Jan 26 -- The Office of the Comptroller of the Currency (OCC), Treasury; Board of Governors of the Federal Reserve System (Board); and Federal Deposit Insurance Corporation (FDIC) request comments by March 26, 2024 regarding proposed revisions to the Consolidated Reports of Condition and Income (Call Report) (FFIEC 031, FFIEC 041, and FFIEC 051), the Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101), and the Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule (FFIEC 102).
The agencies are requesting comment on proposed revisions to these collections related to the agencies' regulatory capital rule proposal that was published on September 18, 2023 (proposed capital rule). The reporting revisions are proposed to be effective as of the September 30, 2025, report date. At the end of the comment period for this notice, the FFIEC and the agencies will review any comments received to determine whether to modify the proposal in response to such comments.
On September 18, 2023, the agencies published in the Federal Register a proposed rule to revise the risk-based capital requirements for large banking organizations. The proposed changes to regulatory capital requirements apply to banking organizations subject to Category I, Category II, Category III, or Category IV standards and to banking organizations with significant trading activities, all as defined in the proposed rule. The modifications to the capital rule would result in reporting changes that affect the Call Report, FFIEC 101, and FFIEC 102.
1) Proposed Revisions to the Call Report
The agencies are proposing to revise the Call Report forms and instructions to align with the proposed capital rule. The general instructions for each version of the Call Report (FFIEC 031, FFIEC 041, and FFIEC 051) would be revised to require each bank subject to the expanded risk-based approach under the proposed capital rule to file the FFIEC 031. The agencies also propose to revise the FFIEC 031 Schedule RC–R, Part I, Regulatory Capital Components and Ratios, to align the calculation of regulatory capital for institutions subject to Category III and IV standards with the calculation used for institutions subject to Category I and II standards, subject to certain transition provisions for components of Accumulated Other Comprehensive Income (AOCI) in the proposed capital rule. To identify Category III and IV institutions subject to the transition requirements, the agencies propose to add a new response option (“2” for “Phase-out”) for item 3.a “AOCI opt-out election” on the FFIEC 031, Schedule RC–R, Part I, to be used by these institutions. The general instructions and certain item instructions to the FFIEC 031, Schedule RC–R, Part II, Risk-Weighted Assets, also would be revised to reflect AOCI transition requirements in the proposed capital rule, as applicable.
Due to the expiration of certain transition periods in the agencies' existing regulatory capital rule, the agencies are proposing to remove from Schedule RC–R, Part I, item 21, “Non-qualifying capital instruments subject to phase-out from additional tier 1 capital” and item 40, “Non-qualifying capital instruments subject to phase-out from tier 2 capital” from all versions of the Call Report. Because the calculation of tier 2 capital under the expanded risked-based approach would differ from the calculation of tier 2 capital under the existing advanced approaches rule, the agencies propose to replace FFIEC 031 Schedule RC–R, Part I, item 42.b, “(Advanced approaches institutions that exit parallel run only): Eligible credit reserves includable in tier 2 capital” with “Adjusted allowances for credit losses (AACL) includable in tier 2 capital (for institutions subject to the expanded risk-based approach)” and revise certain subtotals on FFIEC 031, Schedule RC–R, Part I, that use this item.
Finally, the agencies are proposing changes to certain definitions and terminology in the forms and instructions consistent with the proposed capital rule, including revising terminology for advanced approaches capital under the existing rule to reflect the proposed expanded risk-based approach and the scope of banking organizations using the standardized approach for counterparty credit risk (SA–CCR). Further details of the revisions described above can be found in the proposed revised FFIEC 031, FFIEC 041, and FFIEC 051 forms and instructions, which have been posted to the FFIEC website.
2) Proposed Revisions to FFIEC 101
The agencies are proposing to revise the FFIEC 101 forms and instructions to align with the proposed capital rule. Specifically, to incorporate the reporting revisions applicable to the proposed capital rule, the agencies are proposing to revise the FFIEC 101 general instructions to scope in Category III and IV banking organizations in the reporting criteria, rename and modify Schedule A to update nomenclature in connection with the proposed capital rule revisions, remove Schedule B through Schedule S of the current FFIEC 101 report, and add new schedules as described below. To maintain consistency with the proposed capital rule, the agencies are also proposing to revise the title of the FFIEC 101 report from “Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework” to “Regulatory Capital Reporting for Large Banking Organizations.” The reporting modifications would enhance comparability of the FFIEC 101 to relevant parts of the Basel Framework disclosure standard, which would increase comparability of internationally active banks. The proposed FFIEC 101 revisions aim to promote market discipline through regulatory disclosure requirements.
The agencies are requesting comment on whether there should be any further changes to the report form items or instructions developed by the agencies consistent with the proposed capital rule.
Under the proposal, reporting institutions would continue to report Schedule A, which would be renamed to Schedule RCCR, Regulatory Capital Components and Ratios, and revised to align with the requirements of the proposed capital rule. First, the agencies are proposing to revise this schedule to remove the concept of eligible credit reserves and parallel run from the report form and instructions, and rename existing item 12, “Expected credit loss that exceeds eligible credit reserves” to “AOCI transition adjustment amount (for Category III and IV institutions only)” as the item would no longer be applicable. Category III and IV institutions would report AOCI transition amounts in item 12 during the transitional period. In addition, the agencies are proposing to replace item 50, “Eligible credit reserve includable in tier 2 capital,” with “Adjusted allowances for credit losses (AACL) includable in tier 2 capital” under the expanded risk-based approach and clarify the instructions for item 27. These changes would also result in the deletions of items 77 through 90, which would no longer be needed.
As a result of the new expanded risk based-approach framework for calculating risk-weighted assets under the proposed capital rule, the agencies are proposing to update item 60, “Total risk-weighted assets (RWA),” to “Expanded total risk-weighted assets (accounting for transition provisions),” and reflect for Category I, II, III and IV banking organizations a three-year transitional period to phase-in expanded total risk-weighted assets. To implement changes under the proposed capital rule that would require Category III and IV banking organizations to use the standardized approach for counterparty credit risk (SA–CCR) for derivatives exposures for purposes of the supplementary leverage ratio (SLR), the agencies are proposing to remove references to the current exposure methodology from instructions related to reporting the SLR. Consistent with the proposed capital rule, the agencies are also proposing to update the instructions to require all banking organizations that report the FFIEC 101 to report the SLR tables. To reflect the addition of a new 40 percent credit conversion factor (CCF) for unconditionally cancelable commitments under the proposed capital rule, the agencies propose to revise the SLR Table 2 instructions to align with the change. In addition, certain items related to the reporting of regulatory capital buffer requirements would be amended to reflect the proposed capital rule. Items 4, 33, 35, 47, and 49 in current Schedule A related to transition periods in the regulatory capital rule that have expired and are no longer applicable are proposed to be eliminated. Additionally, the agencies added granularity to the items relating to derivative transactions in SLR Table 2. This granularity provides a breakout of derivative transactions that involve commercial end-users and counterparties other than commercial end-users.
Current Schedules B through S would be removed, and institutions would be required to report risk-weighted asset and exposure information in new schedules described below. The new FFIEC 101 schedules would be as follows. . . .
3) Proposed Revisions to FFIEC 102
The agencies propose to amend the FFIEC 102 forms and instructions so that relevant reporting requirements are aligned with the capital proposal. Consistent with the scope changes for applicability of the market risk capital requirements in the proposed capital rule, the agencies are proposing to revise the reporting criteria for FFIEC 102 to apply to banking organizations subject to Category I, Category II, Category III, or Category IV standards and to banking organizations with significant trading activity. As defined in the proposed capital rule, a banking organization with significant trading activity would be any banking organization with average aggregate trading assets and trading liabilities, excluding customer and proprietary broker-dealer reserve bank accounts, equal to $5 billion or more, or equal to 10 percent or more of total consolidated assets at quarter end as reported on the most recent quarterly regulatory report. The agencies intend to conform the scope of proposed reporting under the capital rule only to those institutions that are within the scope of the proposed capital rule.
To maintain consistency with the proposed capital rule and simplify the report title, the agencies are also proposing to revise the title of the FFIEC 102 report from “Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule” to “Market Risk Capital Report.”
Additionally, to implement the new market risk capital requirements framework in the proposed capital rule, the agencies propose to remove the current data collected on FFIEC 102, and to add new data collection for an institution's standardized measure for market risk and the models-based measure for market risk, if applicable. Under the proposal, the revised FFIEC 102 would be subdivided into four sections: Part I, Standardized capital requirements for market risk; Part II, Models-based capital requirements for market risk; Part III, Market risk-weighted assets; and Part IV, Memoranda, as described below. . . .
4) Proposed FFIEC 102a
In addition to the revisions described above, the agencies propose to add a separate Supervisory Market Risk Regulatory Report (FFIEC 102a) that would function as a companion to the FFIEC 102 report in implementing the proposed capital rule's revised market risk framework. The proposed Supervisory Market Risk Regulatory Report would be collected on a quarterly basis, would be confidential, and would apply only to banking organizations that calculate market risk capital requirements under the models-based measure for market risk. Under the proposal, the FFIEC 102a would be subdivided into three sections. . . .
FFIEC:
https://www.ffiec.gov/default.htm
FRN:
https://www.federalregister.gov/d/2024-01532 [9 pages]
