Form FR Y-14A FR Y-14A Scenario

FR Y‐14A Scenario Schedule Cover Sheet
In addition to providing the name and RSSD ID of your institution on this cover sheet, all BHCs are 
expected to complete the following three tabs in this workbook: Scenario Variable Definitions, BHC 
Baseline Scenario  and BHC Stress Scenario .  If the BHC so chooses, it can provide additional stress 
scenarios on additional tabs. 

Institution Name:
RSSD ID: 
Date of Data Submission:

Supervisory Baseline Scenario (additio
Variable 
Number
1
2
3
4
5
6
7
8
9
10

Variable Name

Supervisory Adverse Scenario (additio
Variable 
Number
1
2
3
4
5
6
7
8
9
10

Variable Name

Supervisory Severely Adverse Scenario (ad
Variable 
Number
1
2
3
4
5
6
7
8
9
10

Variable Name

BHC Baseline Scenario (v
Variable 
Number
1
2
3
4

Variable Name

5
6
7
8
9
10
BHC Stress Scenario (va
Variable 
Number
1
2
3
4
5
6
7
8
9
10

Variable Name

BHC Additional Scenario #1
Variable 
Number
1
2
3
4
5
6
7
8
9
10

Variable Name

onal variables used beyond those supplied)
Variable Definition

onal variables used beyond those supplied)
Variable Definition

dditional variables used beyond those supplied)
Variable Definition

variables not included above)
Variable Definition

ariables not included above)
Variable Definition

1 (variables not included above)
Variable Definition

Variable Name

Actual
as of date

PQ 1

PQ 2

PQ 3

PQ 4

Projected
PQ 5

PQ 6

PQ 7

PQ 8

PQ 9

Variable Name

Actual
as of date

PQ 1

PQ 2

PQ 3

PQ 4

Projected
PQ 5

PQ 6

PQ 7

PQ 8

PQ 9

Variable Name

Actual
as of date

PQ 1

PQ 2

PQ 3

PQ 4

Projected
PQ 5

PQ 6

PQ 7

PQ 8

PQ 9

Variable Name

Actual
as of date

PQ 1

PQ 2

PQ 3

PQ 4

Projected
PQ 5

PQ 6

PQ 7

PQ 8

PQ 9

Variable Name

Actual
as of date

PQ 1

PQ 2

PQ 3

PQ 4

Projected
PQ 5

PQ 6

PQ 7

PQ 8

PQ 9

Variable Name

Actual
as of date

PQ 1

PQ 2

PQ 3

PQ 4

Projected
PQ 5

PQ 6

PQ 7

PQ 8

PQ 9

Scenario Schedule Instructions
Introduction
These instructions provide guidance for reporting the variables used in the firm-defined macroeconomic
scenarios underlying the projections of losses, revenue, and capital. These scenarios include the
supervisory baseline scenario, supervisory adverse scenario, supervisory severely adverse, BHC baseline
scenario, and BHC stress scenario, as well as, any additional scenarios generated by the firm or supplied
by the Federal Reserve. (Additional Scenario #1; Additional Scenario #2; etc.)1
The template consists of three worksheets that each BHC must complete. Additional worksheets are
provided if the BHC generated additional variables for the supervisory scenarios or reported additional
scenarios beyond the BHC baseline and BHC stress scenarios. The worksheets in the template are:
Scenario Variable Definitions: This worksheet should be used to list and define the variables included in
the BHC baseline and BHC stress scenarios, as well as, any additional BHC scenarios reported.
•

The worksheet provides space for the supervisory baseline scenario, supervisory adverse
scenario, supervisory severely adverse scenario, BHC baseline scenario, and BHC stress scenario,
as well as, space for an additional scenario. The sections for the BHC baseline and BHC stress
scenarios must be completed. If no additional scenarios are provided, then this section of the
worksheet may be left blank. If one or more additional scenarios are provided, then a section
should be created for each additional scenario and labeled accordingly (Additional Scenario #1;
Additional Scenario #2; etc.)
• For each scenario, list the variables included in the scenario in the column titled "Variable
Name."
• Variable definitions should be provided in the column titled "Variable Definition." Variable
definitions should include a description of the variable (e.g., "Real GDP") and the denomination
and/or frequency of the variable (e.g., "Billions of 2005 dollars" or "in percent, average of
monthly values").
• For convenience, the worksheet provides space for 10 variables per scenario, but any number of
variables may be reported, depending on the variables actually used in the scenario. Extra lines
may be created as needed. The same variables do not necessarily have to be included in each
scenario.
• The last nine columns in the scenario projection worksheets are marked PQ 1 through PQ 9. PQ
stands for projected quarter. PQ 1 through PQ 9 are nine quarterly projections over which the
planning horizon extends.
• Firms should include all economic and financial market variables that were important in
projecting results, including those that affect only a subset of portfolios or positions. For
example, if asset prices had a meaningful impact, the assumed level of the equity market and
interest rates should be included, or if bankruptcy filings affect credit card loss estimates, then
1

For example, required scenarios for annual and mid-cycle company-run stress tests are outlined in Sections 252.144
(Annual stress test) and 252.145 (Mid-cycle stress test) of Regulation YY (12 CFR 252) Supervisory and CompanyRun Stress Test Requirements for Covered Companies. In addition, required scenarios for the Comprehensive Capital
Analysis and Review (CCAR) have been outlined in summary instructions and guidance published by the Federal
Reserve. See for example http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b1.pdf

the assumed levels of these should be reported.
•

•

Firms should also include any variables capturing regional or local economic or asset value
conditions, such as regional unemployment rates or housing prices, if these were used in the
projections.
Firms should include historical data, as well as projections, for any macroeconomic, regional,
local, or financial market variables that are not generally available. Historical data for these
variables can be included in a separate worksheet.

Supervisory Baseline Scenario: This worksheet should be used to report the values of any additional
variables generated for the supervisory baseline scenario. For the mid-cycle company-run stress test,
this worksheet should remain blank.
Supervisory Adverse Scenario: This worksheet should be used to report the values of any additional
variables generated for the supervisory adverse scenario. For the mid-cycle company-run stress test,
this worksheet should remain blank.
Supervisory Severely Adverse Scenario: This worksheet should be used to report the values of any
additional variables generated for the supervisory severely adverse scenario. For the mid-cycle
company-run stress test, this worksheet should remain blank.
BHC Baseline Scenario: This worksheet should be used to report the values of the variables included in
the BHC baseline scenario.
BHC Stress Scenario: This worksheet should be used to report the values of the variables included in the
BHC stress scenario. For the mid-cycle company-run stress test, this worksheet should be used to report
the values of the variables included in the BHC adverse scenario.
Additional Scenario #1/#2/etc. : These worksheets should be used to report the values of the variables
included in any additional scenarios. For the mid-cycle company-run stress test, an additional
worksheet should be used to report the values of the variables included in the BHC severely adverse
scenario.
--Please create a separate worksheet (tab) for each additional scenario. Name the worksheets
“Additional Scenario #1;” “Additional Scenario #2;” etc.
All Scenarios: The following applies to all of the Scenario tabs:
--The variables should be the same (and have the same names) as the variables listed in the
corresponding sections of the Scenario Variable Definitions Worksheet.
--List quarterly values for the variables starting with the last realized value (3Q 2012) through the end of
the forecast horizon (4Q 2014).
--Please enter all variables as levels rather than as changes or growth rates (for instance, the dollar value
of real GDP rather than the GDP growth rate).