2024 NCUA SST Supplemental Data Request - Final Update

NCUA Supervisory Stress Test:

Annual Data Request Instructions

January 2024

NCUA Supervisory Stress Test: Annual Data Request Instructions

Table of Contents

Overview 2

Instrument-Level Investment Portfolio 3

Account-Level Cash and Cash Equivalents 3

Instrument-Level Borrowings 3

Credit Card Revolver Percentage 3

Reporting Format 4

Call Report Reconciliation 5

Overview

In 2014, the NCUA Board approved Part 702, Subpart C (originally Sub-Part E) – Capital Planning and Stress Testing (Rule), for credit unions with assets of $10 billion or more as of March 31 of the prior year (covered credit unions). The Rule was amended in 2018 to assign covered credit unions to one of three asset size “tiers”:

• Tier I credit unions have $10 billion or more in assets but less than $15 billion in assets,

• Tier II credit unions have $15 billion or more in assets but less than $20 billion in assets, and

• Tier III credit unions have $20 billion or more in assets.

Accordingly, NCUA collects the necessary data to run its SST program through its ongoing quarterly data collection program and an annual stress test data request. This memorandum summarizes the data that must be submitted as part of the annual stress test data submission. The requested data is due Friday, March 1, 2024.

A summary of the requested information is listed in Table 1. Additional details are provided in the sections that follow. If you have questions about any of the data requests or templates, please reach out to the NCUA Capital Planning and Stress Testing team ([email protected]).

Table 1: Summary of Requested Supplemental Data Items

Item	Data File to Submit	Category	Historical Period
1	Instrument-Level Investment Portfolio	Assets	12/31/2023 Snapshot
2	Account-level Cash and Cash Equivalents	Assets	12/31/2023 Snapshot
3	Instrument-Level Borrowings	Liabilities	12/31/2023 Snapshot
4	Credit Card Revolver Percentage	Assets	Monthly data for 12 months through 12/31/2023

1. Instrument-Level Investment Portfolio

Use the Investment template provided by NCUA to provide an instrument-level snapshot of your institution’s investment portfolio as of the requested December 31 snapshot date. Include data in your investment portfolio, employee benefit-related investments, and charitable donation accounts.

Exclude any cash and cash equivalents, including time deposits, that are reported in the Cash and Cash deposits section of the Call Report, Statement of Financial Condition. These accounts are reported in the Cash template (Item 2. Account-level Cash and Cash Equivalents).

2. Account-level Cash and Cash Equivalents

Use the Cash template provided by NCUA to provide an account-level snapshot of your institution’s cash asset accounts held at other institutions, time deposit assets, or all other deposit assets as of the requested December 31 snapshot date.

This should include account-level detail for any cash assets on deposit at other institutions, time deposits, or all other deposit assets, that are reported in the Cash on Deposit or Time Deposits sections of the Cash and Deposits Asset section of the Call Report, Statement of Financial Condition.

3. Instrument-Level Borrowings

Use the Borrowings template provided by NCUA to Please provide instrument-level data on your institution’s borrowings as of the requested December 31 snapshot date.

4. Credit Card Revolver Percentage

Provide the percentage of the credit card portfolio balance associated with revolvers (i.e., % of portfolio bearing interest, as opposed to transactor balances for which no interest is incurred by the borrower as the balance is paid off each period). Please provide the monthly breakdown for the 12 months ending with the snapshot date indicated in Table 1. Only provide annual values summarizing the entire 12-month period ending with the snapshot date if you are unable to calculate the requested value monthly.

If your credit union does not have an internal policy for classifying credit cards as revolvers (accounts bearing interest income, in contrast to transactor accounts that don’t earn interest, but have transaction income) the percentage can be calculated using the percentage of credit card balances that incurred interest each month. However, if your credit union has an internal policy for classifying credit cards as revolvers it should be used to report the percentage for each monthly period. Calculate the percentage as a percentage of credit card balances, not counts.

5. Reporting Format

NCUA has provided reporting templates for items 1, 2, 3, and 4. Credit unions should provide the data requested in each template. Each template defines the column names, types, definitions, and ordering that must be submitted in each file. This section provides additional instructions that should be followed when generating submission data.

Credit unions should submit one file per template per year (by the date requested in the overview) with data as of December 31^st of the requested year. Also make sure that:

• Each template is submitted as a separate CSV file, with a first row that includes the column names provided in the template in the order they appear in the template.

• Each file is named using the pattern JoinNumber_Template_YYYYMM_ YYYYMMDDHHMMSS.csv, where:

  • JoinNumber is the unique integer number assigned to your credit union,

  • Template should be replaced by the template name (one of Investments, Cash, Borrowings, or Credit_Card_Revolver),

  • YYYYMM is the formatted snapshot year and month,

  • YYYYMMDDHHMMSS is the formatted file creation date and time.

Table 2: Field Formatting Conventions for Annual Reporting Templates

Convention	Description
ID fields	The ID fields should remain the same over time for the same item (account, investment instrument, borrowing instrument). For investments, report the actual CUSIP if the investment has one. For other accounts, do not include actual account or borrowing IDs.
Conformed Fields	The templates indicate that certain fields have a restricted range of allowed values (e.g., must be one of a few options). Report these fields as one of the specified options.
Missing ValueS	If a field allows missing values, present missing fields as blank between delimiters. Do not provide a default value (e.g. 0 or the word Null) for missing values.
Date fields	All date fields should be submitted as integers in YYYYMMDD format (e.g. 2022-5-16 would be the integer 20220516). Since the date fields are being submitted as integers they are not quoted.
Text fields	Enclose text fields in double-quotes.
Numeric Fields	All numeric fields should follow the following conventions: Do not enclose numeric fields in quotes. All fields measured in percent (e.g., interest rate or loan-to-value fields) should be entered with the whole percentage to the left of the decimal and the fractional amount to the right. Round the fractional amount to 4 decimal places. E.g., 3 1/16% should be entered as 3.0625. Non-integer numeric fields should omit commas but can include decimal points. Follow the template field definitions on the number of allowed decimal places. Fields measured in dollars should be rounded to two decimal places and not include a dollar sign or comma. E.g., Two thousand three-hundred and eighty-seven dollars and fifty-two cents would be represented as 2387.52.

7. Call Report Reconciliation

The standardized templates for the annual supplemental collection are designed to collect the granular, account-level detail for several Call Report items. The aggregate of the values reported in the templates should align with the values reported in the Call Report. The sub-sections below provide high-level information on the alignment between the NCUA-provided templates and the applicable Call Report accounts. The provided reconciliation information is intended to help credit unions ensure the whole population of accounts is provided in the templates.

Investment Template

The investment template is designed to capture instrument-level investment data on credit union liquidity investment portfolios, employee benefit plan investments, charitable donation account investments, and all other investments. Because the data on employee benefit plan investments and charitable donation account investments are reported in separate sections of the Call Report, information on reconciling those sub-populations of the investment template are provided separately.

Liquidity Investment Portfolio and All Other Investments

The value of all investments, other than those used to fund employee benefit or deferred compensation plans, or charitable donations accounts should align with Call Report, Schedule B, Sections 1 and 2.

To make sure the entire population of liquidity investments has been provided, please verify that the aggregate value of equity securities, trading debt securities, available-for-sale investments, and held-to-maturity investments align with the Call Report data in Schedule B. These sub-populations can be identified using the population of investments where CONFORM_INVESTMENT_ACCOUNT is 3, 4, or 5 and then aggregating the outstanding values based on the assigned CONFORM_ACCOUNTING_DESIGNATION field. When comparing the values to the Call Report, use the aggregate value from the appropriate template field depending on the sub-portfolio’s accounting designation and consider the CURR_CREDIT_LOSS_ALLOWANCE field as applicable.

Investments Used to Fund Employee Benefits or Deferred Compensation Plans

The sum of the recorded value (CURR_BOOK_VALUE) of investments reported as used to fund employee benefit plans or deferred compensation (as indicated by the field CONFORM_INVESTMENT_ACCOUNT) should align with the reporting of the Call Report, Schedule B, Section 4. See Table 3 for a crosswalk between CONFORM_INSTRUMENT_TYPE and the Call Report accounts.

Table 3: Call Report Reconciliation for Employee Benefit and Deferred Compensation Investments

Investment Type	Conform Instrument Type	Call Report Account
Securities	1-5, 7-13	789C
Other Investments	6, 14, 18, 19	789D
Split-dollar life insurance – collateral assignment	16	789E
Split-dollar life insurance – endorsement	15	789E1
All other insurance	17	789E2

Charitable Donation Accounts

The sum of the recorded value (CURR_BOOK_VALUE) of investments reported as part of charitable donation accounts (as indicated by the field CONFORM_INVESTMENT_ACCOUNT) should align with account 789H reported in Call Report, Schedule B, Section 4.

Cash Template

The sum of the current balance of cash and cash equivalents (CURR_BAL) should align with the values reported in the Call Report, Statement of Financial Condition. See Table 4 for a crosswalk between the CONFORM_ACCOUNT_TYPE values and Call Report accounts.

Table 4: Call Report Reconciliation for Cash Template

Source	Conform Account Type	Call Report Account
Cash on Deposit	1, 2, 3 or 5	730B
Time Deposits	4, 6, 8	AS0007
All other Deposits	9	AS0008

Borrowings Template

The sum of the reported borrowings (CURR_BAL) and pledged assets (CURR_PLEDGED_ASSETS) should align with the values reported in the Call Report, Schedule C Section 4 for each borrowing source. See Table 5 for a crosswalk between CONFORM_ACCOUNT_PROVIDER and the Call Report accounts.

Table 5: Call Report Reconciliation of Borrowings Template

Source	Conform Account Provider	Balance	Pledged Assets
Corporate Credit Unions	3	885A	LQ0035
Natural Person Credit Unions	2	885A1	LQ0039
Federal Home Loan Bank	5	885A3	LQ0043
Central Liquidity Facility	6	LQ0044	LQ0045
Federal Reserve	4	LQ0046	LQ0047
All other	1 and 7	885A2	LQ0053