Notice2022-18396
Agency Information Collection Activities: Announcement of Board Approval Under Delegated Authority and Submission to OMB
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Published
August 26, 2022
Issuing agencies
Federal Reserve System
Abstract
The Board of Governors of the Federal Reserve System (Board) is adopting 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).
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<title>Federal Register, Volume 87 Issue 165 (Friday, August 26, 2022)</title>
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[Federal Register Volume 87, Number 165 (Friday, August 26, 2022)]
[Notices]
[Pages 52560-52568]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-18396]
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FEDERAL RESERVE SYSTEM
Agency Information Collection Activities: Announcement of Board
Approval Under Delegated Authority and Submission to OMB
AGENCY: Board of Governors of the Federal Reserve System.
SUMMARY: The Board of Governors of the Federal Reserve System (Board)
is adopting 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).
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, <a href="/cdn-cgi/l/email-protection#cea0bba6afe0aba2a3afa9a6bcafaca78ea8bcace0a9a1b8"><span class="__cf_email__" data-cfemail="98f6edf0f9b6fdf4f5f9fff0eaf9faf1d8feeafab6fff7ee">[email protected]</span></a>, (202)
452-3884.
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.
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. Board-approved collections of information are
incorporated into the official OMB inventory of currently approved
collections of information. The OMB inventory, as well as copies of the
PRA Submission, supporting statements, and approved collection of
information instrument(s) are available at <a href="https://www.reginfo.gov/public/do/PRAMain">https://www.reginfo.gov/public/do/PRAMain</a>. These documents are also available on the Federal
Reserve 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 Approval Under OMB Delegated Authority of the Extension for Three
Years, With Revision, of the Following Information Collection
Collection title: Capital Assessments and Stress Test Reports.
Collection identifier: FR Y-14A/Q/M.
OMB control number: 7100-0341.
Effective Dates: September 30, 2022; December 31, 2022; and June
30, 2023.
Frequency: Annually, quarterly, and monthly.
Respondents: These collections of information are applicable to
bank holding companies (BHCs), U.S. intermediate holding companies
(IHCs), and covered 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
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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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Automation Revisions: 36; FR Y-14 Attestation On-going: 8.
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:
[[Page 52561]]
<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[hyphen]wide risk measurement and
management processes supporting their internal assessments of capital
adequacy and that their capital resources are sufficient, given their
business focus, activities, and resulting risk exposures. The data
within the reports are used to set firms' stress capital buffer
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.
Current actions: On March 1, 2022, the Board published a notice in
the Federal Register (87 FR 11432) requesting public comment for 60
days on the extension, with revision, of the FR Y-14A/Q/M reports. The
proposed revisions would have enabled the Board to better identify
risks not currently captured in the stress test, facilitate data
reconciliation, and mitigate ambiguity within the instructions. The
comment period for this notice expired on May 2, 2022. The Board
received three comment letters from banking organizations and one
comment letter from a banking industry group. The Board has adopted the
proposed revisions, except as discussed below.
Detailed Discussion of Public Comments
General
The Board proposed to implement revisions to the FR Y-14Q and FR Y-
14M effective for the September 30, 2022, as of date, and revisions to
the FR Y-14A effective for the December 31, 2022, as of date. To allow
firms time to adequately implement, test, and confirm that they comply
with the new reporting requirements, one commenter asked that all FR Y-
14Q/M revisions be delayed from the proposed implementation date of
September 30, 2022, until June 30, 2023 (or later), and another
commenter requested implementation of these revisions be postponed
until the September 30, 2023, as of date.
The Board is cognizant of firm burden as it relates to regulatory
reporting. Some of the proposed changes are critical for the
supervisory stress test and so need to be implemented in time for use
in the 2023 supervisory stress test. Unless otherwise specified, the
Board has adopted revisions as proposed, effective for the September
30, 2022, as of date for the FR Y-14Q and FR Y-14M and effective for
the December 31, 2022, as of date for the FR Y-14A. However, to reduce
firm burden, the Board has delayed some of the revisions to FR Y-14Q,
Schedule H (Wholesale) and all the revisions to FR Y-14Q, Schedule L
(Counterparty) until the June 30, 2023, as of date.
Counterparty
Client-Cleared Derivatives
On FR Y-14Q, Schedule L.5 (Derivatives and Securities Financing
Transactions (SFT) Profile), firms are required to rank their top 25
counterparties by certain counterparty methodologies (methodology #1).
The Board proposed to also require firms to rank their top 25
counterparties based purely on exposures to client-cleared derivatives
(methodology #2), and to exclude such exposures from methodology #1.
Additionally, the Board proposed adding language to the Schedule L.5
instructions requiring firms to incorporate all relevant client-cleared
derivative exposures for all items in Schedule L.5, once the top 25
counterparties from methodology #1 have been identified.
One commenter did not support these proposed revisions for two
reasons. First, the commenter noted that the Board already receives
granular information on client-cleared derivatives throughout Schedule
L.5 and stated that it would be burdensome for firms to provide the
granular data on client-cleared derivatives necessary to rank them.
Second, the commenter asserted that exposures to client-cleared
derivatives are currently excluded from FR Y-14A, Schedule A.5
(Counterparty Credit Risk), item 3 (Counterparty Default Losses) and
3.a (Impact of Counterparty Default Hedges). Therefore, as proposed,
firms would be required to maintain dual processes for providing
counterparty exposures on the FR Y-14A and FR Y-14Q reports. The
commenter asserted that these dual processes, combined with the
difficulties in maintaining two ranking methodologies described above,
would be burdensome to firms, and that, since client-cleared
derivatives are not included in the calculation of stressed losses, it
is unclear what benefit this information would provide to justify the
additional firm burden.
In response, the Board notes that, while granular information on
client-cleared derivatives are reportable in Schedule L.5, the top-25
ranking produces valuable insights that allow the Board to more
effectively monitor exposures to client-cleared derivatives and
provides better information regarding the materiality of these
exposures.
Further, while it is true that the exposure to client cleared
derivatives is excluded from the FR Y-14A, firms are already required
to report in FR Y-14Q, Schedule L.5, a wide range of information (both
qualitative and quantitative) that goes beyond direct inputs used for
estimating the largest counterparty default losses that are reported in
FR Y-14A, Schedule A.5, items 3 and 3.a.
Additionally, the commenter recommended that, if the Board did
adopt these proposed changes, the Board should provide information as
to (1) if a counterparty is of sufficient size to be captured in both
rankings (methodologies #1 and #2), are firms required to report this
counterparty twice or only once under methodology #1, and (2) under
methodology #2, whether aggregate columns, such as ``Total Net Current
Exposure (CE),'' should only include client-cleared derivative exposure
to the parent entity under the ranking methodology or should instead be
inclusive of both
[[Page 52562]]
client-clearing and non-client-clearing exposure to a firm.
The Board has adopted the revision as proposed with two exceptions.
First, the Board has clarified in the instructions the reporting
between methodology #1 and methodology #2. Notably, the Board clarified
that firms are not required to report the same counterparty in both
methodologies (i.e., the same counterparty should not appear in the
top-25 rankings for methodology #1 and methodology #2). Second, in
light of the burden of providing granular data noted by the commenter,
the Board has delayed adoption of this revision until the FR Y-14Q
reported as of June 30, 2023.
Securities Financing Transactions (SFTs)
The Board proposed to revise the definitions of ``Unstressed Mark-
to-Market Received SFTs'' and ``Stressed Mark-to-Market Received SFTs''
on FR Y-14Q, Schedule L (Counterparty) to specify that in cases where
close-out netting is not enforceable, firms must report zero. Three
commenters pointed out that this guidance conflicts with two existing
FR Y-14 Q&As (Y140001386 and Y140001492). Per one commenter, the
guidance in Q&A Y140001386 appears to require firms to remove any
consideration of the ``received'' leg of the transaction, whereas the
guidance in Q&A Y140001492 would allow for consideration of the net
exposure of an individual SFT but restrict netting across multiple
transactions where no master netting agreement is in place. The
commenter notes that their understanding of the reporting on Schedule L
should align with the guidance provided in Q&A Y140001492, as that
interpretation better captures the economics of a transaction, and
would prefer the instructions be revised to agree with that
interpretation. In addition, per the commenter, these proposed
revisions may be interpreted to further restrict the offsetting of the
posted and received legs in determining net current exposure of an
individual transaction.
The Board agrees that the guidance provided in Q&A Y140001492
better captures the economics of a transaction, and so has modified the
instructions so that firms are required to report ``Unstressed Mark-to-
Market Received SFTs'' and ``Stressed Mark-to-Market Received SFTs'' in
a manner that aggregates the received amount across an unenforceable
agreement for each transaction that has a net positive mark-to-market
value, effective for the June 30, 2023, as of date.
The general instructions for Schedule L state that ``for regular/
unstressed submissions, counterparty exposures on sub-schedules L.1-L.4
should be limited to transactions for which the firm computes credit
valuation adjustment (CVA) for its public financial statement reporting
under generally accepted accounting principles (GAAP) or applicable
standard.'' In the ``Net Current Exposure (Net CE)'' item of Schedule
L.1, the Board proposed to add language clarifying that this item
should be reported for both derivatives and fair-value SFTs. One
commenter noted that firms do not compute CVA for SFTs in public
financial statement reporting, and so asked that the Board specify
whether SFTs should be included in the ``Net Current Exposure (Net
CE)'' item of Schedule L.1.
In response, the Board has clarified in the instructions that in
the unstressed submission, firms are required to include fair-valued
SFTs in Net CE reporting, to the extent that the firm computes CVA for
them for the public financial statement reporting under U.S. GAAP or
applicable standard. In contrast, fair-valued SFTs are expected to be
included in Stressed Net CE reporting regardless of whether the firm
computes CVA, given the general instructions of Schedule L that states
that ``the scope of counterparty exposures on sub-schedules L.1-L.4 in
CCAR/stressed submission is expected to be larger and incorporates
transactions that would not typically require CVA for public financial
statement reporting under GAAP or applicable standard but which may
pose a gap risk to the firm, requiring CVA, should the post-stress
value of collateral be insufficient to cover post-stress derivatives
exposure.'' The Board has adopted this revision effective for the June
30, 2023, as of date.
The Board proposed to clarify that firms must include SFT exposures
when they act as agents on behalf of clients for which a credit
guarantee has been provided against the borrowers' defaults in Schedule
L.5. One commenter noted that the proposal did not address how to
report guarantees provided in sponsored repurchase programs in which a
firm, as a sponsoring member, guarantees the performance of the clients
to a central counterparty clearing house (CCP). The commenter
recommended the Board clarify how these guarantees should be reported.
The Board confirms that the guarantees associated with sponsored
repurchase programs in which the firm, as a sponsoring member,
guarantees the client's performance to CCPs should be reported in
Schedule L.5. However, the Board has not revised the instructions, as
the instructions already state that the firm should report its exposure
arising from the credit guarantee it provides against the borrower's
default. The Board has adopted this revision as proposed, except that
it has delayed implementation until the June 30, 2023, as of date.
Other Revisions
The Board proposed to clarify that if a consolidated or parent
counterparty is selected as a counterparty comprising 95% of a firm's
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 Schedule 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. One commenter pointed out that this proposed revision would
contradict the response to FR Y-14 Q&A Y140001356, which states that
firms are not required to include the active agreements that do not
have actual trades on the reporting as of date. The commenter
recommended that the Board instead clarify the instructions to be
consistent with the interpretation in Q&A Y140001356.
The Board notes that the proposed revision is consistent with the
response to Q&A Y140001356. Q&A Y140001356 covers a related case in
which a firm has active agreements that do not have actual trades on
the reporting date. The proposed revision related to a different case
in which a firm has actual trades on the reporting date but does not
compute CVA on them. In this case, while CVA is zero, not all
counterparty data is expected to be zero or null (such as notional,
gross CE, etc.). Under the proposed revisions, a firm would have been
required to report these exposures to all the counterparties/legal
entities associated with the consolidated/parent counterparty
reportable in Schedule L.1, regardless of their CVA values. The Board
has adopted this revision as proposed, but has delayed implementation
until the June 30, 2023, as of date.
The Board proposed to clarify that in the ``Non-Cash Collateral
Type'' item of Schedule L.5.1 (Derivative and SFT information by
counterparty legal entity and netting set/agreement), firms must
include all non-cash collateral or initial margin that was posted or
received in actuality, as opposed to only non-cash collateral allowed
under a given agreement. One commenter recommended the Board specify
that
[[Page 52563]]
firms should not report this item for legally unenforceable agreements
and in cases where no agreement is in place.
Given the structure of applicable transactions, the Board agrees
with the commenter and has clarified the instructions so that firms
should not report the ``Non-Cash Collateral Type'' field in Schedule
L.5.1 in cases where there is no legal agreement in place, or the
agreement is not legally enforceable. The Board has adopted this
revision effective for the June 30, 2023, as of date.
The Board proposed to require firms to report counterparty
attribute information (e.g., industry code) at the consolidated parent
level (firms were already required to report this information at the
counterparty legal entity level). One commenter sought several
clarifications about this proposed change. First, firms are currently
required to report the internal rating of consolidated/parent
counterparties in the ``Consolidated/Parent Counterparty Internal
Rating'' item. Per the commenter, firms generally assign ratings and
grades at the counterparty legal entity level, and a parent
counterparty would only receive a grade or rating if the firm had
transactions with that entity directly. The commenter suggested that
the Board revise the instructions to cover situations where a parent
counterparty is not rated or graded by the firm and recommended two
approaches. Under the first approach, firms would report default grades
(e.g., the firm would report BB- for all such counterparties). Under
the second approach, firms would report the mean or median rating
across counterparty legal entities to form a composite rating. The
commenter noted that the information provided under the second approach
would have limited value to the Board as it is already reported in a
separate item.
Second, in the ``Consolidated/Parent Counterparty Industry Code''
item, firms are required to report a North American Industry
Classification System (NAICS) code if one is available. The commenter
requested clarification on whether the primary business activity of the
parent should be determined by looking at the contributions of revenue
across subsidiaries or whether parent entities should be aligned to
holding company NAICS codes.
The Board proposed to capture attribute information at the
consolidated parent level, as it would have enabled the Board to better
identify exposures to the same organizational structure (e.g., parent
and subsidiary). However, the Board acknowledges the concerns and data
limitations raised by the commenter. Upon further review of the
proposed changes considering the concerns raised in the comment, the
Board has not adopted the proposed changes to require firms to report
counterparty attribute information at the consolidated parent level.
The Board did not propose any revisions to the ``Agreement Role''
item on Schedule L.5.1. In this item, firms are required to report
``NA'' when the transactions do not relate to centrally cleared or
exchange traded derivatives, when the reported counterparty is a CCP,
or when the firm is a clearing member of a CCP or an exchange and the
exchange does not guarantee the client's performance to the CCP or
exchange. One commenter suggested that for back-to-back derivatives
(i.e., when a firm is acting as a financial intermediary on behalf of
the client and enters into an offsetting transaction with a CCP or an
exchange), firms should be required to report ``Principal'' instead of
``NA''. According to the commenter, this approach would enable the
Board to differentiate these exposures from the firms' exposures to the
CCP arising from transactions, which firms enter into as a principal in
house derivatives, as well as to potentially remove these exposures as
inputs to the calculation of stressed losses. The Board will consider
this revision for a future proposal.
Trading
Public Welfare Investments
The Board proposed to require firms to isolate certain private
equity exposures that qualify as public welfare investments in FR Y-
14Q, Schedule F.24 (Private Equity). One commenter asked the Board to
clarify whether the new items added for public welfare investments are
intended to capture affordable housing investments not eligible for tax
credits. The commenter also asked the Board to confirm that such tax
oriented public welfare investments should instead be reported in
Schedule F.25 (Other Fair Value Assets) if fair-value option (FVO) has
been elected for the investment.
The Board confirms that the new items added to Schedule F.24 for
public welfare investments were not intended to capture public welfare
investments eligible for tax credits, and that such tax oriented public
welfare investments should instead be reported in Schedule F.25 if held
at fair value, including if FVO has been elected for the investment.
The Board has adjusted the proposed revisions to the Schedule F.24
instructions to clarify both of these matters and has otherwise adopted
the revisions as proposed, effective for the September 30, 2022, as of
date.
Other Revisions
The Board proposed to better delineate the exposures that should be
included in the ``FVO Hedges'' and ``[Accrual Loan] AL Hedges''
versions of Schedule F (Trading). One commenter was supportive of these
changes, though questioned whether firms needed to provide all of the
sub-schedules of Schedule F for these versions. Specifically, the
commenter suggested that Schedule F.22 (IDR-Corporate Credit) and F.23
(IDR-Jump to Default) be left blank for the ``FVO Hedges'' and ``AL
Hedges'' versions. The commenter's rationale is twofold. First, the
data submitted on these schedules either does not affect the macro
scenario projections or are not used by firms to determine
macroeconomic scenario projections, and so the data are only
informational or are only used in the calculation of trading
incremental default losses (i.e., not relevant for the macro scenario
projections). Second, these schedules are operationally burdensome for
firms to provide as they require firmwide aggregation and netting.
The Board agrees with the commenter's rationales and has revised
the instructions to indicate that Schedules F.22 and F.23 are not
required for the FVO Hedges and AL Hedges submissions, effective for
the September 30, 2022, as of date.
The Board did not propose any changes to the treatment of non-fair
value private equity investment exposures for determining stressed
losses. However, one commenter recommended that the Board subject these
exposures to the macro scenario, and not to the global market shock
scenario. The Board indicated in a final FR Y-14 notice from 2020 \3\
that it believes the macro scenario is more appropriate than the global
market shock for evaluating losses associated with non-fair value
private equity exposures but would continue to analyze the issue.
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\3\ See 85 FR 86560 (December 30, 2020).
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The Board is still reviewing the scenario treatment of non-fair
value private equity exposures and will consider revising this
treatment in a future Federal Register notice.
Wholesale
Informal Advised or Guidance Lines
The Board proposed to revise the definition of informal advised or
guidance lines on FR Y-14Q, Schedule
[[Page 52564]]
H.1 (Corporate) to be an authorization for a line of credit that is
unknown to the customer. These lines are excluded from reporting on
Schedule H.1. The Schedule H.1 instructions also require firms to
include ``. . . any unused commitments that are reported on FR Y-9C,
Schedule L [Derivatives and Off-Balance Sheet Items] that would be
reported in the relevant FR Y-9C category if such loans were drawn.''
One commenter said that this proposed revision would require firms to
report certain credit facilities as commitments in Schedule H.1, even
though such facilities are intentionally structured and documented such
that the lender is not under any legal obligation to extend credit or
purchase assets (defined facilities). Two commenters further noted that
there are several definitions of commitments across various Board rules
and reporting forms. The commenters requested the Board align the
definition of commitment on Schedule H.1 with that of FR Y-9C, Schedule
L, or with the definition from the capital rule. Per the commenters,
this would reduce operational burden on reporting firms and would lead
to more consistent practices across firms. If the definition of
commitment is not made the same across Schedule H.1, Schedule L, and
the capital rule, then the commenters asked the Board to clearly
delineate how these definitions differ. The commenters added that if
the Board does not align the definitions as recommended, then it should
clarify what lines of credit ``unknown to the customer'' means.
The clarification of the definition of informal advised or guidance
lines was intended to bring Schedule H.1 more clearly into alignment
with the FR Y-9C. However, the Board acknowledges the concerns raised
by the commenter. To avoid confusion and clarify the relationship to
the FR Y-9C, the Board has not adopted the proposed revisions to the
definition of informal advised or guidance lines. Further, to ensure
alignment with the FR Y-9C, the Board has removed the language
surrounding the exclusions of informal advised or guidance lines. The
aforementioned reference to FR Y-9C, Schedule L will remain in the
instructions without any exclusions, which should mitigate ambiguity.
Given the comments surrounding firm burden, the Board has delayed
implementation of this revision until the June 30, 2023, as of date.
Internal Ratings Mapping
The Board proposed to add ``Minimum Probability of Default,''
``Maximum Probability of Default,'' and ``[Probability of Default] PD
Calculation Method'' items to FR Y-14Q, Schedule H.4 (Internal Risk
Rating). Per the proposal, these items would enable the Board to better
assess credit risk across firms by providing benchmark values for
internal ratings. Two commenters raised several issues with this
proposal. First, firms may segment their portfolios and assign certain
PDs to internal ratings within each segment. This could lead to a wide
range of PDs for firms' internal risk ratings and possibly overlapping
minimum and maximum PDs across different ratings. Such overlap would
not allow the Board to easily compare credit risk across firms, and so
may not be appropriate for use in supervisory models. In addition, some
firms may assign a single PD to a given internal rating, and so the
data provided may not be very useful to accomplish the intended goal of
the proposed changes. Given the diversity in practice across firms, one
commenter requested that the Board acknowledge that these items would
not be used by supervisory models to determine stressed losses, and
another commenter recommended that the Board not adopt these proposed
changes.
Second, firms are already required to report PD information at the
facility level in FR Y-14Q, Schedules H.1 and H.2 (Commercial Real
Estate). The commenters noted that this facility-level data provides
more insight than minimum and maximum PD. The commenter added that
while firms could provide the minimum and maximum PD for their internal
ratings, the firm may not hold any exposures that have PDs equivalent
to the minimum or maximum PD for a given internal rating. By contrast,
PD data already required on Schedules H.1 and H.2 allow the Board to
see the exact PDs of reported exposures. Per the commenters, the fact
that firms may not have any exposures at the minimum and maximum PD for
a given internal rating and the fact that firms already reported
facility-level PD information mean that the additional burden of
reporting the minimum and maximum PD for a given internal rating is not
justified.
Third, one commenter asserted that there may be a future proposal
to the capital rule to eliminate the existing internal ratings-based
approach. If this occurs, it would no longer be appropriate to require
the reporting of these items, per the commenter. Given the possibility
of this occurring, the commenter suggests firms should not be required
to provide these items due to the burden of creating a process that may
be obviated in the near future.
Commenters also requested information regarding how this data will
be used, how firms should report if certain ratings do not have
associated PD ranges, and how firms should report situations where a PD
is assigned to an internal rating but there are no exposures with that
PD reportable in Schedules H.1 or H.2 (i.e., whether a firm would still
be required to include such a portfolio segment in establishing the
range of PDs for a given rating). One commenter also suggested that
these items should be changed to alpha-numeric characters to allow
firms to report ``NA'' and ``Null'' values, as well as be expanded from
the proposed four-decimal places to seven decimal places, as some firms
have PD ranges that extend beyond four decimal places. Finally, one
commenter recommended that the ``PD Calculation Method'' item
instructions specify how firms should report hybrid calculation methods
that consider through the cycle and point in time aspects (as proposed,
firms can only select one of those two options as their PD calculation
method).
The Board notes that the ``Minimum PD'' and ``Maximum PD'' items
are intended to give additional context with regard to understanding a
firms' internal ratings. Current reporting on Schedule H (Wholesale)
without these items has resulted in inconsistent ratings detail across
firms, and the addition of these items will produce useful data points
for interpreting the ratings. The reporting of these items creates an
opportunity for firms to provide a more robust view of their internal
ratings to help the Board better assess credit risk. Additionally, the
free text field will remain available for firms to provide further
explanation if necessary.
In addition, reporting the calculation method at the level of the
internal rating will provide the Board with additional detail in
assessing the PDs reported, with a lower burden than requiring this
data at a facility level. It may be the case that a firm does not hold
any exposures at the minimum and maximum PDs reported for each internal
rating; however, the PD information is still crucial in allowing the
Board to better interpret internal ratings. Further, the Board has not
issued a notice of proposed rulemaking or final rule to revise the
capital rule to eliminate the existing internal ratings-based approach.
Lastly, to reduce burden and to be responsive to commenters, the
Board has revised the instructions to allow for the reporting of ``NA''
for internal ratings that do not have exposures in a reporting quarter,
to expand the character limit for these items to allow firms to report
up to seven decimal places, and to add a hybrid calculation option to
the ``Calculation Method''
[[Page 52565]]
item. The Board has adopted this revision effective for the September
30, 2022, as of date.
Capital
Capital Action Assumptions
Planned capital actions are the capital actions firms would expect
to take under baseline conditions, and alternative capital actions are
the capital actions firms would expect to take under stressed
conditions. The Board proposed to change the capital action assumptions
of the FR Y-14A, Schedule A (Summary) CCAR submission under the
supervisory severely adverse scenario from planned capital actions to
alternative capital actions. In addition, the Board proposed to add the
definitions and assumptions of capital actions required per the capital
plan rule, as set forth in CCAR Q&A GEN0500, to the instructions for FR
Y-14A, Schedule A. One commenter was supportive of the change in the
capital action assumptions for the CCAR submission under the
supervisory severely adverse scenario. However, the commenter pointed
out that the proposal seemed to apply two of the assumptions to
alternative capital actions that were intended only to apply to planned
capital actions in the severely adverse scenario. These assumptions
were: (1) that the dollar value of dividends, repurchases, and
redemptions of capital instructions do not vary from the amount in the
Internal baseline scenario, and (2) that the dollar value of the
issuance of capital instruments does not vary by scenario from the
amount in the Internal baseline scenario unless the scenario directly
impacts shareholder's equity or consideration paid in connection with a
planned merger or acquisition.
The Board confirms that these two assumptions would not apply to
alternative capital actions and are no longer necessary to include in
the instructions because planned capital actions will only be used in
the baseline scenario. The Board has removed these two assumptions from
the instructions and has adopted this revision effective for the
December 31, 2022, as of date. In addition, the Board has rescinded
CCAR Q&A GEN0500 because it refers to the prior instructions, which
required firms to use planned capital actions in the supervisory
severely adverse scenario, and would therefore cause confusion.
Interest Expense
The Board proposed to add an ``Interest expense for the quarter
(net of swaps)'' item to FR Y-14Q, Schedule C (Regulatory Capital
Instruments). One commenter asked for clarification for whether firms
should report quarter-to-date profit and loss (P&L) movement of the
interest expense on the subordinated debt instrument only, as opposed
to total interest expense.
The Board confirms that the commenter's interpretation is correct
in that firms should report quarterly P&L for the specific subordinated
debt instrument net of P&L attributable to swaps. The Board has revised
the instructions to clarify this reporting and has adopted this
revision effective for the September 30, 2022, as of date.
The Board proposed to add an ``Interest expense for the quarter
(with swaps, excluding any gains or losses due to the fair value
adjustment of ASC 815/FAS 133 hedges)'' item to Schedule C. One
commenter asked the Board to confirm that firms would need to report
quarter-to-date interest profit and loss movement on debt plus swap
interest (i.e., debt couponing and amortization of original issuance
discount/premium) and underwriting fee plus swap interest accrued and
realized cashflow in this item.
The Board confirms that the commenter's interpretation is correct
in that firms should report the quarterly P&L for the specific
subordinated debt instrument including any underwriting fees and
income/expense due to swaps but excluding the gains/losses due to any
fair value adjustments over the quarter. With respect to realized cash
flow, firms should only report cash flow from swaps to the extent that
they are included in interest expense on subordinated debt. The Board
has revised the instructions to clarify this reporting and has adopted
this revision effective for the September 30, 2022, as of date.
The Board proposed to add an ``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)''
item to Schedule C. One commenter asked for clarification for whether
firms should report quarter-to-date movement on interest plus the
Financial Accounting Standards (FAS) 133 fair value adjustment for both
debt and swaps in this item.
The ``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)'' item is meant to capture the
entirety of interest expense on the subordinated debt instrument,
inclusive of swaps and fair value adjustments. The sum of this item
across all subordinated debt securities should reconcile to the
interest expense on subordinated debt that is reported on the FR Y-9C.
The Board has revised the instructions to clarify this reporting and
has adopted this revision effective for the September 30, 2022, as of
date.
Other Revisions
The Board proposed to add a ``Fair value adjustment at the quarter
end for subordinated debt securities that are carried at fair value''
item to Schedule C. One commenter asked how this proposed item would
interact with the existing ``Fair value of associated swaps
($Millions)'' item also on Schedule C. Specifically, the commenter
wanted clarification on whether the proposed item is meant to capture
all fair value adjustments on long term debt that have a fair value
hedge relationship while the existing item is meant to capture only the
fair value of outstanding swaps. Additionally, the commenter also
sought clarification on whether the proposed item is asking for the FAS
133 basis adjustment (if not, then firms would report a zero value, as
a subordinated debt portfolio is not reported at fair value), and
whether the existing item should include accrued interest.
The proposed ``Fair value adjustments at the quarter end for
subordinated debt securities carried at fair value'' item was meant to
capture the quarterly fair value adjustment made to the security that
flows through a firm's income statement as interest expense on
subordinated debt. The existing item ``Fair value of associated swaps
($ Millions)'' captures the total fair value of outstanding swaps on
this security, and not the quarterly movements (e.g., fair value
adjustments). The Board has revised the instructions to clarify this
reporting and has adopted this revision effective for the September 30,
2022, as of date.
Retail
Modified Loans
The Board proposed to clarify that ``Modification Type'' (FR Y-14M,
Schedule A (Domestic First Lien), item 74; Schedule B (Domestic Home
Equity), item 77) should only be completed if firms report ``1'' in
``Workout Type Completed'' (Schedule A, item 77; Schedule B, item 61),
indicating that a loan has been modified. The instructions for
``Workout Type Completed'' specify that firms must report ``1'' in the
month that the modification is complete and the new loan terms are in
effect. One commenter asked the Board to clarify whether ``Modification
Type'' should only be completed in the month that
[[Page 52566]]
modification is complete and the new loan terms are in effect.
The Board notes that ``Workout Type Completed'' should only be
reported in the month the workout was completed. Per the instructions,
``Modification Type'' should be filled out for all months the loan is
currently operating under modified terms (including the month that
``Workout Type Completed'' = 1). The Board has revised the instructions
for ``Modification Type'' to clarify how to report this item and has
adopted the revision, effective for the September 30, 2022, as of date.
One commenter pointed out that ``Modification Type'' requires firms
to report ``0'' if a loan has not been modified, but this is
inconsistent with the proposed changes requiring firms to only report
this item if a loan has been modified, as indicated in ``Workout Type
Completed.'' The commenter asked for clarification for how to report
this item for loans that have not been modified.
The Board notes that if a loan is not operating under modified
terms, then ``Modification Type'' should be populated as ``0 = Loan has
not been modified.'' If ``Workout Type Completed'' = 1 (Modification),
then ``Modification Type'' should be coded with an allowable value
other than ``0.'' The Board has updated the instructions to clarify
this point and has adopted the revision, effective for the September
30, 2022, as of date.
The Board proposed several revisions to the ``Modification Type''
item to allow for multiple types of modifications to a loan, such as
modifications caused by the COVID event. One commenter sought
clarification from the Board on how COVID-related deferral or
forbearance plans should be reported in ``Modification Type.'' Per an
April 2020, interagency statement,\4\ COVID-related deferral or
forbearance plans should not be treated as modifications, as they are
temporary plans to reduce the hardships faced by the borrower. The
commenter recommended that firms only report ``Modification Type'' in
cases where the modification is due to loss or mitigation efforts, and
not to capture COVID-related deferrals or forbearances.
---------------------------------------------------------------------------
\4\ ``Interagency Statement on Loan Modifications and Reporting
for Financial Institutions Working with Customers Affected by the
Coronavirus (Revised)'' April 7, 2020. Interagency Statement on Loan
Modifications and Reporting for Financial Institutions Working with
Customers Affected by the Coronavirus (Revised)
(<a href="http://federalreserve.gov">federalreserve.gov</a>).
---------------------------------------------------------------------------
In response, the Board notes that it proposed to add ``Workout Type
Started'' to Schedule A (item 143) and Schedule B (item 120) of the FR
Y-14M. All forbearances should be reported under ``Workout Type
Started'' and ``Workout Type Completed,'' regardless of the cause of
the forbearance. If any modification to the terms of the loan occurs as
a result, then it should be reported in ``Modification Type.'' The
Board has adopted the revision as proposed, effective for the September
30, 2022, as of date.
One commenter asked how non-loss mitigation-related modification
plans (non-default) (e.g., plans under the Service Members Relief Act
(SCRA)) should be treated in ``Modification Type.'' The commenter notes
that in FR Y-14 Q&A Y140001307, the Board indicated that loans under
SCRA plans should be considered as active loss mitigation.
The Board has clarified that if the loan is active under loss
mitigation, then ``Modification Type'' should reflect the type of
accommodation the loan is undergoing (per Q&A Y140001307, SCRA plans
should be considered as active loss mitigation).
One commenter asked how firms should report ``Modification Type''
in cases where the type of modification is unknown. Per the commenter,
a loan that was modified under a Home Affordable Modification Program
(HAMP) may have offered the borrower a variety of types of
modification, and this level of detail is not available in certain loan
systems, particularly for loans that were modified prior to 2013.
The Board acknowledges that there may be cases where loan
modification information is unknown. Firms must report the value that
reflects the current modification arrangement using all information
available. To address this comment, the Board has added option
``99=Other'' to ``Modification Type.'' Firms should report ``99=Other''
if no information regarding the modification is available. The Board
has also updated ``Modification Type'' to remove reference to any
specific program (such as HAMP). The Board has adopted this revision
effective for the September 30, 2022, as of date.
The Board proposed to add an option to ``Modification Type'' for
firms to report when the loan modification results in recapitalization.
One commenter asked the Board to provide a definition for the
``Recapitalization'' option.
The Board has added a definition for ``Recapitalization'' to
``Modification Type'' to capture instances where accrued and/or
deferred principal, interest, servicing advances, expenses, fees, etc.
are capitalized into the unpaid principal balance of the modified loan.
The Board has adopted this revision effective for the September 30,
2022, as of date.
The Board proposed to retire several options in the ``Modification
Type'' and ``Workout Type Completed'' items, considering the proposed
addition of other items. One commenter asked how historical reporting
would be updated or aligned to the new values.
The Board notes that historical reporting will remain unchanged
from the current practice, which requires firms to report items and
values based on the forms and instructions for a given as of date. The
Board has adopted these revisions as proposed, effective for the
September 30, 2022, as of date.
The Board proposed to add several reportable values to
``Modification Type'' on Schedule B, one of which was ``99 = Other''.
However, this item already had the ``26 = Other'' option. One commenter
asked what the difference was between the options of ``26 = Other'' and
``99 = Other'' for ``Modification Type'' on Schedule B.
The Board did not intend to have two values indicating the same
modification type, and so has removed ``26=Other'' from ``Modification
Type'' on Schedule B, effective for the September 30, 2022, as of date.
The Board proposed to retire the ``9 = Proprietary Other'' option
of ``Modification Type'' on Schedules A and B. FR Y-14 Q&A Y140000738
previously specified that firms should report home equity modifications
that do not meet the definition of modification, as defined in the FR
Y-14M instructions, as ``9 = Proprietary Other'' in ``Modification
Type.'' One commenter asked how firms should report such loans once the
``9 = Proprietary Other'' option has been retired.
Firms should report the code that reflects the current modification
arrangement using all information available. If no information
regarding the modification type is available, then firms should report
as ``99=Other.'' The Board has adopted this revision as proposed,
effective for the September 30, 2022, as of date.
One commenter asked whether the Board proposed to retire the ``13 =
HELOC Line Renewal (Regular)'' and ``14 = HELOC Line Renewal (loss
mitigation strategy)'' options from ``Modification Type'' on Schedule
B. The instructions for these values have been stricken out, but the
options themselves were not.
The Board did not intend to strike out the instructions for these
values and has updated the instructions accordingly. These values were
not removed from ``Modification Type'' on Schedule B,
[[Page 52567]]
and the Board did not propose any revisions to these values. The Board
has adopted this revision effective for the September 30, 2022, as of
date.
The Board proposed to add an option to ``Workout Type Completed''
for firms to report ``17=Partial Claim/Junior Lien'' on Schedules A and
B. The proposed instructions for ``Workout Type Completed'' would have
required firms to report ``17=Partial Claim/Junior Lien'' in the month
that a loan partial claim or the origination of a junior lien resulting
from loss mitigation was completed. One commenter noted that some
modifications, such as Federal Housing Authority (FHA)-HAMP Combination
Loan Modifications and Partial Claims, may result in a partial claim.
These modifications establish an affordable monthly payment, resolve
the outstanding mortgage payment arrearages, and permanently modify the
first mortgage monthly payment. The commenter added that these
modifications are zero-interest subordinate liens that will include a
portion of the amount to be resolved and if borrowers meet the
requirements, a principal deferment. The remainder is added to the
principal loan balance of the first mortgage and extends the term for
30 years at a fixed interest rate. The commenter would like the Board
to clarify how to report these types of modifications in the ``Workout
Type Completed'' items.
If a workout program results in a partial claim or junior lien,
then ``Workout Type Completed'' should be coded as ``17=Partial Claim/
Junior Lien.'' If the workout program results in a change to terms of
the loan, then ``Workout Type Completed'' should be reported as ``1--
Modification'' and ``Modification Type'' should be reported using the
code that best reflects the modification. The Board has adopted this
revision as proposed, effective for the September 30, 2022, as of date.
The Board proposed to add a ``Workout Type Started'' item to
Schedule A. Firms would be required to report this item for any loan
where a loss mitigation effort has started or is in progress for the
current month. One commenter asked how firms should report situations
where a modification plan that was reported in a prior period fails and
in the current reporting period, a new plan starts.
In cases where loss mitigation efforts fail, firms should report
``Workout Type Completed'' as ``0=No workout completed or unsuccessful
resolution of loss mitigation effort.'' If in the current month a new
effort begins, firms should report ``Workout Type Started'' with the
relevant allowable value. The Board has revised the instructions to
clarify this reporting, effective for the September 30, 2022, as of
date.
One commenter asked how firms should report situations where they
offer a borrower a trial period for a modified loan that could
subsequently result in a loan modification. In these cases, the
commenter sought clarification as to whether firms should report the
date that the trial period began or when the modification program
began.
Firms should report ``Workout Type Started'' with the appropriate
value in the month(s) the trial started and throughout the trial period
for loans that enter a trial period for a modification. The Board has
adopted the revision as proposed, effective for the September 30, 2022,
as of date.
The Board proposed to add new options for the ``Workout Type
Completed'' item on Schedule B. However, the Board did not provide
proposed definitions for these new options. One commenter asked the
Board to provide these definitions.
The Board has updated the instructions to provide definitions for
all new values in ``Workout Type Completed'' on Schedule B that align
with the definitions for the ``Workout Type Completed'' item on
Schedule A. The Board has adopted this revision effective for the
September 30, 2022, as of date.
The Board proposed to revise the language in the instructions for
FR Y-14M, Schedule A, items 87 (``Principal Deferred Amount'') and 89
(``Principal Write-Down Amount'') to expand the circumstances under
which firms would report these items, as currently these items are only
reported if a loan has been modified. One commenter pointed out that
the Board did not propose to revise the equivalent items on Schedule B
(items 59 and 73, respectively), even though these items are also only
reported if a loan has been modified. The commenter suggested that the
Board also make these revisions to the corresponding Schedule B items,
for consistency.
The Board agrees that the corresponding items on Schedule B should
have been updated and has revised the instructions to align the
applicable items on Schedule B with those on Schedule A. The Board has
adopted these revisions effective for the September 30, 2022, as of
date.
Other Revisions
The Board proposed to require firms to provide the loan-level fair
value of loans reported on FR Y-14M, Schedule A, if those loans are
measured under the FVO or are held-for-sale (HFS). Currently, firms are
required to indicate whether a loan is measured at fair value under the
FVO or is HFS but are not required to provide the fair value of a given
loan. One commenter raised two objections to this proposal. First, many
firms do not have the fair value of FVO or HFS loans readily available.
Rather, per the commenter, fair value adjustments on FVO or HFS loans
are recorded and accounted for as a block and are not individually
broken out. The commenter added that requiring firms to provide loan-
level fair values would be burdensome on firms and would require
significant manual effort as the data is not readily available.
Second, firms are already required to report aggregated fair value
FVO and HFS amounts for retail loans on FR Y-14Q, Schedule J (Retail
FVO/HFS). In the commenter's view, since the Board currently collects
similar information at the portfolio level, firms should not be
required to report fair value amounts at the loan level.
Collecting loan-level fair value information for mortgages allows
the Board to better monitor and assess risks surrounding FVO mortgages,
which is limited when using the aggregated FR Y-14Q data. Receiving
timely information regarding the fair value of mortgages is essential
since these assets are highly sensitive to current market conditions,
which can change rapidly. Therefore, mortgages held at fair value have
different risk profile than those held at amortized cost. Given this,
it is imperative that the Board receives loan-level fair value data for
these exposures. The Board has adopted this revision as proposed,
effective for the September 30, 2022, as of date.
The Board proposed to remove items 57 (``Capitalization'') and 98
(``Interest Rate Reduced'') from FR Y-14M, Schedule A, as they are no
longer needed. One commenter suggested that, for consistency, the Board
should also remove the equivalent items (items 57 and 71, respectively)
from Schedule B.
The Board agrees that the equivalent items on Schedule B should
also be removed, as they are no longer needed given other adopted
revisions. The Board has updated the instructions to remove these items
from Schedule B. The Board has adopted these revisions effective for
the September 30, 2022, as of date.
The Board proposed to add ``Actual Payment Amount'' (item 142) to
Schedule A. In this item, firms would have reported the actual dollar
amount of the interest payment received in the reporting month,
excluding fee payments. One commenter questioned
[[Page 52568]]
how to report situations where there is an additional principal
curtailment received with the payment, and how firms should report if
multiple payments are received in a given reporting month.
To reduce ambiguity, the Board has modified the proposed
instructions to indicate that firms should report the total payment
received in a given month, including principal curtailment received
with the payment.
One commenter asked whether principal and interest reversals should
be factored into ``Actual Payment Amount,'' or if it should only
capture received amounts.
For clarity, the Board has modified the proposed instructions to
indicate that firms should report the total payment received in a given
month, net of any reversals. The Board has adopted the proposal to add
the ``Actual Payment Amount'' item to Schedule A, with these
modifications, effective for the September 30, 2022, as of date.
The Board proposed to add options for the Bloomberg Short-Term Bank
Yield (BSBY) to the ``[Adjustable Rate Mortgage] ARM Index'' item on
Schedules A (item 32) and B (item 29). There were no comments on the
proposed changes; however, one commenter did have two questions about
this item. First, the commenter noted that the Federal Home Loan Bank
of San Francisco announced earlier this year that it will stop
publishing all Cost of Fund Indices (COFI). The ``ARM Index'' item
currently contains options for firms to report COFI. The commenter
further noted that loans that reference COFI have been updated to
reference other indices and sought clarification as to whether firms
should continue to report COFI, which was the reference index at
origination, or the updated indices. Second, the commenter also pointed
out that the ``ARM Index'' item requires firms to report origination
values. The commenter recommended that this be changed so that firms
report the current index values, as it would provide more useful
information to the Board and be less burdensome on firms, as the
current index information is readily available.
The Board notes that COFI has not been retired and firms can
continue to report COFI in ``ARM Index.'' Firms should continue to
report legacy loans that reference COFI using the COFI options in ``ARM
Index.'' In addition, origination values allow the Board to adequately
assess underwriting decisions at the time of origination, which can
inform changes in credit availability over time. The Board acknowledges
that receiving current value information would also be beneficial and
will consider this suggestion for a future proposal. The Board has
adopted the revision as proposed, effective for the September 30, 2022,
as of date.
Balances
In general, bank cards allow firms to pay outstanding balances over
time, while charge cards must be fully paid off each billing cycle.
Some products 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. The Board proposed to revise the definition of ``Charge
cards'' (item 3.b) on FR Y-14Q, Schedule M.1 (Quarter-end balances) to
specify that if a charge card loan has a pay-over-time feature, then
the entire balance must be reported in this item. One commenter said
that this revision would cause misalignment between Schedule M and item
6.a. (Credit cards) of FR Y-9C, Schedule C (Loans and Leases), and
asked whether this misalignment was intentional.
The definition of item 3.b on FR Y-14Q, Schedule M requires firms
to report the applicable balance that is also reported in FR Y-9C,
Schedule HC-C, items 6.a and 6.d (Other consumer loans). Therefore, the
Schedule M.1 and FR Y-9C, Schedule HC-C instructions would align, and
the Board has adopted the revision as proposed, effective for the
September 30, 2022, as of date.
Several items on FR Y-14Q, Schedule M.1, reference various FR Y-9C
items where applicable balances are reported. The Board proposed to add
a reference to FR Y-9C, Schedule HC-C, item 9.a (Loans to nondepository
financial institutions) to Schedule M.1, item 2.c (SME cards and
corporate cards), as balances required in item 2.c could be reported in
item 9.a. One commenter requested that the Board also add references to
FR Y-9C, Schedule HC-C, items 2.a (Loans to U.S. banks and other U.S.
depository institutions), 2.b (Loans to foreign banks), 3 (Loans to
finance agricultural production and other loans to farmers), and 7
(Loans to foreign governments and official institutions) to Schedule
M.1, item 2.c, as balances reported in those FR Y-9C items could also
meet the definition listed for item 2.c. Relatedly, the commenter noted
that for congruency, any FR Y-9C items added to be referenced to
Schedule M.1, item 2.c, should also be added to Schedule M.2 (FR Y-9C
Reconciliation), item 2 (SME cards and corporate cards).
The Board agrees with the commenter that there could be loans
reported in other FR Y-9C items that meet the definition for reporting
in Schedule M.1, item 2.c. Given this, the Board has revised the
instructions for item 2.c to add references to FR Y-9C, Schedule HC-C,
items 2.a, 2.b, 3, and 7. In response to the comment and for data
reconciliation purposes, the Board has also added applicable items to
Schedule M.2, item 2. The Board has adopted these revisions effective
for the September 30, 2022, as of date.
Board of Governors of the Federal Reserve System, August 22, 2022.
Michele Taylor Fennell,
Deputy Associate Secretary of the Board.
[FR Doc. 2022-18396 Filed 8-25-22; 8:45 am]
BILLING CODE 6210-01-P
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</html>Indexed from Federal Register on August 26, 2022.
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.