FRY14_20200929_omb

Supporting Statement for the
Capital Assessments and Stress Testing Reports
(FR Y-14A/Q/M; OMB No. 7100-0341)
Summary
The Board of Governors of the Federal Reserve System (Board), under authority
delegated by the Office of Management and Budget (OMB), has extended for three years, with
revision, the Capital Assessments and Stress Testing Reports (FR Y-14A/Q/M; OMB No.
7100-0341). These collections of information are currently applicable to top-tier U.S. bank
holding companies (BHCs) and U.S. intermediate holding companies of foreign banking
organizations (IHCs) with $100 billion or more in total consolidated assets. Covered savings and
loan holding companies (SLHCs)1 (collectively with BHCs, IHCs, and SLHCs, holding
companies) with $100 billion or more in total consolidated assets became respondents to the
FR Y-14Q and FR Y-14M effective June 30, 2020, and will become respondents to the
FR Y-14A effective December 31, 2021.2 The FR Y-14A, FR Y-14Q, and FR Y-14M reports are
used to support the Board’s Comprehensive Capital Analysis and Review (CCAR) and DoddFrank Act Stress Test (DFAST) exercises and supervisory stress test models, and also are used in
connection with the supervision and regulation of these financial institutions.
The Board has adopted a number of revisions to FR Y-14 reports, such as revisions
related to counterparty and trading exposures that enhance the Board’s ability to identify risk as a
part of CCAR and DFAST, as well as made other clarifications. The Board has also adopted
revisions to the FR Y-14 reports to implement various changes to its capital rule that the Board
has recently adopted.3 These changes to the capital rule are related to capital simplifications, total
loss-absorbing capacity (TLAC), and the standardized approach for counterparty credit risk
(SA-CCR). For the FR Y-14Q and FR Y-14M, the adopted revisions are effective for dates
ranging from September 30, 2020, as of date, to the June 30, 2021, as of date. For the FR Y-14A,
the revisions are effective for the December 31, 2020, as of date.
The current estimated total annual burden for the FR Y-14 reports is 835,444 hours, and
would increase to 838,216 hours. The revisions would result in an increase of 2,772 hours. The
draft reporting forms and instructions are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/review.aspx.
Background and Justification
Section 165(i)(1) of the Dodd-Frank Wall Street Reform and Consumer Protection Act
(Dodd-Frank Act)4 requires the Board to conduct an annual stress test of certain companies to
1

Covered SLHCs are those that are not substantially engaged in insurance or commercial activities. See 12 CFR
217.2.
2
See 84 FR 59032 (November 1, 2019).
3
The Office of the Comptroller of the Currency (OCC) and Federal Deposit Insurance Corporation (FDIC)
(collectively, with the Board, the agencies) have proposed or adopted corresponding changes to their respective
capital rules.
4
Pub. L. No. 111-203, 124 Stat. 1376 (2010).

evaluate whether the company has sufficient capital, on a total consolidated basis, to absorb
losses as a result of adverse economic conditions (supervisory stress test).5 Further,
section 165(i)(2) of the Dodd-Frank Act requires the Board to issue regulations requiring such
companies to conduct company-run stress tests.6 On May 24, 2018, the Economic Growth,
Regulatory Relief, and Consumer Protection Act (EGRRCPA) amended sections 165(i)(1) and
(2) of the Dodd-Frank Act, among other changes.7 The Board’s rules implementing
sections 165(i)(1) and (i)(2) of the Dodd-Frank Act establish stress testing requirements for
certain BHCs, state member banks, savings and loan holding companies, foreign banking
organizations, and nonbank financial companies supervised by the Board.8
Additionally, the Board’s capital plan rule requires certain firms to submit capital plans to
the Board annually and requires such firms to request prior approval from the Board under
certain circumstances before making a capital distribution.9 In connection with submissions of
capital plans to the Board, firms are required, pursuant to 12 CFR 225.8(e)(3), to provide
information including, but not limited to, the firm’s financial condition, structure, assets, risk
exposure, policies and procedures, liquidity, and risk management.
The FR Y-14 reports complement 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, market,
and operational risks, and associated risk management practices.
The FR Y-14 series of reports collects stress test and capital plan data from the largest
holding companies, which are those with $100 billion or more in total consolidated assets. The
data collected through the FR Y-14A/Q/M reports provide the Board with the information
needed to help ensure that large holding companies 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.
Information gathered in this data collection is also used in the supervision and regulation of these
financial institutions.
Description of Information Collection
These collections of information are applicable to top-tier holding companies with total
consolidated assets of $100 billion or more. This family of information collections is composed
5

See 12 U.S.C. § 5365(i)(1).
See 12 U.S.C. § 5365(i)(2).
7
EGRRCPA requires “periodic” supervisory stress tests for bank holding companies with $100 billion or more, but
less than $250 billion, in total consolidated assets and amended section 165(i)(1) to require annual supervisory stress
tests for bank holding companies with $250 billion or more in total consolidated assets. EGRRCPA amended section
165(i)(2) to require bank holding companies with $250 billion or more in total consolidated assets, and financial
companies with more than $250 billion in total consolidated assets, to conduct “periodic” stress tests. Finally,
EGRRCPA amended both sections 165(i)(1) and (2) to no longer require the Board to include an “adverse” scenario
in company-run or supervisory stress tests, reducing the number of required stress test scenarios from three to two.
8
See 12 CFR 252, Subparts B, E, F, and O.
9
See 12 CFR 225.8.
6

2

of the following three mandatory reports:
 The annual FR Y-14A, which 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.10
 The quarterly FR Y-14Q, which 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, which 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.
FR Y-14A (annual collection)
The annual collection of quantitative projected regulatory capital ratios across various
macroeconomic scenarios is comprised of five primary schedules (Summary, Scenario,
Regulatory Capital Instruments, Operational Risk, and Business Plan Changes), each with
multiple supporting tables. The FR Y-14A schedules collect current financial information and
projections under the Board’s supervisory scenarios. The information includes balances for
balance sheet and off‐balance‐sheet positions, income statement and pre-provision net revenue
(PPNR), and estimates of losses across various portfolios. Firms are also required to submit
qualitative information supporting their projections, including descriptions of the methodologies
used to develop the internal projections of capital across scenarios and other analyses that
support their comprehensive capital plans.
FR Y-14Q (quarterly collection)
The FR Y-14Q schedules (Retail, Securities, Regulatory Capital Instruments, Regulatory
Capital, Operational Risk, Trading, PPNR, Wholesale Risk, Fair Value Option/Held for Sale,
Supplemental, Counterparty, and Balances) collect firm‐specific data on positions and exposures
that are used as inputs to supervisory stress test models to monitor actual versus forecast
information on a quarterly basis and to conduct ongoing supervision.
FR Y-14M (monthly collection)
The FR Y-14M report includes two portfolio- and loan-level schedules for First Lien data
and Home Equity data, and an account- and portfolio-level schedule for Domestic Credit Card
data. To match senior and junior lien residential mortgages on the same collateral, the Address
Matching schedule gathers additional information on the residential mortgage loans reported in
the First Lien and Home Equity schedules.

10

In certain circumstances, a BHC or IHC may be required to re-submit its capital plan. See 12 CFR 225.8(e)(4).
Firms that must re-submit their capital plan generally also must provide a revised FR Y-14A in connection with their
resubmission.

3

Respondent Panel
The respondent panel consists of the holding companies with $100 billion or more in total
consolidated assets,11 as based on: (1) 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; OMB No. 7100-0128) or (2) the average of the firm’s total
consolidated assets in the most recent consecutive quarters as reported quarterly on the firm’s
FR Y-9Cs, if the firm has not filed an FR Y-9C for each of the most recent four quarters.
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.
Proposed Revisions to the FR Y-14A/Q/M
The proposed revisions consisted of revisions necessary to better identify risk as part of
the stress tests, such as revisions to the Trading and Counterparty schedules or sub-schedules, as
well as capital revisions related to capital simplification, TLAC, and SA-CCR. The Board also
proposed to make several clarifications to the instructions that were, in part, prompted by
questions the Board has received from reporting institutions. All proposed revisions would have
been effective for the September 30, 2020, report date for the FR Y-14Q and FR Y-14M, and for
the December 31, 2020, report date for the FR Y-14A.
Capital Simplifications
On July 22, 2019, the Board, Office of the Comptroller of the Currency (OCC), and
Federal Deposit Insurance Corporation (FDIC) (the agencies) published a final rule amending
their regulatory capital rules12 to make a number of burden-reducing changes.13 In the
simplifications rule, the agencies adopted a simpler methodology for firms not subject to the
advanced approaches rule (non-advanced approaches banking organizations)14 to calculate
minority interest limitations and simplified the regulatory capital treatment of mortgage service
assets (MSAs), temporary difference deferred tax assets (DTAs), and investments in the capital
of unconsolidated financial institutions for non-advanced approaches banking organizations. The
revisions implemented by the simplifications rule become effective April 1, 2020.15
In order to implement the effects of the simplifications rule into the FR Y-14 reports, the
Board proposed to make a number of changes to the calculation of Common Equity Tier 1
11

Covered SLHCs with $100 billion or more in consolidated assets are not required to file the FR Y-14Q and
FR Y-14M until the reports with the June 30, 2020, as of date, and are not required to file the FR Y-14A until the
report with the December 31, 2021, as of date.
12
See 12 CFR Part 3 (OCC); 12 CFR Part 217 (Board); 12 CFR Part 324 (FDIC). While the agencies have codified
the capital rule in different parts of title 12 of the Code of Federal Regulations, the internal structure of the sections
within each agency’s rule is substantially similar. All references to sections in the capital rule or the proposal are
intended to refer to the corresponding sections in the capital rule of each agency.
13
See 84 FR 35234 (July 22, 2019).
14
Non-advanced approaches banking organizations are institutions that do not meet the criteria in 12 CFR 3.100(b)
(OCC); 12 CFR 217.100(b) (Board); or 12 CFR 324.100(b) (FDIC).
15
Eligible firms can choose to adopt the simplifications rule effective January 1, 2020.

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(CET1) capital, Additional Tier 1 (AT1) capital, and Tier 2 (T2) capital for non-advanced
approaches institutions only. Under the simplifications rule, the agencies raised the threshold for
non-advanced approaches institutions for determining the amount of MSAs, temporary
difference DTAs that could not be realized through net operating loss carrybacks (temporary
difference DTAs),16 and investments in the capital of unconsolidated financial institutions that
must be deducted from regulatory capital. In addition, the simplifications rule streamlined the
capital calculation for minority interest includable in regulatory capital for non-advanced
approaches institutions and made other technical changes to the regulatory capital rule.
The current regulatory capital calculations in FR Y-14A, Schedule A.1.d (Capital), and
FR Y-14Q, Schedule D (Regulatory Capital), require that an institution’s capital cannot include
MSAs, certain temporary difference DTAs, and significant investments in the common stock of
unconsolidated financial institutions in an amount greater than 10 percent of CET1 capital, on an
individual basis, and that those three data items combined cannot comprise more than 15 percent
of CET1 capital. When the reporting of regulatory capital calculations by non-advanced
approaches institutions in accordance with the simplifications rule takes effect, this calculation
would be revised to require that MSAs or temporary difference DTAs in an amount greater than
25 percent of CET1 capital, must be deducted from a non-advanced approaches institution’s
capital. The 15 percent aggregate deduction threshold was removed by the simplifications rule.
In addition, the simplifications rule has streamlined the current three categories of investments in
financial institutions (non-significant investments in the capital of unconsolidated financial
institutions, significant investments in the capital of unconsolidated financial institutions that are
in the form of common stock, and significant investments in the capital of unconsolidated
financial institutions that are not in the form of common stock) into a single category,
investments in the capital of unconsolidated financial institutions, and requires that nonadvanced approaches institutions deduct amounts of these investments that exceed 25 percent of
CET1 capital. Any investments in excess of the 25 percent threshold have been deducted from
capital using the corresponding deduction approach.
Per the final tailoring rules, Category I and II firms are subject to the advanced
approaches rule, while Category III and IV firms are not subject to the advanced approaches
rule.17 Therefore, the Board proposed to specify reporting of capital simplifications to clearly
delineate between the requirements for the different firm categories. In order to implement these
regulatory capital changes from a regulatory reporting perspective, the Board proposed the
following revisions to FR Y-14A, Schedule A.1.d and FR Y-14Q, Schedule D.
FR Y-14A, Schedule A.1.d (Capital)
The Board proposed to add new items and revise several existing items that relate to
CET1 capital deductions to align with the revisions proposed to the FR Y-9C, Schedule HC-R
(Regulatory Capital), Part I (Regulatory Capital Components and Ratios). These items would
16

The Board notes that An Act to provide for reconciliation pursuant to titles II and V of the concurrent resolution
on the budget for fiscal year 2018, P.L. 115-97 (originally introduced as the Tax Cuts and Jobs Act), enacted
December 22, 2017, eliminated the concept of net operating loss carrybacks for U.S. federal income tax purposes,
although the concept may still exist in particular jurisdictions for state or foreign income tax purposes.
17
See 84 FR 59230 (November 1, 2019).

5

have allowed Category III and IV firms to reflect the 25 percent of CET1 capital limit for MSAs
and certain temporary difference DTAs. The new items would have only been required for
Category III and IV firms. These new items would have been:
 Investments in the capital of unconsolidated financial institutions, net of associated
[deferred tax liabilities] DTLs, that exceed 25 percent common equity tier 1 capital
deduction threshold,
 Aggregate amount of investments in the capital of unconsolidated financial institutions,
net of associated DTLs,
 25 percent common equity tier 1 deduction threshold, and
 Amount to be deducted from common equity tier 1 due to 25 percent deduction threshold.





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



The existing items that the Board proposed to revise were:
Significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of associated DTLs, that exceed 10 percent common equity tier 1
capital deduction threshold (item 37),
MSAs, net of associated DTLs, that exceed the common equity tier 1 capital deduction
threshold (item 38),
DTAs arising from temporary differences that could not be realized through net operating
loss carrybacks, net of related valuation allowances and net of DTLs, that exceed the
common equity tier 1 capital deduction threshold (item 39),
Amount of significant investments in the capital of unconsolidated financial institutions
in the form of common stock; MSAs, net of associated DTLs; and DTAs arising from
temporary differences that could not be realized through net operating loss carrybacks,
net of related valuation allowances and net of DTLs; that exceeds the 15 percent common
equity tier 1 capital deduction threshold (item 40),
Common equity tier 1 deduction threshold (item 75),
Amount to be deducted from common equity tier 1 due to the deduction threshold
(item 76),
Common equity tier 1 deduction threshold (item 78), and
Amount to be deducted from common equity tier 1 due to the deduction threshold
(item 79).

Also, the Board proposed to revise the instructions for the following groups of items and
to indicate that they would have only been reported by Category I and II firms:
 Non-significant investments in the capital of unconsolidated financial institutions in the
form of common stock, net of DTLs (items 64 through 66),
 Significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of DTLs (items 67 through 71), and
 Aggregate of items subject to the 15% limit (significant investments, mortgage servicing
assets and deferred tax assets arising from temporary differences) (items 80 through 83).
On the FR Y-9C, Schedule HC-R, Part I, several items were renumbered to reflect the
simplifications rule. As a result, the Board also proposed to revise the corresponding FR Y-14A,
Schedule A.1.d, items to reference the renumbered FR Y-9C items.
Additionally, the Board proposed to make a number of revisions to the instructions for
6

certain FR Y-14A, Schedule A.1.d, items that would have removed language regarding the
inclusion of any applicable transition provisions. These revisions would have been applicable to
Categories I, II, III, and IV firms. Specifically, the Board proposed to revise the instructions for
the following items:
 AOCI opt-out election (item 18),
 Non-significant investments in the capital of unconsolidated financial institutions in the
form of common stock that exceed the 10 percent threshold for non-significant
investments (item 35),
 Significant investments in the capital of unconsolidated financial institutions in the form
of common stock, net of associated DTLs, that exceed 10 percent common equity tier 1
capital deduction threshold (item 37),
 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital
deduction threshold (item 38),
 DTAs arising from temporary differences that could not be realized through net operating
loss carrybacks, net of related valuation allowances and net of DTLs, that exceed the 10
percent common equity tier 1 capital deduction threshold (item 39),
 Amount of significant investments in the capital of unconsolidated financial institutions
in the form of common stock; MSAs, net of associated DTLs; and DTAs arising from
temporary differences that could not be realized through net operating loss carrybacks,
net of related valuation allowances and net of DTLs; that exceeds the 15 percent common
equity tier 1 capital deduction threshold (item 40),
 Additional tier 1 capital deductions (item 48),
 Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold,
prior to transition provision (item 84), and
 Deferred tax assets that arise from net operating loss and tax credit carryforwards, net of
DTLs, but gross of related valuation allowances (item 110).
FR Y-14Q, Schedule D (Regulatory Capital)
In order to incorporate the effects of the simplifications rule on FR Y-14Q, Schedule D,
the Board proposed to add four items related to non-significant investments in the capital of
unconsolidated financial institutions in the form of common stock:
 Aggregate amount of non-significant investments in the capital of unconsolidated
financial institutions,
 Non-significant investments in the capital of unconsolidated financial institutions in the
form of common stock,
 10 percent threshold for non-significant investments, and
 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold.
The Board further proposed that these four new items, as well as the items formerly
numbered 1 through 5 (Significant investments in the capital of unconsolidated financial
institutions in the form of common stock) and 21 through 25 (Aggregate of items subject to the
15% limit (significant investments, mortgage servicing assets, and deferred tax assets arising
from temporary differences)), would have been reported only by Category I and II firms.
The Board also proposed to add three items related to investments in the capital of
7

unconsolidated financial institutions that would have only been reported by Category III and IV
firms:
 Aggregate amount of investments in the capital of unconsolidated financial institutions,
 25 percent threshold for investments in the capital of unconsolidated financial
institutions, and
 Amount to be deducted from common equity tier 1 due to 25 percent deduction threshold.
Finally, the Board proposed to rename two items and revise the instructions for four
items to account for the different deduction threshold for Category I, II, III, and IV firms:
 The instructions would have been revised for “10 percent common equity tier 1 deduction
threshold” (existing items 13 and 19). These items would have also been renamed to
“Common equity tier 1 deduction threshold: 10 percent for Category I and II firms, 25
percent for Category III and IV firms” and
 The instructions would have been revised for “Amount to be deducted from common
equity tier 1 due to 10 percent deduction threshold” (existing items 14 and 20).
Total Loss-Absorbing Capacity
On April 8, 2019, the agencies published a notice of proposed rulemaking that would
have addressed an advanced approaches banking organization’s regulatory capital treatment of
an investment in unsecured debt instruments issued by foreign or U.S. global systemically
important banks (GSIBs) for the purposes of meeting minimum TLAC and, where applicable,
long-term debt (LTD) requirements, or liabilities issued by GSIBs that are pari passu or
subordinated to such debt instruments (TLAC Holdings NPR).18 Under the proposal, investments
by an advanced approaches banking organization in such unsecured debt instruments generally
would have been subject to deduction from the advanced approaches banking organization’s own
regulatory capital. The Board also proposed to require that banking organizations subject to
minimum TLAC and LTD requirements under Board regulations publicly disclose their TLAC
and LTD issuances in a manner described in this proposal.
Under the TLAC Holdings NPR, the capital calculations of advanced approaches banking
organizations would have taken into account the total amount of deductions related to
investments in own CET1, AT1, and T2 capital instruments; investments in own covered debt
instruments, if applicable; reciprocal cross holdings; non-significant investments in the capital
and covered debt instruments of unconsolidated financial institutions that exceeded certain
thresholds; certain investments in excluded covered debt instruments, as applicable; and
significant investments in the capital and covered debt instruments of unconsolidated financial
institutions. Any deductions related to covered debt instruments and excluded covered debt
instruments (together, TLAC debt holdings) would have been applied at the level of T2 capital
under the agencies’ existing regulatory capital rule. Any required deduction would have been
made using the “corresponding deduction approach,” by which the advanced approaches banking
organization would have deducted TLAC debt holdings first from T2 capital and, if it had
insufficient T2 capital to make the full requisite deduction, have deducted the remaining amount
from AT1 capital and then, if necessary, from CET1 capital.
18

See 84 FR 13814 (April 8, 2019).

8

In order to incorporate these regulatory changes, the Board proposed the following
revisions to FR Y-14A, Schedule A.1.d, and FR Y-14Q, Schedule D.
FR Y-14A, Schedule A.1.d (Capital)
As a part of the TLAC Holdings NPR, the Board proposed revisions to the FR Y-9C,
Schedule HC-R, Part I, that would have collected information from U.S. GSIBs and from IHCs
of foreign GSIBs. Specifically, the proposed items would have collected information on these
holding companies’ LTD and TLAC amounts, LTD and TLAC ratios, and TLAC buffer. In order
to align Schedule A.1.d with the FR Y-9C, the Board proposed to add the following items to
Schedule A.1.d:
 Outstanding eligible long-term debt,
 Total loss-absorbing capacity,
 LTD and TLAC total risk-weighted assets ratios,
 LTD and TLAC leverage ratios,
 LTD and TLAC supplementary leverage ratios,
 Institution-specific TLAC buffer necessary to avoid limitations on distributions
discretionary bonus payments,
 TLAC risk-weighted buffer, and
 TLAC leverage buffer.
FR Y-14Q, Schedule D (Regulatory Capital)
The Board proposed that the instructions for proposed item 1 (Aggregate amount of nonsignificant investments in the capital of unconsolidated financial institutions) would have
required Category I and II firms to include covered debt instruments.
Standardized Approach for Counterparty Credit Risk on Derivative Contracts
On January 24, 2020, the agencies published a final rule to implement the SA-CCR
approach for calculating the exposure amount of derivative contracts under the capital rule.19 The
SA-CCR final rule became effective on April 1, 2020, with a mandatory compliance date of
January 1, 2022.
The final rule replaced the current exposure methodology (CEM) with SA-CCR in the
capital rule for advanced approaches banking organizations. Under the final rule, an advanced
approaches banking organization must choose either SA-CCR or the internal models
methodology to calculate the exposure amount of its noncleared and cleared derivative contracts
and use SA-CCR to determine the risk-weighted asset amount of its default fund contributions.
In addition, an advanced approaches banking organization are required to use SA-CCR (instead
of CEM) to calculate the exposure amount of its noncleared and cleared derivative contracts and
to determine the risk-weighted asset amount of its default fund contributions under the
standardized approach, as well as to determine the exposure amount of its derivative contracts
for purposes of the supplementary leverage ratio. When using SA-CCR, a banking organization
19

See 85 FR 4362 (January 24, 2020).

9

should use the value of the replacement cost amount for its current credit exposure.
Under the final rule, a non-advanced approaches banking organization is able to use
either CEM or SA-CCR to calculate the exposure amount of its noncleared and cleared
derivative contracts and to determine the risk-weighted asset amount of its default fund
contributions under the standardized approach. A Category III banking organization also uses
SA-CCR for calculating its supplementary leverage ratio if it chooses to use SA-CCR to
calculate its derivative and default fund exposures.
The Board proposed to revise FR Y-14A, Schedule A.1.c.1 (Risk-weighted Assets) as
follows to incorporate SA-CCR.
FR Y-14A, Schedule A.1.c.1 (Risk-weighted Assets)
Generally, the reporting of derivatives elements in Schedule A.1.c.1 is driven by the
treatment of cleared derivatives’ variation margin (settled-to-market versus collateralized-tomarket), netting provisions impacting the calculations of notional and exposure amounts, and
attributions of derivatives to cleared versus non-cleared derivatives. In order to incorporate the
SA-CCR final rule and to ensure alignment with the FR Y-9C, Schedule HC-R, Part II (RiskWeighted Assets), the Board proposed to revise the instructions for Schedule A.1.c.1, item 45
(Current credit exposure across all derivative contracts covered by the regulatory capital rules) to
refer to the corresponding FR Y-9C item (Schedule HC-R, Part II, Memoranda Item 1, (Current
credit exposure across all derivative contracts covered by the regulatory rules).
General
For clarification purposes, the Board proposed to clarify the FR Y-14A and FR Y-14Q
instructions to affirm that the threshold for filing the Trading and Counterparty schedules (in the
FR Y-14Q) and sub-schedules (in the FR Y-14A) would have been based on a four-quarter
average of trading assets and liabilities (either in aggregate of $50 billion or more or in aggregate
greater than or equal to 10 percent of total consolidated assets, as indicated in the instructions),
calculated as of two quarters preceding the reporting quarter.
FR Y-14A, Schedule A (Summary)
Schedule A.1.d (Capital)
Firms are currently required to report the Capital - DFAST sub-schedule of FR Y-14A,
Schedule A.1.d, using applicable capital action assumptions.20 The tailoring rules adjusted the
frequency of the requirement to conduct the company-run stress tests under the mandated
scenarios provided by the Federal Reserve for firms subject to Category III standards.21 As a
result, the Board proposed to revise the instructions to require firms subject to Category III
20

See 12 CFR 225.8 and the CCAR instructions for more information regarding the capital action assumptions used
to complete the Capital - CCAR sub-schedule. See 12 CFR 252.56(b) for information regarding the capital
assumptions used to complete the Capital - DFAST sub-schedule.
21
See 84 FR 59230 and 84 FR 59032 (both November 1, 2019).

10

standards to only report the Capital - DFAST sub-schedule of FR Y-14A, Schedule A.1.d, every
other year. Annual submission of this sub-schedule would have no longer be required.
The Board proposed to make minor clarifications to several ratio items on Schedule A.1.d
in response to previous industry comments. The current instructions for item 104
(Supplementary Leverage Ratio) indicate that this item is derived. However, this item is actually
reported by firms. The Board proposed to make this item derived, and to indicate that this item
should have corresponded to the definition used in FR Y-9C, Schedule HC-R, Part I, item 45
(Advanced approaches holding companies only: Supplementary leverage ratio). Further, several
ratio fields are not derived in a consistent format on the FR Y-9C and FR Y-14. For some items,
the FR Y-9C requires the ratio in ‘x.xxx’ format while the FR Y-14 requires the same ratio in
‘.0xxxx’ format. To align the required format of these items, the Board proposed to revise the
instructions for the following Schedule A.1.d ratio items so that they would have been derived in
the same format as on the FR Y-9C:
 Common Equity Tier 1 Ratio (item 97),
 Tier 1 Capital Ratio (item 99),
 Total risk-based capital ratio (item 101),
 Tier 1 Leverage Ratio (item 103), and
 Supplementary Leverage Ratio (item 104).
Other Schedules
The Board proposed to eliminate FR Y-14A, Schedules A.1.c.2 (Advanced RWA) and
A.7.c (PPNR Metrics), in order to reduce burden while continuing to collect all information
necessary to conduct supervisory stress testing and qualitative reviews of firms’ capital plans.
The Board also proposed to remove any references to these schedules across the FR Y-14A/Q/M
instructions. Per section 225.8 of the Board’s Regulation Y, firms should not use the advanced
approaches to calculate their regulatory capital ratios for purposes of stress testing and capital
planning. As a result, firms are not required to report Schedule A.1.c.2, and so the Board
proposed to eliminate this schedule. For Schedule A.7.c, it was determined that point-in-time
values (as opposed to projected values, which are reported in Schedule A.7.c), are more useful
for stress testing purposes. Point-in-time PPNR metric values are currently reported in
FR Y-14Q, Schedule G.3 (PPNR Metrics).
FR Y-14Q, Schedule F (Trading)
Formalizing supplemental collections
The Board proposed to formalize two supplemental collections by incorporating them
into Schedule F. First, the Board proposed to require firms to report corporate single name
exposures at the obligor level in Schedule F.22 ([Incremental Default Risk] IDR - Corporate
Credit) along with corporate index exposures at the series level. Collecting this information
would have allowed the Board to enhance its stress testing of issuer default risk. Second, the
Board proposed to require firms to report a version of Schedule F that captures fair value option
(FVO) loan hedges. Requiring firms to report a version of Schedule F that captures FVO loan
hedges would have enabled the Board to more adequately assess the risk associated with firm

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positions as they relate to FVO loan hedges.
Hedge reporting
Currently, some firms are reporting X-valuation adjustment (XVA) hedges (e.g. funding
valuation adjustment hedges) and accrual loan hedges within the credit valuation adjustment
(CVA) hedge version of Schedule F. This causes an inadvertent comingling of CVA, XVA, and
accrual loan hedges, and subsequent calculation of profit and loss on these hedges. In order to
isolate the impact of specific hedges, the Board proposed two changes related to hedge reporting
on Schedule F. First, to remove ambiguity, the Board proposed to revise the instructions to
clarify that XVA hedges should not have been reported on Schedule F. Second, the Board
proposed to require firms to report a version of Schedule F that would have captured the impact
of accrual loan hedges. Separately collecting hedges for accrual loans would have ensured
consistent hedge treatment between firms, which would have allowed the Board to better assess
the risks associated with accrual loans.
Municipal exposures
Currently, Schedule F.16 (Munis) has a “File Typeapplication/pdfFile Modified2020-09-29File Created2020-09-29