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    US Regulators Seek Comments on Market Risk and Stress Test Reports

    March 10, 2022

    The Office of the Comptroller of the Currency (OCC) is seeking comments on the renewal of information collection on market risk rule while the Board of Governors of the Federal Reserve System (FED) seeks comments to extend the information collection on FR Y-14 reports for three years.

    The information collection on market risk capital rule (12 CFR Part 3, subpart F) applies to national banks and federal savings associations with significant exposure to market risk, which includes the national banks and federal savings associations with aggregate trading assets and trading liabilities equal to 10% or more of quarter-end total assets or USD 1 billion or more. The rule captures positions for which the market risk capital rule is appropriate, reduces procyclicality in market risk capital requirements, enhances the risk-sensitivity of the OCC's capital requirements by measuring risks that are not adequately captured under the requirements for credit risk, and increases transparency through enhanced disclosures. The rule enhances risk-sensitivity and includes requirements for the public disclosure of certain qualitative and quantitative information about the market risk of national banks and federal savings associations. The collection of information is necessary to ensure capital adequacy appropriate for the level of market risk. The estimated number of respondents for the information collection is 19. The comment period on this proposed notice ends on May 09, 2022.

    The proposal to revise and extend for three years the information collection on the capital assessments and stress testing reports (FR Y-14A/Q/M) ends on May 02, 2022. The data collected through the FR Y-14A/Q/M reports (FR Y-14 reports) provide FED with the information needed to help ensure that large firms have strong, firm-wide risk measurement and management processes supporting their internal assessments of capital adequacy. The proposed revisions would enable FED to better identify risk as part of the stress test, to better facilitate data reconciliation, and to mitigate ambiguity within the instructions. Data reconciliation is an important step in the stress testing analysis conducted by the Federal Reserve, as it ensures values are being reported consistently across firms. Consistent data leads to consistent treatment for stress testing purposes, which is critical, as stress testing is used to determine a firm's capital requirements via the SCB requirement. FED also proposes revisions and clarifications to the instructions. All proposed revisions would be effective for the September 30, 2022 report date for the FR Y-14Q and FR Y-14M and for the December 31, 2022 report date for the FR Y-14A.

     

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    Keywords: Americas, US, Banking, Basel, Regulatory Capital, Market Risk, Stress Testing, Information Collection, Reporting, FR Y 14, FED, OCC

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