Agency Information Collection Activities: Comment Request

CourtFederal Reserve System
Citation87 FR 11432
Record Number2022-04194
Published date01 March 2022
Federal Register, Volume 87 Issue 40 (Tuesday, March 1, 2022)
[Federal Register Volume 87, Number 40 (Tuesday, March 1, 2022)]
                [Notices]
                [Pages 11432-11441]
                From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
                [FR Doc No: 2022-04194]
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                FEDERAL RESERVE SYSTEM
                Agency Information Collection Activities: Comment Request
                AGENCY: Board of Governors of the Federal Reserve System.
                ACTION: Notice, request for comment.
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                SUMMARY: The Board of Governors of the Federal Reserve System (Board)
                invites comment on 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).
                DATES: Comments must be submitted on or before May 2, 2022.
                ADDRESSES: You may submit comments, identified by FR Y-14A/Q/M, by any
                of the following methods:
                 Agency Website: https://www.federalreserve.gov/. Follow
                the instructions for submitting comments at https://www.federalreserve.gov/apps/foia/proposedregs.aspx.
                 Email: [email protected]. Include the OMB
                number or FR number in the subject line of the message.
                 Fax: (202) 452-3819 or (202) 452-3102.
                [[Page 11433]]
                 Mail: Ann E. Misback, Secretary, Board of Governors of the
                Federal Reserve System, 20th Street and Constitution Avenue NW,
                Washington, DC 20551.
                 All public comments are available from the Board's website at
                https://www.federalreserve.gov/apps/foia/proposedregs.aspx as
                submitted, unless modified for technical reasons or to remove
                personally identifiable information at the commenter's request.
                Accordingly, comments will not be edited to remove any confidential
                business information, identifying information, or contact information.
                Public comments may also be viewed electronically or in paper in Room
                M-4365A, 2001 C St NW, Washington, DC 20551, between 9:00 a.m. and 5:00
                p.m. on weekdays. For security reasons, the Board requires that
                visitors make an appointment to inspect comments. You may do so by
                calling (202) 452-3684. Upon arrival, visitors will be required to
                present valid government-issued photo identification and to submit to
                security screening in order to inspect and photocopy comments.
                 Additionally, commenters may send a copy of their comments to the
                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.
                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, Washington, DC 20551, (202)
                452-3829.
                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. In exercising this delegated authority, the
                Board is directed to take every reasonable step to solicit comment. In
                determining whether to approve a collection of information, the Board
                will consider all comments received from the public and other agencies.
                 During the comment period for this proposal, a copy of the proposed
                PRA OMB submission, including the draft reporting form and
                instructions, supporting statement, and other documentation, will be
                made available on the Board's public website at https://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested
                from the agency clearance officer, whose name appears above. Final
                versions of these documents will be made available at https://www.reginfo.gov/public/do/PRAMain, if approved.
                Request for Comment on Information Collection Proposal
                 The Board invites public comment on the following information
                collections, which are being reviewed under authority delegated by the
                OMB under the PRA. Comments are invited on the following:
                 a. Whether the proposed collections of information are necessary
                for the proper performance of the Board's functions, including whether
                the information has practical utility;
                 b. The accuracy of the Board's estimate of the burden of the
                proposed information collections, including the validity of the
                methodology and assumptions used;
                 c. Ways to enhance the quality, utility, and clarity of the
                information to be collected;
                 d. Ways to minimize the burden of information collection on
                respondents, including through the use of automated collection
                techniques or other forms of information technology; and
                 e. Estimates of capital or startup costs and costs of operation,
                maintenance, and purchase of services to provide information.
                 At the end of the comment period, the comments and recommendations
                received will be analyzed to determine the extent to which the Board
                should modify the proposal.
                Proposal Under OMB Delegated Authority To Extend for Three Years, With
                Revision, the Following Information Collections
                 Report title: Capital Assessments and Stress Testing Reports.
                 Agency form number: FR Y-14A/Q/M.
                 OMB control number: 7100-0341.
                 Frequency: Annually, quarterly, and monthly.
                 Respondents: These collections of information are applicable to
                bank holding companies (BHCs), U.S. intermediate holding companies
                (IHCs), and 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 Automation Revisions: 36; FR Y-14 Attestation On-
                going: 8.
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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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                 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:
                 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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                 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
                [[Page 11434]]
                sufficient, given their business focus, activities, and resulting risk
                exposures. The data within the reports are used to set firms' stress
                capital buffer (SCB) 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.
                 Proposed revisions: The proposed revisions would enable the Board
                to better identify risk as part of the stress test, to better
                facilitate data reconciliation, and to mitigate ambiguity within the
                instructions. Data reconciliation is an important step in the stress
                testing analysis conducted by the Federal Reserve, as it ensures values
                are being reported consistently across firms. Consistent data leads to
                consistent treatment for stress testing purposes, which is critical, as
                stress testing is used to determine a firm's capital requirements via
                the SCB requirement. The Board also proposes revisions and
                clarifications to the instructions. All proposed revisions would be
                effective for the September 30, 2022, report date for the FR Y-14Q and
                FR Y-14M, and for the December 31, 2022, report date for the FR Y-14A.
                General
                 The Board proposes to change the as-of date of the fourth quarter,
                unstressed submissions of FR Y-14Q, Schedules F (Trading) and L
                (Counterparty). Per the FR Y-14Q instructions, firms are required to
                report these schedules the earlier of fifty-two calendar days following
                the date on which they are notified of the global market shock (GMS)
                date, or March 15. The instructions also state that unless the Board
                requires the data to be provided over a different weekly period, firms
                may provide these data as of the most recent date that corresponds to
                their weekly internal risk reporting cycle as long as it falls before
                the as-of date. The Board proposes to revise the instructions to allow
                firms to use the most recent date that corresponds to their weekly
                internal risk reporting cycles as long as it falls within the same
                calendar week as the as-of date. This change would provide firms with
                more flexibility in reporting these schedules and would correspond to
                guidance provided in the Dodd-Frank Act Stress Test Publications: 2021
                Stress Test Scenarios document.\3\
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                 \3\ See Board of Governors of the Federal Reserve System, Dodd-
                Frank Act Stress Test Publications: 2021 Stress Test Scenarios
                (Washington: Board of Governors, February 2021), https://www.federalreserve.gov/publications/stress-test-scenarios-february-2021.htm.
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                Capital
                Savings and Loan Holding Companies
                 On February 3, 2021, the Board adopted a final rule \4\ to tailor
                the requirements in the Board's capital plan rule \5\ based on risk. As
                part of the final rule, the Board adopted several revisions, notably
                that SLHCs would be subject to capital planning requirements beginning
                with the 2022 stress testing and capital planning cycle (cycle).
                Previously, SLHCs were not required to submit FR Y-14Q, Schedule C
                (Regulatory capital instruments) and Schedule D (Regulatory capital)
                because they were not subject to capital planning requirements.
                However, given that SLHCs will now be subject to these requirements,
                the Board proposes to require SLHCs to submit these schedules.\6\ This
                revision would align with the spirit of the capital plan rule.
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                 \4\ 86 FR 7927 (February 3, 2021).
                 \5\ 12 CFR 225.8.
                 \6\ SLHC requirements for submitting the capital information
                required in these schedules for the 2022 cycle is forthcoming.
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                Assumptions Associated With Comprehensive Capital Analysis and Review
                (CCAR) Submissions
                 The FR Y-14A, Schedule A (Summary) instructions describe when firms
                must use ``planned capital actions'' and ``alternative capital
                actions,'' but do not define either term or list the required
                assumptions for reported capital actions. Because the Board did not
                release CCAR instructions \7\ for the 2021 cycle, it instead issued a
                CCAR Q&A (GEN0500) that contained the definitions and assumptions of
                capital actions required per the capital plan rule. The Board proposes
                to incorporate the definitions and assumptions of ``planned capital
                actions'' and ``alternative capital actions'' previously contained in
                CCAR Q&A GEN0500 into the FR Y-14A instructions to provide clarity
                regarding the meaning of these terms.
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                 \7\ For an example of these instructions, see Board of Governors
                of the Federal Reserve System, Comprehensive Capital Analysis and
                Review 2020 Summary Instructions (Washington: Board of Governors,
                March 2020), https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20200304a3.pdf.
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                 Under the supervisory severely adverse (SSA) scenario CCAR
                submission, firms are required to include the effects of planned
                business plan changes (BPCs) and use planned capital actions. Per the
                Board's capital rule,\8\ if a firm does not stay above its minimum
                capital requirements, including regulatory capital buffers that may
                encompass the SCB requirement, then it is subject to automatic
                restrictions on capital distributions and discretionary bonus payments.
                Requiring firms to assume that their planned BPCs and planned capital
                actions will occur under stressed conditions has resulted in
                unrealistic projections, as some or all of the planned capital actions
                would not be able to materialize if firms dropped into their regulatory
                capital buffers over the course of the projection horizon. Under the
                Internal stress scenario, firms are required to only include the
                effects of planned BPCs that the firm anticipates occurring, given the
                scenario, and to use alternative capital actions. To improve
                comparability between the CCAR Summary submissions under the Internal
                stress and SSA scenarios, the Board proposes to revise the planned BPC
                and capital action assumptions of the Summary CCAR submission under the
                SSA scenario to match those of the Internal stress scenario.
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                 \8\ 12 CFR part 217.
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                 Firms are required to incorporate the effects of planned, material
                BPCs in their CCAR submissions of the Summary schedule. The
                instructions do not specify whether firms must also include the effects
                of planned, immaterial BPCs that firms anticipate occurring over the
                projection horizon under baseline or stressed conditions. For clarity,
                the Board is proposing to revise the instructions to give firms the
                option to include the effects of planned, immaterial BPCs in their CCAR
                Summary submissions. Inclusion of the effects of planned, material BPCs
                in CCAR Summary submissions will still be required.
                Other Proposed Changes
                 The Board often provides firms the option to phase in the effects
                of new accounting standards or other changes that affect the
                calculation of regulatory capital through the use of transition
                provisions (e.g., transitioning the impact of current expected credit
                loss methodology (CECL) adoption on regulatory capital). Firms must
                report
                [[Page 11435]]
                regulatory capital items on FR Y-14Q, Schedule D (Regulatory Capital)
                exclusive of the effects of transition provisions, whereas regulatory
                capital items on FR Y-9C, Schedule HC-R (Regulatory Capital) may be
                reported inclusive of transition provisions if firms elect to apply the
                transition provisions. As described in the Dodd-Frank Act Stress Test
                2021: Supervisory Stress Test Methodology document,\9\ the Board
                adjusts the numerator and denominator of the supervisory stress test
                capital calculations to align with the capital rule, which includes the
                effects of transition provisions. To ensure consistency with regulatory
                capital balances that are used in the capital calculations of the
                supervisory stress test and to improve comparability across the capital
                schedules of the FR Y-14Q and FR Y-9C, the Board proposes to revise
                Schedule D to remove the requirement that firms exclude the effects of
                transition provisions.
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                 \9\ See Board of Governors of the Federal Reserve System, Dodd-
                Frank Act Stress Test 2021: Supervisory Stress Test Methodology
                (Washington: Board of Governors, April 2021), https://www.federalreserve.gov/publications/files/2021-april-supervisory-stress-test-methodology.pdf.
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                 Firms currently report the carrying value of capital instruments at
                quarter-end in Column I (``Carrying value, as of quarter-end'') of FR
                Y-14Q, Schedule C.1 (Regulatory capital instruments as of quarter end).
                On this schedule, firms also report some components that affect the
                carrying value, such as the fair value of swaps associated with the
                capital instrument (Column K). Not all categories of components that
                affect the carrying value have their own item, and some components may
                only be applicable to certain capital instruments. The Board proposes
                to add an item to capture all other changes that affect the carrying
                value of an instrument that are not currently captured by the existing
                component items. This item would enhance data reconciliation efforts
                for Schedule C.1.
                 Firms report repurchases and redemptions on both FR Y-14A, Schedule
                C (Regulatory capital instruments) and FR Y-14Q, Schedule C (Regulatory
                capital instruments). The FR Y-14A, Schedule C instructions require
                firms to report repurchases and redemptions as negative values. The FR
                Y-14Q, Schedule C instructions do not specify how to report repurchases
                and redemptions, and so, there is diversity in practice across firms.
                For consistency between the reports, the Board proposes to require
                repurchases and redemptions to be reported as negative values on FR Y-
                14Q, Schedule C.
                 Firms report dividends on FR Y-14A, Schedule A.1.d (Capital) and
                Schedule C. The instructions for dividend items on Schedules A.1.d and
                C reference definitions on FR Y-9C, Schedule HI-A (Changes in holding
                company equity capital). On Schedule HI-A, firms report values on a
                year-to-date basis, while most items on Schedules A.1.d and C are
                reported on a quarter-to-date basis. As a result, some firms have
                reported dividend items on a year-to-date basis, while others report
                values on a quarter-to-date basis. To remove ambiguity, the Board
                proposes to revise the instructions for the following items to specify
                that these items must be reported on a quarter-to-date basis:
                 ``Cash dividends declared on preferred stock'' (Schedule
                A.1.d, item 12; Schedule C item 116); and
                 ``Cash dividends declared on common stock'' (Schedule
                A.1.d, items 13 and 117; Schedule C, item 117).
                 Firms are required to report issuances of capital and subordinated
                debt instruments on FR Y-14Q, Schedule C.3 (Regulatory capital and
                subordinated debt instruments issuances during quarter). The
                instructions do not specify whether subordinated debt instruments that
                were acquired must be reported on Schedule C.3. Such instruments were
                not issued by a firm but are new to a firm's balance sheet. Given that
                these instruments are new to a firm's balance sheet, the Board proposes
                to revise the instructions to state that subordinated debt instruments
                acquired via a merger or acquisition must be reported on Schedule C.3.
                The Board proposes to further clarify that firms must also report on
                Schedule C.3 situations in which a Committee on Uniform Securities
                Identification Procedures (CUSIP) number for a subordinated debt
                instrument changes, even if the terms of the instrument did not change.
                This revision would ensure that CUSIP number changes are properly
                captured.
                 Firms are required to report the unamortized discounts/premiums,
                fees, and foreign exchange translation impacts as of quarter-end in
                Column J of FR Y-14Q, Schedule C.1. However, there is inconsistency
                across firms in terms of whether discounts and premiums must be
                reported as positive or negative values. To remove ambiguity, the Board
                proposes to clarify that unamortized amounts of discounts must be
                reported as positive values and unamortized amounts of premiums must be
                reported as negative values. These revisions would standardize the
                reporting of this item.
                 To further enhance data reconciliation efforts, the Board proposes
                to add four items to FR Y-14Q, Schedule C.1. The specific items the
                Board proposes to add are:
                 ``Interest expense for the quarter (net of swaps);''
                 ``Interest expense for the quarter (with swaps, excluding
                any gains or losses due to the fair value adjustment of ASC 185/FAS 133
                hedges);''
                 ``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);'' and
                 ``Fair value adjustment at the quarter end for
                subordinated debt securities that are carried at fair value.''
                 The addition of these items would ensure that balances on Schedule
                C.1 are properly reconciled for use in supervisory models. With the
                addition of these items, the Board also proposes to remove the
                following four items from Schedules C.1 and C.3, as they would no
                longer be needed:
                 ``Y-9C BHCK4602 reconciliation'' (Column N of Schedule
                C.1);
                 ``Currency of foreign exchange swap payment'' (Column LL
                of Schedule C.3);
                 ``Notional amount of foreign exchange swap ($ Million)''
                (Column MM of Schedule C.3); and
                 ``Exchange rate implied by foreign exchange swap'' (Column
                NN of Schedule C.3).
                Securities
                 Firms are required to report the amount of allowance for credit
                losses in FR Y-14Q, Schedule B.1 (Securities 1--main schedule).
                However, the instructions for this item do not specify whether amounts
                must be reported as positive or negative values. To improve the
                consistency of reporting across firms, the Board proposes to revise the
                instructions to indicate that the allowance for credit losses on
                Schedule B.1 must be reported as a positive number. This revision would
                better enable the Board to compare reported values, as all values would
                be reported in the same manner.
                Trading
                 As mentioned in the Dodd-Frank Act Stress Test 2021: Supervisory
                Stress Test Methodology document,\10\ the Board adjusts a firm's
                trading profit and loss to estimate losses on private equity
                investments in affordable housing that qualify as public welfare
                investments under Regulation Y. The data used to make this adjustment
                is currently
                [[Page 11436]]
                collected through a supplemental collection, and the Board proposes to
                formalize this supplemental collection by incorporating its key
                elements into FR Y-14Q, Schedule F.24 (Private equity). This proposal
                would require firms to isolate and report private equity exposures that
                qualify as public welfare investments in new line items. The
                instructions would specify that a public welfare investment is defined
                as an equity investment in corporations or projects designed primarily
                to promote community welfare, such as the economic rehabilitation and
                development of low-income areas.\11\ Incorporating this supplemental
                collection into FR Y-14Q, Schedule F (Trading) would allow for more
                standardized reporting, which is crucial to ensure private equity
                investments in affordable housing that qualify as public welfare
                investments are treated the same across firms.
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                 \10\ See Board of Governors of the Federal Reserve System, Dodd-
                Frank Act Stress Test 2021: Supervisory Stress Test Methodology
                (Washington: Board of Governors, April 2021), https://www.federalreserve.gov/publications/files/2021-april-supervisory-stress-test-methodology.pdf.
                 \11\ For reporting public welfare investments made at the bank
                holding company level, an affordable housing private equity
                investment would be recognized by the Federal Reserve if it also
                qualifies under 12 CFR 225.28(b)(12) and 12 CFR 225.127. For
                reporting public welfare investments made at the bank level, an
                affordable housing private equity investment would be recognized by
                the Federal Reserve if it also qualifies under the applicable public
                welfare investment criteria of the bank's primary Federal regulator.
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                 The Board also proposes to make clarifications to the Schedule F
                instructions regarding the reporting of accrual loan and fair value
                option (FVO) loan hedges across Schedule F, the reporting of interest
                rate basis risk on Schedule F.6 (Rates DV01), and limiting the
                allowable units used to report interest rate sensitivities on Schedule
                F.7 (Rates Vega). These clarifications would remove ambiguity around
                the reporting of hedges on Schedule F and would standardize reporting
                of interest rate information, which would improve data comparability
                across firms.
                Counterparty
                Client-Cleared Derivative Exposures
                 Beginning with the June 30, 2021, as-of date, firms became required
                to include client-cleared derivative exposures in FR Y-14Q, Schedule L
                (Counterparty).\12\ Exposures to client-cleared derivatives are
                excluded from the calculation of stressed losses. As part of Schedule
                L.5 (Derivatives and securities financing transaction profile), firms
                are required to rank their top 25 exposures by certain counterparty
                methodologies. Client-cleared derivative exposures are currently
                excluded from these rankings. The Board proposes to require firms to
                rank their top 25 exposures for client-cleared derivatives on Schedule
                L.5. This new ranking would enable the Board to continue to exclude
                exposures to client-cleared derivatives from the calculation for
                stressed losses and would provide more insight into the size and
                diversity of these exposures. As part of this revision, the Board would
                also modify the instructions to reinforce that exposures to client-
                cleared derivatives must be excluded from other top 25 rankings.
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                 \12\ 85 FR 56607 (September 14, 2020).
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                Counterparty Identification
                 Firms are required to report counterparty attribute information
                (e.g., legal entity identifier (LEI), industry code, etc.) at the
                counterparty legal entity level on FR Y-14Q, Schedule L. The Board
                proposes to require firms to report counterparty attribute information
                at the consolidated/parent level in addition to the counterparty legal
                entity level. Collecting this information at the consolidated/parent
                level would enable the Board to better identify exposures to parent and
                subsidiary entities within the same organizational structure, which
                would allow for a more robust analysis of counterparty exposure. This
                more robust analysis would improve the Board's ability to evaluate the
                counterparty risk faced by firms.
                Additional/Offline Credit Valuation Adjustment (CVA) Reserves
                 Firms are currently required to report ``trades not captured'' in
                the ``Additional/offline CVA Reserves'' item of FR Y-14Q, Schedule
                L.1.e (Aggregate CVA data by ratings and collateralization). ``Trades
                not captured'' refers to trades or counterparties for which CVA is
                computed outside of a firm's regular CVA system, which could occur due
                to the complexity or novelty of a particular trade. Such trades would
                not be captured in Schedules L.2 (EE [Expected exposure] profile by
                counterparty) or L.3 (Credit quality by counterparty) due to the custom
                CVA approximation methodology of these trades. The instructions for the
                ``Additional/offline CVA Reserves'' item require firms to report
                exposures to counterparties only at the aggregate level. Several firms
                report significant portions of their counterparty exposures as
                additional/offline CVA reserves. The Board proposes to require firms to
                report these exposures by rating, which is more granular than the
                current requirements, to better understand, identify, and monitor risks
                associated with exposures reported in this item. Such data would
                provide a more complete picture of counterparty exposures at firms with
                significant amounts reported as additional/offline CVA reserves.
                Unstressed vs. Stressed Counterparty Submissions
                 Firms are required to report unstressed data on Schedule L
                quarterly and are required to report stressed data on this schedule
                annually. The Schedule L instructions note that for unstressed
                submissions, firms must only include exposures in certain sub-schedules
                for which the firm computes CVA for its public financial statement
                reported under U.S. generally accepted accounting principles (U.S.
                GAAP) or applicable standard. However, for stressed submissions, firms
                must also include transactions that would not typically require CVA for
                public financial statement reporting under U.S. GAAP or applicable
                standard (e.g., fully- or over- collateralized derivatives). Therefore,
                the scope of reported exposures is larger for stressed submissions.
                 The scope of reported exposures on FR Y-14Q, Schedule L expanded
                for data as of June 30, 2020, to include securities financing
                transactions (SFTs).\13\ This additional scope of transactions
                increases the divide between the transactions reported on unstressed
                submissions compared to those reported on stressed submissions. As a
                result of this greater divide and to better compare the impact of
                stressed conditions on a firm's counterparty exposures, the Board
                proposes to require aggregate unstressed CVA related exposures to be
                reported together with stressed exposures in Schedule L.1.e. This data
                would give the Board a more complete understanding of firms'
                counterparty credit risk, as it would enable the Board to directly
                compare the same exposures under unstressed and stressed conditions.
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                 \13\ 84 FR 70529 (December 23, 2019).
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                Wrong-Way and Right-Way Risk
                 Across Schedule L, firms are required to report wrong-way risk and
                right-way risk exposures. Wrong-way risk arises when the exposure to a
                counterparty is adversely correlated with the credit quality of that
                counterparty. Right-way risk occurs when this situation is reversed.
                When wrong-way risk is directly connected to a particular counterparty
                (e.g., the counterparty's rating was downgraded), it is referred to as
                specific wrong-way risk. Due to questions received from reporting
                firms, the Board proposes to clarify how to report occurrences of
                specific wrong-way risk. The Board proposes to require
                [[Page 11437]]
                firms to assume zero for the value of the received collateral during
                the calculation of both stressed and unstressed net current exposure
                when specific wrong-way risk is present in the collateral. This
                revision would align with the principle of conservatism in the Board's
                Stress Testing Policy Statement.\14\
                ---------------------------------------------------------------------------
                 \14\ Appendix B of 12 CFR 252.
                ---------------------------------------------------------------------------
                 The Board also proposes to incorporate the response to FR Y-14 Q&A
                #1374 to remove ambiguity regarding the reporting of right-way risk on
                Schedule L. Specifically, the Board would revise the instructions to
                require firms to exclude stressed exposures on trades where the
                exposure is eliminated upon default of the counterparty. This revision
                would ensure that only true exposures are captured on Schedule L.
                Discount Factor
                 Firms are required to report the discount factor used to calculate
                stressed and unstressed CVA on Schedule L.2. The instructions for this
                item mention the London Interbank Offered Rate (LIBOR), which was
                discontinued at the end of 2021. Given this, the Board proposes to
                generalize the language to instead mention the reference or benchmark
                rate used to discount the expected exposure in a firm's CVA model. This
                revision would allow for more flexibility since LIBOR was discontinued.
                Unique Identifiers
                 The general instructions of Schedule L state that unique
                identifiers (e.g., Counterparty ID) and names must be consistent across
                all sub-schedules. However, the Board has identified several cases in
                which this requirement has not been met. To reinforce this requirement,
                the Board proposes to add language to the instructions for Schedules
                L.2 and L.3 to remove any potential uncertainty in reporting unique
                identifiers. This revision would result in more consistent reporting
                across Schedule L.
                Collateral
                 Firms are required to report the total unstressed mark-to-market
                value of collateral of derivatives on Schedule L.5.1 (Derivative and
                SFT information by counterparty legal entity and netting set/
                agreement). The instructions note that all collateral reported must be
                eligible financial collateral. The Board clarified through FR Y-14 Q&A
                #1155 that eligible financial collateral refers to the definition of
                ``financial collateral'' in the Board's capital rule.\15\ To mitigate
                confusion, the Board proposes to incorporate the response to Q&A #1155
                into the Schedule L.5.1 instructions.
                ---------------------------------------------------------------------------
                 \15\ 12 CFR 217.2.
                ---------------------------------------------------------------------------
                 Firms are also required to report the type of non-cash collateral
                or initial margin (e.g., corporate debt) allowed under a given
                agreement in the ``Non-Cash Collateral Type'' item of Schedule L.5.1.
                The instructions for this item only mention posted collateral in terms
                of what must be reported. In response to questions from reporting
                firms, the Board proposes to require firms to include all non-cash
                collateral or initial margin that was posted or received in actuality
                as opposed to only those allowed under a given agreement. This revision
                would reduce ambiguity surrounding what to report and would also
                provide the Board with a more encompassing view of the non-cash
                collateral involved in applicable transactions. This more encompassing
                view would result in more accurate loss calculations and would enhance
                risk monitoring.
                Credit Support Annexes (CSAs)
                 On Schedule L.5.1, firms are required to indicate in the ``CSA
                contractual features (non-vanilla)'' item whether any transactions
                conducted under a given CSA agreement have any non-vanilla contractual
                features (e.g., downgrade triggers). However, the instructions for this
                item do not specify how firms should report transactions that have
                vanilla contractual features. The Board proposes to clarify that for
                such transactions, firms must report ``NA'' in this item.
                 Due to questions from reporting firms, the Board also proposes to
                clarify that the ``CSA contractual features (non-vanilla)'' item
                applies to any non-standard market terms inclusive of features such as
                minimum threshold amounts (MTAs), changes to MTAs, additional
                termination events, and ratings-based thresholds. This revision would
                remove uncertainty regarding what features are considered non-vanilla
                for purposes of this item.
                Reporting Scope
                 On Schedules L.1-L.3, top counterparties are identified based on
                the exposure amount at a consolidated counterparty level for ranking
                purposes in determining top 95% stressed or unstressed CVA. The Board
                has received several questions regarding the scope of this reporting,
                including consistency across schedules. To remove ambiguity, the Board
                proposes to clarify that if a consolidated or parent counterparty is
                selected as top 95% of 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 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. In comparison, the firm can report in Schedules L.2
                and L.3 the exposure information limited to the legal entities and/or
                netting sets with which the firm has a CVA. These revisions would
                provide a more complete view of counterparty exposures faced by firms
                and would incorporate responses to FR Y-14 Q&As #1180 and #1190 into
                the Schedule L instructions.
                 Per FR Y-14 Q&A #1181, Schedules L.1.a and L.1.b (Top consolidated/
                parent counterparties comprising 95% of firm unstressed CVA, ranked by
                unstressed and stressed CVA, respectively) must be reported at the
                legal entity level, at a minimum. This is also true for Schedules L.2
                and L.3. The Board has received several questions from reporting firms
                regarding providing data at the netting set or sub-netting level. In
                light of these questions, the Board proposes to clarify that firms may
                choose to report these schedules at the netting set or sub-netting set
                level. Note that the Schedule L instructions specify that if a firm
                chooses to report one of these schedules at the netting set or sub-
                netting set level, then it must report all of them at that level.
                Gross Current Exposure
                 In several places on Schedule L.1, firms are required to report the
                gross current exposure of given transactions. Gross current exposure is
                defined as pre-collateral exposure after bilateral counterparty
                netting. The Board has received questions from reporting firms on
                whether fair-valued SFTs should be in scope for reporting in the gross
                current exposure items. The questioners note that the definition
                provided applies to derivatives but does not apply to SFTs. The Board
                clarified in FR Y-14 Q&A #1279 that gross current exposure items only
                apply to derivatives and must be left blank for SFTs. The Board
                proposes to incorporate this response into the Schedule L.1
                instructions.
                Minimum Transfer Amounts
                 Firms are required to report the minimum amounts that must be
                transferred to the counterparty and to the reporting firm in the event
                of a margin call in Schedule L.5.1. Due to observed diversity in
                reporting, the Board proposes to specify that firms must report the
                U.S. dollar equivalent of values reported in these items, as opposed to
                the non-U.S. dollar local
                [[Page 11438]]
                currency associated with a particular CSA. This revision would
                standardize the units reported in this item and improve comparability
                across exposures.
                Other Revisions
                 The instructions for Schedule L.5 state that for positions with no
                legal netting set agreement, mark-to-market amounts can be aggregated
                and reported as a single record. The instructions further state that
                firms must report ``N'' in the ``Legal Enforceability'' item and
                ``None'' in the ``Netting Set ID'' item for such aggregated records. In
                the case of the ``Legal Enforceability'' item, these instructions are
                redundant and in the case of the ``Netting Set ID'' item, they conflict
                with language provided later in the Schedule L.5 instructions. The
                Board proposes to remove the redundant and conflicting language from
                Schedule L.5, which would clarify that firms must only report ``NA'' in
                the ``Netting Set ID'' item for positions with no legal agreement. This
                revision would incorporate the response from FR Y-14 Q&A #1383 into the
                Schedule L instructions.
                 Firms are required to report mark-to-market amounts that reflect
                the positive or negative contribution to an exposure upon counterparty
                default and close-out netting in Schedule L.5. The Board has received
                questions from reporting firms about whether this language applies to
                both derivatives and SFTs. Reporting firms have also asked the Board
                how to report in line with the instructions in cases where close-out
                netting for SFTs is not enforceable (i.e., the SFT mark-to-market
                received cannot be netted against the amount posted when calculating
                current exposure). The Board clarified in FR Y-14 Q&A #1386 that the
                language regarding reporting mark-to-market amounts that reflect the
                positive or negative contribution to an exposure upon counterparty
                default and close-out netting only applies to derivatives and not to
                SFTs. In this FR Y-14 Q&A, the Board also clarified that firms must
                report zero in cases where the SFT close-out netting is not
                enforceable. The Board proposes to incorporate the response in FR Y-14
                Q&A #1386 into the instructions by (1) revising the Schedule L.5
                general instructions to specify that the language reflecting the
                positive or negative contribution to exposure upon counterparty default
                only applies to derivatives, and (2) revising the ``Unstressed Mark-to-
                Market Received (SFTs)'' and ``Stressed Mark-to-Market Received
                (SFTs)'' items of Schedule L.5.1 to specify that in cases where the
                close-out netting is not enforceable, firms must report zero.
                Relatedly, since the Board is proposing to revise the Schedule L.5
                general instructions to specify reporting for derivatives, the Board
                also proposes to revise the instructions for the stressed and
                unstressed mark-to-market received and posted SFT items on Schedule
                L.5.1 to clarify that these items must be reported as positive values.
                 Firms became required to include exposures to client-cleared
                derivatives in Schedule L.5 for the June 30, 2021, as-of date. As part
                of this requirement, firms must report SFT exposures when a firm acts
                as an agent on behalf of a client for which lender indemnification has
                been provided against the borrower's default. Due to observed diversity
                in reporting practices, the Board proposes to revise the Schedule L.5
                instructions to clarify that firms must also include SFT exposures when
                the firm acts as an agent on behalf of a client for which a credit
                guarantee has been provided against the borrower's default. This
                revision would reinforce the original intent of adding the reporting of
                exposures to client-cleared derivatives to Schedule L.5, in that it
                would require firms to report their indirect exposures to clients when
                credit risk is present, regardless of whether that exposure arises from
                a lender indemnification or a credit guarantee.
                 Firms are required to report stressed CVA values on Schedules L.1
                and L.5.1. On Schedule L.1, the instructions state that firms must
                report the full revaluation of asset-side CVA under stressed
                conditions. On Schedule L.5.1, the instructions state that firms must
                only include stressed CVA as it relates to derivatives. For consistency
                across Schedule L, the Board proposes to revise the ``Stressed CVA''
                item of Schedule L.5.1 to require firms to include stressed CVA as it
                relates to SFTs, as well as continue to include stressed CVA as it
                relates to derivatives. This revision would allow the Board to get a
                more complete and consistent picture of CVA exposure across reporting
                firms.
                Wholesale
                Internal Risk Rating
                 Firms began reporting FR Y-14Q, Schedule H.4 (Internal risk rating)
                as of March 31, 2020.\16\ On this schedule, firms are required to
                report the ratings used in their internal risk rating system, as well
                as a description of each rating. There has been a wide variety of
                internal ratings and descriptions provided, which has made evaluations
                across firms difficult. To improve comparability of internal ratings
                reported in this schedule, the Board proposes to add three items:
                Minimum probability of default, maximum probability of default, and the
                calculation method of the probability of default (i.e., calculated
                through the cycle or as a point-in-time value). The minimum and maximum
                probability of default items would allow the Board to assess credit
                risk more easily across firms by providing benchmark values for
                internal ratings. The type of probability of default item would provide
                critical information for how the minimum and maximum values are
                calculated (e.g., point in time calculation). The addition of these
                items would enhance wholesale risk monitoring.
                ---------------------------------------------------------------------------
                 \16\ 84 FR 70529 (December 23, 2019).
                ---------------------------------------------------------------------------
                Undrawn Commitments
                 Firms are required to report the interest rate charged on the
                credit facility for corporate and commercial real estate (CRE) loans on
                FR Y-14Q, Schedule H.1 and H.2, items 38 and 27, respectively. The
                instructions require the reporting of the most conservative interest
                rate for fully undrawn facilities, which was intended to accommodate a
                scenario in which there are multiple interest rate options, and the
                actual interest rate would not be known until the loan was drawn.
                However, reporting firms have asked how to report a second scenario
                where a facility is comprised of multiple lines of credit, each with a
                separate interest rate. The Board proposes to clarify the reporting
                requirements for these two scenarios in the instructions to improve
                consistency and mitigate confusion. For the first scenario, the Board
                proposes to clarify that the instruction to report the most
                conservative interest rate only applies to situations where the obligor
                has a choice of interest rates and one is chosen when the line is
                drawn. For the second scenario, the instructions would require firms to
                report the dollar-weighted average interest rate that approximates the
                overall rate as if the credit facility were funded and fully drawn on
                the reporting date.
                Update Property Type Options
                 Firms currently report the property type of their CRE loans on FR
                Y-14Q, Schedule H.2, in item 9 (``Property Type''). While this item
                contains multiple property type options, the structure of the CRE
                market has changed since these initial property type options were
                implemented for this item. More specifically, over the past decade,
                there has been rapid growth in the healthcare
                [[Page 11439]]
                and assisted living industry, resulting in demographic changes, as well
                as in e-commerce platforms, which rely on warehouses for storage. The
                existing property type options do not separately break out these
                industries, and these CRE loans are commingled with other property
                types in other options. The Board proposes to update the property type
                options to include ``Healthcare/Assisted Living'' and ``Warehouse/
                Distribution.'' This revision would improve risk identification within
                the CRE portfolio.
                Clarify Informal ``Advised Lines'' Exclusion
                 On FR Y-14Q, Schedule H.1, the instructions for corporate loan
                population state to exclude informal ``advised lines,'' but the current
                definition of this term is ambiguous, potentially resulting in the
                exclusion of more commitments than there should be. The Board proposes
                to modify the language to clarify that only lines of credit that are
                unknown to the customer must be excluded from Schedule H.1. This
                modification would ensure that all applicable commitments are reported,
                other than the clearly defined exclusions.
                Retail
                Credit Score Reporting Requirements
                 Firms are required to report the origination credit bureau score
                for the primary account holder and the refreshed credit bureau score
                for domestic credit card account holders on FR Y-14M, Schedule D
                (Domestic credit card) in items 38 and 40, respectively. For both
                items, the instructions allow firms to map an internal credit score
                used to determine the primary account holder's creditworthiness to a
                commercial credit score for cases in which a commercial credit score
                was not obtained or was not being used to evaluate the creditworthiness
                of the primary account holder. The ability to map an internal credit
                score to a commercial credit score has resulted in reporting
                inconsistencies, due to the subjectivity of the mapping. To standardize
                the reporting of credit scores, the Board proposes to revise the
                language in the instructions for both items to require firms to report
                a commercial credit score if one was available at origination or
                refresh for the primary account holder. The Board proposes to further
                revise the instructions to state that if a commercial credit score was
                not available at the time of origination or refresh and if the
                underwriting decision was based on an internal score, then firms would
                be required to map their internal credit scores to commercial credit
                scores.
                 Firms are also required to report the FICO score range of the
                credit score of the borrower at origination in the ``Original
                commercially available credit bureau score or equivalent'' segment
                variable on all sub-schedules of FR Y-14Q, Schedule A (Retail). The
                instructions for this segment variable allow the reporting of an
                internal credit score mapped to a commercial credit score if an
                internal score was used in the original underwriting decision. To also
                standardize credit score reporting on Schedule A, the Board proposes to
                require firms to report a commercial credit score if one was available
                at origination. Firms would be required to map their internal credit
                scores or non-FICO commercial credit scores to FICO credit scores if a
                FICO credit score was not available at origination. Additionally, the
                instructions for this segment variable require firms to report in FICO
                credit score ranges and state that upon request, the Federal Reserve
                will provide ranges for other commercial credit scores. However, to
                further standardize the reporting of credit scores, the Board proposes
                to remove this sentence from the instructions. Removing this sentence
                would require firms to create their own mappings from their internal
                credit scores or from non-FICO commercial credit scores to FICO credit
                scores.
                Loans in Forbearance or Other Loss Mitigation Situations
                 The coronavirus disease 2019 (COVID) event caused an increase in
                loans in forbearance or other loss mitigation situations (collectively,
                ``loss mitigation''). These loans have different risk characteristics
                than other loans reported on the FR Y-14M. While there are some loss
                mitigation items on the FR Y-14M, the Board observed during the COVID
                event that there are still data gaps, and several loss mitigation items
                did not have the flexibility to capture loss mitigation in the face of
                occurrences such as the COVID event. To fill observed data gaps, the
                Board proposes to add a ``Workout Type Started'' item to Schedule A
                (Domestic first lien) and Schedule B (Domestic home equity), as well as
                an ``Actual Payment Amount'' item to Schedule A. The ``Workout Type
                Started'' item would be used in conjunction with the ``Workout Type
                Completed'' item (Schedule A, item 77; Schedule B, item 61) and would
                allow the Board to track any changes to the loss mitigation plans of
                the loan once a loan has undergone loss mitigation. The ``Actual
                Payment Amount'' item would allow the Board to track actual payments
                made on loans, which would enable the Board to better monitor activity
                on loans in loss mitigation. Note that this item is only being proposed
                to be added to Schedule A because an equivalent item already exists on
                Schedule B (item 68).
                 Firms are required to report the principal deferred amount and the
                principal write-down amount in items 87 and 89, respectively, of
                Schedule A. Per the instructions, these items are only reported if the
                loan has been modified. During the COVID event, certain loans were not
                modified but did experience principal deferrals and write-downs.
                However, these amounts were not reported on Schedule A due to the
                requirement that the loans be modified. To expand the circumstances
                under which firms would report these items, the Board proposes to
                remove the requirement that these items only be reported if loans are
                modified. Relatedly, the Board proposes to rename item 87 to ``Deferred
                Amount'' to capture all deferred amounts, not just those related to the
                loan principal.
                 Finally, the Board proposes to revise the reporting options to the
                ``Modification Type'' and ``Workout Type Completed'' items (Schedule A,
                items 74 and 77, respectively; Schedule B, items 77 and 61,
                respectively) to add flexibility to enable these items to apply to a
                broader set of occurrences, such as the COVID event. These revisions
                would enable the Board to better monitor loss mitigation loans.
                Other Revisions
                 Firms currently flag whether portfolio loans are held-for-
                investment (HFI) and measured at fair value under the FVO or are held-
                for-sale (HFS) in item 130 (``HFI FVO/HFS Flag'') of Schedule A.
                However, the actual fair-value amount is not reported on Schedule A.
                Firms are required to report the aggregate fair-value amounts of HFS
                loans and HFI loans measured under the FVO on FR Y-14Q, Schedule J
                (Retail FVO/HFS). For data reconciliation across the FR Y-14M and FR Y-
                14Q, as well as for monitoring purposes, the Board is proposing to add
                a new field to Schedule A to capture the fair-value amount of HFS loans
                and HFI loans measured under the FVO.
                 Additionally, on both Schedule A and Schedule B, there is an item
                that captures the adjustable-rate mortgage (ARM) index (Schedule A,
                item 32; Schedule B, item 29). This item does not include options for
                the Bloomberg Short-Term Bank Yield (BSBY) rate. The Board proposes to
                revise this item to include several BSBY options, to allow
                [[Page 11440]]
                firms to identify loans using this index rate.
                 The Board also proposes to remove several items from Schedule A, as
                they are no longer needed, assuming that the aforementioned revisions
                to Schedule A are implemented (items proposed for removal would be
                redundant). Specifically, the Board proposes to remove the following
                items:
                 ``Capitalization'' (item 81);
                 ``Duration of Modification'' (item 83);
                 ``Interest Rate Reduced'' (item 98);
                 ``Term Extended'' (item 100);
                 ``P&I Amount Before Modification'' (item 101);
                 ``P&I Amount After Modification'' (item 102);
                 ``Remaining Term Before Modification'' (item 105); and
                 ``Remaining Term After Modification'' (item 106).
                 Firms are required to report the cohort default rate (CDR) of
                student loans on FR Y-14Q, Schedule A.10 (Student Loan). There are
                several CDR buckets, one of which requires reporting in cases in which
                the CDR is greater than 10 percent (item 16). However, the instructions
                don't specify how to report cases when the CDR is equal to 10 percent.
                For completeness, the Board proposes to rename and revise item 16 to
                clarify that firms must also include in this item balances for which
                the CDR equals 10 percent.
                Balances
                 Firms are required to report quarter-end balances of bank cards and
                charge cards on FR Y-14Q, Schedule M.1 (Quarter-end balances) in items
                3.a and 3.b, respectively. The instructions do not define bank or
                charge cards, but in general, bank cards and charge cards differ in two
                key ways. First, bank cards allow holders to spend up to their credit
                limits during each billing cycle, while charge cards typically have no
                preset spending limits. Second, bank cards allow holders to pay
                outstanding balances over time, while charge cards must be fully paid
                off each billing cycle. There are some products that 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. Products with
                features of both bank and charge cards have caused inconsistent
                reporting across firms. To remove ambiguity, the Board proposes to
                better clarify which products must be reported as charge cards in the
                instructions.
                 Firms are required to report quarter-end balances of small/medium
                enterprise (SME) cards in item 2.c (SME cards and corporate cards) on
                Schedule M.1. The instructions define SME cards as ``credit card
                accounts where the loan is underwritten with the sole proprietor or
                primary business as an applicant.'' The instructions also refer to
                several FR Y-9C items where SME cards and corporate cards are reported.
                Firms are required to report the applicable balances of SME cards and
                corporate cards in item 2.c that are reported in the referenced FR Y-9C
                items. The item 2.c instructions do not reference FR Y-9C, Schedule HC-
                C, item 9.a (Loans to nondepository financial institutions). Upon
                review, the Board has determined that certain card balances reported in
                Schedule HC-C, item 9.a could be included in Schedule M.1, item 2.c.
                Therefore, the Board proposes to revise the instructions for Schedule
                M.1, item 2.c to reference Schedule HC-C, item 9.a.
                 Legal authorization and confidentiality: The Board has the
                authority to require BHCs to file the FR Y-14 reports pursuant to
                sections 5(b) and 5(c) of the Bank Holding Company Act (BHC Act) \17\
                and section 165(i) of the Dodd-Frank Wall Street Reform and Consumer
                Protection Act (Dodd-Frank Act) as amended by sections 401(a) and (e)
                of the Economic Growth, Regulatory Relief, and Consumer Protection Act
                (EGRRCPA).\18\ Section 5(b) of the BHC Act authorizes the Board to
                issue regulations and orders relating to capital requirements for bank
                holding companies. Section 5(c) of the BHC Act authorizes the Board to
                require a BHC and any subsidiary of such company to submit reports to
                keep the Board informed of its financial condition, systems for
                controlling financial and operating risks, transactions with depository
                institution subsidiaries of the BHC, and compliance with law. Section
                165(i)(1) of the Dodd-Frank Act, as amended by the EGRRCPA, requires
                the Board to conduct supervisory stress tests of certain companies.\19\
                Further, section 165(i)(2) of the Dodd-Frank Act, as amended by the
                EGRRCPA, requires the Board to issue regulations requiring certain
                companies to conduct company-run stress tests.\20\
                ---------------------------------------------------------------------------
                 \17\ 12 U.S.C. 1844(b) and 1844(c).
                 \18\ 12 U.S.C. 5365(i).
                 \19\ See 12 U.S.C. 5365(i)(1). Annual supervisory stress tests
                are required for bank holding companies with $250 billion or more in
                total consolidated assets. ``Periodic'' supervisory stress tests are
                required for bank holding companies with $100 billion or more, but
                less than $250 billion, in total consolidated assets. 12 U.S.C. 5365
                note.
                 \20\ See 12 U.S.C. 5365(i)(2). Bank holding companies with $250
                billion or more in total consolidated assets and financial companies
                with more than $250 billion in total consolidated assets must
                conduct ``periodic'' stress tests.
                ---------------------------------------------------------------------------
                 The Board has authority to require SLHCs file the FR Y-14 reports
                pursuant to section 10(b) of the Home Owners' Loan Act (HOLA) as
                amended by section 369(8) and 604(h)(2) of the Dodd-Frank Act.\21\
                Section 10(b) of HOLA, as amended, authorizes the Board to require
                savings and loan holding companies to file ``such reports as may be
                required by the Board'' containing ``such information concerning the
                operations of such savings and loan holding company . . . as the Board
                may require.''
                ---------------------------------------------------------------------------
                 \21\ 12 U.S.C. 1467a(b).
                ---------------------------------------------------------------------------
                 The Board has authority to require IHCs file the FR Y-14 reports
                pursuant to section 5(c) of the BHC Act \22\ and sections 102(a)(1) and
                165 of the Dodd-Frank Act.\23\ In addition, section 401(g) of EGRRCPA
                \24\ provides that the Board has the authority to establish enhanced
                prudential standards for foreign banking organizations with total
                consolidated assets of $100 billion or more, and clarifies that nothing
                in section 401 ``shall be construed to affect the legal effect of the
                final rule of the Board . . . entitled `Enhanced Prudential Standard
                for [BHCs] and Foreign Banking Organizations' (79 FR 17240 (March 27,
                2014)), as applied to foreign banking organizations with total
                consolidated assets equal to or greater than $100 million.'' \25\
                ---------------------------------------------------------------------------
                 \22\ 12 U.S.C 1844(c).
                 \23\ 12 U.S.C. 5311(a)(1) and 5365. Section 102(a)(1) of the
                Dodd-Frank Act, 12 U.S.C. 5311(a)(1), defines ``bank holding
                company'' for purposes of Title I of the Dodd-Frank Act to include
                foreign banking organizations that are treated as bank holding
                companies under section 8(a) of the International Banking Act of
                1978, 12 U.S.C. 3106(a). The Board has required, pursuant to section
                165(b)(1)(B)(iv) of the Dodd-Frank Act, 12 U.S.C. 5365(b)(1)(B)(iv),
                certain foreign banking organizations subject to section 165 of the
                Dodd-Frank Act to form U.S. intermediate holding companies.
                Accordingly, the parent foreign-based organization of a U.S. IHC is
                treated as a BHC for purposes of the BHC Act and section 165 of the
                Dodd-Frank Act. Because section 5(c) of the BHC Act authorizes the
                Board to require reports from subsidiaries of BHCs, section 5(c)
                provides authority to require U.S. IHCs to report the information
                contained in the FR Y-14 reports.
                 \24\ 12 U.S.C. 5365 note.
                 \25\ The Board's Final Rule referenced in section 401(g) of
                EGRRCPA specifically stated that the Board would require IHCs to
                file the FR Y-14 reports. See 79 FR 17240, 17304 (March 27, 2014).
                ---------------------------------------------------------------------------
                 The FR Y-14 reports are mandatory.
                 The information reported in the FR Y-14 reports is collected as
                part of the Board's supervisory process, and therefore, such
                information is afforded confidential treatment pursuant to exemption 8
                of the Freedom of Information Act (FOIA) which protects information
                contained in ``examination, operating, or condition reports'' obtained
                in the bank supervisory
                [[Page 11441]]
                process.\26\ In addition, confidential commercial or financial
                information, which a submitter both customarily and actually treats as
                private, may be exempt from disclosure under exemption 4 of the
                FOIA.\27\ \28\
                ---------------------------------------------------------------------------
                 \26\ 5 U.S.C. 552(b)(8).
                 \27\ 5 U.S.C. 552(b)(4).
                 \28\ Note that the Board may disclose a summary of the results
                of supervisory stress testing pursuant to 12 CFR 225.8(h)(5)(iii)
                and publishes a summary of the results of stress testing pursuant to
                12 CFR 252.46(b) and 12 CFR 238.134, which includes aggregate data.
                In addition, under the Board's regulations, covered companies must
                also publicly disclose a summary of the results of stress testing.
                See 12 CFR 252.58; 12 CFR 238.146. The public disclosure requirement
                contained in 12 CFR 252.58 for covered BHCs and covered IHCs is
                separately accounted for by the Board in the Paperwork Reduction Act
                clearance for FR YY (OMB No. 7100-0350) and the public disclosure
                requirement for covered SLHCs is separately accounted for in by the
                Board in the Paperwork Reduction Act clearance for FR LL (OMB No.
                7100-0380).
                 Board of Governors of the Federal Reserve System, February 23,
                2022.
                Michele Taylor Fennell,
                Deputy Associate Secretary of the Board.
                [FR Doc. 2022-04194 Filed 2-28-22; 8:45 am]
                BILLING CODE 6210-01-P
                

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