Risk-Based Capital Guidelines: Market Risk

Forms and Documents

Document Name	Status
1557-0247 Market Risk Supporting Statement B3 revision (NPR OMB Submission).docx Supporting Statement A	2023-11-22

IC Document Collections

IC ID	Document Title	Status
263650	Section 3.217(f)(2): Annual public disclosures (Disclosure)	New
263649	Sections 3.217(f)(1) and (f)(3): Quarterly public disclosures (Disclosure)	New
263648	Section 3.217(e): Location (Disclosure)	New
263647	Section 3.217(d): Proprietary confidential information (Disclosure)	New
263644	Section 3.223(b)(10): Historical market data (Recordkeeping)	New
263643	Sections 3.223(b)(4), (7), and (9): CVA model validation process (Recordkeeping)	New
263641	Section 3.220(b): CVA hedging policy (Recordkeeping)	New
263638	Section 3.217(c): Reporting and disclosure policy (Recordkeeping)	New
263637	Section 3.214(b)(7)(v): Weekly risk factor updates (Recordkeeping)	New
263635	Section 3.213: Profit and loss attribution (PLA) testing and backtesting (Recordkeeping)	New
263634	Section 3.203(h)(2)(ii): Securitization data (Recordkeeping)	New
263633	Sections 3.203(i) and 3.205(h): General recordkeeping (annual) (Recordkeeping)	New
263632	Section 3.203(h)(2)(i): General recordkeeping (quarterly) (Recordkeeping)	New
263631	Sections 3.203(c), 3.203(h), 3.208(h)(1)(ii)(B), and 3.214(b)(7)(iv), (vi), & (vii): Demonstrations of compliance (Recordkeeping)	New
263630	Section 3.203(g): Capital adequacy assessment (Recordkeeping)	New
263629	Section 3.203(f): Prudent valuation process (Recordkeeping)	New
263628	Section 3.203(e)(3): Internal audit function (Recordkeeping)	New
263626	Section 3.203(e)(1): Internal market risk management systems (Recordkeeping)	New
263625	Section 3.203(b)(2): Trading desk policies (Recordkeeping)	New
263624	Section 3.203(a)(2): Market risk trading and hedging strategies (Recordkeeping)	New
263623	Section 3.203(a)(1): Market risk policies and procedures (Recordkeeping)	New
263622	Section 3.224(d)(3)(ii): Mapping demonstration (Reporting)	New
263621	Sections 3.204(g)(1)(iii), 3.212(b)(2), and 3.212(c): Model related prior approvals (Reporting)	New
263619	Prior Approval reporting burdens under part 3, subpart F (Market Risk and Credit Valuation Adjustment)	New
192000	Market Risk	Removed

ICR Details

OMB Control No: 1557-0247	ICR Reference No: 202311-1557-002
Status: Received in OIRA	Previous ICR Reference No: 202205-1557-005
Agency/Subagency: TREAS/OCC	Agency Tracking No:
Title: Risk-Based Capital Guidelines: Market Risk
Type of Information Collection: Revision of a currently approved collection	Common Form ICR:  No
Type of Review Request: Regular	Date Submitted to OIRA: 11/22/2023

	Requested	Previously Approved
Expiration Date	36 Months From Approved	07/31/2025
Responses	4,178	19
Time Burden (Hours)	127,254	37,316
Cost Burden (Dollars)	0	0

---

Abstract: The OCC's market risk capital rules capture positions for which the market risk capital rules are appropriate; reduce procyclicality in market risk capital requirements; enhance the rules’ sensitivity to risks that are not adequately captured under the current regulatory measurement methodologies; and increase transparency through enhanced disclosures.

---

Authorizing Statute(s): US Code: 12 USC 1 et seq. Name of Law: National Bank Act
  

Citations for New Statutory Requirements: None

---

Associated Rulemaking Information
RIN:	Stage of Rulemaking:	Federal Register Citation:	Date:
1557-AE78	Proposed rulemaking	88 FR 64028	09/18/2023

---

Federal Register Notices & Comments

Did the Agency receive public comments on this ICR? No

---

Number of Information Collection (IC) in this ICR: 24

IC Title	Form No.	Form Name
Market Risk
Prior Approval reporting burdens under part 3, subpart F (Market Risk and Credit Valuation Adjustment)
Section 3.203(a)(1): Market risk policies and procedures (Recordkeeping)
Section 3.203(a)(2): Market risk trading and hedging strategies (Recordkeeping)
Section 3.203(b)(2): Trading desk policies (Recordkeeping)
Section 3.203(e)(1): Internal market risk management systems (Recordkeeping)
Section 3.203(e)(3): Internal audit function (Recordkeeping)
Section 3.203(f): Prudent valuation process (Recordkeeping)
Section 3.203(g): Capital adequacy assessment (Recordkeeping)
Section 3.203(h)(2)(i): General recordkeeping (quarterly) (Recordkeeping)
Section 3.203(h)(2)(ii): Securitization data (Recordkeeping)
Section 3.213: Profit and loss attribution (PLA) testing and backtesting (Recordkeeping)
Section 3.214(b)(7)(v): Weekly risk factor updates (Recordkeeping)
Section 3.217(c): Reporting and disclosure policy (Recordkeeping)
Section 3.217(d): Proprietary confidential information (Disclosure)
Section 3.217(e): Location (Disclosure)
Section 3.217(f)(2): Annual public disclosures (Disclosure)
Section 3.220(b): CVA hedging policy (Recordkeeping)
Section 3.223(b)(10): Historical market data (Recordkeeping)
Section 3.224(d)(3)(ii): Mapping demonstration (Reporting)
Sections 3.203(c), 3.203(h), 3.208(h)(1)(ii)(B), and 3.214(b)(7)(iv), (vi), & (vii): Demonstrations of compliance (Recordkeeping)
Sections 3.203(i) and 3.205(h): General recordkeeping (annual) (Recordkeeping)
Sections 3.204(g)(1)(iii), 3.212(b)(2), and 3.212(c): Model related prior approvals (Reporting)
Sections 3.217(f)(1) and (f)(3): Quarterly public disclosures (Disclosure)
Sections 3.223(b)(4), (7), and (9): CVA model validation process (Recordkeeping)

---

ICR Summary of Burden

	Total Request	Previously Approved	Change Due to New Statute	Change Due to Agency Discretion	Change Due to Adjustment in Estimate	Change Due to Potential Violation of the PRA
Annual Number of Responses	4,178	19	0	0	4,159	0
Annual Time Burden (Hours)	127,254	37,316	0	0	89,938	0
Annual Cost Burden (Dollars)	0	0	0	0	0	0

Burden increases because of Program Change due to Agency Discretion: No

Burden Increase Due to:

Burden decreases because of Program Change due to Agency Discretion: No

Burden Reduction Due to:

Short Statement: The NPR modifies the reporting, recordkeeping, and disclosure requirements of the regulatory capital rules by adding new requirements and revising existing reporting, recordkeeping, and disclosure requirements. As a result, there is an increase in burden hours of 89,938 hours.

---

Annual Cost to Federal Government:

Does this IC contain surveys, censuses, or employ statistical methods? No

Does this ICR request any personally identifiable information (see OMB Circular No. A-130 for an explanation of this term)? Please consult with your agency's privacy program when making this determination.     No

Does this ICR include a form that requires a Privacy Act Statement (see 5 U.S.C. §552a(e)(3))? Please consult with your agency's privacy program when making this determination.     No

Is this ICR related to the Affordable Care Act [Pub. L. 111-148 & 111-152]? No

Is this ICR related to the Dodd-Frank Wall Street Reform and Consumer Protection Act, [Pub. L. 111-203]? No

Is this ICR related to the American Recovery and Reinvestment Act of 2009 (ARRA)? No

Is this ICR related to the Pandemic Response? No

---

Common Form ICR:  No

---

On behalf of this Federal agency, I certify that the collection of information encompassed by this request complies with 5 CFR 1320.9 and the related provisions of 5 CFR 1320.8(b)(3).

The following is a summary of the topics, regarding the proposed collection of information, that the certification covers:

(a) It is necessary for the proper performance of agency functions;

(b) It avoids unnecessary duplication;

(c) It reduces burden on small entities;

(d) It uses plain, coherent, and unambiguous language that is understandable to respondents;

(e) Its implementation will be consistent and compatible with current reporting and recordkeeping practices;

(f) It indicates the retention periods for recordkeeping requirements;

(g) It informs respondents of the information called for under 5 CFR 1320.8 (b)(3) about:

(i) Why the information is being collected;

(ii) Use of information;

(iii) Burden estimate;

(iv) Nature of response (voluntary, required for a benefit, or mandatory);

(v) Nature and extent of confidentiality; and

(vi) Need to display currently valid OMB control number;

(h) It was developed by an office that has planned and allocated resources for the efficient and effective management and use of the information to be collected.

(i) It uses effective and efficient statistical survey methodology (if applicable); and

(j) It makes appropriate use of information technology.

If you are unable to certify compliance with any of these provisions, identify the item by leaving the box unchecked and explain the reason in the Supporting Statement.

Certification Date: 11/22/2023

---