Proposed Agency Information Collection Activities; Comment Request, 37292-37302 [2019-16340]

Agencies

• FEDERAL RESERVE SYSTEM

[Federal Register Volume 84, Number 147 (Wednesday, July 31, 2019)]
[Notices]
[Pages 37292-37302]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-16340]


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FEDERAL RESERVE SYSTEM


Proposed 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). Please note that the Board is publishing a separate 
notice for comment focusing on incorporating the Current Expected 
Credit Loss (CECL) methodology into the FR Y-14A/Q/M reports.

DATES: Comments must be submitted on or before September 30, 2019.

ADDRESSES: You may submit comments, identified by FR Y-14A, FR Y-14Q, 
or FR Y-14M, 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 OMB 
number in the subject line of the message.
     FAX: (202) 452-3819 or (202) 452-3102.
     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. Accordingly, your comments will 
not be edited to remove any identifying or contact information. Public 
comments may also be viewed electronically or in paper form in Room 
3515, 1801 K Street NW, Washington, DC 20006 between 9:00 a.m. and 5:00 
p.m. on weekdays.
    Additionally, commenters may send a copy of their comments to the 
OMB Desk Officer--Shagufta Ahmed--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: A copy of the Paperwork Reduction Act 
(PRA) OMB submission, including the reporting form and instructions, 
supporting statement, and other documentation will be placed into OMB's 
public docket files, if approved. These documents will also 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 below.
    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, the Office of Management 
and Budget (OMB) delegated to the Board authority under the Paperwork 
Reduction Act (PRA) to approve and assign OMB control numbers to 
collection of information requests and requirements 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.

Request for Comment on Information Collection Proposal

    The Board invites public comment on the following information 
collection, which is being reviewed under authority delegated by the 
OMB under the PRA. Comments are invited on the following:
    a. Whether the proposed collection of information is necessary for 
the proper performance of the Federal Reserve's functions, including 
whether the information has practical utility;
    b. The accuracy of the Federal Reserve's estimate of the burden of 
the proposed information collection, 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 Federal 
Reserve should modify the proposal.

Proposal Under OMB Delegated Authority To Extend for Three Years, With 
Revision, the Following Information Collection

    Report title: Capital Assessments and Stress Testing Reports.
    Agency form number: FR Y-14A/Q/M.
    OMB control number: 7100-0341.
    Frequency: Annually, semi-annually, quarterly, and monthly.
    Estimated number of respondents: 36.
    Estimated average hours per response: FR Y-14A: 985 hours; FR Y-
14Q: 1,920 hours; FR Y-14M: 1,086 hours; FR Y-14 On-going Automation 
Revisions: 480 hours; FR Y-14 Attestation On-going Audit and Review: 
2,560 hours.
    Estimated annual burden hours: FR Y-14A: 70,920 hours; FR Y-14Q: 
276,480 hours; FR Y-14M: 443,088 hours; FR Y-14 On-going Automation 
Revisions: 17,280 hours; FR Y-14

[[Page 37293]]

Attestation On-going Audit and Review: 33,280 hours.
    General description of report: These collections of information are 
applicable to top-tier bank holding companies with total consolidated 
assets of $100 billion \1\ or more and U.S. intermediate holding 
companies with $50 billion or more in total consolidated assets that 
are subsidiaries of foreign banking organizations (FBOs).\2\ This 
family of information collections is composed of the following three 
reports:
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    \1\ On July 6, 2018, the Board issued a public statement 
regarding the impact of the Economic Growth, Regulatory Relief, and 
Consumer Protection Act. See https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20180706b1.pdf. The Board 
announced that it will not take action to require bank holding 
companies (BHCs) with greater than or equal to $50 billion but less 
than $100 billion in total consolidated assets to file the FR Y-14 
reports.
    \2\ The Board has separately proposed to revise the respondent 
panel for the FR Y-14 reports in connection with the Board's 
proposed rule regarding Prudential Standards for Large Bank Holding 
Companies and Savings and Loan Holding Companies (the ``Tailoring 
Proposal''). See 83 FR 61408 (November 29, 2018). Under the 
Tailoring Proposal, the respondent panel for the FR Y-14 reports 
would be BHCs with total consolidated assets of $100 billion or 
more, U.S. intermediate holding companies of foreign banking 
organizations (IHCs) with total consolidated assets of $50 billion 
or more that are subsidiaries of an FBO, and covered savings and 
loan holding companies (SLHCs) with $100 billion or more in total 
consolidated assets. See 12 CFR 217.2 (defining ``covered savings 
and loan holding company''). If the Tailoring Proposal is finalized 
before this proposal, the respondent panel for the FR Y-14 reports 
would be updated to reflect the respondent panel adopted in the 
Tailoring Proposal.
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     The semi-annual FR Y-14A collects quantitative projections 
of balance sheet, income, losses, and capital across a range of 
macroeconomic scenarios and qualitative information on methodologies 
used to develop internal projections of capital across scenarios.
     The quarterly FR Y-14Q collects granular data on various 
asset classes, including loans, securities, trading assets, and 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 provide the 
Board with the information needed to help ensure that large firms have 
strong, firm-wide risk measurement and management processes supporting 
their internal assessments of capital adequacy and that their capital 
resources are sufficient given their business focus, activities, and 
resulting risk exposures. The reports are used to support the Board's 
annual Comprehensive Capital Analysis and Review (CCAR) exercise, which 
complements 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. 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 18 filings each year: Two semi-
annual FR Y-14A filings, four quarterly FR Y-14Q filings, and 12 
monthly FR Y-14M filings. Compliance with the information collection is 
mandatory.
    Proposed revisions: The Board proposes to implement a number of 
changes to schedules of the FR Y-14A, FR Y-14Q, and FR Y-14M reports. 
The proposed revisions consist of deleting or adding items, adding or 
expanding schedules or sub-schedules, and modifying or clarifying the 
instructions for existing data items, primarily on the FR Y-14Q and FR 
Y-14M reports. The Board is proposing most of these changes in an 
effort to reduce reporting burden for firms, clarify reporting 
instructions and requirements, address inconsistencies between the FR 
Y-14 reports and other regulatory reports, and to account for revised 
rules and accounting principles. A limited number of proposed revisions 
would modify the reporting requirements and add or expand sub-schedules 
to improve the availability and quality of data to enhance supervisory 
modeling and for use in the Dodd-Frank Act Stress Test (DFAST). The 
Board proposes to implement the revisions with the FR Y-14 reports as 
of September 30, 2019.
    The Board is proposing most of the changes in an effort to bring 
the reports in alignment with current accounting standards, rules, and 
other regulatory reports. This includes modifications to existing items 
and the addition of items in conformance with:
     The Financial Accounting Standards Board's (FASB) 
Accounting Standards Update (ASU) 2016-01 (Recognition and Measurement 
of Financial Assets and Financial Liabilities);
     ASU 2017-12 (Targeted Improvements to Accounting for 
Hedging Activities);
     Revisions made to the Consolidated Financial Statements 
for Holding Companies (FR Y-9C);
     Changes to the regulatory capital rules;
     The Tax Cuts and Jobs Act (TCJA); and
     The new U.S. London Interbank Offered Rate (LIBOR) 
alternative.
    Introducing these changes would resolve questions from filing firms 
regarding the expectations for FR Y-14 reporting in light of 
inconsistencies with updated standards, and would reduce confusion and 
reliance on workarounds.
    Many of the proposed revisions are intended to reduce inconsistent 
reporting due to ambiguous, contradictory, or unclear instructions. The 
proposal would also incorporate editorial or technical edits.
    The Board is proposing revisions in order to more accurately 
capture the data needed for running the stress tests and in support of 
DFAST and CCAR. This includes the proposed elimination of certain items 
from the FR Y-14M that are no longer needed because they are available 
from alternative data sources or are not necessary for stress tests, 
DFAST, or CCAR. Other proposed revisions, for example on FR Y-14Q, 
Schedule L (Counterparty), would modify the reporting requirements to 
collect more accurate, consistent, or comprehensive information. 
Similarly, the proposal would incorporate and formalize on the FR Y-14 
several collections the Board currently collects from a limited number 
of firms directly in support of running the supervisory stress test. 
Given the ongoing use of these data in the supervisory stress test, the 
Board is proposing to collect them on the FR Y-14 reports on new or 
existing schedules in order to reduce operational challenges with data 
submission and processing and improve data quality.
    Finally, the Board is proposing modifications to how burden 
estimates are displayed and seeks further comment on burden estimates.

Onboarding of New Firms

    The Board proposes to expand and clarify the instructions regarding 
the onboarding requirements in each of the FR Y-14 reports. Based on 
the experience of firms that have met the FR Y-14 reporting threshold 
and went through the process of beginning to file, the Board has 
identified certain aspects of the current FR Y-14 onboarding 
instructions that could be interpreted in different ways. The proposal 
would add language to the general instructions for each of the FR Y-
14A/Q/M reports to clarify the onboarding requirements for first-time 
filers.
    First, the Board proposes adding a statement to the instructions 
for the FR Y-14A/Q/M to indicate that firms do

[[Page 37294]]

not need to begin filing the FR Y-14 reports until the reporting period 
after the end of the quarter in which they met the threshold, unless 
otherwise directed by the Board. For example, if a BHC crossed the $100 
billion threshold on July 25 of a given year, and met the threshold 
based on their FR Y-9C submission as of the end of the third quarter, 
the firm would be required to first report the FR Y-14Q and FR Y-14A 
reports as of December 31 of that year, and the FR Y-14M report as of 
December of that year.\3\
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    \3\ Firms onboarding to the FR Y-14 reports submit their initial 
FR Y-14Q and FR Y-14M reports with delays outlined in the report 
instructions.
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    Second, the Board proposes to modify the current instructions in 
the FR Y-14Q and FR Y-14M pertaining to onboarding delays that extend 
the initial report due dates for new filers. The modification would 
clarify that these onboarding delays can be used only by firms that 
have not previously filed the FR Y-14 reports. The purpose of these 
onboarding delays is to provide applicable firms additional time to 
acquire, establish, and acclimate to the FR Y-14 reports submission 
process, systems, and requirements. A firm that has previously filed 
any portion of the FR Y-14 reports cannot use onboarding delays when 
the firm first meets the requirements to file a new schedule or 
component of the FR Y-14 reports.

Secured Overnight Financing Rate (SOFR)

    LIBOR may cease as a benchmark in 2022, and a new standard, SOFR, 
began trading in the second quarter of 2018. To accommodate this 
change, the Board proposes updating the FR Y-14Q and FR Y-14M reports 
to capture this new index. Not adding this code would result in various 
types of indices mixed in the default code category or ``other,'' 
limiting possible uses of the data for supervisory purposes. The 
following updates to FR Y-14Q/M schedules would bring the FR Y-14 in 
line with industry used indices.
    In the FR Y-14M, Schedules A (First Lien), B (Home Equity), and D 
(Credit Cards) the Board proposes adding codes to capture the new SOFR 
rates in the ARM Index field (Schedule A, Line item 32, and Schedule B, 
Line item 29), and Variable Rate Index field (Schedule D, Line item 
77). The additional codes would include 1 month, 3 month, 6 month, 1 
year, Unknown, and SOFR Other, similar to the structure of the existing 
LIBOR codes.
    Similarly, in the FR Y-14Q, Schedule H, the Board proposes adding 
an option to the Interest Rate Index fields (Schedule H.1, Line item 
39, and Schedule H.2, Line item 28) for firms to report SOFR.

ASU 2016-01

    In January 2016, the FASB issued ASU 2016-01, ``Recognition and 
Measurement of Financial Assets and Financial Liabilities.'' This ASU 
requires investments in equity securities to be measured at fair value, 
with changes in fair value recognized in net income. This effectively 
eliminates the concept of available-for-sale (AFS) equity securities, 
which are measured at fair value with changes in fair value generally 
recognized in other comprehensive income.
    The Board proposes to revise the FR Y-14 report forms and 
instructions to account for the changes to U.S. generally accepted 
accounting principles (GAAP) set forth in ASU 2016-01. These changes 
are consistent with previous modifications to other regulatory reports 
that were made to allow for reporting under ASU 2016-01, in particular 
the FR Y-9C. The changes to the accounting for equity investments under 
ASU 2016-01 affect several existing data items in the FR Y-14A and FR 
Y-14Q, and result in the following proposed revisions:
     Addition of a line item to the FR Y-14A, Schedule A.1.a 
(Income Statement) to capture unrealized holdings gains (losses) on 
equity securities not held for trading as defined on the FR Y-9C, HI 
(Income Statement), Line item 8.b (Unrealized holding gains (losses) on 
equity securities not held for trading);
     Addition of a line item to the FR Y-14A, Schedule A.1.b 
(Balance Sheet) for equity securities with readily determinable fair 
values not held for trading to be reported as defined in the FR Y-9C, 
Schedule HC (Balance Sheet), Line item 2.c (Equity securities with 
readily determinable fair values not held for trading);
     Modification of Line item 2.b (Securities (excluding 
securitizations): Available-for-sale) on the FR Y-14A, Schedule A.1.c 
(Standardized RWA) to also include equity securities with readily 
determinable fair values not held for trading as defined in the FR Y-
9C, Schedule HC-R (Regulatory Capital), Part II (Risk-Weighted Assets), 
Line item 2.b (Available-for-sale debt securities and equity securities 
with readily determinable fair values not held for trading);
     Modification of reporting for certain fields on all sub-
schedules of the FR Y-14A, Schedule A.3 (AFS/(held-to-maturity (HTM) 
Securities) for equity securities;
     Clarification that in the average assets section of the FR 
Y-14A, Schedule A.7.b (PPNR Net Interest Income) and FR Y-14Q, Schedule 
G (PPNR), the average balance of these equity securities should be 
reported as Other Interest/Dividend Bearing Assets; and
     Modification of instructions for the FR Y-14Q, Schedule B 
(Securities) to clarify that firms must also report equity securities 
with readily determinable fair values under 2016-01 on this schedule.

Loans in U.S. Territories

    On the FR Y-9C, loans in U.S. territories for categories reported 
by office are treated as international, but the instructions for 
reporting loans in U.S. territories on the FR Y-14 reports are 
inconsistent or unclear across schedules. The Board proposes the 
following changes to confirm the Board's intent to align the FR Y-14 
definition and reporting for loans in U.S. territories with the FR Y-
9C. The Board proposes to revise the instructions for the FR Y-14A, 
sub-schedule A.7 (PPNR), FR Y-14Q, Schedule A (International Retail 
schedules), and FR Y-14Q, Schedule G to include loans in U.S. 
territories and associated revenues as international. On the FR Y-14A, 
sub-schedule A.7 and FR Y-14Q, Schedule G, the Board proposes to revise 
the definitions of `Domestic Revenue' and `International Revenue,' as 
well as to update references to Puerto Rican loan revenues throughout 
both schedules (loans in other U.S. territories are already reported as 
international on these schedules). On the FR Y-14Q, Schedule A, the 
Board proposes to remove the exception for loans in U.S. territories 
from the international loan-reporting requirement. Specifically, the 
portion of the FR Y-14Q, Schedule A instructions indicating that 
``international'' is `not U.S. or U.S. territories and possessions' 
would be removed from sub-schedules A.1 (International Auto), A.3 
(International Credit Card), A.4 (International Home Equity), and A.5 
(International First Lien Mortgage). Similarly, references to the 
reporting of loans in U.S. territories and possessions in retail sub-
schedules for U.S. loans would be eliminated. The FR Y-14Q, Schedule A 
instructions would continue to reference the applicable FR Y-9C 
definitions. The impact of this change would clarify the treatment of 
Puerto Rican loans that have been reported inconsistently. These 
changes would result in firms reporting loans in U.S. territories and 
associated revenues on the FR Y-14A and FR Y-14Q as international.

[[Page 37295]]

FR Y-14A, Schedule A (Summary)

Schedule A.1.b (Balance Sheet)

    The Board adopted several burden-reducing revisions to the FR Y-9C 
effective for the June 30, 2018 as of date.\4\ The burden-reducing 
revisions eliminated or combined various items throughout the report. 
The FR Y-14 series references FR Y-9C items where applicable to 
streamline the collections. In response to these FR Y-9C revisions, the 
Board proposes to update any applicable FR Y-9C references on the FR Y-
14 reports so that they can remain in sync. In addition to updating 
referenced items, the only other proposed revision to the FR Y-14 
reports in line with these FR Y-9C revisions is to combine existing FR 
Y-14A, Schedule A.1.b item 115, ``Purchased Credit Card Relationships 
and Nonmortgage Servicing Rights'' into existing item 116, ``All Other 
Identifiable Intangible Assets.''
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    \4\ See 83 FR 36935 (July 31, 2018).
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Schedule A.1.d (Capital)

    In response to observed reporting by the firms and due to certain 
provisions in the TCJA, the Board proposes to clarify certain line 
items in the Y-14A Summary--Capital Schedule (Schedule A.1.d) under the 
TCJA. The TCJA eliminated net operating loss carrybacks. In order to 
properly quantify a firm's tax expense, data need to be collected on 
current period taxes paid. Therefore, the Board proposes to rename Line 
item 109 ``Potential net operating loss carrybacks'' to ``Taxes 
previously paid that the bank holding company could recover if the bank 
holding company's temporary differences (both deductible and taxable) 
fully reverse at the report date.'' The instructions for the item would 
state that firms should report the amount of taxes previously paid that 
the bank holding company could recover through loss carrybacks if the 
bank holding company's temporary differences (both deductible and 
taxable) fully reverse at the report date.
    In addition, the Board is proposing to modify the FR Y-14A, 
Schedule A.1.d to require the reporting of certain line items at a 
federal, state, and other jurisdictions level. Collecting these line 
items by three jurisdictions would allow the Board to project a firm's 
tax expense, deferred tax assets, and valuation allowance using more 
granular data, which should lead to a more accurate projection of 
capital. The affected items would include ``Taxes previously paid that 
the bank holding company could recover if the bank holding company's 
temporary differences (both deductible and taxable) fully reverse at 
the report date'' (Line item 109); ``Valuation allowances related to 
deferred tax assets that arise from net operating loss and tax credit 
carryforwards'' (Line item 111); ``Deferred tax assets arising from 
temporary differences, net of DTLs'' (Line item 112); and ``Valuation 
allowances related to DTAs arising from temporary differences'' (Line 
item 113).
    Finally, the instructions would be clarified to indicate where 
firms should include items associated with the global market shock 
DFAST component,\5\ including in their projections. This clarification 
would provide guidance on how firms should reflect the impact of the 
global market shock on items subject to adjustment or deduction from 
capital. Specifically, if a firm were to adjust its projection of an 
item to reflect the impact of the global market shock, the instructions 
will indicate that the firm must also report an adjusted starting value 
that reflects the global market shock.
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    \5\ Firms with significant trading operations are required to 
include a global market shock component as part of the supervisory 
adverse and severely adverse scenarios.
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Schedule A.2.a (Retail Balance and Loss Projections)

    Currently, the balance line items for home equity loans reflect 
total outstanding balances, including both purchased credit-impaired 
(PCI) and non-PCI portfolios, while the loan loss items reflect losses 
only for non-PCI portfolios. Under the Current Expected Credit Loss 
(CECL) methodology, financial assets classified as PCI assets prior to 
the effective date of the new standard will be classified as purchased 
credit-deteriorated (PCD) assets. The definition of PCD in ASU 2016-13 
is broader than that of PCI, and so the Board expects more balances 
would be classified as PCD under CECL than were classified as PCI under 
previous accounting rules. This makes it more important to accurately 
capture the value of PCD exposures as compared to item totals. 
Therefore, to allow for the ability to accurately assess a firm's 
projections and to compare loss rates, the Board proposes to collect 
PCD balances and loan losses across the mortgage line items on the FR 
Y-14A, Schedule A.2.a (proposed Balances line items 1, 9, 17, 26, 27, 
28, 35, and 43, and proposed Losses items 6, 14, 22, 32, 40, 48). These 
items would first be effective September 30, 2019, and there would be 
guidance on the form and instructions indicating that only firms that 
have adopted ASU 2016-13 should report these items.\6\
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    \6\ Since the FR Y-14A is not filed as of September 30, 2019, 
firms would not report the proposed PCD items until December 31, 
2019.
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Schedule A.4 (Trading)

    Currently, the FR Y-14Q, Schedule A.4 (Summary--Trading) collects 
firm-wide trading profit and loss (P&L) results in high-level 
categories. These aggregated categories make it difficult to identify 
the underlying drivers of the P&L results. As a result, the Board has 
had to regularly follow up with firms regarding the decomposition of 
P&L results into more granular risk and product sub-components to 
inform the supervisory modeling process.
    To make the data collection process operationally more efficient 
and allow for timely receipt of the granular information necessary to 
inform supervisory modeling, the Board proposes to expand the current 
FR Y-14A, Schedule A.4 to require firms to report risk and product 
level sub-component categories for P&L estimates. The Board also 
proposes that firms provide any additional detail regarding their 
trading P&L submission, including a description of items included in 
other categories within each asset class, as supporting documentation 
associated with FR Y-14A, Schedule A.4. Firms would submit the trading 
and credit valuation adjustment (CVA) hedges P&L breakdowns and 
associated supporting documentation on the same timeline as the current 
FR Y-14A, Schedule A.4 (data as of the market shock date for a given 
year are submitted on April 5).
    The collection of this information on the FR Y-14 would formalize 
the previously ad-hoc and informal collection of the same data. The 
additional data the Board proposes to collect on this sub-schedule 
would support data quality assurance activities and would provide 
essential information regarding the drivers of reported P&L results.

Schedule A.7 (Pre-Provision Net Revenue (PPNR))

    The Board proposes eliminating the deposit-funding threshold for 
the FR Y-14A, Schedule A.7 (PPNR), in particular the net interest 
income sub-schedule (A.7.b), which is currently optional for firms with 
deposits comprising less than 25 percent of total liabilities for any 
period reported in any of the four most recent FR Y-14Q reports. 
Currently, nearly all respondents are required to submit this schedule 
and the change would require net interest income submissions from all 
respondents. For

[[Page 37296]]

the reports as of June 30, 2016, the deposit funding threshold was 
eliminated from the FR Y-14Q, Schedule G (PPNR). This modification 
would create consistency across the FR Y-14A/Q, and collecting this 
information will enhance the comparability of assets and liabilities 
across BHCs and promote greater consistency in supervisory evaluations.
    The Board has received questions regarding the appropriate place to 
report dividends on equity products on the FR Y-14 reports. Currently, 
dividend income on equity products associated with sales and trades is 
reported as either interest income in ``Other [sales and trading net 
interest income]'' (Item 5B) on the FR Y-14A, Schedule A.7.a and the FR 
Y-14Q, Schedule G.1 (PPNR Submission Worksheet), or as noninterest 
income in ``Commissions and Fees'' (Item 18B) on the FR Y-14A, Schedule 
A.7.a and the FR Y-14Q, Schedule G.1. However, the current instructions 
do not clarify as to when dividend income on equity products should be 
reported as interest income and when it should be reported as 
noninterest income. In addition, the Board believes it is more 
appropriate for dividend income on equity products to be reported as 
``Other [sales and trading noninterest income]'' in item 18C on the FR 
Y-14A, Schedule A.7.a and the FR Y-14Q, Schedule G.1, as opposed to 
being included in item 18B on both reports. Therefore, the Board 
proposes four revisions regarding dividend income on equity products.
    First, the Board proposes to revise the instructions for item 5B on 
the FR Y-14A, Schedule A.7.a and the FR Y-14Q, Schedule G.1 to include 
dividend income on equity products with readily determinable fair 
values not held for trading. This treatment would be consistent with 
the treatment of dividend income on equity securities with readily 
determinable fair values not held for trading on the FR Y-9C. Second, 
the Board proposes to revise the instructions for item 18B on the FR Y-
14A, Schedule A.7.a and the FR Y-14Q, Schedule G.1 to remove references 
to dividends on equity products. Third, the Board proposes to revise 
the instructions for item 18C on the FR Y-14A, Schedule A.7.a and the 
FR Y-14Q, Schedule G.1 to include dividend income on equity products 
held for trading. Finally, the Board proposes to streamline the 
instructions for Item 5B on both the FR Y-14A, Schedule A.7.a and the 
FR Y-14Q, Schedule G.1 by removing redundant language.
    In regard to the supporting documentation requirements associated 
with the FR Y-14A, Schedule A.7, outlined in section A.9 (PPNR) of the 
FR Y-14A, Appendix, the Board proposes adding additional specification 
surrounding the requirements for supporting information provided by 
IHCs. Specifically, the proposal would add instructions to the 
supporting documentation clarifying that IHCs with material transfer 
pricing or cost allocation items with related entities should report 
these revenues and expenses in the appropriate business-line category, 
rather than the ``other'' category. In addition, the proposal would 
request supporting documentation from IHCs that disaggregates the 
impact of transfer pricing and cost allocations on revenue and expense 
projections to allow the Board to understand the revenue impact of 
these arrangements. This information is not available from other 
sources and is important to understanding drivers of revenue, 
particularly with respect to IHCs.

FR Y-14A, Schedule B (Scenario)

    In December 2017, the Board transitioned submission of FR Y-14A, 
Schedule B to extensible markup language (XML) format. As a result, 
some technical details in the general instructions for Schedule B 
regarding submissions were no longer applicable. Therefore, the Board 
proposes to update the general instructions of this schedule to 
accurately reflect the requirements associated with XML submissions.

FR Y-14A, Schedule E (Operational Risk)

    In December 2016, the Board adopted a proposal that implemented two 
new sub-schedules to the FR Y-14A, Schedule E (Operational Risk), which 
collect information surrounding material operational risk and 
operational risk scenarios.\7\ Following the initial collection of 
these sub-schedules, the Board assessed the information received and 
observed inconsistencies in reporting. It appeared unclear to 
reporters, based on the existing instructions and column names, what 
should be reported in each sub-schedule and how that information should 
be reported. This resulted in the identification of potential 
refinements and clarifications to the schedule form and instructions.
---------------------------------------------------------------------------

    \7\ See 81 FR 93917 (December 22, 2016).
---------------------------------------------------------------------------

    The Board intends to collect substantively the same information on 
these sub-schedules, but proposes to rename and reorganize columns on 
the FR Y-14A, Schedules E.2 (Material Operational Risk Identification) 
and E.3 (Operational Risk Scenarios) to make it clearer what is to be 
reported on these sub-schedules, and how. For example, in Schedule E.2, 
the columns titled Material Operational Risk and Risk Name would be 
combined and renamed ``Material Operational Risk Name and Brief 
Description,'' and the Risk Segment column would be renamed ``Business 
Line(s)/Firm-wide.'' In addition, the column for reporting methodology 
would be removed from Schedule E.3, and a column would be added on 
Schedule E.2 to capture the loss estimation methodology used to 
estimate the operational risk losses. Clarifying changes would also be 
made to certain column titles in Schedule E.3.
    To enhance the instructions and clarify the intended reporting on 
these sub-schedules, the Board also proposes to add definitions to the 
instructions for Schedules E.2 and E.3. In line with these definitions, 
the Board proposes adding comparable text to the high-level explanation 
of each sub-schedule currently provided in the instructions. The Board 
also proposes to make formatting and other minor changes to the report 
form, as shown in the associated drafts. This includes adding sections, 
numbering the reported scenarios, and specifying that dollar values 
should be reported in millions.

FR Y-14Q, Schedule A (Retail)

    The Board proposes adding a new category segment to the existing 
Original Commercially Available Credit Bureau Score or Equivalent field 
(Segment Variable 4) on the FR Y-14Q, Schedule A.2 (U.S. Auto). The 
addition of a category for ``<=560'' (Proposed code 00) would allow the 
Board to separately capture information regarding the deep subprime 
population to inform supervisory modeling. These loans are currently 
captured as part of the ``<=620'' segment (current code 01), which 
would be changed to ``>560 and <=620''. Although firms would need to 
update systems to reallocate the reported information to the new 
segment, the Board does not expect the reporting of any new or 
additional loans as a consequence of this change.
    In addition, the Board proposes to add a segment-level summary 
variable to the FR Y-14Q, Schedules A.1-A.10 (Retail) to collect 
information on the weighted average life of loans. This field would 
reflect the current position, impact of new business activity, and 
impact of behavior assumptions based on the expected remaining life of 
the loan. The life of the loan is necessary for calculating losses 
under CECL and because the mix of loans on the retail sub-schedules 
would make calculating the weighted average life challenging.

[[Page 37297]]

FR Y-14Q, Schedule B (Securities)

    In August 2017, FASB issued ASU 2017-12, ``Targeted Improvements to 
Accounting for Hedging Activities.'' This ASU amended ASC 815, 
Derivatives and Hedging. The amendments changed the hedge accounting 
recognition and presentation requirements. To accommodate ASU 2017-12, 
the Board proposes to add a column to the securities hedge schedule (FR 
Y-14Q, Schedule B.2) to identify partial term hedges, if applicable, as 
allowed under the new hedge accounting standard (ASU 2017-12). The 
field, ASU 2017-12 Hedge Designations (proposed line item 15) would 
require firms to indicate if any of the ASU 2017-12 hedge designations 
allowed in conjunction with partial-term hedging election in ASC 815-
20-25-12b(2)(ii) are applicable. Adding this field to the FR Y-14Q, 
Schedule B.2 (Securities 2) would allow the Board to identify relevant 
new hedge designations under ASU 2017-12 and track these hedges in 
addition to, and separately from, other types of hedges. In addition, 
the instructions for Line item 6, Type of Hedge, and Line item 9, Hedge 
Percentage, would be updated to reference the amendments in conjunction 
with partial-term hedging election allowed under ASU 2017-12. Finally, 
the Board proposes eliminating existing Line item 15, Ineffective 
Portion of Cumulative Gains and Losses, as the ineffective portion of 
cash flow hedges is no longer required to be reported separately under 
ASU 2017-12.
    In addition, the Board is proposing other changes to the FR Y-14Q, 
Schedule B, including (1) adding a clause regarding acceptable use of 
CUSIP \8\ or CINS \9\ numbers for the Identifier Type and Value and (2) 
eliminating the requirement to report the sector in the Security 
description for corporate bonds.
---------------------------------------------------------------------------

    \8\ A number assigned by The Committee on Uniform Securities 
Identification Procedures.
    \9\ CUSIP International Numbering System.
---------------------------------------------------------------------------

FR Y-14Q, Schedule C (Regulatory Capital Instruments (RCI))

    Currently, firms must make a one-time submission of all 
subordinated debt as of quarter end that includes all the information 
required in Schedule C.3, Regulatory Capital and Subordinated Debt 
Instruments Issuances During the Quarter, for each subordinated debt 
instrument outstanding as of quarter end. Firms must also report 
changes in subordinated debt positions in Schedules C.2, Repurchases/
Redemptions, and C.3. The current structure includes unused fields and 
complicates the collection process by requiring flows (issuances and 
redemptions) to obtain the stock at quarter end. The Board also 
receives questions as part of the FR Y-14 Question and Answer (Q&A) 
process \10\ seeking clarification on the intended reporting on these 
sub-schedules. The proposed changes would address those questions and 
remove several variables that are unnecessary in order to reduce 
reporting burden.
---------------------------------------------------------------------------

    \10\ Non-confidential questions regarding the FR Y-14 reports 
submitted by FR Y-14 filing firms are responded to by the Board and 
published in a monthly Q&A report available on the Board's public 
website: www.federalreserve.gov/publications/y-14-qas.htm.
---------------------------------------------------------------------------

    To improve the value of collected data, the Board proposes moving 
six items from Schedule C.3 to Schedule C.1, Regulatory Capital and 
Subordinated Debt Instruments as of Quarter End. These proposed Columns 
I through N on Schedule C.1 would apply to subordinated debt 
instruments and related interest rate hedges, as well as any new 
interest rate hedges associated with outstanding subordinated debt 
instruments.\11\ The instructions for Schedule C.1 would subsequently 
indicate that firms should report the total interest rate hedges rather 
than individual swaps for their subordinated debt instruments as of the 
end of the most recent quarter to include new hedges issued during the 
quarter and described in Schedule C.3.
---------------------------------------------------------------------------

    \11\ Currently columns BB. carrying value, as of quarter end; 
CC. unamortized discounts/premiums, fees, and foreign exchange 
translation impacts as of quarter-end; DD. fair value of swaps, as 
of quarter end; GG. notional amount of interest rate swap; KK. 
currency denomination of the instrument; and OO. Y-9C BHCK 4062 
reconciliation on Schedule C.3.
---------------------------------------------------------------------------

    The Board also proposes revisions to: (1) Redefine Column JJ, 
Interest Rate Swap Payment Spread (bps) in Schedule C.3 to specify that 
firms should report the effective spread (which is currently unclear); 
(2) eliminate Column EE, Interest Rate Swap Issue Date, FF, Interest 
Rate Swap Maturity Date, and HH, Interest Rate Swap Fixed Payment Rate, 
from Schedule C.3, as they do not materially contribute to the stress 
tests; and (3) remove a sentence that indicated how to report duplicate 
records with the same CUSIP, as Schedule C.1 does not collect 
information on individual swaps.

FR Y-14Q, Schedule D (Regulatory Capital Transitions)

    The capital rules contained transition provisions that phased in 
certain requirements over several years in order to allow sufficient 
time for implementation. Effective January 1, 2018, the agencies 
adopted changes to the regulatory capital rules that extended the 
regulatory capital treatment applicable during 2017 for certain items 
for firms that are not subject to the capital rules' advanced 
approaches.\12\ For all other firms, the transition provisions ended in 
2018.
---------------------------------------------------------------------------

    \12\ See 82 FR 55309 (November 21, 2017).
---------------------------------------------------------------------------

    In response to the end of the transition provisions for non-
advanced approaches firms, the Board is proposing to eliminate most 
sub-schedules and data items on the FR Y-14Q, Schedule D, as they are 
duplicative of reporting elsewhere now that the common equity tier 1 
deductions are fully phased in. The proposed schedule would include a 
limited number of items that are not reported elsewhere, including, but 
not limited to, items related to:
     Significant and non-significant investments in the capital 
of unconsolidated financial institutions in the form of common stock;
     Mortgage servicing assets;
     Deferred tax assets due to temporary differences;
     Aggregate items subject to the 15 percent limit; \13\ and
---------------------------------------------------------------------------

    \13\ Per the agencies' regulatory capital rules, the aggregate 
amount of the threshold items, that is significant investments in 
the capital of unconsolidated financial institutions in the form of 
common stock, net of associated DTLs; mortgage servicing assets 
(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 must 
be deducted from a Board-regulated institution's common equity tier 
1 capital, if the aggregate amount exceeds the 15 percent common 
equity tier 1 capital deduction threshold.
---------------------------------------------------------------------------

     Other quarterly changes.
    Additionally, the Board proposes to add four items relating to non-
significant investments subject to a threshold deduction from common 
equity tier 1 (CET1) capital to the schedule:
     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; \14\ 
and
---------------------------------------------------------------------------

    \14\ Per the agencies' regulatory capital rules, a Board-
regulated institution must deduct its non-significant investments in 
the capital of unconsolidated financial institutions that, in the 
aggregate, exceed 10 percent of the sum of the Board-regulated 
institution's common equity tier 1 capital minus applicable 
deductions.

---------------------------------------------------------------------------

[[Page 37298]]

     Amount to be deducted from common equity tier 1 due to 10 
percent deduction threshold.\15\
---------------------------------------------------------------------------

    \15\ This item would be derived from other items reported in 
this schedule.
---------------------------------------------------------------------------

    These items are necessary to retain as they are not collected on 
the FR Y-9C report and are needed in order to calculate CET1 capital. 
In total, these changes would significantly reduce the burden 
associated with the schedule.
    In addition, the Board proposes making conforming revisions to the 
general instructions of Schedule D in line with the aforementioned 
changes. In light of the modifications, the schedule would be renamed 
the ``Regulatory Capital'' schedule and would consist of a single 
schedule with no sub-schedules. Certain items on the remaining sub-
schedule would be reported by firms (instead of derived by the Board) 
due to the elimination of items that were previously used to calculate 
the data value.

FR Y-14Q, Schedule F (Trading)

    Currently, the Board collects additional information regarding fair 
value option (FVO) loan hedges from fewer than 10 FR Y-14 filing firms 
to support supervisory modeling during DFAST. The collection captures 
profit and loss sensitivity of transactions used to hedge loans for 
which companies have adopted fair value accounting, excluding forward 
contracts with federal agencies. The collected data are critical to the 
modeling process.
    The Board proposes to formalize the collection of this information 
by creating a new submission type for the FR Y-14Q, Schedule F 
dedicated to FVO loan hedges that would be submitted by firms that are 
subject to the global market shock and are required to complete the 
trading schedule. The submission type would mirror the other submission 
types of the trading schedule, and firms would complete the submission 
type in the same manner as outlined in the FR Y-14Q, Schedule F 
instructions, unless otherwise indicated. Firms would report the data 
quarterly, as of the last day of each quarter. Collecting these data 
with a quarterly frequency would be consistent with the other trading 
submission types and would allow for trend analysis and performance 
monitoring throughout the year. Firms would be required to submit the 
data 47 calendar days after the calendar quarter-end for March, June, 
and September, and 52 calendar days after the calendar quarter-end for 
December.
    To ensure that the Board is receiving the universe of material FVO 
loan hedge exposures and that the transition to reporting this 
information on the FR Y-14 is clear and efficient, the following 
questions are included in this Federal Register Notice:
     Is there anything else that the Federal Reserve should 
consider in requiring firms to report FVO loan hedges on the FR Y-14Q 
Trading schedule, separately from trading book positions and CVA 
hedges?
     Should this requirement be limited to global market shock 
firms already required to submit the FR Y-14Q Trading form (as 
proposed), or should it also include other firms?
     If it includes other firms, should it be limited to firms 
with material exposure to FVO loans or FVO loan hedges?
     If a firm does not ordinarily submit the FR Y-14Q Trading 
schedule, but does have FVO loan hedges to report, are there 
appropriate simplifications to the reporting requirements of the 
Trading form that could be applied?
    Through the FR Y-14 Q&A process, the Board has identified 
opportunities to define the intended scope of and clarify the method of 
reporting exposures on the FR Y-14Q, Schedule F. The revised 
instructions align with prior Board feedback to respondents, and would 
encourage consistent reporting across firms. With this objective, the 
Board proposes the following modifications to the forms and 
instructions:
     Adding a sentence to the General Instructions, Section A 
(Purpose of Schedule) to indicate that mandated investments should be 
excluded from Schedule F.
     Specifying that on the FR Y-14Q, Schedule F.18 (Corporate 
Credit-Advanced) and F.19 (Corporate Credit-Emerging Markets), firms 
must report tenor exposures based on the option maturity for index 
options.
     Revising the instructions for the FR Y-14Q, Schedule F.6 
(Rates DV01) to clarify that agency mortgage-backed securities (MBS) 
exposures should be reported in the Swaps row of the Trading schedule, 
while agency debt should be reported in the Agency row.
     Describing the scope of sub-schedule F.24 (Private Equity) 
to include both fair value and non-fair value private equity (PE) 
investments. To distinguish these types of PE investments, the proposal 
would break this sub-schedule out into two sections, one for fair value 
and one for non-fair value PE investments.
     Revising the forms and instructions for sub-schedule F.24 
and F.25 (Other Fair Value Assets) to reflect changes made to the 
Global Industry Classification Standards (GICS) structure. Examples of 
these revisions include consolidating the various Real Estate industry 
groups into one group, as well as moving the Media industry group from 
the Consumer Discretionary sector to the new Communication Services 
sector.

FR Y-14Q, Schedule H (Wholesale)

    Several FR Y-14 Q&As have highlighted inconsistent, unclear, and 
potentially burdensome language in the wholesale schedules. The Board 
proposes the following changes to Schedule H with the objective of 
remediating these issues and clarifying reporting for firms.
    The Line of Business (LOB) field (Field Number (No.) 27 in Schedule 
H.1 and Field No. 22 in Schedule H.2) currently requires firms to 
report the ``internal line of business that originated the credit 
facility using the institution's own department descriptions.'' 
Analysis of submitted data has shown that the LOB values change over 
time, making the value of the LOB at origination less valuable. To 
reduce burden of reporting in cases where the facility changes LOB or 
is acquired, the Board proposes updating the instructions to eliminate 
the ``at origination'' requirement.
    The Board proposes modifying the maturity date field (Field No. 19 
in Schedule H.1 and H.2) to eliminate the implied requirement to test 
compliance with the terms of the credit agreement each quarter. The 
current wholesale schedules (Schedules H.1 and H.2) permit the 
inclusion of extensions at the borrowers' discretion in calculating the 
maturity date only ``when such conditions are in compliance with the 
credit agreement,'' which implies that firms must assess compliance 
quarterly. This is not consistent with business practice and causes 
unintended burden that would be reduced with this modification.
    The Board is aware of an unintentional discrepancy between the 
definition of ``country'' on the FR Y-14Q Schedule H.1 (Corporate) and 
the definition of ``domicile'' on the FR Y-9C report. The general 
instructions for Schedule H.1 reference the FR Y-9C definition, but the 
instructions for Field No. 6, Country, are not consistent. The Board 
proposes modifying the definition of Field No. 6, Country, in Schedule 
H.1 to eliminate this discrepancy by referring to the FR Y-9C 
instructions.
    In addition, the Board proposes adding two additional sub-schedules 
to the FR Y-14Q, Schedule H: Schedule H.3, Line of Business and 
Schedule H.4, Internal Risk Rating Scale. Schedule H.3 would collect 
(1) each firm's universe of

[[Page 37299]]

LOB's as reported on schedules H.1 and H.2 and (2) a free text 
description of each LOB. Schedule H.4 would collect (1) each firm's 
universe of internal risk ratings as reported on Schedules H.1 and H.2 
and (2) a free text description of each rating. The addition of 
Schedules H.3 and H.4 would allow for the mapping of each firm's 
ratings and LOB values to a consistent benchmark for use in modeling.
    The current process for defining LOB and internal risk ratings is 
manual and facilitated through periodic communication with firms 
outside of the FR Y-14 report. The process has significant operational 
risk. Sub-schedules H.3 and H.4 would define sets of allowable values 
for the Line of Business and Internal Risk Rating fields in the H.1 and 
H.2 collections to improve quality control on the facility-level sub-
schedules. Although the collection would add reporting burden, this 
would replace the burden of the current unstructured collection 
process. Introducing two new sub-schedules to collect this information 
would formalize the reporting process while also significantly 
improving data quality and consistency of reporting.
    Finally, the Board proposes reconciling terminology related to 
reporting requirements for commitments and utilized (outstanding) 
balances for held-for-investment (HFI) and held-for-sale (HFS) loans 
reported under different accounting treatments across the H.1 and H.2 
schedules to improve clarity, enhance reporting accuracy, and to align 
more closely with FR Y-9C Schedule HC-C, Loans and Lease Financing 
Receivables. In addition, the Board proposes to add four new fields 
that would replace two existing fields on Schedules H.1 and H.2. The 
wholesale schedules collect information on both HFI and HFS loans that 
are reported at fair value under a FVO. Measuring these exposures 
accurately is critical for supervisory modeling. However, due to 
conflicting descriptions, outdated language, and references to various 
applicable accounting references within Schedule H, the reported data 
for these fields are often unreliable. The Board also proposes adding 
fields for committed and utilized (outstanding) par value balance, and 
to replace the existing fair value adjustments fields (which would be 
eliminated) with new fair value balance fields on Schedules H.1 and 
H.2. The Board expects that these changes would improve the 
instructions and reporting structure to ultimately increase the quality 
of reported data for use in supervisory modeling. This would result in 
the following changes:
     Modification of the H.1 and H.2 schedule reporting 
specifications and the instructions for Committed Exposure Global 
(Field No. 24 in Schedule H.1 and Field No. 5 in Schedule H.2), 
Utilized Exposure Global (Field No. 25 in Schedule H.1), and 
Outstanding Balance (Field No. 3 in Schedule H.2).
     Elimination of the Fair Value Adjustment Committed 
Exposure (Field No. 84 on Schedule H.1 and Field No. 50 on Schedule 
H.2), and Fair Value Adjustment Drawn (Field No. 85 on Schedule H.1 and 
Field No. 51 on Schedule H.2).
     Addition of fields for Committed Exposure Global Par 
Value, Utilized Exposure Global (Outstanding Balance) Par Value, 
Committed Exposure Global Fair Value, and Utilized Exposure Global 
(Outstanding Balance) Fair Value to Schedule H.1 and H.2.

FR Y-14Q, Schedule I (Mortgage Servicing Rights, ``MSR'')

    In an effort to reduce burden, the Board proposes to eliminate the 
FR Y-14Q, Schedule I. The ongoing collection of these data have shown 
that these data are only material for a limited number of firms.

FR Y-14Q, Schedule L (Counterparty)

    The Board proposes several changes to the FR Y-14Q, Schedule L with 
the objective of increasing consistency across sub-schedules and 
submissions (stressed and unstressed) collecting counterparty 
exposures.
    The Board proposes to change the scope and granularity of firms' 
reporting of CVA related data fields from the top 95 percent to all 
counterparties at the legal entity level on sub-schedules L.1(a-d), 
L.2, and L.3.\16\ This proposed change is twofold. First, to improve 
loss estimation, the reporting of CVA related data fields would be 
modified to include all counterparties, rather than the top 95 percent. 
The current approach of using only the top 95 percent of counterparties 
could miss material exposures from the remaining 5 percent. The change 
in reporting would allow for a more accurate assessment of stressed 
risks and determination of loss estimates. The reporting of all 
counterparties would also eliminate the need for the different 
breakdowns of data reported on schedules L.1.b through L.1.d and, if 
the changes are implemented, these collections would be removed.
---------------------------------------------------------------------------

    \16\ Sub-schedules L.1.a through L.1.d.2 capture information 
regarding derivatives profile by counterparty and aggregate across 
all counterparties. Sub-schedule L.2 captures expected exposure 
profile by counterparty and sub-schedule L.3 captures credit quality 
by counterparty.
---------------------------------------------------------------------------

    Second, the proposal would require firms to report non-sovereign 
and non-central counterparties on sub-schedule L.1.a-L.1.d at a 
counterparty legal entity level, rather than a consolidated parent 
level. This change would result in the elimination and addition of 
items to facilitate the collection of data at this level. Other 
existing items would be modified to include language in captions and 
definitions to specify at what level the information should be 
reported. There was previously a need to limit the reporting of 
counterparties on the FR Y-14Q, Schedule L to the consolidated parent 
level due to restrictions with the Excel submission method. However, 
this created inconsistency in the reporting granularity across 
counterparty types in that firms are required to report sovereign and 
central counterparties at the legal entity level and non-sovereign/
central counterparties at the consolidated group/parent level. Now that 
the schedule is collected in XML, the Board has received feedback from 
some FR Y-14 filers requesting to report counterparty entity-level data 
on sub-schedule L.1.a-L.1.d (similar to how sovereign and central 
counterparties are currently being reported). The Board understands 
that doing so may streamline reporting from system infrastructure and 
could align reporting with a firm's internal practices for tracking 
counterparty exposures. From the Board's perspective, counterparty 
level and entity level data would provide additional granularity to 
ensure proper implementation of models using these data.
    The Board also proposes requiring firms to report derivatives and 
fair valued securities financing transactions (SFTs) in CVA items in 
sub-schedules L.1 through L.4.\17\ This would clarify requirements 
regarding the range of products for estimating mark-to-market losses 
under the stressed scenario, which firms currently inconsistently 
report due to a lack of specificity in the FR Y-14Q instructions. The 
scope of schedules L.1-4 includes derivative trades, but does not 
explicitly include or exclude SFTs, leading some firms to report SFTs 
(fair valued, non-fair valued, or both) in the schedules. This 
clarification should result in consistent product capture and would 
ensure appropriate and comparable inputs across firms for supervisory 
modeling.
---------------------------------------------------------------------------

    \17\ Sub-schedule L.4 captures aggregate and top CVA 
sensitivities.
---------------------------------------------------------------------------

    In August 2018, the Board proposed adding back an item to the FR Y-
14Q,

[[Page 37300]]

Schedule L.5 to capture Total Stressed Net Current Exposure (Total 
Stressed Net CE).\18\ The proposal also clarified the intended ranking 
methodology for the stressed scenario. In line with this change, the 
Board proposes to add an item to collect Total Net CE from reporting 
firms in sub-schedule L.5 and to modify the ranking methodology for the 
unstressed scenario. The proposed changes would create consistency in 
the top 25 counterparty ranking methodologies between the stressed and 
unstressed scenarios. The change would also help subject matter experts 
understand and analyze key drivers of large counterparty default losses 
and would be responsive to questions regarding the appropriate 
reporting under the unstressed scenarios.
---------------------------------------------------------------------------

    \18\ See 83 FR 39093 (August 8, 2018).
---------------------------------------------------------------------------

    Finally, the Board has identified editorial and technical 
clarifications that would increase the use of consistent language and 
terminology and formatting across the counterparty instructions of 
Schedule L. The Board also proposes including language in the 
instructions that specifies how the FR Y-14Q submission should relate 
to the reported FR Y-14A data. In addition, the Board proposes 
consolidating certain counterparty identifier fields to make the 
collection of information surrounding these identifiers consistent 
across sub-schedules and to eliminate redundancy. The proposal would 
implement the clarifications as outlined in the draft instructions.

FR Y-14M, Schedule A (First Lien), Schedule B (Home Equity), Schedule D 
(Credit Card)

    In regard to the FR Y-14M reports, the Board proposes to modify 
existing fields and to clarify the reporting instructions with the 
objective of improving clarity surrounding the intent of fields and to 
support more accurate and complete reporting. Many of the proposed 
clarifications are in response to questions and feedback received 
through the FR Y-14 Q&A process. As a result of the Board's effort to 
continually review the use and value of data items, the Board also 
proposes eliminating a number of fields across the FR Y-14M schedules. 
The proposed revisions are detailed below.
    The Board proposes eliminating 16 fields from Schedule A (First 
Lien), seven fields from Schedule B (Home Equity), and four fields from 
Schedule D (Credit Cards). The Board proposes eliminating the fields in 
an effort to reduce the burden of reporting information that has been 
identified as redundant or of reduced value to data end-users. Firms 
sparsely, inconsistently, or incorrectly report several of the fields. 
Specifically, the proposal would remove the following fields:
FR Y-14M, Schedule A.1 (First Lien, Loan Level)
 Item 26, Buy Down Flag
 Item 51, Servicer Advances
 Item 58, Scheduled Principal Balance Amount
 Item 76, Active Repayment Plan Flag
 Item 78, Repayment Plan Performance Status
 Item 79, ``Home Affordable Refinance Program'' Flag
 Item 80, HAMP Loan number
 Item 90, Property Valuation Method at Modification
 Item 107, Escrow Amount Before Modification
 Item 108, Escrow Amount After Modification
 Item 109, Alternative Home Liquidation Loss Mitigation Date
 Item 110, Alternative Home Retention Loss Mitigation Date
 Item 114, Escrow Amount at Origination
 Item 119, Loss/Write Down Amount
 Item 120, Loss/Write Down Date
 Item 123, Ever 90+ DPD in the Past 12 Months
FR Y-14M, Schedule B.1 (Home Equity, Loan Level):
 Item 35, ARM Periodic Pay Cap
 Item 36, ARM Periodic Pay Floor
 Item 56, Repayment Plan Performance Status
 Item 67, Repayment Plan Start Date
 Item 93, Loss/Write Down Amount
 Item 94, Loss/Write Down Date
 Item 97, Ever 90+ DPD in the past 12 months
FR Y-14M, Schedule D.1 (Credit Card, Loan Level):
 Item 35, Updated Borrower's Income
 Item 36, Updated Income Source
 Item 37, Date Refreshed Income Obtained
 Item 55, Interest Type in Current Month

    While the Board has identified fields that are no longer necessary, 
certain new fields are proposed to provide similar information in 
clearer and more accurate ways. Specifically, the Board proposes adding 
two new fields, for Charge-Off Amount and Charge-off Date to the Home 
Equity schedule (Schedule B.1, proposed items 118 and 119). These 
fields would fill a gap in information available regarding non-
performing loans and provide more accurate insight into a firm's 
expectation that an account is unlikely to repay. Given the volume of 
Q&As and data issues evidenced in the reporting of the current loss/
write down amount and date fields (proposed to be eliminated), the 
Board anticipates that the reporting of the two new charge-off fields 
would simplify reporting and improve data quality.
    Two proposed modifications to the reporting instructions for 
existing fields would change the reporting requirements in order to 
achieve better data quality, reduce missing data, and reduce burden. 
First, the Board proposes updating the instructions for the FR Y-14M, 
Schedule A and Schedule B to indicate that in the case of involuntary 
terminations, loans should be reported for up to 24 months following 
termination, until the data in the four loss severity fields (Schedule 
A, Line Items 93 (Total Debt at Time of any Involuntary Termination), 
94 (Net Recovery Amount), 95 (Credit Enhanced Amount), and 121 (Sales 
Price of Property), and Schedule B, Line Item 99 (Total Debt at Time of 
Any Involuntary Termination), Line Item 100 (Net Recovery Amount), and 
Line Item 101(Sales Price on Property)) are available to report. If the 
data are available sooner, the firm would not have to continue 
reporting these loans in the following months. Firms have indicated 
that the recovery, total debt, sales price, and credit enhanced amount 
data collected in these fields are often not available until after a 
loan has been charged-off. Currently firms stop reporting involuntary 
terminated loans the month following the involuntary termination, 
resulting in firms reporting those fields as null or zero. The proposed 
change in reporting would provide additional time for firms to gather 
and report data in these fields.
    Furthermore, the Board proposes limiting the reporting of the loss 
severity fields in Schedule B (Line Items 99, 100, and 101) to only 
first liens with the objective of reducing burden. The Board 
understands that it may be burdensome for firms to obtain and report 
this information for junior liens, particularly if they do not service 
the loan. Firms would report these fields as null for any junior liens.
    Second, the Board proposes updating the general instructions for 
the FR Y-14M, Schedule D to indicate that firms (1) can discontinue 
reporting non-defaulted accounts after accounts are closed for 
inactivity or other reasons without a balance, and (2) should report 
recoveries for up to 24 months after the account's closure with a 
balance or charge-off, rather than the current 12-month window. The 
proposed change would extend the post-charge-off reporting window for 
closed accounts to

[[Page 37301]]

accommodate recoveries received past the one-year mark, and would 
eliminate the need to report accounts with no unpaid balance after the 
month of closure.
    To align reporting requirements for recoveries and charge-offs 
across fields within the FR Y-14M Schedule D, the Board proposes 
clarifying the instructions for four portfolio level fields and two 
loan level fields. Specifically, the Board would clarify that Schedule 
D.1 (Credit Card, Loan level), Line item 107, Principal Charge-off 
Amount--current month, Schedule D.2 (Credit Card, Portfolio level) Line 
item 13, Managed Gross Charge-offs for the current month, and Line item 
14, Booked Gross Charge-offs for the current month, should include all 
gross charge-offs, including those related to acquired impaired loans. 
Similarly, the instructions for Line item 63, Recovery Amount--Current 
month, on Schedule D.1 and Line items 17, Managed Recoveries, and 18, 
Booked Recoveries on Schedule D.2, would be clarified to note that 
these items include all recoveries, including those related to acquired 
impaired loans.
    Finally, the Board proposes several clarifications to the FR Y-14M 
instructions that would incorporate typographical edits, clarify 
reporting, and align the instructions with or resolve Q&As. Editorial 
fixes and clarifications are outlined in the draft instructions and 
clarifications are as follows:
FR Y-14M, Schedule A.1 (First Lien, Loan Level)
     Line item 15, Credit Class: Confirm that the reported 
credit class should be reported as assessed at the time of loan 
origination and should not change over time.
     Line item 59, Principal and Interest Amount Current: 
Clarify that the scheduled principal and interest due from the borrower 
in the reporting month should also be reported for balloon loans that 
mature in the reporting month.
     Line item 65, Foreclosure Status: Clarify how firms should 
report the foreclosure status in the month in which the loan is 
liquidated.
     Line item 84, Step Modification Flag: Clarify the 
difference in reporting between a rate drop that is gradual (stepped) 
versus immediate, including to rates that are different from the 
contract rate.
     Line item 96, Troubled Debt Restructuring Flag: Note that 
firms should report this field as null for non-portfolio loans as this 
field only applies to portfolio loans.
FR Y-14M, Schedule B.1 (Home Equity, Loan Level)
     Line item 24, Credit Class: Confirm that the reported 
credit class should be reported as assessed at the time of loan 
origination and should not change over time.
     Line item 43, Principal and Interest Amount Current: 
Clarify that the scheduled principal and interest due from the borrower 
in the reporting month should also be reported for balloon loans that 
mature in the reporting month.
FR Y-14M, Schedule D.1 (Credit Card, Loan LeveL)
     Line item 5, State: Clarify that option A also includes 
U.S. Territories.
     Line item 7, Credit Card Type: Clarify that joint 
liability loans, which the instructions do not explicitly exclude or 
include, should be reported in Schedule D as corporate cards.\19\ Also 
clarify that if employers are ultimately responsible for the repayment 
of balances, and there is no individual liability and performance is 
not reported to a credit bureau, then balances should be reported in 
the FR Y-14Q, corporate loan schedule (Schedule H.1).
---------------------------------------------------------------------------

    \19\ This clarification also applies to Line Item 3 in the FR Y-
14M, Schedule D.2 Credit Card, Portfolio Level.
---------------------------------------------------------------------------

     Line items 17, Accounts Under Promotion, and 81, 
Promotional APR: Clarify that these fields include accounts under 
promotion with a positive promotional balance as reported in field 18, 
Cycle Ending Balances Mix--Promotional.
     Line item 28, Multiple Banking Relationship Flag: State 
that loans that the firm owns but does not service should be included 
in this field.
     Line item 31, Authorized Users: Note that the field should 
be left blank for closed and charged off accounts.
     Line item 39, Origination Credit Bureau Score for the co-
borrower (if any): Indicate that firms should report the guarantor's 
credit score if there is no co-borrower or the credit score of the co-
borrower is not available and there is a guarantor.
     Line item 47, Line Increase or Decrease Flag: Clarify that 
for accounts with both an increase and decrease in a reporting month, 
the flag should reflect the net change in credit limit.
     Line item 50, Next Payment Due Date: Clarify that if no 
payment is due, the field should be left blank.
     Line item 68, Account Sold Flag: Specify that the 
identifier should be reported starting from the sale announcement date.
     Line item 104, Workout Program Performance Status: Specify 
that the active and performing status should include accounts in a 
settlement program, where the borrower is fulfilling all obligations as 
agreed.

Burden Estimates

    The Board proposes to roll up the burden estimates from the 
schedule level (Summary, RCI, PPNR, etc.) to the form level (FR Y-14A, 
FR Y-14Q, and FR Y-14M). Based on industry feedback, this seems to 
better represent how respondents itemize the burden associated with the 
FR Y-14. These proposed changes are used in the burden estimates 
earlier in this document. Displaying the burden in this way does not 
mean that, for example, 36 firms will be submitting all FR Y-14A or FR 
Y-14M schedules, or that the burden increase or decrease associated 
with proposed revisions would affect all 36 firms. Rather, it means 
that the Board estimates a maximum number of 36 firms will submit at 
least one FR Y-14A schedule. The rolled-up estimated average hours per 
response and annual burden hour figures are an average for each firm to 
complete the applicable form schedules. To ensure that the Board would 
still be providing sufficient information regarding FR Y-14 reporting 
burden, the following question is included in this Federal Register 
Notice:
     Is the existing, more granular breakout of FR-Y14 burden 
more informative than the proposed, rolled up breakout?
    Based on outreach to industry as well as internal study, the Board 
is considering possible adjustments to the Board's estimate of the 
overall burden hours for the FR Y-14. At this time the Board is not 
proposing to adjust its estimate of the overall burden hours, but does 
here seek comment on the accuracy of the Board's burden estimates.
    Legal Authorization and Confidentiality: Section 165 of the Dodd-
Frank Act requires the Board to ensure that certain BHCs and nonbank 
financial companies supervised by the Board are subject to enhanced 
risk-based and leverage standards in order to mitigate risks to the 
financial stability of the United States. 12 U.S.C. 5365. Additionally, 
section 5 of the Bank Holding Company Act authorizes the Board to issue 
regulations and conduct information collections with regard to the 
supervision of BHCs. 12 U.S.C. 1844. These statutory provisions 
authorize the Board to collect this information. The obligation to 
respond is mandatory.

[[Page 37302]]

    As the FR Y-14 reporting will be collected as part of the Board's 
supervisory process, such information may be accorded confidential 
treatment under Exemption 8 of the Freedom of Information Act (FOIA), 5 
U.S.C. 552(b)(8). In addition, commercial and financial information 
contained in these information collections may also be exempt from 
disclosure under Exemption 4 of the FOIA, 5 U.S.C. 552(b)(4), if 
disclosure would likely have the effect of (1) impairing the 
government's ability to obtain the necessary information in the future, 
or (2) causing substantial harm to the competitive position of the 
respondent. Such determinations will be made on a case-by-case basis.
    Consultation outside the agency: There has been no consultation 
outside the agency.

    Board of Governors of the Federal Reserve System, July 26, 2019.
Michele Taylor Fennell,
Assistant Secretary of the Board.
[FR Doc. 2019-16340 Filed 7-30-19; 8:45 am]
 BILLING CODE 6210-01-P