by syndication agent.\7\
\4\ The following guidelines should be used to determine the
``original amount'' of a loan:
(1) For loans drawn down under lines of credit or loan
commitments, the ``original amount'' of the loan is the size of the
line of credit or loan commitment when the line of credit or loan
commitment was most recently approved, extended, or renewed prior to
the report date. However, if the amount currently outstanding as of
the report date exceeds this size, the ``original amount'' is the
amount currently outstanding on the report date.
(2) For loan participations and syndications, the ``original
amount'' of the loan participation or syndication is the entire
amount of the credit originated by the lead lender.
(3) For all other loans, the ``original amount'' is the total
amount of the loan at origination or the amount currently
outstanding as of the report date, whichever is larger.
\5\ Leveraged loans criteria are consistent with guidance issued
by the Office of the Comptroller of the Currency in its
Comptroller's Handbook, http://www.occ.gov/static/publications/handbook/LeveragedLending.pdf, but do not include all of the
criteria in the handbook.
\6\ Earnings before interest, taxes, depreciation, and
amortization.
\7\ http://www.fdic.gov/news/news/press/2001/pr2801.html.
Institutions would report the balance sheet amount of leveraged
loans that have been funded. Unfunded amounts include the unused
portions of irrevocable and revocable commitments to make or purchase
leveraged loans. The amount to be reported for leveraged loans would
include purchased credit impaired loans, but would exclude amounts
recoverable on leveraged loans from the U.S. government, its agencies,
or government-sponsored agencies, under guarantee or insurance
provisions.
E. Loans Wholly or Partially Guaranteed by the U.S. Government--As
the first step in the calculation of the growth-adjusted portfolio
concentration measure for large institutions, concentration levels are
determined for each of seven loan portfolio categories:
Construction and land development loans secured by real
estate (including land loans);
Other commercial real estate loans (including loans
secured by multifamily and nonfarm nonresidential properties);
First lien 1-4 family residential mortgages (including
non-agency residential mortgage-backed securities);
Closed-end junior lien 1-4 family residential mortgages
and home equity lines of credit;
Commercial and industrial loans;
Credit card loans; and
Other consumer loans.
The concentration calculations include purchased credit impaired
loans, but exclude amounts recoverable from the U.S. government,
including its agencies and its sponsored agencies, under guarantee or
insurance provisions. In addition, for both large institutions and
highly complex institutions, one of the components of the higher risk
assets concentration measure is the amount of funded and unfunded
construction and land development loans secured by real estate
(including land loans).
The agencies separately have proposed to collect the amount of
funded loans in each of these categories that is covered by loss-
sharing agreements with the FDIC effective March 31, 2011.\21\ However,
the agencies do not collect data on the portion of funded and unfunded
loans that are wholly or partially guaranteed or insured by the U.S.
government when the guarantor or insurer is not the FDIC, nor do they
collect data on the portion of unfunded construction and land
development loan commitments covered by FDIC loss-sharing agreements.
Therefore, the agencies are proposing to add items to the Call Report
and TFR for each of the seven loan categories mentioned above in which
large institutions would report the portion of the balance sheet amount
of funded loans that is guaranteed or insured by the U.S. government,
including its agencies and its government-sponsored agencies, other
than by the FDIC under loss-sharing agreements. In addition, for the
higher risk assets concentration measure, the new item for funded U.S.
government- guaranteed or -insured construction and land development
loans would be completed by highly complex institutions. An additional
proposed new item for the portion of unfunded construction and land
development loan commitments that is guaranteed or insured by the U.S.
government, including by the FDIC, would be completed by large
institutions and highly complex institutions.
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\21\ For the Call Report, see 76 FR 5253, January 28, 2011. For
the TFR, see 76 FR 6191, February 3, 2011.
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Examples of loans to be included in the proposed new items include
those guaranteed by the Small Business Administration and insured by
the Federal Housing Administration. Institutions would exclude loans
guaranteed or insured by State or local governments, State or local
government agencies, foreign (non-U.S.) governments, and private
agencies or organizations as well as loans collateralized by securities
issued by the U.S. government, including its agencies and its
government-sponsored agencies.
F. Other Real Estate Owned Wholly or Partially Guaranteed by the
U.S. Government--When calculating the underperforming assets ratio for
large institutions and highly complex institutions, the amount of other
real estate owned (ORE) that is recoverable from the U.S. government,
including its agencies and its sponsored agencies, under guarantee or
insurance provisions is excluded from the overall amount of ORE as
reported on the balance sheet. The agencies separately have proposed to
collect data on the portion of ORE that is covered by loss-sharing
agreements with the FDIC effective March 31, 2011.\22\ Institutions
currently report certain other information on ORE that is protected in
whole or in part by a U.S. government guarantee or insurance in the
Call Report and TFR. However, the amount of ORE recoverable from the
U.S. government, other than through FDIC loss-sharing agreements,
cannot be determined from these existing Call Report and TFR data
items. Therefore, the agencies are proposing to add an item to the Call
Report and the TFR in which large institutions and highly complex
institutions would report the amount of ORE that is recoverable from
the U.S. government, including its agencies and its sponsored agencies,
under guarantee or insurance provisions, excluding any ORE covered
under FDIC loss-sharing agreements. Institutions would also exclude ORE
protected under guarantee or insurance provisions by State or local
governments, State or local government agencies, foreign (non-U.S.)
governments, and private agencies or organizations.
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\22\ See footnote 21.
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G. Core Deposit Ratio--One item would be added to the Call Report
and TFR to support the calculation of the core deposits/total
liabilities ratio. Appendix A of the FDIC's final rule states that that
this ratio equals ``[t]otal domestic deposits excluding brokered
deposits and uninsured non-brokered time deposits divided by total
liabilities.'' Large institutions and highly complex institutions would
complete a new item for the amount of their
[[Page 14469]]
nonbrokered time deposits of more than $250,000. The agencies currently
collect the other components of this ratio in the Call Report and the
TFR.
H. Top 20 Counterparty Exposures--An item would be added to the
Call Report for the total amount of the institution's 20 largest
counterparty exposures, which would be completed only by highly complex
institutions. According to Appendix A of the FDIC's final rule:
Counterparty exposure is equal to the sum of Exposure at Default
(EAD) associated with derivatives trading and Securities Financing
Transactions (SFTs) and the gross lending exposure (including all
unfunded commitments) for each counterparty or borrower at the
consolidated entity level [of the counterparty].\1\
\1\ EAD and SFTs are defined and described in the compilation
issued by the Basel Committee on Banking Supervision in its June
2006 document, ``International Convergence of Capital Measurement
and Capital Standards.'' The definitions are described in detail in
Annex 4 of the document. Any updates to the Basel II capital
treatment of counterparty credit risk would be implemented as they
are adopted. http://www.bis.org/publ/bcbs128.pdf.
I. Largest Counterparty Exposure--An item would be added to the
Call Report for the amount of the institution's largest counterparty
exposure, which would be completed only by highly complex institutions.
The counterparty exposure would be measured as described above for the
top 20 counterparty exposures.
J. Items for Addition to the TFR--As previously mentioned, certain
data items used in the scorecards for large institutions are not
currently reported in the TFR by savings associations, but are reported
in the Call Report.
In particular, trading assets are only reported as a supplemental
item on the TFR (line item SI375 in Schedule SI) and trading
liabilities are not reported at all. Thus, when evaluating the
composition of the balance sheet in TFR Schedule SC--Consolidated
Statement of Condition, the asset and liability categories presented in
the schedule combine amounts held for trading with amounts held for
purposes other than trading. In contrast, the Call Report balance sheet
(Schedule RC) includes separate line items for trading assets and
trading liabilities, and banks that reported average trading assets of
$2 million or more in any of the four preceding calendar quarters must
complete a separate trading schedule (Schedule RC-D) that provides
detailed information on the composition of trading assets and
liabilities.
To calculate the loss severity measure and the balance sheet
liquidity ratio in accordance with the FDIC's final rule for savings
associations that are large institutions, the agencies are proposing
that savings associations that are defined as large institutions or
report $10 billion or more in total assets in their June 30, 2011, or a
subsequent TFR would provide data on the fair value of trading assets
and liabilities included in various balance sheet asset and liability
categories reported in TFR Schedule SC. Asset categories for which the
amount of trading assets included in the category would be reported
are:
``Other Interest-Earning Deposits'' (line item SC118);
``Federal Funds Sold and Securities Purchased Under
Agreements to Resell'' (line item SC125);
``U.S. Government, Agency, and Sponsored Enterprise
Securities'' (line item SC130);
``Equity Securities Carried at Fair Value'' (line item
SC140);
``State and Municipal Obligations'' (line item SC180);
``Securities Backed by Nonmortgage Loans'' (line item
SC182);
``Other Investment Securities'' (line item SC185);
``Other Pass-Through'' mortgage-backed securities (line
item SC215);
``Other'' mortgage-backed securities (line item SC222);
Mortgage-backed securities other than the preceding two
categories (line items SC210, 217, and 219);
``Construction Loans'' (line items SC230, SC235, and
SC240);
``Revolving, Open-End Loans'' on 1-4 family residential
properties (line item SC251);
Loans ``Secured by First Liens'' on 1-4 family residential
properties (line item SC254);
Loans ``Secured by Junior Liens'' on 1-4 family
residential properties (line item SC255);
Real estate loans on ``Multifamily (5 or More) Dwelling
Units'' (line item SC 256);
Real estate loans on ``Nonresidential Property (Except
Land)'' (line item SC260) (with loans secured by nonfarm nonresidential
properties and loans secured by farmland reported separately);
Loans secured by ``Land'' (line item SC265);
``Commercial Loans'' (line item SC32);
``Credit Cards'' (line item SC328);
Other ``Consumer Loans'' (line items SC310, SC316, SC320,
SC323, SC326, and SC330);
``Other'' equity investments not carried at fair value
(line item SC540);
``Interest-Only Strip Receivables and Certain Other
Instruments'' (line item SC665); and
``Other Assets'' (line item SC689).
Liability categories for which the amount of trading liabilities
included in the category would be reported are:
Federal funds purchased (line items DI630 and DI635);
``Securities sold under agreements to repurchase'' (line
item DI641);
``Mortgage Collateralized Securities Issued: CMOs
(including REMICs)'' (line item SC740);
``Other Borrowings'' (line item SC760); and
``Other Liabilities and Deferred Income'' (line item
SC796).
Other data items the agencies are proposing to collect in the TFR
from savings associations that are large institutions or report $10
billion or more in total assets in their June 30, 2011, or a subsequent
TFR include:
Amortized cost and fair value of ``U.S. Government,
Agency, and Sponsored Enterprise Securities'' (line item SC130), with
these two amounts reported separately for held-to-maturity and
available-for-sale securities;
Real estate loans secured by farmland (not held for
trading) included in loans secured by ``Nonresidential Property'' (line
item SC260);
Loans to finance agricultural production and other loans
to farmers (not held for trading) included in ``Secured'' and
``Unsecured'' commercial loans (line items SC300 and SC303);
``Advances from Federal Home Loan Bank'' with a remaining
maturity of one year or less (included in line item SC720);
``Mortgage Collateralized Securities Issued: CMOs
(including REMICs)'' with a remaining maturity of one year or less
(included in line item SC740);
``Other Borrowings'' with a remaining maturity of one year
or less (included in line item SC760);
Commitments to fund commercial real estate, construction,
and land development loans secured by real estate (included in line
items CC105, CC290, and CC300), with amounts reported separately for
(1) 1-4 family residential construction loan commitments and (2)
commercial real estate, other construction loan, and land development
loan commitments; and
Deposits in foreign offices, Edge and Agreements
subsidiaries, and International Banking Facilities (included in line
item SC71).
As mentioned above, these proposed changes to the TFR would revise
the reporting requirements for savings associations that are large
institutions by adding data items for information not currently
collected in the TFR that banks already report in the Call Report. This
proposal is consistent with the
[[Page 14470]]
agencies' separate proposal to require all savings associations
currently filing the TFR to convert to filing the Call Report beginning
with the reporting period ending on March 31, 2012.\23\ As stated in
the agencies' TFR-to-Call Report conversion proposal, ``[t]o help
reduce the burden with converting reports, the [conversion] proposal
would: 1. Curtail all proposed changes to the TFR for 2011 that would
increase the differences between the TFR and the Call Report.'' \24\
Although the proposed changes to the TFR discussed above in this
section J of the notice are intended to achieve consistency with the
Call Report for savings associations that are large institutions,
adding these new data items to the TFR in June 2011 has the effect of
partially accelerating the conversion to the Call Report by large
savings associations. This June 2011 effective date is three quarters
sooner than the large savings associations would otherwise be required
to report this information in the Call Report upon their proposed
conversion from the TFR in March 2012.
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\23\ 76 FR 7082, February 8, 2011.
\24\ 76 FR 7085, February 8, 2011.
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Request for Comment
Public comment is requested on all aspects of this joint notice.
Comments are invited on:
(a) Whether the proposed revisions to 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. All comments will become a matter of public record.
Dated: March 7, 2011.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division,
Office of the Comptroller of the Currency.
Jennifer J. Johnson,
Secretary of the Board.
Dated at Washington, DC, this 10th day of March, 2011.
Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
Dated: March 10, 2011.
Ira L. Mills,
Paperwork Clearance Officer, Office of Chief Counsel, Office of Thrift
Supervision.
[FR Doc. 2011-6046 Filed 3-15-11; 8:45 am]
BILLING CODE 6714-01-P; 6210-01-P; 6720-01-P; 4810-33-P