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). Effective Dates: September 30, 2022; December 31, 2022; and June 30, 2023. Frequency: Annually, quarterly, and monthly.
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.
• 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.
• 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.
• 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 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.
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.
Subjects of reports and revisions:
Counterparty: Client-Cleared Derivatives, Securities Financing Transactions (SFTs), Other Revisions
Trading: Public Welfare Investments, Other Revisions
Wholesale: Informal Advised or Guidance Lines, Internal Ratings Mapping
Capital: Capital Action Assumptions, Interest Expensed, Other Revisions
Retail: Modified Loans, Other Revisions