Notice2022-04194
Agency Information Collection Activities: Comment Request
Primary source
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Published
March 1, 2022
Issuing agencies
Federal Reserve System
Abstract
The Board of Governors of the Federal Reserve System (Board) invites comment on a proposal to extend for three years, with revision, the Capital Assessments and Stress Testing Reports (FR Y-14A/Q/M; OMB No. 7100-0341).
Full Text
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<title>Federal Register, Volume 87 Issue 40 (Tuesday, March 1, 2022)</title>
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[Federal Register Volume 87, Number 40 (Tuesday, March 1, 2022)]
[Notices]
[Pages 11432-11441]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-04194]
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FEDERAL RESERVE SYSTEM
Agency Information Collection Activities: Comment Request
AGENCY: Board of Governors of the Federal Reserve System.
ACTION: Notice, request for comment.
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SUMMARY: The Board of Governors of the Federal Reserve System (Board)
invites comment on a proposal to extend for three years, with revision,
the Capital Assessments and Stress Testing Reports (FR Y-14A/Q/M; OMB
No. 7100-0341).
DATES: Comments must be submitted on or before May 2, 2022.
ADDRESSES: You may submit comments, identified by FR Y-14A/Q/M, by any
of the following methods:
<bullet> Agency Website: <a href="https://www.federalreserve.gov/">https://www.federalreserve.gov/</a>. Follow
the instructions for submitting comments at <a href="https://www.federalreserve.gov/apps/foia/proposedregs.aspx">https://www.federalreserve.gov/apps/foia/proposedregs.aspx</a>.
<bullet> Email: <a href="/cdn-cgi/l/email-protection#d0a2b5b7a3feb3bfbdbdb5bea4a390b6b5b4b5a2b1bca2b5a3b5a2a6b5feb7bfa6"><span class="__cf_email__" data-cfemail="36445351451855595b5b53584245765053525344575a4453455344405318515940">[email protected]</span></a>. Include the OMB
number or FR number in the subject line of the message.
<bullet> Fax: (202) 452-3819 or (202) 452-3102.
[[Page 11433]]
<bullet> Mail: Ann E. Misback, 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 website at
<a href="https://www.federalreserve.gov/apps/foia/proposedregs.aspx">https://www.federalreserve.gov/apps/foia/proposedregs.aspx</a> as
submitted, unless modified for technical reasons or to remove
personally identifiable information at the commenter's request.
Accordingly, comments will not be edited to remove any confidential
business information, identifying information, or contact information.
Public comments may also be viewed electronically or in paper in Room
M-4365A, 2001 C St NW, Washington, DC 20551, between 9:00 a.m. and 5:00
p.m. on weekdays. For security reasons, the Board requires that
visitors make an appointment to inspect comments. You may do so by
calling (202) 452-3684. 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.
Additionally, commenters may send a copy of their comments to the
Office of Management and Budget (OMB) Desk Officer for the Federal
Reserve Board, Office of Information and Regulatory Affairs, 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: Federal Reserve Board Clearance
Officer--Nuha Elmaghrabi--Office of the Chief Data Officer, Board of
Governors of the Federal Reserve System, Washington, DC 20551, (202)
452-3829.
SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board
authority under the Paperwork Reduction Act (PRA) to approve and assign
OMB control numbers to collections of information conducted or
sponsored by the Board. In exercising this delegated authority, the
Board is directed to take every reasonable step to solicit comment. In
determining whether to approve a collection of information, the Board
will consider all comments received from the public and other agencies.
During the comment period for this proposal, a copy of the proposed
PRA OMB submission, including the draft reporting form and
instructions, supporting statement, and other documentation, will be
made available on the Board's public website at <a href="https://www.federalreserve.gov/apps/reportforms/review.aspx">https://www.federalreserve.gov/apps/reportforms/review.aspx</a> or may be requested
from the agency clearance officer, whose name appears above. Final
versions of these documents will be made available at <a href="https://www.reginfo.gov/public/do/PRAMain">https://www.reginfo.gov/public/do/PRAMain</a>, if approved.
Request for Comment on Information Collection Proposal
The Board invites public comment on the following information
collections, which are being reviewed under authority delegated by the
OMB under the PRA. Comments are invited on the following:
a. Whether the proposed collections of information are necessary
for the proper performance of the Board's functions, including whether
the information has practical utility;
b. The accuracy of the Board's estimate of the burden of the
proposed information collections, 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 collection on
respondents, including through the use of automated collection
techniques or other forms of information technology; and
e. Estimates of capital or startup costs and costs of operation,
maintenance, and purchase of services to provide information.
At the end of the comment period, the comments and recommendations
received will be analyzed to determine the extent to which the Board
should modify the proposal.
Proposal Under OMB Delegated Authority To Extend for Three Years, With
Revision, the Following Information Collections
Report title: Capital Assessments and Stress Testing Reports.
Agency form number: FR Y-14A/Q/M.
OMB control number: 7100-0341.
Frequency: Annually, quarterly, and monthly.
Respondents: These collections of information are applicable to
bank holding companies (BHCs), U.S. intermediate holding companies
(IHCs), and savings and loan holding companies (SLHCs) with $100
billion or more in total consolidated assets, as based on: (i) The
average of the firm's total consolidated assets in the four most recent
quarters as reported quarterly on the firm's Consolidated Financial
Statements for Holding Companies (FR Y-9C); or (ii) if the firm has not
filed an FR Y-9C for each of the most recent four quarters, then the
average of the firm's total consolidated assets in the most recent
consecutive quarters as reported quarterly on the firm's FR Y-9C.
Reporting is required as of the first day of the quarter immediately
following the quarter in which the respondent meets this asset
threshold, unless otherwise directed by the Board.
Estimated number of respondents: FR Y-14A/Q: 36; FR Y-14M: 34; \1\
FR Y-14 On-going Automation Revisions: 36; FR Y-14 Attestation On-
going: 8.
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\1\ The estimated number of respondents for the FR Y-14M is
lower than for the FR Y-14Q and FR Y-14A because, in recent years,
certain respondents to the FR Y-14A and FR Y-14Q have not met the
materiality thresholds to report the FR Y-14M due to their lack of
mortgage and credit activities. The Board expects this situation to
continue for the foreseeable future.
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Estimated average hours per response: FR Y-14A: 1,330 hours; FR Y-
14Q: 1,999 hours; FR Y-14M: 1,071 hours; FR Y-14 On-going Automation
Revisions: 480 hours; FR Y-14 Attestation On-going: 2,560 hours.
Estimated annual burden hours: FR Y-14A: 47,880 hours; FR Y-14Q:
287,852 hours; FR Y-14M: 436,968 hours; FR Y-14 On-going Automation
Revisions: 17,280 hours; FR Y-14 Attestation On-going: 20,480 hours.
General description of report: This family of information
collections is composed of the following three reports:
<bullet> The annual FR Y-14A collects quantitative projections of
balance sheet, income, losses, and capital across a range of
macroeconomic scenarios and qualitative information on methodologies
used to develop internal projections of capital across scenarios.\2\
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\2\ In certain circumstances, a firm may be required to re-
submit its capital plan. See 12 CFR 225.8(e)(4); 12 CFR
238.170(e)(4). Firms that must re-submit their capital plan
generally also must provide a revised FR Y-14A in connection with
their resubmission.
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<bullet> The quarterly FR Y-14Q collects granular data on various
asset classes, including loans, securities, trading assets, and pre-
provision net revenue (PPNR) for the reporting period.
<bullet> The monthly FR Y-14M is comprised of three retail
portfolio- and loan-level schedules, and one detailed address-matching
schedule to supplement two of the portfolio- and loan-level schedules.
The data collected through the FR Y-14A/Q/M reports (FR Y-14
reports) provide the Board 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 and
that their capital resources are
[[Page 11434]]
sufficient, given their business focus, activities, and resulting risk
exposures. The data within the reports are used to set firms' stress
capital buffer (SCB) requirements. The data are also used to support
other Board supervisory efforts aimed at enhancing the continued
viability of large firms, including continuous monitoring of firms'
planning and management of liquidity and funding resources, as well as
regular assessments of credit risk, market risk, and operational risk,
and associated risk management practices. Information gathered in this
data collection is also used in the supervision and regulation of
respondent financial institutions. Respondent firms are currently
required to complete and submit up to 17 filings each year: One annual
FR Y-14A filing, four quarterly FR Y-14Q filings, and 12 monthly FR Y-
14M filings. Compliance with the information collection is mandatory.
Proposed revisions: The proposed revisions would enable the Board
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. The Board 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.
General
The Board proposes to change the as-of date of the fourth quarter,
unstressed submissions of FR Y-14Q, Schedules F (Trading) and L
(Counterparty). Per the FR Y-14Q instructions, firms are required to
report these schedules the earlier of fifty-two calendar days following
the date on which they are notified of the global market shock (GMS)
date, or March 15. The instructions also state that unless the Board
requires the data to be provided over a different weekly period, firms
may provide these data as of the most recent date that corresponds to
their weekly internal risk reporting cycle as long as it falls before
the as-of date. The Board proposes to revise the instructions to allow
firms to use the most recent date that corresponds to their weekly
internal risk reporting cycles as long as it falls within the same
calendar week as the as-of date. This change would provide firms with
more flexibility in reporting these schedules and would correspond to
guidance provided in the Dodd-Frank Act Stress Test Publications: 2021
Stress Test Scenarios document.\3\
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\3\ See Board of Governors of the Federal Reserve System, Dodd-
Frank Act Stress Test Publications: 2021 Stress Test Scenarios
(Washington: Board of Governors, February 2021), <a href="https://www.federalreserve.gov/publications/stress-test-scenarios-february-2021.htm">https://www.federalreserve.gov/publications/stress-test-scenarios-february-2021.htm</a>.
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Capital
Savings and Loan Holding Companies
On February 3, 2021, the Board adopted a final rule \4\ to tailor
the requirements in the Board's capital plan rule \5\ based on risk. As
part of the final rule, the Board adopted several revisions, notably
that SLHCs would be subject to capital planning requirements beginning
with the 2022 stress testing and capital planning cycle (cycle).
Previously, SLHCs were not required to submit FR Y-14Q, Schedule C
(Regulatory capital instruments) and Schedule D (Regulatory capital)
because they were not subject to capital planning requirements.
However, given that SLHCs will now be subject to these requirements,
the Board proposes to require SLHCs to submit these schedules.\6\ This
revision would align with the spirit of the capital plan rule.
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\4\ 86 FR 7927 (February 3, 2021).
\5\ 12 CFR 225.8.
\6\ SLHC requirements for submitting the capital information
required in these schedules for the 2022 cycle is forthcoming.
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Assumptions Associated With Comprehensive Capital Analysis and Review
(CCAR) Submissions
The FR Y-14A, Schedule A (Summary) instructions describe when firms
must use ``planned capital actions'' and ``alternative capital
actions,'' but do not define either term or list the required
assumptions for reported capital actions. Because the Board did not
release CCAR instructions \7\ for the 2021 cycle, it instead issued a
CCAR Q&A (GEN0500) that contained the definitions and assumptions of
capital actions required per the capital plan rule. The Board proposes
to incorporate the definitions and assumptions of ``planned capital
actions'' and ``alternative capital actions'' previously contained in
CCAR Q&A GEN0500 into the FR Y-14A instructions to provide clarity
regarding the meaning of these terms.
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\7\ For an example of these instructions, see Board of Governors
of the Federal Reserve System, Comprehensive Capital Analysis and
Review 2020 Summary Instructions (Washington: Board of Governors,
March 2020), <a href="https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20200304a3.pdf">https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20200304a3.pdf</a>.
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Under the supervisory severely adverse (SSA) scenario CCAR
submission, firms are required to include the effects of planned
business plan changes (BPCs) and use planned capital actions. Per the
Board's capital rule,\8\ if a firm does not stay above its minimum
capital requirements, including regulatory capital buffers that may
encompass the SCB requirement, then it is subject to automatic
restrictions on capital distributions and discretionary bonus payments.
Requiring firms to assume that their planned BPCs and planned capital
actions will occur under stressed conditions has resulted in
unrealistic projections, as some or all of the planned capital actions
would not be able to materialize if firms dropped into their regulatory
capital buffers over the course of the projection horizon. Under the
Internal stress scenario, firms are required to only include the
effects of planned BPCs that the firm anticipates occurring, given the
scenario, and to use alternative capital actions. To improve
comparability between the CCAR Summary submissions under the Internal
stress and SSA scenarios, the Board proposes to revise the planned BPC
and capital action assumptions of the Summary CCAR submission under the
SSA scenario to match those of the Internal stress scenario.
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\8\ 12 CFR part 217.
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Firms are required to incorporate the effects of planned, material
BPCs in their CCAR submissions of the Summary schedule. The
instructions do not specify whether firms must also include the effects
of planned, immaterial BPCs that firms anticipate occurring over the
projection horizon under baseline or stressed conditions. For clarity,
the Board is proposing to revise the instructions to give firms the
option to include the effects of planned, immaterial BPCs in their CCAR
Summary submissions. Inclusion of the effects of planned, material BPCs
in CCAR Summary submissions will still be required.
Other Proposed Changes
The Board often provides firms the option to phase in the effects
of new accounting standards or other changes that affect the
calculation of regulatory capital through the use of transition
provisions (e.g., transitioning the impact of current expected credit
loss methodology (CECL) adoption on regulatory capital). Firms must
report
[[Page 11435]]
regulatory capital items on FR Y-14Q, Schedule D (Regulatory Capital)
exclusive of the effects of transition provisions, whereas regulatory
capital items on FR Y-9C, Schedule HC-R (Regulatory Capital) may be
reported inclusive of transition provisions if firms elect to apply the
transition provisions. As described in the Dodd-Frank Act Stress Test
2021: Supervisory Stress Test Methodology document,\9\ the Board
adjusts the numerator and denominator of the supervisory stress test
capital calculations to align with the capital rule, which includes the
effects of transition provisions. To ensure consistency with regulatory
capital balances that are used in the capital calculations of the
supervisory stress test and to improve comparability across the capital
schedules of the FR Y-14Q and FR Y-9C, the Board proposes to revise
Schedule D to remove the requirement that firms exclude the effects of
transition provisions.
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\9\ See Board of Governors of the Federal Reserve System, Dodd-
Frank Act Stress Test 2021: Supervisory Stress Test Methodology
(Washington: Board of Governors, April 2021), <a href="https://www.federalreserve.gov/publications/files/2021-april-supervisory-stress-test-methodology.pdf">https://www.federalreserve.gov/publications/files/2021-april-supervisory-stress-test-methodology.pdf</a>.
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Firms currently report the carrying value of capital instruments at
quarter-end in Column I (``Carrying value, as of quarter-end'') of FR
Y-14Q, Schedule C.1 (Regulatory capital instruments as of quarter end).
On this schedule, firms also report some components that affect the
carrying value, such as the fair value of swaps associated with the
capital instrument (Column K). Not all categories of components that
affect the carrying value have their own item, and some components may
only be applicable to certain capital instruments. The Board proposes
to add an item to capture all other changes that affect the carrying
value of an instrument that are not currently captured by the existing
component items. This item would enhance data reconciliation efforts
for Schedule C.1.
Firms report repurchases and redemptions on both FR Y-14A, Schedule
C (Regulatory capital instruments) and FR Y-14Q, Schedule C (Regulatory
capital instruments). The FR Y-14A, Schedule C instructions require
firms to report repurchases and redemptions as negative values. The FR
Y-14Q, Schedule C instructions do not specify how to report repurchases
and redemptions, and so, there is diversity in practice across firms.
For consistency between the reports, the Board proposes to require
repurchases and redemptions to be reported as negative values on FR Y-
14Q, Schedule C.
Firms report dividends on FR Y-14A, Schedule A.1.d (Capital) and
Schedule C. The instructions for dividend items on Schedules A.1.d and
C reference definitions on FR Y-9C, Schedule HI-A (Changes in holding
company equity capital). On Schedule HI-A, firms report values on a
year-to-date basis, while most items on Schedules A.1.d and C are
reported on a quarter-to-date basis. As a result, some firms have
reported dividend items on a year-to-date basis, while others report
values on a quarter-to-date basis. To remove ambiguity, the Board
proposes to revise the instructions for the following items to specify
that these items must be reported on a quarter-to-date basis:
<bullet> ``Cash dividends declared on preferred stock'' (Schedule
A.1.d, item 12; Schedule C item 116); and
<bullet> ``Cash dividends declared on common stock'' (Schedule
A.1.d, items 13 and 117; Schedule C, item 117).
Firms are required to report issuances of capital and subordinated
debt instruments on FR Y-14Q, Schedule C.3 (Regulatory capital and
subordinated debt instruments issuances during quarter). The
instructions do not specify whether subordinated debt instruments that
were acquired must be reported on Schedule C.3. Such instruments were
not issued by a firm but are new to a firm's balance sheet. Given that
these instruments are new to a firm's balance sheet, the Board proposes
to revise the instructions to state that subordinated debt instruments
acquired via a merger or acquisition must be reported on Schedule C.3.
The Board proposes to further clarify that firms must also report on
Schedule C.3 situations in which a Committee on Uniform Securities
Identification Procedures (CUSIP) number for a subordinated debt
instrument changes, even if the terms of the instrument did not change.
This revision would ensure that CUSIP number changes are properly
captured.
Firms are required to report the unamortized discounts/premiums,
fees, and foreign exchange translation impacts as of quarter-end in
Column J of FR Y-14Q, Schedule C.1. However, there is inconsistency
across firms in terms of whether discounts and premiums must be
reported as positive or negative values. To remove ambiguity, the Board
proposes to clarify that unamortized amounts of discounts must be
reported as positive values and unamortized amounts of premiums must be
reported as negative values. These revisions would standardize the
reporting of this item.
To further enhance data reconciliation efforts, the Board proposes
to add four items to FR Y-14Q, Schedule C.1. The specific items the
Board proposes to add are:
<bullet> ``Interest expense for the quarter (net of swaps);''
<bullet> ``Interest expense for the quarter (with swaps, excluding
any gains or losses due to the fair value adjustment of ASC 185/FAS 133
hedges);''
<bullet> ``Interest expense for the quarter (with swaps, this
number should reconcile to the quarterly number reported in FR Y-9C
BHCK4397 for all subordinated debt instruments);'' and
<bullet> ``Fair value adjustment at the quarter end for
subordinated debt securities that are carried at fair value.''
The addition of these items would ensure that balances on Schedule
C.1 are properly reconciled for use in supervisory models. With the
addition of these items, the Board also proposes to remove the
following four items from Schedules C.1 and C.3, as they would no
longer be needed:
<bullet> ``Y-9C BHCK4602 reconciliation'' (Column N of Schedule
C.1);
<bullet> ``Currency of foreign exchange swap payment'' (Column LL
of Schedule C.3);
<bullet> ``Notional amount of foreign exchange swap ($ Million)''
(Column MM of Schedule C.3); and
<bullet> ``Exchange rate implied by foreign exchange swap'' (Column
NN of Schedule C.3).
Securities
Firms are required to report the amount of allowance for credit
losses in FR Y-14Q, Schedule B.1 (Securities 1--main schedule).
However, the instructions for this item do not specify whether amounts
must be reported as positive or negative values. To improve the
consistency of reporting across firms, the Board proposes to revise the
instructions to indicate that the allowance for credit losses on
Schedule B.1 must be reported as a positive number. This revision would
better enable the Board to compare reported values, as all values would
be reported in the same manner.
Trading
As mentioned in the Dodd-Frank Act Stress Test 2021: Supervisory
Stress Test Methodology document,\10\ the Board adjusts a firm's
trading profit and loss to estimate losses on private equity
investments in affordable housing that qualify as public welfare
investments under Regulation Y. The data used to make this adjustment
is currently
[[Page 11436]]
collected through a supplemental collection, and the Board proposes to
formalize this supplemental collection by incorporating its key
elements into FR Y-14Q, Schedule F.24 (Private equity). This proposal
would require firms to isolate and report private equity exposures that
qualify as public welfare investments in new line items. The
instructions would specify that a public welfare investment is defined
as an equity investment in corporations or projects designed primarily
to promote community welfare, such as the economic rehabilitation and
development of low-income areas.\11\ Incorporating this supplemental
collection into FR Y-14Q, Schedule F (Trading) would allow for more
standardized reporting, which is crucial to ensure private equity
investments in affordable housing that qualify as public welfare
investments are treated the same across firms.
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\10\ See Board of Governors of the Federal Reserve System, Dodd-
Frank Act Stress Test 2021: Supervisory Stress Test Methodology
(Washington: Board of Governors, April 2021), <a href="https://www.federalreserve.gov/publications/files/2021-april-supervisory-stress-test-methodology.pdf">https://www.federalreserve.gov/publications/files/2021-april-supervisory-stress-test-methodology.pdf</a>.
\11\ For reporting public welfare investments made at the bank
holding company level, an affordable housing private equity
investment would be recognized by the Federal Reserve if it also
qualifies under 12 CFR 225.28(b)(12) and 12 CFR 225.127. For
reporting public welfare investments made at the bank level, an
affordable housing private equity investment would be recognized by
the Federal Reserve if it also qualifies under the applicable public
welfare investment criteria of the bank's primary Federal regulator.
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The Board also proposes to make clarifications to the Schedule F
instructions regarding the reporting of accrual loan and fair value
option (FVO) loan hedges across Schedule F, the reporting of interest
rate basis risk on Schedule F.6 (Rates DV01), and limiting the
allowable units used to report interest rate sensitivities on Schedule
F.7 (Rates Vega). These clarifications would remove ambiguity around
the reporting of hedges on Schedule F and would standardize reporting
of interest rate information, which would improve data comparability
across firms.
Counterparty
Client-Cleared Derivative Exposures
Beginning with the June 30, 2021, as-of date, firms became required
to include client-cleared derivative exposures in FR Y-14Q, Schedule L
(Counterparty).\12\ Exposures to client-cleared derivatives are
excluded from the calculation of stressed losses. As part of Schedule
L.5 (Derivatives and securities financing transaction profile), firms
are required to rank their top 25 exposures by certain counterparty
methodologies. Client-cleared derivative exposures are currently
excluded from these rankings. The Board proposes to require firms to
rank their top 25 exposures for client-cleared derivatives on Schedule
L.5. This new ranking would enable the Board to continue to exclude
exposures to client-cleared derivatives from the calculation for
stressed losses and would provide more insight into the size and
diversity of these exposures. As part of this revision, the Board would
also modify the instructions to reinforce that exposures to client-
cleared derivatives must be excluded from other top 25 rankings.
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\12\ 85 FR 56607 (September 14, 2020).
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Counterparty Identification
Firms are required to report counterparty attribute information
(e.g., legal entity identifier (LEI), industry code, etc.) at the
counterparty legal entity level on FR Y-14Q, Schedule L. The Board
proposes to require firms to report counterparty attribute information
at the consolidated/parent level in addition to the counterparty legal
entity level. Collecting this information at the consolidated/parent
level would enable the Board to better identify exposures to parent and
subsidiary entities within the same organizational structure, which
would allow for a more robust analysis of counterparty exposure. This
more robust analysis would improve the Board's ability to evaluate the
counterparty risk faced by firms.
Additional/Offline Credit Valuation Adjustment (CVA) Reserves
Firms are currently required to report ``trades not captured'' in
the ``Additional/offline CVA Reserves'' item of FR Y-14Q, Schedule
L.1.e (Aggregate CVA data by ratings and collateralization). ``Trades
not captured'' refers to trades or counterparties for which CVA is
computed outside of a firm's regular CVA system, which could occur due
to the complexity or novelty of a particular trade. Such trades would
not be captured in Schedules L.2 (EE [Expected exposure] profile by
counterparty) or L.3 (Credit quality by counterparty) due to the custom
CVA approximation methodology of these trades. The instructions for the
``Additional/offline CVA Reserves'' item require firms to report
exposures to counterparties only at the aggregate level. Several firms
report significant portions of their counterparty exposures as
additional/offline CVA reserves. The Board proposes to require firms to
report these exposures by rating, which is more granular than the
current requirements, to better understand, identify, and monitor risks
associated with exposures reported in this item. Such data would
provide a more complete picture of counterparty exposures at firms with
significant amounts reported as additional/offline CVA reserves.
Unstressed vs. Stressed Counterparty Submissions
Firms are required to report unstressed data on Schedule L
quarterly and are required to report stressed data on this schedule
annually. The Schedule L instructions note that for unstressed
submissions, firms must only include exposures in certain sub-schedules
for which the firm computes CVA for its public financial statement
reported under U.S. generally accepted accounting principles (U.S.
GAAP) or applicable standard. However, for stressed submissions, firms
must also include transactions that would not typically require CVA for
public financial statement reporting under U.S. GAAP or applicable
standard (e.g., fully- or over- collateralized derivatives). Therefore,
the scope of reported exposures is larger for stressed submissions.
The scope of reported exposures on FR Y-14Q, Schedule L expanded
for data as of June 30, 2020, to include securities financing
transactions (SFTs).\13\ This additional scope of transactions
increases the divide between the transactions reported on unstressed
submissions compared to those reported on stressed submissions. As a
result of this greater divide and to better compare the impact of
stressed conditions on a firm's counterparty exposures, the Board
proposes to require aggregate unstressed CVA related exposures to be
reported together with stressed exposures in Schedule L.1.e. This data
would give the Board a more complete understanding of firms'
counterparty credit risk, as it would enable the Board to directly
compare the same exposures under unstressed and stressed conditions.
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\13\ 84 FR 70529 (December 23, 2019).
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Wrong-Way and Right-Way Risk
Across Schedule L, firms are required to report wrong-way risk and
right-way risk exposures. Wrong-way risk arises when the exposure to a
counterparty is adversely correlated with the credit quality of that
counterparty. Right-way risk occurs when this situation is reversed.
When wrong-way risk is directly connected to a particular counterparty
(e.g., the counterparty's rating was downgraded), it is referred to as
specific wrong-way risk. Due to questions received from reporting
firms, the Board proposes to clarify how to report occurrences of
specific wrong-way risk. The Board proposes to require
[[Page 11437]]
firms to assume zero for the value of the received collateral during
the calculation of both stressed and unstressed net current exposure
when specific wrong-way risk is present in the collateral. This
revision would align with the principle of conservatism in the Board's
Stress Testing Policy Statement.\14\
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\14\ Appendix B of 12 CFR 252.
---------------------------------------------------------------------------
The Board also proposes to incorporate the response to FR Y-14 Q&A
#1374 to remove ambiguity regarding the reporting of right-way risk on
Schedule L. Specifically, the Board would revise the instructions to
require firms to exclude stressed exposures on trades where the
exposure is eliminated upon default of the counterparty. This revision
would ensure that only true exposures are captured on Schedule L.
Discount Factor
Firms are required to report the discount factor used to calculate
stressed and unstressed CVA on Schedule L.2. The instructions for this
item mention the London Interbank Offered Rate (LIBOR), which was
discontinued at the end of 2021. Given this, the Board proposes to
generalize the language to instead mention the reference or benchmark
rate used to discount the expected exposure in a firm's CVA model. This
revision would allow for more flexibility since LIBOR was discontinued.
Unique Identifiers
The general instructions of Schedule L state that unique
identifiers (e.g., Counterparty ID) and names must be consistent across
all sub-schedules. However, the Board has identified several cases in
which this requirement has not been met. To reinforce this requirement,
the Board proposes to add language to the instructions for Schedules
L.2 and L.3 to remove any potential uncertainty in reporting unique
identifiers. This revision would result in more consistent reporting
across Schedule L.
Collateral
Firms are required to report the total unstressed mark-to-market
value of collateral of derivatives on Schedule L.5.1 (Derivative and
SFT information by counterparty legal entity and netting set/
agreement). The instructions note that all collateral reported must be
eligible financial collateral. The Board clarified through FR Y-14 Q&A
#1155 that eligible financial collateral refers to the definition of
``financial collateral'' in the Board's capital rule.\15\ To mitigate
confusion, the Board proposes to incorporate the response to Q&A #1155
into the Schedule L.5.1 instructions.
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\15\ 12 CFR 217.2.
---------------------------------------------------------------------------
Firms are also required to report the type of non-cash collateral
or initial margin (e.g., corporate debt) allowed under a given
agreement in the ``Non-Cash Collateral Type'' item of Schedule L.5.1.
The instructions for this item only mention posted collateral in terms
of what must be reported. In response to questions from reporting
firms, the Board proposes to require firms to include all non-cash
collateral or initial margin that was posted or received in actuality
as opposed to only those allowed under a given agreement. This revision
would reduce ambiguity surrounding what to report and would also
provide the Board with a more encompassing view of the non-cash
collateral involved in applicable transactions. This more encompassing
view would result in more accurate loss calculations and would enhance
risk monitoring.
Credit Support Annexes (CSAs)
On Schedule L.5.1, firms are required to indicate in the ``CSA
contractual features (non-vanilla)'' item whether any transactions
conducted under a given CSA agreement have any non-vanilla contractual
features (e.g., downgrade triggers). However, the instructions for this
item do not specify how firms should report transactions that have
vanilla contractual features. The Board proposes to clarify that for
such transactions, firms must report ``NA'' in this item.
Due to questions from reporting firms, the Board also proposes to
clarify that the ``CSA contractual features (non-vanilla)'' item
applies to any non-standard market terms inclusive of features such as
minimum threshold amounts (MTAs), changes to MTAs, additional
termination events, and ratings-based thresholds. This revision would
remove uncertainty regarding what features are considered non-vanilla
for purposes of this item.
Reporting Scope
On Schedules L.1-L.3, top counterparties are identified based on
the exposure amount at a consolidated counterparty level for ranking
purposes in determining top 95% stressed or unstressed CVA. The Board
has received several questions regarding the scope of this reporting,
including consistency across schedules. To remove ambiguity, the Board
proposes to clarify that if a consolidated or parent counterparty is
selected as top 95% of CVA, then a firm's exposures to all the
counterparties and legal entities associated with the consolidated or
parent counterparty must be included and reported in L.1 (Derivatives
profile by counterparty and aggregate across all counterparties),
rather than including only counterparties and legal entities with which
the firm has a CVA. In comparison, the firm can report in Schedules L.2
and L.3 the exposure information limited to the legal entities and/or
netting sets with which the firm has a CVA. These revisions would
provide a more complete view of counterparty exposures faced by firms
and would incorporate responses to FR Y-14 Q&As #1180 and #1190 into
the Schedule L instructions.
Per FR Y-14 Q&A #1181, Schedules L.1.a and L.1.b (Top consolidated/
parent counterparties comprising 95% of firm unstressed CVA, ranked by
unstressed and stressed CVA, respectively) must be reported at the
legal entity level, at a minimum. This is also true for Schedules L.2
and L.3. The Board has received several questions from reporting firms
regarding providing data at the netting set or sub-netting level. In
light of these questions, the Board proposes to clarify that firms may
choose to report these schedules at the netting set or sub-netting set
level. Note that the Schedule L instructions specify that if a firm
chooses to report one of these schedules at the netting set or sub-
netting set level, then it must report all of them at that level.
Gross Current Exposure
In several places on Schedule L.1, firms are required to report the
gross current exposure of given transactions. Gross current exposure is
defined as pre-collateral exposure after bilateral counterparty
netting. The Board has received questions from reporting firms on
whether fair-valued SFTs should be in scope for reporting in the gross
current exposure items. The questioners note that the definition
provided applies to derivatives but does not apply to SFTs. The Board
clarified in FR Y-14 Q&A #1279 that gross current exposure items only
apply to derivatives and must be left blank for SFTs. The Board
proposes to incorporate this response into the Schedule L.1
instructions.
Minimum Transfer Amounts
Firms are required to report the minimum amounts that must be
transferred to the counterparty and to the reporting firm in the event
of a margin call in Schedule L.5.1. Due to observed diversity in
reporting, the Board proposes to specify that firms must report the
U.S. dollar equivalent of values reported in these items, as opposed to
the non-U.S. dollar local
[[Page 11438]]
currency associated with a particular CSA. This revision would
standardize the units reported in this item and improve comparability
across exposures.
Other Revisions
The instructions for Schedule L.5 state that for positions with no
legal netting set agreement, mark-to-market amounts can be aggregated
and reported as a single record. The instructions further state that
firms must report ``N'' in the ``Legal Enforceability'' item and
``None'' in the ``Netting Set ID'' item for such aggregated records. In
the case of the ``Legal Enforceability'' item, these instructions are
redundant and in the case of the ``Netting Set ID'' item, they conflict
with language provided later in the Schedule L.5 instructions. The
Board proposes to remove the redundant and conflicting language from
Schedule L.5, which would clarify that firms must only report ``NA'' in
the ``Netting Set ID'' item for positions with no legal agreement. This
revision would incorporate the response from FR Y-14 Q&A #1383 into the
Schedule L instructions.
Firms are required to report mark-to-market amounts that reflect
the positive or negative contribution to an exposure upon counterparty
default and close-out netting in Schedule L.5. The Board has received
questions from reporting firms about whether this language applies to
both derivatives and SFTs. Reporting firms have also asked the Board
how to report in line with the instructions in cases where close-out
netting for SFTs is not enforceable (i.e., the SFT mark-to-market
received cannot be netted against the amount posted when calculating
current exposure). The Board clarified in FR Y-14 Q&A #1386 that the
language regarding reporting mark-to-market amounts that reflect the
positive or negative contribution to an exposure upon counterparty
default and close-out netting only applies to derivatives and not to
SFTs. In this FR Y-14 Q&A, the Board also clarified that firms must
report zero in cases where the SFT close-out netting is not
enforceable. The Board proposes to incorporate the response in FR Y-14
Q&A #1386 into the instructions by (1) revising the Schedule L.5
general instructions to specify that the language reflecting the
positive or negative contribution to exposure upon counterparty default
only applies to derivatives, and (2) revising the ``Unstressed Mark-to-
Market Received (SFTs)'' and ``Stressed Mark-to-Market Received
(SFTs)'' items of Schedule L.5.1 to specify that in cases where the
close-out netting is not enforceable, firms must report zero.
Relatedly, since the Board is proposing to revise the Schedule L.5
general instructions to specify reporting for derivatives, the Board
also proposes to revise the instructions for the stressed and
unstressed mark-to-market received and posted SFT items on Schedule
L.5.1 to clarify that these items must be reported as positive values.
Firms became required to include exposures to client-cleared
derivatives in Schedule L.5 for the June 30, 2021, as-of date. As part
of this requirement, firms must report SFT exposures when a firm acts
as an agent on behalf of a client for which lender indemnification has
been provided against the borrower's default. Due to observed diversity
in reporting practices, the Board proposes to revise the Schedule L.5
instructions to clarify that firms must also include SFT exposures when
the firm acts as an agent on behalf of a client for which a credit
guarantee has been provided against the borrower's default. This
revision would reinforce the original intent of adding the reporting of
exposures to client-cleared derivatives to Schedule L.5, in that it
would require firms to report their indirect exposures to clients when
credit risk is present, regardless of whether that exposure arises from
a lender indemnification or a credit guarantee.
Firms are required to report stressed CVA values on Schedules L.1
and L.5.1. On Schedule L.1, the instructions state that firms must
report the full revaluation of asset-side CVA under stressed
conditions. On Schedule L.5.1, the instructions state that firms must
only include stressed CVA as it relates to derivatives. For consistency
across Schedule L, the Board proposes to revise the ``Stressed CVA''
item of Schedule L.5.1 to require firms to include stressed CVA as it
relates to SFTs, as well as continue to include stressed CVA as it
relates to derivatives. This revision would allow the Board to get a
more complete and consistent picture of CVA exposure across reporting
firms.
Wholesale
Internal Risk Rating
Firms began reporting FR Y-14Q, Schedule H.4 (Internal risk rating)
as of March 31, 2020.\16\ On this schedule, firms are required to
report the ratings used in their internal risk rating system, as well
as a description of each rating. There has been a wide variety of
internal ratings and descriptions provided, which has made evaluations
across firms difficult. To improve comparability of internal ratings
reported in this schedule, the Board proposes to add three items:
Minimum probability of default, maximum probability of default, and the
calculation method of the probability of default (i.e., calculated
through the cycle or as a point-in-time value). The minimum and maximum
probability of default items would allow the Board to assess credit
risk more easily across firms by providing benchmark values for
internal ratings. The type of probability of default item would provide
critical information for how the minimum and maximum values are
calculated (e.g., point in time calculation). The addition of these
items would enhance wholesale risk monitoring.
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\16\ 84 FR 70529 (December 23, 2019).
---------------------------------------------------------------------------
Undrawn Commitments
Firms are required to report the interest rate charged on the
credit facility for corporate and commercial real estate (CRE) loans on
FR Y-14Q, Schedule H.1 and H.2, items 38 and 27, respectively. The
instructions require the reporting of the most conservative interest
rate for fully undrawn facilities, which was intended to accommodate a
scenario in which there are multiple interest rate options, and the
actual interest rate would not be known until the loan was drawn.
However, reporting firms have asked how to report a second scenario
where a facility is comprised of multiple lines of credit, each with a
separate interest rate. The Board proposes to clarify the reporting
requirements for these two scenarios in the instructions to improve
consistency and mitigate confusion. For the first scenario, the Board
proposes to clarify that the instruction to report the most
conservative interest rate only applies to situations where the obligor
has a choice of interest rates and one is chosen when the line is
drawn. For the second scenario, the instructions would require firms to
report the dollar-weighted average interest rate that approximates the
overall rate as if the credit facility were funded and fully drawn on
the reporting date.
Update Property Type Options
Firms currently report the property type of their CRE loans on FR
Y-14Q, Schedule H.2, in item 9 (``Property Type''). While this item
contains multiple property type options, the structure of the CRE
market has changed since these initial property type options were
implemented for this item. More specifically, over the past decade,
there has been rapid growth in the healthcare
[[Page 11439]]
and assisted living industry, resulting in demographic changes, as well
as in e-commerce platforms, which rely on warehouses for storage. The
existing property type options do not separately break out these
industries, and these CRE loans are commingled with other property
types in other options. The Board proposes to update the property type
options to include ``Healthcare/Assisted Living'' and ``Warehouse/
Distribution.'' This revision would improve risk identification within
the CRE portfolio.
Clarify Informal ``Advised Lines'' Exclusion
On FR Y-14Q, Schedule H.1, the instructions for corporate loan
population state to exclude informal ``advised lines,'' but the current
definition of this term is ambiguous, potentially resulting in the
exclusion of more commitments than there should be. The Board proposes
to modify the language to clarify that only lines of credit that are
unknown to the customer must be excluded from Schedule H.1. This
modification would ensure that all applicable commitments are reported,
other than the clearly defined exclusions.
Retail
Credit Score Reporting Requirements
Firms are required to report the origination credit bureau score
for the primary account holder and the refreshed credit bureau score
for domestic credit card account holders on FR Y-14M, Schedule D
(Domestic credit card) in items 38 and 40, respectively. For both
items, the instructions allow firms to map an internal credit score
used to determine the primary account holder's creditworthiness to a
commercial credit score for cases in which a commercial credit score
was not obtained or was not being used to evaluate the creditworthiness
of the primary account holder. The ability to map an internal credit
score to a commercial credit score has resulted in reporting
inconsistencies, due to the subjectivity of the mapping. To standardize
the reporting of credit scores, the Board proposes to revise the
language in the instructions for both items to require firms to report
a commercial credit score if one was available at origination or
refresh for the primary account holder. The Board proposes to further
revise the instructions to state that if a commercial credit score was
not available at the time of origination or refresh and if the
underwriting decision was based on an internal score, then firms would
be required to map their internal credit scores to commercial credit
scores.
Firms are also required to report the FICO score range of the
credit score of the borrower at origination in the ``Original
commercially available credit bureau score or equivalent'' segment
variable on all sub-schedules of FR Y-14Q, Schedule A (Retail). The
instructions for this segment variable allow the reporting of an
internal credit score mapped to a commercial credit score if an
internal score was used in the original underwriting decision. To also
standardize credit score reporting on Schedule A, the Board proposes to
require firms to report a commercial credit score if one was available
at origination. Firms would be required to map their internal credit
scores or non-FICO commercial credit scores to FICO credit scores if a
FICO credit score was not available at origination. Additionally, the
instructions for this segment variable require firms to report in FICO
credit score ranges and state that upon request, the Federal Reserve
will provide ranges for other commercial credit scores. However, to
further standardize the reporting of credit scores, the Board proposes
to remove this sentence from the instructions. Removing this sentence
would require firms to create their own mappings from their internal
credit scores or from non-FICO commercial credit scores to FICO credit
scores.
Loans in Forbearance or Other Loss Mitigation Situations
The coronavirus disease 2019 (COVID) event caused an increase in
loans in forbearance or other loss mitigation situations (collectively,
``loss mitigation''). These loans have different risk characteristics
than other loans reported on the FR Y-14M. While there are some loss
mitigation items on the FR Y-14M, the Board observed during the COVID
event that there are still data gaps, and several loss mitigation items
did not have the flexibility to capture loss mitigation in the face of
occurrences such as the COVID event. To fill observed data gaps, the
Board proposes to add a ``Workout Type Started'' item to Schedule A
(Domestic first lien) and Schedule B (Domestic home equity), as well as
an ``Actual Payment Amount'' item to Schedule A. The ``Workout Type
Started'' item would be used in conjunction with the ``Workout Type
Completed'' item (Schedule A, item 77; Schedule B, item 61) and would
allow the Board to track any changes to the loss mitigation plans of
the loan once a loan has undergone loss mitigation. The ``Actual
Payment Amount'' item would allow the Board to track actual payments
made on loans, which would enable the Board to better monitor activity
on loans in loss mitigation. Note that this item is only being proposed
to be added to Schedule A because an equivalent item already exists on
Schedule B (item 68).
Firms are required to report the principal deferred amount and the
principal write-down amount in items 87 and 89, respectively, of
Schedule A. Per the instructions, these items are only reported if the
loan has been modified. During the COVID event, certain loans were not
modified but did experience principal deferrals and write-downs.
However, these amounts were not reported on Schedule A due to the
requirement that the loans be modified. To expand the circumstances
under which firms would report these items, the Board proposes to
remove the requirement that these items only be reported if loans are
modified. Relatedly, the Board proposes to rename item 87 to ``Deferred
Amount'' to capture all deferred amounts, not just those related to the
loan principal.
Finally, the Board proposes to revise the reporting options to the
``Modification Type'' and ``Workout Type Completed'' items (Schedule A,
items 74 and 77, respectively; Schedule B, items 77 and 61,
respectively) to add flexibility to enable these items to apply to a
broader set of occurrences, such as the COVID event. These revisions
would enable the Board to better monitor loss mitigation loans.
Other Revisions
Firms currently flag whether portfolio loans are held-for-
investment (HFI) and measured at fair value under the FVO or are held-
for-sale (HFS) in item 130 (``HFI FVO/HFS Flag'') of Schedule A.
However, the actual fair-value amount is not reported on Schedule A.
Firms are required to report the aggregate fair-value amounts of HFS
loans and HFI loans measured under the FVO on FR Y-14Q, Schedule J
(Retail FVO/HFS). For data reconciliation across the FR Y-14M and FR Y-
14Q, as well as for monitoring purposes, the Board is proposing to add
a new field to Schedule A to capture the fair-value amount of HFS loans
and HFI loans measured under the FVO.
Additionally, on both Schedule A and Schedule B, there is an item
that captures the adjustable-rate mortgage (ARM) index (Schedule A,
item 32; Schedule B, item 29). This item does not include options for
the Bloomberg Short-Term Bank Yield (BSBY) rate. The Board proposes to
revise this item to include several BSBY options, to allow
[[Page 11440]]
firms to identify loans using this index rate.
The Board also proposes to remove several items from Schedule A, as
they are no longer needed, assuming that the aforementioned revisions
to Schedule A are implemented (items proposed for removal would be
redundant). Specifically, the Board proposes to remove the following
items:
<bullet> ``Capitalization'' (item 81);
<bullet> ``Duration of Modification'' (item 83);
<bullet> ``Interest Rate Reduced'' (item 98);
<bullet> ``Term Extended'' (item 100);
<bullet> ``P&I Amount Before Modification'' (item 101);
<bullet> ``P&I Amount After Modification'' (item 102);
<bullet> ``Remaining Term Before Modification'' (item 105); and
<bullet> ``Remaining Term After Modification'' (item 106).
Firms are required to report the cohort default rate (CDR) of
student loans on FR Y-14Q, Schedule A.10 (Student Loan). There are
several CDR buckets, one of which requires reporting in cases in which
the CDR is greater than 10 percent (item 16). However, the instructions
don't specify how to report cases when the CDR is equal to 10 percent.
For completeness, the Board proposes to rename and revise item 16 to
clarify that firms must also include in this item balances for which
the CDR equals 10 percent.
Balances
Firms are required to report quarter-end balances of bank cards and
charge cards on FR Y-14Q, Schedule M.1 (Quarter-end balances) in items
3.a and 3.b, respectively. The instructions do not define bank or
charge cards, but in general, bank cards and charge cards differ in two
key ways. First, bank cards allow holders to spend up to their credit
limits during each billing cycle, while charge cards typically have no
preset spending limits. Second, bank cards allow holders to pay
outstanding balances over time, while charge cards must be fully paid
off each billing cycle. There are some products that have features of
both bank and charge cards, in that only a portion of the outstanding
balance can be rolled over to the next billing cycle. Products with
features of both bank and charge cards have caused inconsistent
reporting across firms. To remove ambiguity, the Board proposes to
better clarify which products must be reported as charge cards in the
instructions.
Firms are required to report quarter-end balances of small/medium
enterprise (SME) cards in item 2.c (SME cards and corporate cards) on
Schedule M.1. The instructions define SME cards as ``credit card
accounts where the loan is underwritten with the sole proprietor or
primary business as an applicant.'' The instructions also refer to
several FR Y-9C items where SME cards and corporate cards are reported.
Firms are required to report the applicable balances of SME cards and
corporate cards in item 2.c that are reported in the referenced FR Y-9C
items. The item 2.c instructions do not reference FR Y-9C, Schedule HC-
C, item 9.a (Loans to nondepository financial institutions). Upon
review, the Board has determined that certain card balances reported in
Schedule HC-C, item 9.a could be included in Schedule M.1, item 2.c.
Therefore, the Board proposes to revise the instructions for Schedule
M.1, item 2.c to reference Schedule HC-C, item 9.a.
Legal authorization and confidentiality: The Board has the
authority to require BHCs to file the FR Y-14 reports pursuant to
sections 5(b) and 5(c) of the Bank Holding Company Act (BHC Act) \17\
and section 165(i) of the Dodd-Frank Wall Street Reform and Consumer
Protection Act (Dodd-Frank Act) as amended by sections 401(a) and (e)
of the Economic Growth, Regulatory Relief, and Consumer Protection Act
(EGRRCPA).\18\ Section 5(b) of the BHC Act authorizes the Board to
issue regulations and orders relating to capital requirements for bank
holding companies. Section 5(c) of the BHC Act authorizes the Board to
require a BHC and any subsidiary of such company to submit reports to
keep the Board informed of its financial condition, systems for
controlling financial and operating risks, transactions with depository
institution subsidiaries of the BHC, and compliance with law. Section
165(i)(1) of the Dodd-Frank Act, as amended by the EGRRCPA, requires
the Board to conduct supervisory stress tests of certain companies.\19\
Further, section 165(i)(2) of the Dodd-Frank Act, as amended by the
EGRRCPA, requires the Board to issue regulations requiring certain
companies to conduct company-run stress tests.\20\
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\17\ 12 U.S.C. 1844(b) and 1844(c).
\18\ 12 U.S.C. 5365(i).
\19\ See 12 U.S.C. 5365(i)(1). Annual supervisory stress tests
are required for bank holding companies with $250 billion or more in
total consolidated assets. ``Periodic'' supervisory stress tests are
required for bank holding companies with $100 billion or more, but
less than $250 billion, in total consolidated assets. 12 U.S.C. 5365
note.
\20\ See 12 U.S.C. 5365(i)(2). Bank holding companies with $250
billion or more in total consolidated assets and financial companies
with more than $250 billion in total consolidated assets must
conduct ``periodic'' stress tests.
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The Board has authority to require SLHCs file the FR Y-14 reports
pursuant to section 10(b) of the Home Owners' Loan Act (HOLA) as
amended by section 369(8) and 604(h)(2) of the Dodd-Frank Act.\21\
Section 10(b) of HOLA, as amended, authorizes the Board to require
savings and loan holding companies to file ``such reports as may be
required by the Board'' containing ``such information concerning the
operations of such savings and loan holding company . . . as the Board
may require.''
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\21\ 12 U.S.C. 1467a(b).
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The Board has authority to require IHCs file the FR Y-14 reports
pursuant to section 5(c) of the BHC Act \22\ and sections 102(a)(1) and
165 of the Dodd-Frank Act.\23\ In addition, section 401(g) of EGRRCPA
\24\ provides that the Board has the authority to establish enhanced
prudential standards for foreign banking organizations with total
consolidated assets of $100 billion or more, and clarifies that nothing
in section 401 ``shall be construed to affect the legal effect of the
final rule of the Board . . . entitled `Enhanced Prudential Standard
for [BHCs] and Foreign Banking Organizations' (79 FR 17240 (March 27,
2014)), as applied to foreign banking organizations with total
consolidated assets equal to or greater than $100 million.'' \25\
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\22\ 12 U.S.C 1844(c).
\23\ 12 U.S.C. 5311(a)(1) and 5365. Section 102(a)(1) of the
Dodd-Frank Act, 12 U.S.C. 5311(a)(1), defines ``bank holding
company'' for purposes of Title I of the Dodd-Frank Act to include
foreign banking organizations that are treated as bank holding
companies under section 8(a) of the International Banking Act of
1978, 12 U.S.C. 3106(a). The Board has required, pursuant to section
165(b)(1)(B)(iv) of the Dodd-Frank Act, 12 U.S.C. 5365(b)(1)(B)(iv),
certain foreign banking organizations subject to section 165 of the
Dodd-Frank Act to form U.S. intermediate holding companies.
Accordingly, the parent foreign-based organization of a U.S. IHC is
treated as a BHC for purposes of the BHC Act and section 165 of the
Dodd-Frank Act. Because section 5(c) of the BHC Act authorizes the
Board to require reports from subsidiaries of BHCs, section 5(c)
provides authority to require U.S. IHCs to report the information
contained in the FR Y-14 reports.
\24\ 12 U.S.C. 5365 note.
\25\ The Board's Final Rule referenced in section 401(g) of
EGRRCPA specifically stated that the Board would require IHCs to
file the FR Y-14 reports. See 79 FR 17240, 17304 (March 27, 2014).
---------------------------------------------------------------------------
The FR Y-14 reports are mandatory.
The information reported in the FR Y-14 reports is collected as
part of the Board's supervisory process, and therefore, such
information is afforded confidential treatment pursuant to exemption 8
of the Freedom of Information Act (FOIA) which protects information
contained in ``examination, operating, or condition reports'' obtained
in the bank supervisory
[[Page 11441]]
process.\26\ In addition, confidential commercial or financial
information, which a submitter both customarily and actually treats as
private, may be exempt from disclosure under exemption 4 of the
FOIA.\27\ \28\
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\26\ 5 U.S.C. 552(b)(8).
\27\ 5 U.S.C. 552(b)(4).
\28\ Note that the Board may disclose a summary of the results
of supervisory stress testing pursuant to 12 CFR 225.8(h)(5)(iii)
and publishes a summary of the results of stress testing pursuant to
12 CFR 252.46(b) and 12 CFR 238.134, which includes aggregate data.
In addition, under the Board's regulations, covered companies must
also publicly disclose a summary of the results of stress testing.
See 12 CFR 252.58; 12 CFR 238.146. The public disclosure requirement
contained in 12 CFR 252.58 for covered BHCs and covered IHCs is
separately accounted for by the Board in the Paperwork Reduction Act
clearance for FR YY (OMB No. 7100-0350) and the public disclosure
requirement for covered SLHCs is separately accounted for in by the
Board in the Paperwork Reduction Act clearance for FR LL (OMB No.
7100-0380).
Board of Governors of the Federal Reserve System, February 23,
2022.
Michele Taylor Fennell,
Deputy Associate Secretary of the Board.
[FR Doc. 2022-04194 Filed 2-28-22; 8:45 am]
BILLING CODE 6210-01-P
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This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.