[Federal Register Volume 82, Number 240 (Friday, December 15, 2017)]
[Notices]
[Pages 59608-59619]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-26960]


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FEDERAL RESERVE SYSTEM


Agency Information Collection Activities: Announcement of Board 
Approval Under Delegated Authority and Submission to OMB

AGENCY: Board of Governors of the Federal Reserve System.

ACTION: Approval of information collection activity.

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SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
is adopting a proposal to extend for three years, with revision, the 
mandatory Capital Assessments and Stress Testing information collection 
applicable to bank holding companies (BHCs) with total consolidated 
assets of $50 billion or more and U.S. intermediate holding companies 
(U.S. IHCs) established by foreign banking organizations under FR Y-
14A/Q/M; OMB No. 7100-0341.

DATES: The revisions are applicable as of December 31, 2017, or March 
31, 2018, as described in this notice.

ADDRESSES: A copy of the PRA OMB submission, including the final 
reporting form and instructions, supporting statement, and other 
documentation will be placed into OMB's public docket files, once 
approved. These documents will also be made available on the Federal 
Reserve Board's public website at: http://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested from the agency clearance 
officer, whose name appears in the FOR FURTHER INFORMATION CONTACT 
section of this notice.

FOR FURTHER INFORMATION CONTACT: Nuha Elmaghrabi, Federal Reserve Board 
Clearance Officer, Office of the Chief Data Officer, Board of Governors 
of the Federal Reserve System, Washington, DC, (202) 452-3884. 
Telecommunications Device for the Deaf (TDD) users may contact (202) 
263-4869.

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 of and assign OMB 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.

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

    Report Title: Capital Assessments and Stress Testing information 
collection.
    Agency Form Number: FR Y-14A/Q/M.
    OMB Control Number: 7100-0341.
    Effective Dates: December 31, 2017, or March 31, 2018.
    Frequency: Annually, semi-annually, quarterly, and monthly.
    Respondents: The respondent panel consists of any top-tier bank 
holding company (BHC) or intermediate holding company (U.S. IHC) that 
has $50 billion or more in total consolidated assets, as determined 
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 Bank Holding Companies (FR Y-9C) 
(OMB No. 7100-0128); or (ii) the average of the firm's total 
consolidated assets in the most recent consecutive quarters as reported 
quarterly on the firm's FR Y-9Cs, if the firm has not filed an FR Y-9C 
for each of the most recent four quarters. Reporting is required as of 
the first day of the quarter immediately following the quarter in which 
it meets this asset threshold, unless otherwise directed by the Board.
    Estimated Annual Reporting Hours: FR Y-14A: Summary, 67,412 hours; 
Macro Scenario, 2,356 hours; Operational Risk, 684 hours; Regulatory 
Capital Instruments, 798 hours; Business Plan Changes, 608 hours; 
Adjusted capital plan submission, 500 hours. FR Y-14Q: Retail, 2,280 
hours; Securities, 1,976 hours; Pre-provision net revenue (PPNR), 
108,072 hours; Wholesale, 22,952 hours; Trading, 92,448 hours; 
Regulatory Capital Transitions, 3,496 hours; Regulatory Capital 
Instruments, 8,208 hours; Operational risk, 7,600 hours; Mortgage 
Servicing Rights (MSR) Valuation, 1,288 hours; Supplemental, 608 hours; 
Retail Fair Value Option/Held for Sale (Retail FVO/HFS), 1,440 hours; 
Counterparty, 24,672 hours; and Balances, 2,432 hours. FR Y-14M: 1st 
lien mortgage, 222,912 hours; Home Equity, 185,760 hours; and Credit 
Card, 104,448 hours. FR Y-14 On-going automation revisions, 18,240 
hours; and One-time implementation, 2,400 hours. FR Y-14 Attestation 
On-going audit and review, 33,280 hours.
    Estimated Average Hours per Response: FR Y-14A: Summary, 887 hours; 
Macro Scenario, 31 hours; Operational Risk, 18 hours; Regulatory 
Capital Instruments, 21 hours; Business Plan Changes, 16 hours; 
Adjusted capital plan submission, 100 hours. FR Y-14Q: Retail, 15 
hours; Securities, 13 hours; PPNR, 711 hours; Wholesale, 151 hours; 
Trading, 1,926 hours; Regulatory Capital Transitions, 23 hours; 
Regulatory Capital Instruments, 54 hours; Operational risk, 50 hours; 
MSR Valuation, 23 hours; Supplemental, 4 hours; Retail FVO/HFS, 15 
hours; Counterparty, 514 hours; and Balances, 16 hours. FR Y-14M: 1st 
Lien Mortgage, 516 hours; Home Equity, 516 hours; and Credit Card, 512 
hours. FR Y-14 On-going automation revisions, 480 hours; and One-time 
implementation, 400 hours. FR Y-14 Attestation On-going audit and 
review, 2,560 hours.
    Number of Respondents: 38.
    Legal Authorization and Confidentiality: The FR Y-14 series of 
reports are authorized by section 165 of the Dodd-Frank Wall Street 
Reform and Consumer Protection Act (Dodd-Frank Act), which 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).
    As these data are collected as part of the supervisory process, 
they are subject to 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 be exempt from disclosure under exemption 4 of FOIA (5 
U.S.C. 552(b)(4)), if disclosure would likely have the effect of (1)

[[Page 59609]]

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 exemptions would be made on a case-by-
case basis.
    Abstract: The data collected through the FR Y-14A/Q/M reports 
provide the Board with the information and perspective needed to help 
ensure that large firms have strong, firm[hyphen]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 
annual Comprehensive Capital Analysis and Review (CCAR) exercise 
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 and 
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 these 
financial institutions. To fully evaluate the data submissions, the 
Board may conduct follow-up discussions with, or request responses to 
follow up questions from, respondents.
    The Capital Assessments and Stress Testing information collection 
consists of the FR Y-14A, Q, and M reports. 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.\1\ The quarterly FR Y-14Q collects granular 
data on various asset classes, including loans, securities, and trading 
assets, and pre-provision net revenue (PPNR) for the reporting period. 
The monthly FR Y-14M comprises three retail portfolio- and loan-level 
collections, and one detailed address matching collection to supplement 
two of the portfolio and loan-level collections.
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    \1\ BHCs 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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    Current Actions: On June 9, 2017, the Board published a notice in 
the Federal Register (82 FR 26793) requesting public comment for 60 
days on the proposal to extend, with revision, the FR Y-14A/Q/M 
reports. The Board proposed (1) revising and extending for three years 
the Capital Assessments and Stress Testing information collection (FR 
Y-14A/Q/M; OMB No. 7100-0341); (2) modifying the scope of the global 
market shock component of the Board's stress tests (global market 
shock) in a manner that would include certain U.S. intermediate holding 
companies (U.S. IHCs) of foreign banking organizations (FBOs); and (3) 
making other changes to the FR Y-14 reports.
    Specifically, the initial notice proposed amending the FR Y-14 to 
apply the global market shock to any domestic BHC or U.S. IHC that is 
subject to supervisory stress tests and that (1) has aggregate trading 
assets and liabilities of $50 billion or more, or aggregate trading 
assets and liabilities equal to 10 percent or more of total 
consolidated assets, and (2) is not a ``large and noncomplex firm'' 
under the Board's capital plan rule.\2\ As a result of the proposed 
change, based on data as of June 30, 2017, six U.S. IHCs would become 
subject to the global market shock, and the six domestic bank holding 
companies that meet the current materiality threshold would remain 
subject to the exercise under the proposed threshold.\3\
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    \2\ A large and noncomplex firm is defined under the capital 
plan rule as a firm that has average total consolidated assets of at 
least $50 billion but less than $250 billion, has average total 
nonbank assets of less than $75 billion, and is not identified as 
global systemically important bank holding company (GSIB) under the 
Board's rules. See 12 CFR 225.8(d)(9).
    \3\ The firms include the five firms noted in the initial notice 
(Credit Suisse Holdings (USA), Inc., Barclays US LLC, DB USA 
Corporation, HSBC North America Holdings Inc., and UBS Americas 
Holdings LLC) and RBC USA HoldCo Corporation, which has since met 
the threshold.
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    The proposed revisions to the FR Y-14M consisted of adding two 
items related to subsidiary identification and balance amounts, which 
facilitate use of these data by the Office of the Comptroller of the 
Currency (OCC). The addition of these items would also result in the 
removal of an existing item that identifies loans where the reported 
balance is the cycle-ending balance. A limited number of other changes 
to the FR Y-14 were proposed. In connection with these proposed 
changes, two schedules on the FR Y-14A would be removed from the 
collection. The revisions were proposed to be effective with the 
reports with data as of September 30, 2017, or December 31, 2017.
    These data are, or would be, used to assess the capital adequacy of 
BHCs and U.S. IHCs using forward-looking projections of revenue and 
losses to support supervisory stress test models and continuous 
monitoring efforts, as well as to inform the Board's operational 
decision-making as it continues to implement the Dodd-Frank Act.
    The comment period for this notice expired on August 8, 2017. The 
Board received eight comment letters addressing the proposed changes: 
Three from industry groups (The Financial Services Roundtable, The 
Clearing House, The Institute of International Bankers), and five from 
U.S. IHCs that file the FR Y-14 reports. Most comment letters focused 
on the proposed modifications to the global market shock. Commenters 
requested that the Board reconsider applying the global market shock to 
U.S. IHCs at this time. In lieu of the proposed threshold, commenters 
recommended a number of alternative approaches to achieve what they 
indicated would be a more appropriate application of the global market 
shock, such as further tailoring the threshold based on risk, size, or 
complexity. Commenters recommended that if the Board were to adopt the 
modifications to the global market shock, the implementation timeline 
should be delayed and provide for a gradual phase-in of both the global 
market shock and associated FR Y-14 reporting requirements, including 
for BHCs or U.S. IHCs that subsequently cross the thresholds for 
application of the GMS in future quarters.
    Two commenters also addressed the proposed changes to the FR Y-14 
information collection. Those commenters expressed support for many of 
the clarifying and burden reducing changes, but posed clarifying 
questions on the proposed instructions, forms, or reporting 
requirements for those items. Commenters offered alternatives to or 
suggestions for modifying or clarifying certain proposed changes, 
particularly surrounding the proposed modifications to the FR Y-14Q, 
Schedule H (Wholesale) and Schedule L (Counterparty), and recommended 
that the Board delay the effective date of several of the proposed 
modifications. Both commenters requested the elimination of additional 
FR Y-14 schedules or sub-schedules.
    The Board also received comments outside of the scope of this 
proposal regarding (1) historical resubmission of the FR Y-14Q, 
Schedule A.2 (Retail--U.S. Auto), (2) timing of release and

[[Page 59610]]

content of technical instructions, (3) the Q&A (previously known as the 
FAQ) process, (4) the FR Y-14 attestation requirement, and (5) the 
removal of additional schedules or sub-schedules.
    The previous annual burden for the FR Y-14A/Q/M was estimated to be 
858,138 hours and, with the changes in this final notice, is estimated 
to increase by 58,732 hours for 916,870 aggregate burden hours. The 
modifications to the scope of the global market shock are estimated to 
increase the annual reporting burden by approximately 61,000 hours in 
the aggregate. All of the increase in burden due to the modification of 
the global market shock is attributable to the six U.S. IHCs that would 
become subject to the global market shock submitting the FR Y-14 
trading and counterparty schedules on a quarterly basis. This includes 
the addition of one-time implementation burden associated with the 
filing of these schedules by U.S. IHCs in response to comment. 
Excluding the proposed modifications to the global market shock, the 
further changes would result in an overall net decrease of 2,084 annual 
reporting hours.
    The following section includes a detailed discussion of aspects of 
the proposed FR Y-14 collection for which the Board received 
substantive comments and an evaluation of, and responses to the 
comments received. Where appropriate, responses to these comments and 
technical matters are also addressed in the attached final FR Y-14A/Q/M 
reporting forms and instructions.

Proposed Revisions to the FR Y-14A/Q/M

Proposed Global Market Shock Modifications

    The global market shock currently applies to a firm with a four 
quarter average of total consolidated assets of $500 billion or more. 
The proposal would have modified the definition of a firm with 
``significant trading activity'' for purposes of determining 
applicability of the trading and counterparty components of the 
supervisory and company-run stress tests (``global market shock'') and 
associated regulatory reports. As noted, the proposal would have 
revised the definition of ``significant trading activity'' to include a 
firm that (1) has aggregate trading assets and liabilities of $50 
billion or more, or aggregate trading assets and liabilities equal to 
10 percent or more of total consolidated assets, and (2) is not a 
``large and noncomplex firm'' under the Board's capital plan rule. The 
proposed changes were designed to better align the threshold with the 
risk profile of firms subject to the stress test rules.
    Commenters recommended various modifications to the proposed 
threshold. For instance, commenters recommended that the Board adopt a 
threshold based on the size, risk profile, or systemic importance of 
trading activities at the covered companies. Commenters noted that the 
modified threshold would scope in firms that have materially smaller 
trading activities and smaller systemic footprints than the firms 
currently subject to the global market shock. Some commenters noted 
that applying the global market shock to additional firms, and thereby 
increasing capital requirements for these firms, could disincentivize 
these firms to invest in their U.S. lending and securities businesses.
    The global market shock is a key element of the Dodd-Frank Act 
stress tests. The Dodd-Frank Act requires the Board to conduct annual 
analyses of whether bank holding companies with total consolidated 
assets of $50 billion or more have the capital necessary to absorb 
losses as a result of adverse economic conditions and to direct those 
firms to conduct stress tests under baseline, adverse, and severely 
adverse conditions. The Board's regulations provide that the Board will 
issue scenarios on an annual basis, and indicates that firms with 
``significant trading activity'' (as identified in the Capital 
Assessments and Stress Testing report (FR Y-14)) may be required to 
include a trading and counterparty component in its stress test.
    The Board's Policy Statement on Scenario Design describes how the 
Board develops the supervisory scenarios, including the global market 
shock, and why the global market shock is important for firms with 
significant trading activity. As described in the Policy Statement, the 
macroeconomic severely adverse scenario is designed to reflect 
conditions that characterize post-war U.S. recessions, and does not 
capture the effects of a sudden market dislocation. The pattern of a 
financial crisis, characterized by a short period of large declines in 
asset prices, increased volatility, and reduced liquidity of higher-
risk assets is a familiar and plausible risk to capital. To the extent 
a firm's trading activity is sufficiently large, or represents a 
sufficiently large percentage of the firm's assets, the trading shock 
is necessary to adequately evaluate whether the firm has capital 
necessary to absorb losses and withstand stressful conditions.
    The proposed measure was intended to provide a simple measure of 
the significance of a firm's trading activity to its operations. The 
proposed threshold would have represented a level of trading exposure 
that would be material to the capital of the firms subject to the 
global market shock. For example, unlike most banking book activities, 
losses stemming from trading activity potentially could be larger than 
the total size of on-balance sheet trading assets, for example, for 
derivatives exposures.
    As noted by commenters, the modified threshold would include firms 
with smaller trading activities than the firms currently included by 
the $500 billion in total consolidated assets threshold. However, the 
proposed revisions were designed to capture the materiality of a firm's 
trading activities to its operations, as well as the absolute size of a 
firm's trading activities. While the application of the global market 
shock may require a higher level of capital to meet post-stress 
regulatory minimums, this capital would be related to the losses 
arising from the firm's trading activities under stress. As such, the 
application of the global market shock would help to ensure that when 
the U.S. IHCs look to expand their U.S. lending and securities 
businesses, the firms are holding capital commensurate with the market 
risk associated with these exposures and activities.
    In addition, commenters argued that the global market shock should 
be modified as applied to U.S. IHCs. For instance, commenters 
recommended that the Board modify the definition of ``trading 
activity'' to exclude hedging positions booked outside of the United 
States. Another commenter argued that U.S. IHCs have less flexibility 
to respond to a negative outcome in CCAR as many IHCs have little or no 
planned capital distributions to reduce in the limited adjustment to 
planned capital actions.
    As noted, the proposal would have applied the same definition of 
significant trading activity standard to U.S. IHCs and U.S. BHCs. The 
stress testing regime is designed to measure the ability of the U.S. 
IHC to maintain operations during times of stress. In stressful 
circumstances, each U.S. IHC is expected to continue operations based 
on its own capital position, without relying on hedges overseas. 
Additionally, to the extent that a firm is unable to maintain capital 
levels above all minimum capital requirements even when it has little 
or no capital distributions, it should consider seeking a capital 
infusion.

[[Page 59611]]

    Commenters also provided views on the measurement of trading 
activities. For instance, commenters recommended that the Board take 
into account the risks and purposes of trading activities, such as 
excluding certain types of assets like U.S. Treasuries.
    Adopting a significant trading activity threshold that excluded 
certain types of trading assets, such as U.S. Treasuries, could be 
inconsistent with the purposes of the global market shock. The global 
market shock estimates projected profit and losses associated with 
repricing trading exposures based on a large instantaneous shock to 
risk factors. The resulting impact to capital is a reflection of market 
risk, not credit risk, and U.S. Treasuries could generate market 
losses, such as through changes to interest rates. In addition, all 
else equal, a firm with safer trading activities will have smaller 
losses in the global market shock than a firm that engages in riskier 
trading activities.
    For these reasons, the Board is finalizing the same definition of 
global market shock threshold as was proposed. The global market shock 
is applicable to any firm subject to the supervisory stress test that 
(1) has aggregate trading assets and liabilities of $50 billion or 
more, or aggregate trading assets and liabilities equal to 10 percent 
or more of total consolidated assets, and (2) is not a ``large and 
noncomplex firm'' under the Board's capital plan rule.
    In addition to modifications to the threshold itself, commenters 
noted that tailoring the reporting collection would allow the Board to 
estimate the losses associated with the global market shock while 
minimizing reporting burden on firms with smaller and less complex 
trading activity. In this regard, commenters recommended that the Board 
adopt an additional threshold for firms with smaller or less material 
trading exposures where only a subset of FR Y-14Q, Schedule F (Trading) 
data collection would apply. Alternatively, commenters recommended 
setting materiality thresholds for individual lines or sub-schedules on 
the trading schedule.
    Notably, the proposal adopted a threshold that was significantly 
higher than the materiality threshold for other FR Y-14 schedules, 
generally $5 billion or 5 percent of tier 1 capital for firms that are 
not large and noncomplex. The higher materiality threshold in the 
proposal reflected the Board's intention to apply the global market 
shock only to firms with significant trading activities that pose a 
potential risk to capital. Additionally, by excluding noncomplex firms 
from the global market shock, the proposal did tailor the application 
to only those firms that are larger and more complex.
    Introducing additional materiality criteria would create additional 
complexity in reporting thresholds and potentially require different 
scenarios or models to estimate trading losses. If a firm does not have 
exposure to particular risk factors, it can report a zero for that item 
on the trading schedule. However, if a firm does have sensitivity to 
that risk factor it would be inappropriate not to estimate the 
resulting profit and loss stemming from that exposure in the global 
market shock. As such, the final rule does not introduce an additional 
materiality threshold with tailored reporting requirements.
    Commenters also recommended that, as an alternative form of 
tailoring, the Board could revise the FR Y-14Q Schedule F and L 
(Trading and Counterparty collections) to require smaller firms to file 
the trading schedule less frequently, such as one time a year as of the 
date of the supervisory stress test. Commenters noted that this would 
reduce the reporting burden associated with participating in the global 
market shock for firms with smaller trading operations.
    The frequency of the collection of trading data is consistent with 
other FR Y-14 schedules and necessary for running of the stress tests. 
For instance, the Board collects data on credit cards and mortgages 
monthly and data on securities, other loans, and revenues quarterly. 
Trading exposures can evolve rapidly, especially relative to these 
banking book assets. Firms with material trading exposures produce 
reports and run internal stress tests far more frequently than once a 
quarter, usually at least weekly. As such, the firms subject to the 
global market shock should be able to produce information on their 
trading exposures once a quarter, allowing the Board to analyze the 
risks of their trading book and the evolution of those risks over the 
year. Further, collecting a time series of these data at least 
quarterly is important to the stress test to allow the Board to follow 
trends and examine the volatility of each respective firm's data. 
Therefore, the frequency of reporting the FR Y-14 Trading and 
Counterparty schedules is being finalized without further modification.
    Commenters also requested additional support for the proposed 
threshold, notably the impact on capital from the proposal. Based on 
publically available data from the stress test exercises from 2012 
through 2017, on average, each global market shock firm experienced 
losses under the severely adverse stress scenarios equivalent to 4.8 
percent of trading exposure on the as of date of the supervisory stress 
test. As of June 30, 2017, 4.8 percent of trading exposure would be 
equivalent to about 14.3 percent of tier 1 capital, on average, for the 
new participants in the global market shock.
    Ultimately, the impact on capital under the proposal would be a 
function of the trading exposures of each covered firm. Notably, many 
commenters indicated that their trading exposures were significantly 
less risky than the trading exposures of the firms that currently 
participate in the global market shock, which could make estimating the 
impact of the proposal based on those exposures unrepresentative. 
Additionally, since 2014, disclosed trading losses have also included 
the impact of the large counterparty default scenario component, which 
is not a part of this proposal. As such, this impact analysis may 
overstate the impact of the proposal on a firm's capital.
    In addition to the suggestion for further tailoring the global 
market shock requirement, commenters expressed concerns regarding 
transparency and the manner of notification surrounding the proposed 
changes to the global market shock threshold. Specifically, commenters 
stated that given the perceived significance of the changes and 
aforementioned impact to regulatory capital, the modifications should 
not have been proposed as a modification to the FR Y-14 information 
collection. As previously noted, the stress test rules indicate that 
the Board will specify the definition of significant trading activity 
in the FR Y-14.\4\ Moreover, the Board invited public comment on the 
proposed changes. For example, firms had the opportunity to comment for 
sixty days, Federal Reserve staff met with commenters to discuss their 
comments, and the Board

[[Page 59612]]

considered and is responding to these comments.\5\
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    \4\ See 12 CFR 252.54(b)(2)(i). The Board's stress test rules 
require companies to submit data necessary for the Board to conduct 
a supervisory stress test. See 12 CFR 252.45(a)-(b). In the case of 
companies with significant trading activities, such data includes 
data necessary for the Federal Reserve to derive pro forma estimates 
of losses and revenue related to the global market shock. In 
addition, the capital plan rule (12 CFR 225.8), which applies to 
U.S. IHCs pursuant to 12 CFR 252.153(e)(2)(ii), requires companies 
to provide the Federal Reserve with information regarding the amount 
and risk characteristics their on- and off-balance sheet exposures, 
including exposures within the company's trading account, other 
trading-related exposures (such as counterparty-credit risk 
exposures) or other items sensitive to changes in market factors, 
including, as appropriate, information about the sensitivity of 
positions to changes in market rates and prices. 12 CFR 
225.8(e)(3)(iii).
    \5\ As noted, companies subject to the Board's stress test rules 
are required, pursuant to these rules, to submit data necessary for 
the Board to conduct the stress tests, and companies subject to the 
capital plan rule are required, pursuant to the capital plan rule, 
to provide the Federal Reserve with information regarding their 
trading exposures. See 12 CFR 225.8(e)(3)(iii), and 12 CFR 
252.45(a)-(b). This information, when applied through the global 
market shock, facilitates the implementation of the Board's 
supervisory stress tests under the stress test rules and the Board's 
review of capital plans under the capital plan rule.
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    One commenter recommended that in the context of firms newly 
subject to the global market shock, the Board should clarify the 
treatment of losses on the same trading positions between the 
instantaneous shock and the Pre-Position Net Revenue (PPNR) nine 
quarter projections as outlined in the CCAR instructions. The commenter 
highlighted the difficulty in identifying identical positions when the 
as-of date for the global market shock is different from that of the 
other nine-quarter projections, including PPNR.
    The global market shock is generally intended to be an add-on 
component of the stress scenarios that is independent of a firm's PPNR 
projection process, with the exceptions for identical positions noted 
in the CCAR instructions. Per the CCAR 2017 instructions, firms have 
the option, but are not required, to demonstrate that identical 
positions are stressed under both the global market shock and 
supervisory macroeconomic scenario and, if so, may assume combined 
losses from such positions do not exceed losses resulting from the 
higher of losses from either the global market shock or macroeconomic 
scenario. For example, the Board adjusts PPNR to account for the global 
market shock by using a median regression approach for firms subject to 
the global market shock to lessen the influence of extreme movements in 
trading revenue, and, thereby, to avoid double-counting of trading 
losses that are captured under the global market shock. Firms should 
refer to the CCAR instructions and the Supervisory Stress Test 
Methodology and Results document for that year's exercise for guidance 
regarding the treatment of identical positions. For firms that choose 
to implement their own version of a market shock, firms have 
flexibility regarding how to effectively identify and capture their key 
risks, including the interaction of the BHC stress scenario market 
shock and PPNR projections; therefore, the Board does not intend to 
provide additional information regarding the double counting of losses 
in the described circumstance.
    If the Board did adopt the proposed changes modifying the 
applicability criteria for the global market shock, commenters 
recommended the implementation feature a phase-in of the application of 
global market shock to new participants and allow for additional time 
for firms newly subject to the global market shock to submit the FR Y-
14 trading and counterparty schedules. Commenters stated that the 
compressed timeframe between finalization and the effective date would 
create challenges accounting for the impact of the global market shock 
on regulatory capital requirements, and to prepare systems, 
infrastructure, and processes to file the associated FR Y-14 data.
    Suggestions from commenters for transitioning the initial 
application of the global market shock to new participants included a 
confidential ``dry-run'' for the 2018 stress test and capital plan 
cycle and delaying full application of the global market shock 
component and public disclosure until the 2019 cycle. For the 
associated FR Y-14 data submissions, commenters requested additional 
time to submit the data for the reports with data as of September 30, 
2017 and December 31, 2017. Finally, commenters requested that any 
transitions for new participants apply for any additional firms that 
become subject to the global market shock going forward.
    Although, as noted, the Board is adopting the proposed global 
market shock threshold without modification, the Board recognizes the 
challenges associated with building the systems necessary to report the 
data in the trading schedule. Regarding the application of the global 
market shock component, under the revised FR Y-14 report, the Board is 
delaying the application of the global market shock to firms that would 
become newly subject to it until the 2019 DFAST/CCAR exercise. However, 
assessing potential losses associated with trading books, private 
equity positions, and counterparty exposures for firms with significant 
trading activity is a critical component of stress testing and capital 
planning. Therefore, for the 2018 DFAST exercise, pursuant to the 
stress test rules, the materiality of trading exposures and 
counterparty positions to U.S. IHCs may warrant applying an additional 
component to firms that meet such criteria. The components would serve 
as an add-on to the economic conditions and financial market 
environment specified in the adverse and severely adverse scenarios. 
The Board will notify any affected firms in writing of the additional 
components or the additional scenarios to be included.\6\
---------------------------------------------------------------------------

    \6\ See 12 CFR 252.54(b)(4)(i).
---------------------------------------------------------------------------

    In consideration of the recommendations outlined by commenters 
regarding the submission of FR Y-14Q, Schedule F (Trading) and Schedule 
L (Counterparty), the Board agrees that a delay in the initial data 
submission date would facilitate improved data quality. Although 
commenters indicated that submitting data as of September 30, 2017, 
would be feasible with a delay in the submission date, firms joining 
the reporting panel will not be required to report the FR Y-14 trading 
and counterparty schedules until the December 31, 2017 as-of date. 
Given the alternative approach to inclusion of trading and counterparty 
activities for these firms for stress testing in 2018 the Board will 
provide firms with additional time to submit the FR Y-14 data with the 
objective of allowing for additional opportunities for submitting test 
files and achieving higher data quality. Specifically, the FR Y-14 
trading and counterparty for the reports as of Q4 2017 will be due May 
1, 2018. In addition, there will also be a delayed submission date for 
the reports as of Q1 2018, which will be due June 30, 2018. For the 
reports Q2 2018 forward, the data will be due as outlined in the FR Y-
14 instructions.
    The Board understands the need for additional time for the initial 
application of the modified global market shock threshold. If firms 
that were already subject to stress testing and FR Y-14 reporting and 
subsequently cross the global market shock threshold going forward, 
firms would presumably have been below but close to the threshold for a 
considerable period of time and would have been aware of the 
application criteria. This should already provide an adequate amount of 
time to anticipate meeting and preparing to comply with requirements. 
In addition, firms already have a phase-in period related to the 
establishment of a U.S. IHC and application of the capital plan rule. 
Therefore, for firms that cross the global market shock threshold in 
the future, the Board does not anticipate providing any further delay 
in applicability.
    In the context of the recommendation for a transition period for 
applicability of the modified global market shock threshold, one 
commenter expressed that the resources required for actual 
implementation of the global market shock would be multiples of the 
estimated ongoing resources requirements for the schedule,

[[Page 59613]]

estimated at 9,736 hours per firm. The Board continues to invite 
comments on the burden estimates and strives to accurately reflect the 
effort to compile and submit data on the FR Y-14 reports. The commenter 
provided no further information on how or why the Board should adjust 
the burden estimates and the Board received no other comments on the 
burden estimates as related to the global market shock threshold. To 
capture the additional effort necessary to begin reporting the FR Y-14 
trading and counterparty schedules, the Board will adjust the 
implementation burden to recognize the upfront burden for the six firms 
newly subject to the global market shock and, specifically associated 
FR Y-14 reporting requirements, to begin filing the schedules.
    Commenters also noted that the proposal did not address whether 
U.S. IHCs that become subject to the global market shock would also 
become subject to the large counterparty default scenario. 
Specifically, commenters requested that if the Board's intention is to 
apply the large counterparty default scenario component to the firms 
covered under the modified global market shock threshold, the Board 
should conduct a quantitative impact study and/or allow for public 
comment. If the Board does apply the large counterparty default 
scenario component to firms newly subject to global market shock, 
commenters requested that it be applied only after implementation of 
global market shock or with a phased-in approach similar to that 
recommended for global market shock.
    The large counterparty default scenario component is an add-on 
component that requires firms with substantial derivatives or 
securities financing transaction activities to incorporate a scenario 
component into their supervisory adverse and severely adverse stress 
scenarios. In connection with the large counterparty default scenario 
component, subject firms are required to estimate and report losses and 
related effects on capital associated with the instantaneous and 
unexpected default of the counterparty that would generate the largest 
losses across their derivatives and securities financing activities, 
including securities lending and repurchase or reverse repurchase 
agreement activities. As indicated in the stress test rules, the Board 
will notify the firm in writing no later than December 31 of the 
preceding calendar year of its intention to require the firm to include 
one or more additional components in its stress test. The covered firm 
may request reconsideration with an explanation for why reconsideration 
should be granted within 14 calendar days of receipt of the 
notification. The Board will continue to use this existing process to 
apply the large counterparty default scenario component.

Proposed Revisions to the FR Y-14A

    The proposed revisions to the FR Y-14A consisted of modifying 
reported items and instructions by clarifying the intended reporting of 
existing items or aligning them with standards and methodology, adding 
an item critical to stress test and supervisory modeling, and reducing 
burden through the elimination of certain schedules.
    Specifically, the Board proposed modifying Summary--Securities 
(Schedule A) sub-schedules A.3.a and A.3.c to clarify the reporting of 
``Credit Loss portion'' and ``Non-Credit Loss Portion'' information, 
adding an item to the Summary--Counterparty sub-schedule (Schedule A.5) 
to capture Funding Valuation Adjustment (FVA), and eliminating the FR 
Y-14A, Schedule D (Regulatory Capital Transitions) and Schedule G 
(Retail Repurchase Exposures). Commenters were supportive of these 
modifications and the final FR Y-14 requirements implement the 
modifications as proposed effective for the reports with data as of 
December 31, 2017.
    Comments and clarifying changes were received on the proposed 
addition of a sub-schedule to the FR Y-14A, Schedule F (Business Plan 
Changes), indirectly related to the proposed removal of Schedule G 
(Retail Repurchase Exposures), and the proposed elimination of the 
concept of extraordinary items. In some cases, these comments resulted 
in modifications to the proposed changes, including delays in the 
effective date for certain changes to December 31, 2017, or March 31, 
2018. The effective dates and responses to comments are detailed below.
FR Y-14A, Schedule A (Summary)
    One commenter did not comment on the proposal to capture FVA on the 
FR Y-14A and FR Y-14Q reports, but recommended clarifications to the FR 
Y-14A instructions to allow for consistent reporting of FVA and related 
activities. First, the commenter recommended that the Board update the 
instructions to indicate that firms should report FVA gains and losses 
for all supervisory and BHC scenarios. Second, the commenter 
recommended that the Board update the instructions to indicate that 
gains and losses on FVA hedges should be reported on Schedule A.4 
(Summary--Trading). The Board has reviewed the suggested 
clarifications, however additional analysis is needed surrounding the 
impact on reporting before updating the instructions. The Board will 
continue to consider the clarifications and will propose changes for 
notice and comment or provide additional guidance in the future if 
appropriate.
FR Y-14A, Schedule F (Business Plan Changes)
Schedule F.2 (Pro Forma Balance Sheet M&A)
    Two commenters requested clarification on what information 
surrounding pro forma balance sheet mergers and acquisitions the 
proposed sub-schedule would collect, and one commenter requested the 
Board delay the implementation of this new sub-schedule, which was 
originally proposed to be effective as of December 31, 2017. 
Specifically, one commenter requested clarification as to whether the 
``Pro Forma Balance Sheet M&A'' sub-schedule of the FR Y-14A, Schedule 
F (Business Plan Changes) would require respondents to report 
projections. The same commenter also requested that the Board provide a 
minimum of six months to implement necessary changes to accommodate the 
proposed sub-schedule.
    In the event that a covered company intends to undertake a merger 
or acquisition, then the ``Pro Forma Balance Sheet M&A'' worksheet will 
require projections, as does the current FR Y-14A, Schedule F.1 (BPC). 
The pro forma information required is similar to what a firm must 
submit in its application for regulatory approval for the merger or 
acquisition, and the items collected on the sub-schedule must sum to 
the post-acquisition fair value of the portfolio as reported on the FR 
Y-14A, Schedule F.1 (BPC). The projection of these additional items 
should not pose a significant additional burden for firms that are 
already projecting a merger or acquisition for the purposes of 
reporting the FR Y-14A Schedule F, Balance Sheet worksheet. This 
information should be available to the firms that would be required to 
complete the schedule, is similarly structured to information reported 
elsewhere, and would provide valuable inputs to the DFAST and CCAR 
exercises, therefore the Board will not delay the effective date of 
this change. The final FR Y-14A report implements sub-schedule F.2 (Pro 
Forma Balance Sheet M&A) as proposed, effective December 31, 2017.
    Another commenter requested that the Board clarify if divestitures 
would

[[Page 59614]]

also be included in the proposed sub-schedule F.2. The Board confirms 
that divestitures would not be included in sub-schedule F.2. The 
commenter also requested that the Board clarify how a firm would report 
values associated with M&A activity in the structure of the FR Y-14A, 
Balance Sheet as proposed. The Board confirms that a firm would report 
only the post-acquisition fair value of an asset or liability onboarded 
in a merger or acquisition on its projected balance sheet. The ``Pro 
Forma Balance Sheet M&A'' sub-schedule allows firms to report the pre-
acquisition book value, purchase accounting adjustments, and fair value 
adjustments that resulted in the post-acquisition fair value reported 
on the current FR Y-14A, Balance Sheet sub-schedule.
FR Y-14A, Schedule G (Retail Repurchase Exposures)
    One commenter requested that the Board clarify if the proposal 
eliminates the FR Y-14A, Schedule G (Retail Repurchase Exposures) 
completely or if the collection of these data would move back to a sub-
schedule of the FR Y-14A, Schedule A (Summary) where it was 
historically collected. The Board confirms that the collection of data 
under the FR Y-14A, Schedule G would be removed and the FR Y-14 would 
no longer collect these data. Having received no further comments on 
the removal of the FR Y-14A, Schedule G, the final FR Y-14 eliminates 
the schedule as proposed, effective with the reports with data as of 
December 31, 2017.
    One commenter asked that the Board eliminate the FR Y-14A, Schedule 
A.2.b (Retail Repurchase Projections). The commenter noted that this 
sub-schedule collects similar information to the FR Y-14A, Schedule G 
(Retail Repurchase Exposures) indicating the rationale should also 
apply for eliminating this annual collection. In addition, commenters 
cited that large and noncomplex firms are no longer required to 
complete the FR Y-14A, Schedule A.2.b (Retail Repurchase Exposures).
    The Board agrees that some of the same reasons for eliminating the 
FR Y-14A, Schedule G (Retail Repurchase Exposures) apply to the 
projection data collection, however notes there are additional, ongoing 
uses of these data for which the Board can find alternative inputs. 
However, given the schedule's connection to other components of the FR 
Y-14A, Schedule A (Summary) and current reliance on these data for the 
CCAR and DFAST exercises, firms will still report the sub-schedule 
through the reports with data as of December 31, 2017. In response to 
comment and in an effort to further reduce burden, the final FR Y-14 
eliminates the FR Y-14A, Schedule A.2.b (Retail Repurchase Projections) 
with the reports with data as-of March 31, 2018.
Proposed Elimination of Extraordinary Items
    Under the proposal, references to the term ``extraordinary items'' 
would be eliminated from the FR Y-14A, Schedule A.1.a (Income 
Statement) and the FR Y-14Q, Schedule H (Wholesale) forms and 
instructions, and where appropriate, replaced with ``discontinued 
operations'' as a result of an amendment (ASU No. 2015-01) to the FASB 
Accounting Standards Codification, Income Statement--Extraordinary and 
Unusual Items (FASB Subtopic 225-30) effective with the reports with 
data as of September 30, 2017.
    One commenter requested that the Board clarify if firms should 
aggregate all categories of Discontinued Operations (revenue, expenses, 
and provisions) into the proposed field, Discontinued Operations, on 
the FR Y-14A, Schedule A.1.a (Income Statement) and consequently 
exclude all of those categories from other line items in the Income 
Statement sub-schedule. The Board clarifies that the intended reporting 
of line item 131 in the Income Statement sub-schedule (historically, 
``Extraordinary items and other adjustments, net of income taxes'' and 
now proposed, ``Discontinued operations, net of applicable income 
taxes'') does not change with the proposed modifications, rather the 
line item name has been updated to be in-line with the FR Y-9C, 
Schedule HI. The definition for this line item references the FR Y-9C, 
Schedule HI, item 11 and should still be reported as such under the 
proposed changes.
    Another commenter requested that the Board delay the removal and 
replacement of the extraordinary items concept on the FR Y-14Q, 
Schedule H (Wholesale) until at least March 31, 2018 to allow adequate 
time for the firms to source and validate the data. In response, the 
Board is delaying the effective date of these changes for both the FR 
Y-14A, Schedule A.1.a (Income Statement) and the FR Y-14Q, Schedule H 
(Wholesale) to be effective as of March 31, 2018 (i.e., for reports as 
of June 30, 2018 for FR Y-14A, Schedule A).

Proposed Revisions to the FRY-14Q

    The proposed revisions to the FR Y-14Q consisted of updating 
certain instructions and changing the reporting structure and 
requirements of existing items to further align reported items with 
methodology, standards, and treatment on other regulatory reports or 
within the FR Y-14 reports, and to enhance supervisory modeling. The 
proposal would also have added new items and make a number of changes 
to the FR Y-14Q, Schedule L (Counterparty). Two commenters addressed 
the proposed changes to the FR Y-14Q schedules.
    Commenters were generally supportive of and voiced no concerns 
regarding the modifications to the FR Y-14Q Schedule A (Retail), 
Schedule C (Regulatory Capital Instruments), Schedule J (FVO/HFS), and 
Schedule M (Balances). These changes are narrow in scope or clarifying 
in nature, and are necessary to enhance supervisory information for the 
CCAR and DFAST exercises. Therefore, the Board will implement these 
changes with the reports with data as of December 31, 2017. There were 
no substantive comments regarding the proposed change to the FR Y-14Q, 
Schedule F (Trading); however, in response to comments, the Board will 
extend the effective date of this change until March 31, 2018. Any 
clarifying questions have been addressed in the detailed sections.
    Regarding the remaining changes to the FR Y-14Q, Schedule H 
(Wholesale) and Schedule L (Counterparty), certain modifications to the 
proposed changes will be made in consideration of the comments 
received, including delays in the effective date for certain changes to 
December 31, 2017 or March 31, 2018. The effective dates and responses 
to comments are detailed below.
FR Y-14Q, Schedule C (Regulatory Capital Instruments)
    Under the proposal, the Board would enhance the instructions for 
the ``Comments'' field in all three sub-schedules of the FR Y-14Q, 
Schedule C (Regulatory Capital Instruments) to specify that firms 
should indicate within the comments how the amounts reported on these 
sub-schedules tie back to amounts approved in the firm's capital plan. 
One commenter requested that the Board clarify if the ``Comments'' 
field in the three sub-schedules should reflect summary balance 
variances to the firm's capital plan by Instrument Type since the 
capital plans submitted by firms do not reflect CUSIP-level detail. The 
Board confirms that firms' comments in the FR Y-14Q, Schedule C should 
reflect summary balance variances by Instrument Type. Furthermore, if 
the same comment is relevant across multiple instruments in

[[Page 59615]]

the firm's submission, comments should repeat.
    Also under the proposal, additional types of instruments would be 
added to be reported in Column C (Instrument Type) on the issuance and 
redemption sub-schedules to capture issuances and redemptions of 
capital instruments related to employee stock compensation (e.g., de 
novo common stock or treasury stock), and changes in an IHC's APIC 
through the contribution of capital from a foreign parent or the 
remission of capital to a foreign parent.
    One commenter requested that the Board clarify if the firm should 
report the same CUSIP in multiple rows or add a character at the end of 
each CUSIP to uniquely identify each instrument. The Board confirms 
that the firm should report the same CUSIP across multiple rows, 
provided that a different instrument type is used for each recurrence 
of the respective CUSIP. The combination of the CUSIP and the 
Instrument Type will uniquely identify each record. If there are 
duplicate records with the same CUSIP and Instrument Type, a firm 
should append a differentiating feature on the end of the CUSIP (e.g., 
``v1'' and ``v2'', etc.) and specify in the comments column that these 
are in fact swaps on the same CUSIP.\7\ This guidance will be added to 
the instructions. Another comment asked for guidance regarding the 
intended reporting of Common Stock with relation to the three proposed 
instruments. The Board clarifies that firms should report the remaining 
amount of common stock after deducting the amount reported in the new 
instruments.
---------------------------------------------------------------------------

    \7\ See FR Y-14 FAQ ID Y140000259.
---------------------------------------------------------------------------

    Finally, a third comment requested clarification surrounding how a 
decrease in APIC should be treated if it resulted from an issuance of 
common stock from treasury stock. The Board clarifies that a decrease 
in APIC as a result of treasury stock being issued at a price lower 
than its cost basis (i.e., the accounting amount of the stock held on 
the firm's balance sheet) must not be captured in sub-schedule C.2 
(Issuances). Reductions in APIC on sub-schedule C.2 should reflect only 
instances in which an U.S. IHC remits capital to its foreign parent 
outside the context of payment on or redemption of an internal capital 
instrument. Sub-schedule C.2 does not capture decreases in APIC 
resulting from employee stock compensation-related drivers, nor does 
sub-schedule C.3 capture increases in APIC resulting from employee 
stock compensation-related drivers. The final instructions include 
these clarifications.
    The final FR Y-14 will be updated accordingly and the changes 
implemented with the reports with data as of December 31, 2017.
FR Y-14Q, Schedule F (Trading)
    One commenter asked that the Board confirm the formatting of the 
proposed vintage breakouts on the FR Y-14Q, Schedule F.14 (Securitized 
Products). The proposed draft instructions erroneously specified one of 
the vintage breakouts for the FR Y-14Q, Schedule F.14. The vintage 
breakouts should read as follows: ``>9Y'', ``>6Y and <= 9Y'', ``>3Y and 
<= 6Y'', ``<= 3Y'', and ``Unspecified Vintage''. The final form 
reflects the appropriate vintage breakouts. As noted above, having 
received no other comments, the final FR Y-14 will implement the 
revision as proposed effective with the reports with data as of March 
31, 2018.
FR Y-14Q, Schedule H (Wholesale)
    The Board proposed expanding the Disposition Flag (Schedule H.1 
(Corporate), item 98, and Schedule H.2 (CRE), item 61) and Credit 
Facility Type (Schedule H.1, (Corporate), item 20) to include an option 
for commitments to commit. Commenters requested that the Board clarify 
the expectations surrounding the reporting of the proposed Credit 
Facility Type field to ensure accurate reporting and expressed that 
reporting firms do not always consider ``commitment to commit'' as a 
separate facility type. Commenters also asserted that the concept of 
netting deferred fees of a commitment is not a GAAP or FR Y-9C concept. 
Commenters requested that the Board withdraw or defer both of these 
proposed changes to a later effective date.
    The final FR Y-14 includes the expansion of the Disposition Flag 
(Schedule H.1, Corporate, Item 98, and Schedule H.2, CRE, item 61) and 
Credit Facility Type (Schedule H.1, Corporate, Item 20) to include an 
option for commitment to commit. However, in response to comments, the 
Board is delaying the effective date of this change until the reports 
with data as of March 31, 2018. The Board clarifies that firms are 
already required to report commitments to commit on both the FR Y-14Q, 
Schedule H.1 (Corporate) and H.2 (CRE). This improved data is necessary 
to adequately capture risk and provide consistent treatment across the 
portfolio of firms. In the absence of a clear and explicit reporting 
requirement, there has been significant variation in how banks have 
reported these exposures, including some who have not reported them at 
all. As these facilities constitute material exposures for some banks, 
the improvements fill important gaps in our assessment of potential 
losses. The Board further clarifies that firms should report 
commitments to commit, as defined in the FR Y-9C, Schedule HC-L 
(Derivatives and Off-Balance Sheet Items), on the Wholesale schedules 
along with all corresponding data fields. Per the FR Y-14Q, Schedule 
H.1 (Corporate) and H.2 (CRE) instructions for Origination Date (H.1, 
item 18 and H.2, item 10), ``For commitments to commit which are not 
syndicated, report the date on which the BHC or IHC extended terms to 
the borrower.'' Therefore, commitments to commit should not have a 
future origination date.
    The Board intended the proposed change in the reporting of Utilized 
Exposure/Outstanding Balance (Schedule H.1, Corporate, item 25 and 
Schedule H.2, CRE, item 3) and Committed Exposure (Schedule H.1, 
Corporate, item 24 and Schedule H.2, CRE, item 5) items to clarify 
reporting. However, in light of comments and questions received, the 
Board is not adopting these proposed changes to the FR Y-14.
    The Board also proposed updating the instructions for the ASC 310-
30 item (Schedule H.1, Corporate, item 31 and Schedule H.2, CRE, item 
47) to be consistent with purchase credit impaired (PCI) accounting 
standards and terminology and modifying the Participation Flag field 
(Item 7) on Schedule H.2 (CRE) to be mandatory rather than optional.
    One commenter questioned how the proposed instructions would result 
in different reporting from the current requirements. The Board 
confirms that the change to the existing ASC 310-30 field is only meant 
to clarify reporting of PCIs to improve alignment with GAAP and may not 
represent a change in reporting based on a firm's prior interpretation 
of the instructions. The final FR Y-14 implements this change effective 
with the reports with data as of March 31, 2018.
    Regarding the change of the Participation Flag to mandatory, one 
commenter expressed that item 7 and item 59 (Participation Flag and 
Participation Interest, respectively) of the FR Y-14Q, Schedule H.2 
(CRE) should remain optional. Commenters cited that the SNC program 
status is monitored by agent banks, which are not required to notify 
participant banks of the status and therefore, the information is often 
not available and therefore not reported. Therefore, the commenter 
suggests, even if the field

[[Page 59616]]

becomes mandatory, it should only be mandatory for agent banks.
    As stated in the initial Federal Register notice, almost all 
reporting firms already choose to report the participation flag field. 
Therefore, this information does in fact appear to be readily available 
in most cases. The Board confirms that intent of the options in the 
Participation Flag field are, in conjunction with the SNC Internal 
Credit Facility ID and Participation Interest, intended to distinguish 
whether or not the credit facility is included in the SNC report. The 
change will be implemented as proposed, with a delay in the effective 
date until March 31, 2018.
FR Y-14Q, Schedule L (Counterparty)
    The Board proposed several changes to the FR Y-14Q, Schedule L 
(Counterparty). All of the changes were proposed to be effective with 
the September 30, 2017 report date. Primarily, commenters asked for 
additional time to incorporate these changes given the perceived 
material nature of several of the changes and inconsistencies or 
ambiguity identified in the proposed instructions and forms. Firms 
indicated that the Board would need to provide further guidance in 
order for respondents to report the various fields properly. Commenters 
also asked several clarifying questions regarding the proposed forms 
and instructions.
    The final FR Y-14 implements the proposed changes to the FR Y-14Q, 
Schedule L (Counterparty), but will delay the effective date until 
March 31, 2018, for all changes except for the collection of 
information related to additional or offline reserves, which will be 
collected with the reports with data as of December 31, 2017. This 
should allow reporting firms adequate time to incorporate the changes 
with the additional guidance needed to report the requested data 
properly. Furthermore, the final forms and instructions include a 
number of clarifications in line with the comments, as appropriate, to 
enhance guidance surrounding the intended reporting.
    One commenter noted that the FR Y-14Q, Schedule L.5 (Derivatives 
and Securities Financing Transactions (SFT) Profile) sub-schedules do 
not consistently address requirements for each scenario or distinguish 
on the report form for sub-schedule L.5.1 (Derivative and SFT 
information by counterparty legal entity and master netting agreement) 
where internal and external ratings of counterparties or different 
currencies should be reported, although subdivided reporting was 
proposed. To address this, the final FR Y-14 form for the L.5 sub-
schedules will include a column for severely adverse and adverse 
scenarios, and the form for sub-schedule L.5.1 will include columns for 
both internal and external ratings and currencies in line with the 
proposed instructions. The final XML technical instructions will 
further outline reporting structure.
    Several clarifications were requested regarding the ranking and 
definition of central clearing counterparties (CCPs), including what 
ranking methodology should be used to report on sub-schedule L.5.2 (SFT 
assets posted and received by counterparty legal entity and master 
netting agreement) and what definition should be used for CCPs. The 
Board confirms that CCPs refer to designated central clearing 
counterparties and will update the instructions to clarify that all G-7 
Sovereigns and CCPs should be reported in addition to the Top 25 
counterparties by Rank 1, 2, 3, 4 (including non G-7s Sovereigns). For 
counterparties reported on sub-schedule L.5.2 ranking methodologies 1 
and 2 apply. The final FR Y-14 form for the L.5 sub-schedules will 
include columns for rank methodology and rank so that firms may clearly 
report by distinguishing which counterparties are reported for each 
ranking methodology. The technical instructions will specify reporting 
structure details.
    Similarly, one commenter noted that the proposed instructions for 
sub-schedule L.5 did not specify a ranking methodology for the baseline 
and stressed scenarios. The Board clarifies that for unstressed (Non-
CCAR) quarters, firms should report all G-7 Sovereigns and CCPs plus 
Top 25 non G-7/Non CCP counterparties, ranked by SFT amount posted, SFT 
net current exposure, derivatives notional, and derivatives net current 
exposure. For the CCAR (stressed) quarter, firms should report all G-7 
Sovereigns and CCPs plus Top 25 non G-7/Non CCP counterparties, ranked 
by SFT amount posted, derivatives notional amount, SFT FR stressed net 
current exposure for each scenario, and derivatives FR stressed net 
current exposure for each scenario. The final instructions will be 
updated to be consistent with this reporting methodology.
    One commenter noted the proposed instructions indicate firms should 
report notional information and inquired whether respondents should 
report the notional amounts on the FR Y-14Q, Schedule L (Counterparty) 
net or gross. The Board confirms that respondents should report the 
gross amount and the instructions include this guidance. Total notional 
is the gross notional value of all derivative contracts on the 
reporting date. For contracts with variable notional principal amounts, 
the basis for reporting is the notional principal amounts at the time 
of reporting. The total should include the sum of notional values of 
all contracts with a positive market value and contracts with a 
negative market value.
    One commenter asked for clarification regarding the reporting of 
netting Agreement ID and Netting Set ID on the FR Y-14Q, Schedule L.5.1 
and noted that the form only included a column for Netting Set ID. The 
Board clarifies that firms should only report the Netting Set ID field 
for both SFTs and derivatives. The final instructions will be updated 
to reflect this treatment.
    The commenter also asked for clarification regarding the 
``consolidation of counterparties'' section of the general instructions 
for the FR Y-14Q, Schedule L. The Board will clarify these instructions 
to indicate that firms should report Sovereigns and CCPs at the entity 
level and non-Sovereigns and non-CCPs at the consolidated group level. 
For Sovereigns and CCPs, firms should report consolidated group/parent 
level name in the Counterparty Name field, the consolidated 
counterparty ID in Counterparty ID field, the counterparty entity ID in 
the Netting Set ID field, and the counterparty entity name in the Sub-
Netting Set ID field. The ranking described in this section of the 
general instructions should be based on the consolidated Sovereign or 
CCP and firms must report that rank for each entity. For non-Sovereigns 
and non-CCPs, firms should report NA in both the Netting Set ID and the 
Sub-Netting Set ID fields.
    Also regarding L.5.1, one commenter asked if certain fields 
(Agreement Type (CACNR529), Agreement Role (CACNR530), Netting Level 
(CACNR532), Legal Enforceability (CACNR534), Independent Amount (non 
CCP) or Initial Margin (CCP) (CACSR551), Excess Variation Margin (for 
CCPs) (CACSR553), Default Fund (for CCPs) (CACSR554) were to be 
reported for both derivatives and SFTs. As proposed, firms should 
report these fields for both derivatives and SFTs. The final 
instructions reflect allowable entries for these fields applicable to 
derivatives as well.
    One commenter indicated that some firms do not collect initial 
margin and default fund as part of SFT CCP reporting and that the 
proposed instructions did not specify if the firms need to exclude 
initial margin and default fund contributions from SFT

[[Page 59617]]

CCP data. The Board clarifies that initial margin and default fund 
contribution should only be reported where applicable to SFT CCP 
reporting.
    One commenter observed that 3 new columns were added to the 
instructions for the FR Y-14Q, Schedule L.5.4 (Derivative position 
detail), but were not included on the form. The commenter also asked if 
certain fields (total notional, new notional during the quarter, 
weighted average maturity, position MTM and total net collateral) are 
applicable to CCPs. The Board confirms that these fields are applicable 
to CCPs, for sub-schedules L.1.a through L.1.d. The instructions and 
forms will be updated accordingly.
    The proposed draft instructions asked firms to report Weighted 
Average Maturity. Commenters inquired whether, for trades with Optional 
Early Termination agreements (OETs) or Mandatory Early Termination 
agreements (METs), the maturity reporting should take into account 
early termination features and whether firms should report effective 
average maturity (e.g., to reflect amortizations or prepayments) or 
only legal maturity. The Board clarifies that firms should report the 
average of time to maturity in years for all positions associated with 
the reported amount in the item Gross CE, as weighted by the gross 
notional amount associated with a given position. For trades with 
Optional Early Termination (OET), the maturity reporting should not 
take into account such early termination features. For trades with 
Mandatory Early Termination (MET), however, the maturity reporting 
should take into account such early termination features.
    One commenter noted some inconsistencies in the instructions, and 
requested clarification to central counterparty reporting regarding the 
house exposures and client exposures. The Board has reviewed and 
addressed questions related to central counterparty reporting outside 
of this proposal. Firms should refer to the most up-to-date 
instructions are available on the Board's public website.

Proposed Revisions to the FR Y-14M

    The proposed revisions to the FR Y-14M consisted of adding a line 
item to collect the RSSD ID (the unique identifier assigned to 
institutions by the Board) of any chartered national bank that is a 
subsidiary of the BHC and that is associated with a loan or portfolio 
reported, and add a line item to collect the month-ending balance for 
credit card borrowers. Both items were proposed to be effective for 
reports as of September 30, 2017.
Schedules A, B, D (First Lien, Home Equity, and Credit Card)
    Regarding the addition of an item to collect the RSSD ID (the 
unique identifier assigned to institutions by the Board) one commenter 
presented questions regarding what RSSD ID should be reported and 
questioned the value of adding a field versus enhancing the existing 
``Entity Type'' field (fields 129, 207, and 115 of Schedules A, B, and 
D, respectively). The commenter requested that in light of the required 
data sourcing and coding changes, the Board delay the implementation of 
this item.
    The final FR Y-14 implements the collection of the RSSD ID for 
loans reported on the FR Y-14M Schedules A, B, and D, but in response 
to comment will delay the effective date until the reports with data as 
of March 31, 2018, and would make certain clarifications to the 
collection of these data. The Board continues to support collection of 
this data element to meet supervisory needs of the OCC, but understands 
the complexities involved in making these changes. Accordingly, the 
final FR Y-14 implements the collection of the RSSD ID field beginning 
with the reports with data as of March 31, 2018, with the 
clarifications included in the following section.
    One commenter asked that the Board clarify, in Schedules A, B, and 
D, if loans could be identified using the existing Entity Type field or 
RSSD ID contained in the file name rather than adding a new field. The 
Board agrees the existing field provides additional information, 
however notes that it is not sufficient or comprehensive on its own. 
The Entity Type field alone is not sufficient, because for BHCs that 
have multiple national bank charters, the Entity Type field does not 
specify which national bank charter holds a financial interest in the 
loan.\8\ Furthermore, the RSSD ID provided in each of the BHC's file 
naming conventions is the RSSD ID of the BHC. The requested additional 
RSSD ID field is the RSSD ID of the national bank entity that has a 
financial interest associated with the loan.
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    \8\ For the purposes of this notice, a national bank subsidiary 
is deemed to have a financial interest in the loan if it owns the 
loan and/or services the loan.
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    Commenters asked several questions to clarify what RSSD ID 
respondents should provide in the proposed field in particular 
circumstances. Commenters asked if respondents should report the RSSD 
ID based on the direct subsidiary or indirect subsidiary for the 
proposed field for loans that are held in a chartered national bank 
that is an indirect subsidiary of the holding company. For example, if 
national bank B were an indirect subsidiary of a BHC and a direct 
subsidiary of national bank A (which is a direct subsidiary of a BHC). 
Commenters also asked if a respondent would ever be required to provide 
a RSSD ID of a chartered national bank that is not a subsidiary of the 
reporting BHC. For example, whether respondents would report loans 
serviced by a subsidiary of the BHC but owned by another bank or, if 
loans are owned by the BHC but serviced by a third party, whether 
respondents would report the RSSD ID of the subsidiary national bank or 
that of the third-party bank. For loans serviced by a direct subsidiary 
of the BHC for a third party entity, commenters asked if the respondent 
would report the BHC RSSD ID. Finally, commenters asked for 
clarification on whether the field should be reported if the subsidiary 
of the holding company is a state chartered bank, and not a national 
bank, and if so, if the reported RSSD ID should reflect the BHC or the 
state bank.
    In the case of an indirect subsidiary, the respondent should report 
the RSSD ID of the national bank that has a financial interest in the 
loan. For loans that are serviced by a national bank subsidiary of the 
BHC but owned by another entity, the respondent should report the RSSD 
ID of the national bank subsidiary that services the loan. For loans 
that are owned by a national bank subsidiary of the BHC but serviced by 
another entity, the respondent should report the RSSD ID of the 
national bank subsidiary that owns the loan. If a national bank 
subsidiary of the BHC both owns and services the loan, the respondent 
should report the RSSD ID of the national bank subsidiary that both 
owns and services the loan. If no national bank subsidiary either owns 
or services the loan, this field should be left blank (null). In all 
cases, this field either would be left null or will contain the RSSD ID 
of a chartered national bank that is a subsidiary of the reporting BHC. 
To clarify the intended reporting of the national bank RSSD ID in line 
with the proposal and in light of commenters' questions, the definition 
of this item within the FR Y-14M instructions will be updated to 
include these clarifications.
    Finally, commenters questioned whether the RSSD ID field would only 
affect Loan Level files (FR Y-14M, Schedules A.1, B.1, and D.1) or if 
an additional field also be added to Portfolio Level files (FR Y-14M, 
Schedules A.2, B.2 and D.2). With the clarifications to the 
instructions outlined above, the final FR Y-14 implements the proposed 
changes for

[[Page 59618]]

the Loan Level files (Schedules A.1, B.1, and D.1) effective with the 
reports with data as of March 31, 2018. The RSSD ID field will not be 
collected as part of the Portfolio Level files (Schedules A.2, B.2, and 
D.2).
Schedule D (Credit Card)
    For the reports with data as of September 30, 2017, the Board 
proposed breaking out the total outstanding balance reported on 
Schedule D (Credit Card) into two items: Cycle-Ending Balance (existing 
item 15) and Month-Ending Balance. The addition of the month-ending 
balance item would replace the Cycle Ending Balance Flag (item 16).
    One commenter indicated that the rationale for both cycle-ending 
balance and month-ending balance on Schedule D was unclear and that 
availability in credit card servicing systems does not necessarily 
imply those data are available for reporting purposes. The commenter 
requested that the Board withdraw this change.
    The Board emphasizes that both Month Ending Balance and the 
existing Cycle-Ending Balance fields enhance modeling and enable the 
Board and the OCC to identify the level and direction of model risks to 
which a bank is exposed. In particular, the cycle-ending balance 
informs consumers' behavior in terms of performance of loans, spending 
and payment behavior, and highlights the timing influence between the 
two measures. The existing cycle-ending balance field currently allows 
firms to report either the month-ending or cycle-ending balances 
identified by the existing cycle-ending balance flag field, resulting 
in inconsistent reporting across firms and diminished usability of the 
reported data for this field. The final FR Y-14 implements these 
changes with the reports with data as of March 31, 2018.

Other Comments

    Under the current attestation requirement, BHCs and U.S. IHCs 
subject to supervision by the Large Institution Supervision 
Coordination Committee (LISCC) \9\ are required to submit a cover page 
signed by the chief financial officer or an equivalent senior officer 
attesting to the material correctness of actual data, conformance to 
instructions, and effectiveness of internal controls. Although no 
modifications to the existing attestation requirement were proposed, 
commenters suggested certain modifications to the submission dates for 
the attestation requirement, including allowing firms subject to 
supervision by the LISCC to submit the FR Y-14M attestations quarterly, 
instead of each respective month. Another commenter requested that U.S. 
IHCs subject to supervision by the LISCC that are required to submit 
their first attestation as of December 31, 2017, submit their 
attestations for the reports associated with the annual cycle for the 
FR Y-14A and FR Y-14Q reports in April 2018, instead of on each data 
schedule's respective submission date. These modifications would allow 
these U.S. IHCs the same amount of time to come into compliance with 
the attestation requirement as was accorded BHCs and would clarify the 
attestation due date for FR Y-14 schedules with alternative submission 
dates, while reducing operational burden associated with the 
attestation requirement. In line with this feedback, the Board will 
modify the attestation requirement as follows:
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    \9\ BHCs subject to supervision by the LISCC were subject to the 
attestation requirement in December 2016, and U.S. IHCs subject to 
supervision by the LISCC will be subject beginning in December 2017.
---------------------------------------------------------------------------

     FR Y-14A/Q (annual submission): For both LISCC U.S. IHCs 
and BHCs subject to the FR Y-14 attestation requirement, the 
attestation associated with the annual submission (i.e., data reported 
as of December 31, including the global market shock submission \10\) 
will be submitted on the last submission date for those reports, 
typically April 5 of the following year. For example, all of the FR Y-
14Q schedules due 52 days after the as of date (typically mid-
February), all of the FR Y-14A schedules due April 5, and the trading 
and counterparty schedules due on the global market shock submission 
date (March 15 at the latest) will be due on the latest of those dates, 
the annual submission date for the FR Y-14A report schedules (April 5).
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    \10\ As outlined in Sections 252.144 (Annual Stress Tests) of 
Regulation YY (12 CFR 252), the as-of date will be October 1 of the 
calendar year preceding the year of the stress test cycle to March 1 
of the calendar year of the stress test cycle and will be 
communicated to the BHCs by March 1st of the calendar year.
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     FR Y-14M: for those firms that file the FR Y-14M reports, 
the three attestations for the three months of the quarter will be due 
on one date, the final FR Y-14M submission date for those three 
intervening months. For example, the attestation cover pages and any 
associated materials for the FR Y-14M reports with January, February, 
and March as of dates will be due on the data due date for the March FR 
Y-14M. Note that one attestation page per monthly submission is still 
required.
     FR Y-14Q: the FR Y-14Q attestation for the three remaining 
quarters (Q1, Q2, and Q3) will continue to be submitted on the due date 
for the FR Y-14Q for that quarter.
    The instructions and cover pages will be updated to clarify and 
align with the submission dates.
    Two commenters requested the elimination of several schedules that 
the Board did not propose to modify. Commenters requested that the 
Board no longer require the reporting of detailed information on a 
firm's retail balances and loss projections (FR Y-14A, Schedule A.2.a), 
metrics of pre-provision net revenue (FR Y-14A, Schedule A.7.c), or 
quarterly data monitoring progress towards phasing in regulatory 
capital requirements (FR Y-14Q, Schedule D) as they believe the 
information is not material to the balance sheet and provides little 
incremental information or value. The Board reviews the items required 
to be reported on the FR Y-14 series of reports on an ongoing basis. In 
response to past comments, the Board has assessed the information 
collected on the Summary--PPNR Metrics (FR Y-14A, Schedule A.7.c) sub-
schedule and added thresholds to certain items or removed other items 
altogether. All of these schedules continue to be used to produce 
either the Dodd-Frank Act stress test estimates or as part of the 
qualitative capital plan assessment (either through the qualitative 
component of the CCAR assessment for LISCC and large and complex firms 
or through the annual supervisory review for large and noncomplex 
firms). The Board may propose additional changes in the future to 
further reduce burden associated with these reporting requirements or 
in connection with updates to stress-test projections.
    Similarly, in an effort to reduce burden, commenters recommended 
that the Board reduce the reporting of the FR Y-14M schedules to a 
quarterly frequency. One commenter also summarized and provided further 
feedback on topics that require ongoing discussions, including 
requirements for historic resubmissions. The Board continues to 
investigate opportunities to reduce the burden of reporting while still 
collecting the data at a level of granularity and frequency that 
supports the running of the DFAST and CCAR exercises. As requested, the 
Board will continue to engage the industry to gather further feedback, 
including in regards to the FR Y-14M, and values industry feedback on 
matters related to FR Y-14 reporting.

[[Page 59619]]

    As in prior proposals,\11\ commenters requested that the Board 
undertake a periodic, full-scale review of the data items required in 
the FR Y-14 submissions, and that the Board increase edit check 
thresholds or allow for permanent closure options. In response, the 
Board confirms that it regularly reviews the required elements of the 
FR Y-14 submissions and will continue to review the requirements to 
ensure they are appropriate. The current edit check thresholds and 
permanent closure of edit checks are varied and have been determined on 
a case-by-case basis depending on the data item to which the edit check 
pertains. Given the disparate nature of the data items being collected, 
it would be inappropriate to create uniform minimum thresholds across 
all schedules.
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    \11\ See, for example, responses to comments outline in the 
final tailoring rule (82 FR 9308).

    Board of Governors of the Federal Reserve System, December 11, 
2017.
Ann E. Misback,
Secretary of the Board.
[FR Doc. 2017-26960 Filed 12-14-17; 8:45 am]
 BILLING CODE 6210-01-P