Instructions for the Capital Assessments ... - Federal Reserve

OMB No. 7100-0341

Expiration Date: December 31, 2022

Instructions for the

Capital Assessments and Stress Testing information collection

(Reporting Form FR Y-14Q)

This Report is required by law: section 5 of the Bank Holding Company Act of 1956 (12 U.S.C. ¡ì 1844), section 10 of the

Home Owners¡¯ Loan Act (12 U.S.C. ¡ì 1467a(b)), and section 8 of the International Banking Act of 1978 (12 U.S.C. ¡ì 3106).

Public reporting burden for this information collection is estimated to average 1,944 hours per response, including time

to gather and maintain data in the required form and to review instructions and complete the information collection.

Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for

reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets,

NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork Reduction Project (7100©\0341),

Washington, DC 20503.

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Contents

GENERAL INSTRUCTIONS .................................................................................................................................................. 4

WHO MUST REPORT................................................................................................................................................................................ 4

WHERE TO SUBMIT THE REPORTS ............................................................................................................................................................ 6

WHEN TO SUBMIT THE REPORTS .............................................................................................................................................................. 6

HOW TO PREPARE THE REPORTS: ............................................................................................................................................................ 7

Schedule A ¨C Retail ............................................................................................................................................................ 11

A.1 ¨C INTERNATIONAL AUTO LOAN........................................................................................................................................................ 11

A.2 ¨C US AUTO LOAN ............................................................................................................................................................................ 16

A.3 ¨C INTERNATIONAL CREDIT CARD ..................................................................................................................................................... 22

A.4 ¨C INTERNATIONAL HOME EQUITY .................................................................................................................................................... 26

A.5 ¨C INTERNATIONAL FIRST LIEN MORTGAGE ...................................................................................................................................... 30

A.6 ¨C INTERNATIONAL OTHER CONSUMER SCHEDULE ............................................................................................................................ 34

A.7 ¨C US OTHER CONSUMER ................................................................................................................................................................. 37

A.8 ¨C INTERNATIONAL SMALL BUSINESS ................................................................................................................................................ 40

A.9 ¨C US SMALL BUSINESS..................................................................................................................................................................... 43

A.10 ¨C STUDENT LOAN ......................................................................................................................................................................... 46

Schedule B¡ªSecurities .................................................................................................................................................... 50

B.1¡ªSECURITIES 1 (¡°MAIN SCHEDULE¡±) .............................................................................................................................................. 50

B.2¡ªSECURITIES 2 (¡°INVESTMENT SECURITIES WITH DESIGNATED ACCOUNTING HEDGES¡±) .................................................................. 56

Schedule C¡ªRegulatory Capital Instruments ............................................................................................................. 60

C.1¡ªREGULATORY CAPITAL AND SUBORDINATED DEBT INSTRUMENTS AS OF QUARTER END ................................................................ 60

C.2¡ªREGULATORY CAPITAL AND SUBORDINATED DEBT INSTRUMENT REPURCHASES/REDEMPTIONS DURING QUARTER....................... 61

C.3 ¨C REGULATORY CAPITAL AND SUBORDINATED DEBT INSTRUMENTS ISSUANCES DURING QUARTER ................................................... 62

Schedule D¡ªRegulatory Capital .................................................................................................................................... 68

Schedule E¡ªOperational Risk ........................................................................................................................................ 72

E.1¡ªOPERATIONAL LOSS HISTORY ....................................................................................................................................................... 72

E.2. INTERNAL BUSINESS LINE .............................................................................................................................................................. 79

E.3. UNIT©\OF©\MEASURE (UOM) ........................................................................................................................................................... 80

E.4. THRESHOLD INFORMATION............................................................................................................................................................ 80

E.5¡ªLEGAL RESERVES FREQUENCY ....................................................................................................................................................... 81

Schedule F¡ªTrading ........................................................................................................................................................ 84

GLOSSARY ............................................................................................................................................................................................. 86

REGIONAL GROUPINGS .......................................................................................................................................................................... 88

F.1¡ªEQUITY BY GEOGRAPHY ............................................................................................................................................................... 90

F.2¡ªEQUITY SPOT©\VOL GRID .............................................................................................................................................................. 91

F.3¡ªOTHER EQUITY ............................................................................................................................................................................ 92

F.4¡ªFX SPOT SENSITIVITIES................................................................................................................................................................ 93

F.5¡ªFX VEGA...................................................................................................................................................................................... 94

F.6¡ªRATES DV01............................................................................................................................................................................... 95

F.7¡ªRATES VEGA ................................................................................................................................................................................ 97

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F.8¡ªOTHER RATES.............................................................................................................................................................................. 98

F.9¡ªENERGY ....................................................................................................................................................................................... 99

F.10¡ªMETALS .................................................................................................................................................................................. 100

F.11¡ªAGS & SOFTS ........................................................................................................................................................................... 101

F.12¡ªCOMMODITY INDICES ............................................................................................................................................................... 102

F.13¡ªCOMMODITY SPOT©\VOL GRIDS ................................................................................................................................................. 103

F.14¡ªSECURITIZED PRODUCTS .......................................................................................................................................................... 105

F.15¡ªAGENCIES ................................................................................................................................................................................ 106

F.16¡ªMUNIS ..................................................................................................................................................................................... 107

F.17¡ªAUCTION RATE SECURITIES (ARS) .......................................................................................................................................... 108

F.18¡ªCORPORATE CREDIT©\ADVANCED .............................................................................................................................................. 109

F.19¡ªCORPORATE CREDIT©\EMERGING MARKETS............................................................................................................................... 111

F.20¡ªSOVEREIGN CREDIT ................................................................................................................................................................. 113

F.21¡ªCREDIT CORRELATION ............................................................................................................................................................. 115

F.22¡ªIDR©\CORPORATE CREDIT ........................................................................................................................................................ 117

F.23¡ªIDR©\JUMP TO DEFAULT ........................................................................................................................................................... 119

F.24¡ªPRIVATE EQUITY ..................................................................................................................................................................... 120

F.25¡ªOTHER FAIR VALUE ASSETS ..................................................................................................................................................... 121

Schedule G¡ªPPNR .......................................................................................................................................................... 122

G.1¡ªPPNR SUBMISSION WORKSHEET ............................................................................................................................................... 125

G.2¡ªPPNR NET INTEREST INCOME (NII) WORKSHEET ..................................................................................................................... 139

G.3¡ªPPNR METRICS ........................................................................................................................................................................ 147

Schedule H¡ªWholesale Risk ........................................................................................................................................ 159

H.1 ©\ CORPORATE LOAN DATA SCHEDULE........................................................................................................................................... 159

H.2 ¨C COMMERCIAL REAL ESTATE SCHEDULE ..................................................................................................................................... 211

Schedule J ¨C Retail Fair Value Option/Held for Sale (FVO/HFS) ............................................................................ 244

Schedule K ©\ Supplemental ............................................................................................................................................ 247

Schedule L ©\ Counterparty ............................................................................................................................................. 250

Schedule M¡ªBalances ................................................................................................................................................... 280

Appendix A: FR Y©\14Q Supporting Documentation ................................................................................................. 287

SUPPORTING DOCUMENTATION FOR SCHEDULE C ¨C REGULATORY CAPITAL INSTRUMENTS .................................................................... 287

SUPPORTING DOCUMENTATION FOR SCHEDULE D ¨C REGULATORY CAPITAL TRANSITIONS ..................................................................... 287

SUPPORTING DOCUMENTATION FOR SCHEDULE L ¨C COUNTERPARTY ..................................................................................................... 287

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INSTRUCTIONS FOR PREPARATION OF

Capital Assessments and Stress Testing Report

FR Y©\14Q

GENERAL INSTRUCTIONS

The Capital Assessments and Stress Testing Report (FR Y-14Q report) collects detailed data on bank holding

companies¡¯ (BHCs) and intermediate holding companies¡¯ (IHCs) and covered savings and loan holding

companies¡¯ (SLHCs)1 various asset classes, capital components, and categories of pre-provision net revenue

(PPNR) on a quarterly basis, which will be used to support supervisory stress testing models and for continuous

monitoring efforts.

The FR Y-14Q report is comprised of Retail, Securities, Regulatory Capital Instruments, Regulatory Capital

Transitions, Operational, Trading, PPNR, Wholesale, MSR Valuation Schedule, Retail Fair Value Option/Held for

Sale, Supplemental, Counterparty and Balances schedules, each with multiple supporting worksheets. All of the

data schedules are to be submitted for each reporting period unless materiality thresholds apply. The number of

schedules a BHC or IHC must complete is subject to materiality thresholds and certain other criteria.

BHCs and IHCs may also be required to submit qualitative information supporting their projections, including

descriptions of the methodologies used to develop the internal projections of capital across scenarios and other

analyses that support their comprehensive capital plans. Further information regarding the qualitative and

technical requirements of required supporting documentation is provided in individual schedules as

appropriate, as well as in the Supporting Documentation instructions (Appendix A). When submitting supporting

documentation, provide each response in a separate document.

Who Must Report

A. Reporting Criteria

Bank holding companies (BHCs) with total consolidated assets of $100 billion or more, and intermediate

holding companies (IHCs) with total consolidated assets of $100 billion or more, as defined by the capital plan

rule (12 CFR 225.8), are required to submit the Capital Assessment and Stress Testing report (FR Y-14A/Q/M)

to the Federal Reserve. Covered SLHCs with total consolidated assets of $100 billion or more, as defined by the

Board¡¯s rule on savings and loan holding companies (12 CFR part 238), are required to submit the Capital Assessment

and Stress Testing report (FR Y14A/Q/M) to the Federal Reserve.2 The capital plan and savings and loan holding

company rules define total consolidated assets as the average of the company¡¯s total consolidated assets over

the course of the previous four calendar quarters, as reflected on the BHC¡¯s, IHC¡¯s or SLHC¡¯s Consolidated

Financial Statement for Bank Holding Companies (FR Y¨C9C). Total assets shall be calculated based on the due

date of the bank or intermediate holding company¡¯s most recent FR Y¨C9C. If the BHC, IHC or SLHC has not filed

an FR Y-9C for each of the four most recent quarters, the average of the BHC¡¯s,IHC¡¯s or SLHC¡¯s total

consolidated assets in the most recent consecutive quarters as reported quarterly on the BHC¡¯s, IHC¡¯s or

SLHC¡¯s FR Y-9C should be used in the calculation. Firms are required to file the FR Y-14 reports beginning with

the reporting period after the end of the quarter in which the threshold was met. For example, if a firm crossed

the $100 billion threshold on July 25 of a given year, and met the threshold based on their FR Y-9C submission

as of the end of the third quarter, the firm would be required to first report the FR Y-14Q and FR Y14A reports

as of December 31 of that year, and the FR Y-14M report as of December of that year. See ¡°When to Submit the

Reports¡± for information regarding when the reports are to be submitted to the Federal Reserve.

Certain data elements within the schedules are subject to materiality thresholds. The instructions to these data

Covered SLHCs are SLHCs that are not substantially engaged in commercial or insurance activities. See 12 CFR 217.2;

238.2(ee) (definitions of ¡°covered savings and loan holding company¡±).

2 SLHCs will begin filing the FR Y-14Q starting with the June 30, 2020, report date.

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schedules provide details on how to determine whether a BHC or IHC must submit a specific schedule,

worksheet, or data element. A BHC or IHC must fill out all of the schedules of the FR Y-14M and FR Y-14Q where

the BHC or IHC meets the materiality definition. When applicable, the definition of the BHC¡¯s or IHC¡¯s or SLHC¡¯s

submissions should correlate to the definitions outlined by the corresponding MDRM code within the FR Y-9C

report.

All schedules are required to be reported by all BHCs, IHCs and SLHCs with exceptions as described below:

PPNR, Regulatory Capital Transitions, Regulatory Capital Instruments and Balances schedules: All bank

and intermediate holding companies must submit these schedules.

PPNR and Balances schedules: All SLHCs must submit these schedules.

Trading and Counterparty schedules: Only BHCs, IHCs or SLHCs subject to supervisory stress tests and that (1)

have aggregate trading assets and liabilities of $50 billion or more, or aggregate trading assets and liabilities

equal to 10 percent or more of total consolidated assets, and (2) are not ¡°large and noncomplex firms¡± under the

Board¡¯s capital plan rule3 or SLHCs subject to Category IV standards under the Board¡¯s savings and loan holding

company rule must submit this schedule and worksheets.4

All other quarterly schedules: Reporting of the remaining schedules is subject to materiality thresholds.

For large and noncomplex firms5 and SLHCs subject to Category IV standards6: Material portfolios are

defined as those with asset balances greater than $5 billion or with asset balances greater than ten percent of

Tier 1 capital on average for the four quarters preceding the reporting quarter.

For large and complex or LISCC firms7 and SLHCs subject to Category II and III standards8:Material

portfolios are defined as those with asset balances greater than $5 billion or asset balances greater than five

percent of Tier 1 capital on average for the four quarters preceding the reporting quarter.

For schedules that require the institutions to report information on serviced loans, the materiality threshold is

based on the asset balances associated with the BHC¡¯s or IHC¡¯s or SLHC¡¯s owned portfolio. All data used to

determine materiality should be measured as of the close of business of the last calendar day of the quarter,

and assets included in a given portfolio are defined in the instructions for each schedule.

A large and noncomplex firm is defined under the capital plan rule as a firm that has average total consolidated assets of at

least $50 billion but less than $250 billion, has average total nonbank assets of less than $75 billion, and is not identified as

global systemically important bank holding company (GSIB) under the Board¡¯s rules. See 12 CFR 225.8(d)(9).

4 See the final notice (82 FR 59608) for further details regarding application of GMS for the 2018 exercise, and Trading and

Counterparty submission for firms newly subject under the modified threshold.

5 A large and noncomplex firm is a BHC or a U.S. intermediate holding company subsidiary of a foreign banking organization

(IHC) with total consolidated assets of at least $50 billion but less than $250 billion, total consolidated nonbank assets of less

than $75 billion, and is not a U.S. GSIB.

6 Category IV standards apply to covered SLHCs with $100 billion or more in total consolidated assets that do not meet the

criteria for Categories II or III. See 12 CFR 238.10.

7 A LISCC firm is a BHC subject to the Federal Reserve¡¯s Large Institution Supervisory Coordinating Committee (LISCC)

framework. A large and complex firm is a BHC, other than a LISCC firm, with total consolidated assets of $250 billion or more;

and nonbank assets of $75 billion or more.

8 Category II standards apply to covered SLHCs with greater than $700 billion in assets or $75 billion in cross-jurisdictional

activity. Category III standards apply to covered SLHCs with greater than $250 billion in assets or greater than $75 billion in

nonbank assets, short-term wholesale funding or off balance-sheet exposure. See 12 CFR 238.10.

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