[Federal Register Volume 84, Number 246 (Monday, December 23, 2019)]
[Notices]
[Pages 70529-70540]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-27655]


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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.

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SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
is adopting two proposals to extend for three years, with revision, the 
Capital Assessments and Stress Testing Reports (FR Y-14A/Q/M; OMB No. 
7100-0341). The revisions are applicable with as of dates ranging from 
December 31, 2019, to December 31, 2020. This final notice is adopting 
two proposals previously published separately: One proposing to 
incorporate current expected credit loss (CECL) methodology revisions 
into the FR Y-14A/Q/M reports (CECL proposal), and the other proposal 
to incorporate non-CECL methodology revisions into the FR Y-14A/Q/M 
reports (non-CECL proposal).

FOR FURTHER INFORMATION CONTACT: Federal Reserve Board Clearance 
Officer--Nuha Elmaghrabi--Office of the Chief Data Officer, Board of 
Governors of the Federal Reserve System, Washington, DC 20551, (202) 
452-3829.
    Office of Management and Budget (OMB) Desk Officer--Shagufta 
Ahmed--Office of Information and Regulatory Affairs, Office of 
Management and Budget, New Executive Office Building,

[[Page 70530]]

Room 10235, 725 17th Street, NW, Washington, DC 20503, or by fax to 
(202) 395-6974.
    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. 
These documents also are available on the Federal Reserve Board's 
public website at https://www.federalreserve.gov/apps/reportforms/review.aspx or may be requested from the agency clearance officer, 
whose name appears above.

SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board 
authority under the PRA to approve and assign OMB control numbers to 
collections of information conducted or sponsored by the Board. Board-
approved collections of information are incorporated into the official 
OMB inventory of currently approved collections of information. Copies 
of the PRA Submission, supporting statements, and approved collection 
of information instrument(s) are placed into OMB's public docket files.

Final Approval Under OMB Delegated Authority of the Extension for Three 
Years, With Revision, of 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.
    Effective dates: Ranges from December 31, 2019, to December 31, 
2020.
    Frequency: Annually, semi-annually, quarterly, and monthly.
    Respondents: The respondent panel consists of U.S. bank holding 
companies (BHCs), U.S. intermediate holding companies (IHCs) of foreign 
banking organizations (FBOs), and covered savings and loan holding 
companies (SLHCs) \1\ with $100 billion or more in total consolidated 
assets, as based on: (i) the average of the firm's total consolidated 
assets in the four most recent quarters as reported quarterly on the 
firm's Consolidated Financial Statements for Holding Companies (FR Y-
9C); or (ii) if the firm has not filed an FR Y-9C for each of the most 
recent four quarters, then the average of the firm's total consolidated 
assets in the most recent consecutive quarters as reported quarterly on 
the firm's FR Y-9Cs.\2\ Reporting is required as of the first day of 
the quarter immediately following the quarter in which the respondent 
meets this asset threshold, unless otherwise directed by the Board.
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    \1\ SLHCs with $100 billion or more in total consolidated assets 
become members of the FR Y-14A/Q/M panel effective June 30, 2020. 
See 84 FR 59032 (November 1, 2019).
    \2\ The Board had separately revised the respondent panel for 
the FR Y-14 reports in connection with the Board's rule regarding 
Prudential Standards for Large Bank Holding Companies and Savings 
and Loan Holding Companies (the ``Tailoring Rule''). See 84 FR 59230 
(November 1, 2019) and 84 FR 50932 (November 1, 2019). Under the 
Tailoring Rule, the respondent panel for the FR Y-14 reports is BHCs 
with total consolidated assets of $100 billion or more, IHCs with 
total consolidated assets of $50 billion or more that are 
subsidiaries of an FBO, and covered SLHCs with $100 billion or more 
in total consolidated assets. See 12 CFR 217.2 (defining ``covered 
savings and loan holding company'').
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    Estimated number of respondents: FR Y-14A: 35; FR Y-14Q: 35; \3\ FR 
Y-14M: 33.
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    \3\ The estimated number of respondents for the FR Y-14M is 
lower than for the FR Y-14A and FR Y-14Q because, in recent years, 
certain respondents to the FR Y-14A and FR Y-14Q have not met the 
materiality thresholds to report the FR Y-14M due to their lack of 
mortgage and credit activities. The Board expects this situation to 
continue for the foreseeable future.
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    Estimated average hours per response: FR Y-14A: 1,030 hours; FR Y-
14Q: 1,944 hours; FR Y-14M: 1,075 hours; FR Y-14 Implementation and On-
going Automation Revisions, 540 hours; FR Y-14 Attestation On-going 
Audit and Review, 2,560 hours.
    Estimated annual burden hours: FR Y-14A: 72,100 hours; FR Y-14Q: 
272,160 hours; FR Y-14M: 425,700 hours; FR Y-14 On-going Automation 
Revisions, 18,900 hours; FR Y-14 Attestation On-going Audit and Review, 
33,280 hours.
    General description of report: This family of information 
collections is composed of the following three 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.\4\
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    \4\ In certain circumstances, a BHC or U.S. IHC may be required 
to re-submit its capital plan. See 12 CFR 225.8(e)(4). Firms that 
must re-submit their capital plan generally also must provide a 
revised FR Y-14A in connection with their resubmission.
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     The quarterly FR Y-14Q collects granular data on various 
asset classes, including loans, securities, trading assets, and pre-
provision net revenue (PPNR) for the reporting period.
     The monthly FR Y-14M is comprised of three retail 
portfolio- and loan-level schedules, and one detailed address-matching 
schedule to supplement two of the portfolio and loan-level schedules.
    The data collected through the FR Y-14A/Q/M reports 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 Dodd-Frank Act Stress Test (DFAST) and Comprehensive Capital 
Analysis and Review (CCAR) exercises, which complement other Board 
supervisory efforts aimed at enhancing the continued viability of large 
firms, including continuous monitoring of firms' planning and 
management of liquidity and funding resources, as well as regular 
assessments of credit, market and operational risks, and associated 
risk management practices. Information gathered in this data collection 
is also used in the supervision and regulation of respondent financial 
institutions. Compliance with the information collection is mandatory.
    Legal authorization and confidentiality: The Board has the 
authority to require BHCs to file the FR Y-14 reports pursuant to 
section 5 of the Bank Holding Company Act (``BHC Act'') (12 U.S.C. 
1844), to require SLHCs to file the FR Y-14 reports pursuant to section 
10 of the Home Owners' Loan Act (12 U.S.C. 1467a(b)), and to require 
the U.S. IHCs of FBOs to file the FR Y-14 reports pursuant to section 5 
of the BHC Act, in conjunction with section 8 of the International 
Banking Act (12 U.S.C. 3106). The FR Y-14 reports are mandatory.
    The information collected in these reports is collected as part of 
the Board's supervisory process, and therefore is afforded confidential 
treatment pursuant to exemption 8 of the Freedom of Information Act 
(``FOIA'') (5 U.S.C. 552(b)(8)). In addition, individual respondents 
may request that certain data be afforded confidential treatment 
pursuant to exemption 4 of the FOIA, which exempts from disclosure 
``trade secrets and commercial or financial information obtained from a 
person [that is] privileged or confidential'' (5 U.S.C. 552(b)(4)). 
Determinations of confidentiality based on FOIA exemption 4 would be 
made on a case-by-case basis.
    Current actions: On July 31, 2019, the Board published two notices 
in the Federal Register (84 FR 37285 and 84 FR 37292) requesting public 
comment for 60 days on the extension, with revision, of the Capital 
Assessments and Stress Testing Reports. The Board proposed to implement 
a number of changes to schedules of the FR Y-14A,

[[Page 70531]]

FR Y-14Q, and FR Y-14M reports. The proposed revisions consisted 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 
proposed 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 have modified the reporting 
requirements and added or expanded sub-schedules to improve the 
availability and quality of data to enhance supervisory modeling and 
for use in DFAST.
    The proposed revisions also were meant to address revised 
accounting for credit losses under the Financial Accounting Standards 
Board's (FASB) Accounting Standards Update (ASU) No. 2016-13, 
``Financial Instruments--Credit Losses (Topic 326): Measurement of 
Credit Losses on Financial Instruments'' (ASU 2016-13) and implement 
the CECL accounting methodology across all of the FR Y-14 reports. The 
proposed changes to the FR Y-14 reports paralleled the related changes 
to the Consolidated Financial Statements for Holding Companies (FR Y-
9C) for CECL, as appropriate.\5\ The proposed reporting changes related 
to CECL also were consistent with the revisions indicated in the 
interagency final rule that incorporated the CECL transition.\6\
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    \5\ See 84 FR 11783 (March 28, 2019).
    \6\ See 84 FR 4222 (February 14, 2019).
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    The comment period for the two notices regarding the Capital 
Assessments and Stress Testing Reports expired on September 30, 2019. 
The Board received four comment letters from banking organizations and 
one comment letter from a banking industry group on its non-CECL 
proposal. The Board received one comment letter from a banking 
organization and one comment letter from a banking industry group on 
its CECL proposal. All comments and responses are delineated below 
based on whether the comment was related to the non-CECL or CECL 
proposal.

Detailed Discussion of Public Comments

Timing of Proposed Changes

    The Board proposed that all revisions associated with these 
proposals to be effective for September 30, 2019. Four commenters 
stated that those revisions should be delayed so that there would be 
time for FR Y-14 filers to set up or update, as well as adequately 
test, their internal reporting systems to adopt the reporting changes. 
For the FR Y-14A, two commenters suggested adjusting the effective date 
for most of the revisions to December 31, 2019, with the exception of 
the proposals to eliminate the deposit funding threshold from the PPNR 
schedule and to require IHCs to provide a cost allocation as a 
supplement to their PPNR schedules, which two commenters proposed to 
become effective December 31, 2020. Another commenter suggested that 
all revisions associated with FR Y-14A become effective December 31, 
2020. For the FR Y-14Q, two commenters suggested adjusting the 
effective date to delay most of the revisions to December 31, 2019, 
with the exception of certain proposed changes to the Counterparty 
(Schedule L), Trading (Schedule F), and Retail (Schedule A) schedules, 
which the commenters suggested to delay until June 30, 2020. One 
commenter suggested delaying all proposed revisions associated with the 
FR Y-14Q to March 31, 2020. Finally, for the FR Y-14M, three commenters 
suggested delaying all proposed revisions to become effective March 31, 
2020.
    In light of the rationale for delaying implementation to allow 
firms adequate time to set up, update, and test their internal systems, 
as well as due to the fact that the proposed effective date has already 
passed, the Board has revised the effective date from September 30, 
2019, to dates ranging from December 31, 2019, to December 31, 2020, 
for different aspects of the proposal. The December 31, 2019, date was 
chosen as some revisions are necessary for the DFAST 2020 stress test 
cycle, and so could not have been delayed to a later date. The 
effective dates for the other revisions were chosen as a balance 
between data needed by the Board and industry burden.

Timing of Non-CECL Revisions

    For non-CECL revisions associated with the FR Y-14A, all revisions 
will be effective for December 31, 2020, except the revisions to 
schedule A.1.d (Capital), the revisions to schedule A.2.a (Retail 
Balance and Loss Projections), the revisions to schedule A.4 (Trading), 
and the revisions made to conform to changes previously made to the FR 
Y-9C. The revisions to schedule A.1.d, A.2.a, and A.4 will be effective 
for December 31, 2019, as they are critical for the DFAST 2020 stress 
test cycle.
    For non-CECL revisions associated with the FR Y-14Q, all revisions 
will be effective for March 31, 2020, with the exception of the 
revisions to Schedule D (Regulatory Capital), the addition of the fair 
value option (FVO) hedges sub-schedule to Schedule F (Trading), certain 
revisions to Schedule H (Wholesale), the elimination of Schedule I 
([Mortgage Servicing Rights] MSR Valuation Schedule), and the revisions 
made to conform to changes previously made to the FR Y-9C, which will 
be effective for December 31, 2019, as well as the revisions to the 
Counterparty schedule, which will be effective for June 30, 2020. The 
non-CECL FR Y-14Q revisions that are effective for December 31, 2019, 
are needed then because they are critical for the DFAST 2020 stress 
test cycle. For the December 31, 2019, as of date, the Board will allow 
firms to submit the FVO hedges sub-schedule to Schedule F by March 6, 
2020, as opposed to the February due date for the rest of the FR Y-14Q. 
The Board recognizes that one commenter requested delaying proposed 
revisions to the Trading schedule and the proposal to add a weighted-
average life (WAL) segment variable to the Retail schedules to June 30, 
2020. However, the Board feels that extending the effective date by six 
months will provide adequate time to set up or update, as well as 
adequately test, pertinent internal systems. In addition, firms already 
provide a WAL item on the FR Y-14A, PPNR schedule (schedule A.7) at the 
portfolio level. The instructions for the new WAL item at the loan 
segment level are similar to the existing WAL items on the PPNR 
schedule, and so the Board has added the item as proposed, except with 
a March 31, 2020, effective date.
    For non-CECL revisions associated with the FR Y-14M, all revisions 
will be effective for March 31, 2020.

Timing of CECL Revisions

    As indicated in the final CECL rule and as outlined in FR Y-14 CECL 
proposal, an institution may reflect the adoption of ASU 2016-13 on the 
FR Y-14 reports beginning with the 2020 stress test cycle. Therefore, 
all CECL-related items need to be incorporated into the FR Y-14 reports 
for December 31, 2019.

Consistency of Numbering Across the Two Proposals

    The Board also received several comments about inconsistent 
numbering of items across the FR Y-14 reports between the non-CECL and 
CECL proposals. Since the Board is adopting both proposals at once, the

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numbering is consistent in the forms and instructions provided with 
this notice.

Non-CECL Proposal Comments

General

    The Board issues technical instructions so firms know how to 
configure their systems and files to submit the FR Y-14A and FR Y-14Q. 
One commenter asked for the Board to provide these technical 
instructions before year-end 2019 so firms have sufficient time to make 
any necessary adjustments. The Board seeks to provide firms technical 
instructions in a timely manner, and seeks to do so with respect to the 
technical instructions for these reporting changes.

FR Y-14A

Schedule A.1.d (Capital)

    The Board proposed to revise the instructions to the FR Y-14A to 
provide guidance on how firms should reflect the impact of the ``global 
market shock'' \7\ 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 
would indicate that the firm must also report an adjusted starting 
value that reflects the global market shock for applicable items. One 
commenter questioned whether this revision conflicts with guidance 
previously issued through a CCAR frequently asked question (FAQ 
SHK0030),\8\ in which the Board stated that firms should not assume a 
related decline in portfolio positions or risk-weighted assets as a 
result of global market shock losses. Another commenter suggested that 
this treatment is a significant policy question that should be 
separately clarified by the Board. The Board notes that the proposed 
revisions reflect a departure from the guidance issued in FAQ SHK0030. 
In the past, the Board required firms to report capital using post-
stress losses, but pre-stress values of certain capital deductions. The 
Board is now requiring firms to adjust their capital deductions to 
reflect the impact of the global market shock in order to make their 
capital calculation further reflect post-stress values.\9\ The Board 
has adopted this revision as proposed. To mitigate confusion, the Board 
is rescinding FAQ SHK0030, as that historical guidance is inconsistent 
with the new instructions.
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    \7\ The global market shock is a set of instantaneous, 
hypothetical shocks to a large set of risk factors. Generally, these 
shocks involve large and sudden changes in asset prices, interest 
rates, and spreads, reflecting general market dislocation and 
heightened uncertainty. The global market shock impacts the Trading 
and Counterparty schedules of the FR Y-14A and FR Y-14Q.
    \8\ https://www.federalreserve.gov/publications/comprehensive-capital-analysis-and-review-questions-and-anwers.htm.
    \9\ See 84 FR 6664 (April 1, 2019) for more information on 
disclosure methodology.
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    The Board proposed to rename 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 Board 
also proposed to revise the instructions for this item to state that 
firms should report the amount of taxes previously paid that the firm 
could recover through loss carrybacks if the firm's temporary 
differences (both deductible and taxable) fully reverse at the report 
date. The Board proposed these revisions to reflect provisions in the 
Tax Cuts and Jobs Act (TCJA) that changed the treatment of deferred tax 
assets (DTAs).\10\ One commenter pointed out that the revisions to this 
item did not include taxes previously paid that the firm could recover 
through carrybacks of projected negative taxable income (i.e., net 
operating loss and credits) over the planning horizon. The commenter 
further noted that, although the TCJA eliminated net operating loss 
(NOL) carrybacks in the U.S., certain carrybacks are still allowed 
(e.g., credits and capital losses in U.S., as well as NOL carrybacks in 
various jurisdictions like the United Kingdom and certain U.S. states). 
The commenter requested the Board rename item 109 as a result. To 
better reflect the applicable provisions of the TCJA, the Board is 
renaming item 109 to ``Taxes previously paid that the bank holding 
company could recover through allowed carrybacks if the bank holding 
company's DTAs on net operating loss, tax credits and temporary 
differences (both deductible and taxable) fully reverse at the report 
date,'' and is revising the instructions accordingly.
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    \10\ Public Law 115-97, 131 Stat. 2054 (2017).
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Schedule A.2.a (Retail Balance and Loss Projections)

    CECL replaced the concept of purchased credit-impaired (PCI) with 
that of purchased credit-deteriorated (PCD). As a result, the Board 
proposed to revise FR Y-14A, Schedule A.2.a, to include PCD breakouts 
for all mortgage categories. One commenter pointed out that the draft 
instructions provided with the proposal specify that these new PCD 
fields only apply to home equity items. Consistent with the language 
used in the description of the initial proposal, the intent of the 
proposal was to make these fields applicable to all mortgage line 
items. The Board is revising the instructions accordingly.

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

    The Board proposed eliminating the deposit funding threshold for 
the FR Y-14A, Schedule A.7.b (Net Interest Income), 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. For the reports as of June 30, 2016, the 
deposit-funding threshold was eliminated from the FR Y-14Q, Schedule G 
(PPNR). Two commenters said that removing this threshold would impose 
significant burden on the small subset of firms that are not currently 
required to report this schedule. The commenters recommended that the 
Board postpone this revision until December 31, 2020, so that firms 
that are not currently required to file have ample time to set up and 
adequately test their reporting systems. Given the time necessary for 
these firms to set up and adequately test their reporting systems, the 
Board has adopted the revision and has postponed implementation until 
December 31, 2020.
    The Board proposed adding further specification surrounding the 
requirements for supporting information provided by U.S. IHCs. 
Specifically, the proposal would add instructions to the supporting 
documentation requirements 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 
have required U.S. IHCs to provide supporting documentation 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.
    Two commenters said there would have been insufficient time for 
IHCs to provide the proposed cost allocation breakout items for 
September 30, 2019, as these firms are still in the early stages of 
shared cost structures. Both commenters proposed delaying 
implementation of these revisions until December 31, 2020. One 
commenter further requested that the Board provide additional 
clarification on the proposed change regarding the granularity required 
for the cost allocation, and that this information not be required for

[[Page 70533]]

stressed scenarios as that would require substantial investment in 
IHCs' models. Given the concerns posed by the commenters, the Board has 
provided clarification regarding cost allocation in the FR Y-14A 
instructions, has added this clarifying language to the FR Y-14Q, 
Schedule G instructions, and has delayed implementation until December 
31, 2020. The Board believes this new effective date provides 
sufficient time for IHCs to gather the necessary information.
    The Board proposed to revise several items on the PPNR schedules of 
the FR Y-14A and FR Y-14Q (Schedule G) to indicate how dividend income 
on equity products should be reported. The proposed revisions were 
intended to align with reporting on the FR Y-9C. In doing this, the 
Board proposed that dividend income on equity products with readily 
determinable fair values not held for trading be reported as interest 
income and that dividend income on equity products held for trading be 
reported as noninterest income. One commenter pointed out that the FR 
Y-9C is not explicit as to how dividend income on equity products 
should be reported. The commenter also pointed out that items impacted 
by these revisions flow through to other PPNR items, specifically those 
that relate to the earned average rate of trading assets. The Board 
notes that, under the proposal, the reporting of dividend income on 
equity products may not be consistent between the FR Y-9C and the FR Y-
14, as the FR Y-9C instructions are not explicit as to how this income 
should be reported. As a result, the Board has revised the language for 
item 5B (``Other [sales and trading interest income]'') on the FR Y-
14A, Schedule A.7.a and FR Y-14Q, Schedule G.1, to include equity 
trading activity not reported in item 5A (Prime Brokerage [sales and 
trading noninterest income]), instead of a direct reference to dividend 
income on equity products with readily determinable fair values not 
held for trading. The Board has also revised the language for item 18C 
(``Other [sales and trading noninterest income]'') on Schedules A.7.a 
and G.1 to remove references to dividend income on equity securities 
held for trading.
    The Board proposed to revise item 15 (``Other Interest/Dividend-
Bearing Assets'') on FR Y-14A, Schedule A.7.b and FR Y-14Q, Schedule 
G.2, to include balances from equity securities with readily 
determinable fair values not held for trading. One commenter pointed 
out that this is not consistent with the FR Y-9C, in which equity 
securities with readily determinable fair values are reported as ``All 
other debt securities and equity securities with readily determinable 
fair values not held for trading purposes'' (item 1.c), and not as 
``Other earning assets'' (item 4.b), on Schedule K (Quarterly 
Averages). Given this, the commenter recommended moving balances from 
equity securities with readily determinable fair values not held for 
trading from item 15 to item 12 (``Securities AFS and HTM--Other''). 
The Board notes that item 12 is a more appropriate location for equity 
securities with readily determinable fair values not held for trading, 
as they share more risk characteristics with non-equity securities than 
with other earning assets. As a result, the Board is updating the 
instructions accordingly.
    The Board proposed to revise the PPNR schedules of the FR Y-14A and 
FR Y-14Q, as well as Schedule A (Retail) of the FR Y-14Q, so that loans 
(and associated income) in U.S. territories (including Puerto Rico) 
would be treated as international. The intent of this proposal was to 
align the reporting of loans in U.S. territories between the FR Y-14 
and the FR Y-9C. However, one commenter pointed out that the reporting 
of these loans is more nuanced on the FR Y-9C, as the treatment can 
differ within and across schedules, and so the proposed FR Y-14 
revisions would still result in inconsistencies between the items on 
the PPNR schedules and similar items on the FR Y-9C. In response, the 
Board is revising the proposed instructions to the PPNR schedules to 
require firms to refer to the FR Y-9C for the definition of domestic 
and international. This will result in the classification of loans as 
international or domestic on the FR Y-14 PPNR schedules truly aligning 
with those of the FR Y-9C.
    For the FR Y-14Q, Schedule A (Retail), the Board proposed to remove 
an exception for loans in U.S. territories from the international loan-
reporting requirement. However, in contrast to the PPNR schedules, the 
existing instructions for Schedule A already directed firms to refer to 
the FR Y-9C definitions for international and domestic for applicable 
loan categories. Therefore, the Board has adopted the revisions to the 
FR Y-14Q, Schedule A (Retail), as proposed, so that the definitions of 
international and domestic align, without exception, with those on the 
FR Y-9C.

Schedule E (Operational Risk)

    The Board proposed several revisions to Schedule E.2 (Material Risk 
Identification), one of which was to rename the ``Risk segment'' 
variable to ``Business line(s)/firm-wide.'' One commenter pointed out 
that the name ``Risk segment'' provided a clear linkage to FR Y-14A, 
Schedule A.6 (BHC or IHC Operational Risk Scenario Inputs and 
Projections), as this schedule also had a variable named ``Risk 
segment.'' The commenter asked whether the Board still expects this 
clear linkage despite the name change. The Board notes that the 
proposed revisions to Schedule E.2 allow for better linkage between the 
categories of the difference schedules, as firms will now have to 
identify and list the methodology used to estimate operational risk 
model. The Board has adopted the revisions as proposed.

FR Y-14Q

Schedule D (Regulatory Capital)

    The Board proposed to eliminate most items on Schedule D, as they 
are duplicative of reporting elsewhere because the common equity tier 1 
(CET1) capital deductions are now fully phased-in. One commenter asked 
for clarification as to whether the proposed changes to Schedule D 
apply to all firms, or only to non-advanced approaches firms. The Board 
notes that the changes apply to all firms that file the FR Y-14Q, as 
there are no exemptions listed in the proposed instructions.
    While the Board proposed to eliminate most of the items on Schedule 
D, it did retain a limited number of items that are not reported 
elsewhere and proposed to add a handful of items relating to non-
significant investments subject to a threshold deduction from CET1 
capital. One commenter asked how one of the new items (item 15--``DTAs 
arising from temporary differences, net of DTLs'') differs from a 
retained item (item 18--``DTAs arising from temporary differences that 
could not be realized through net operating loss carrybacks, net of 
related valuation allowances and net of DTLs''). The difference between 
these two items is that item 15 is reported before netting of 
carrybacks and valuation allowance, whereas item 18 is inclusive of 
valuation allowance and carryback netting. The Board believes this 
reporting is clear based on the instructions, and has adopted the 
revisions as proposed.
    The Board proposed to add a new memoranda item to Schedule D (item 
M1--``Taxes paid through the as-of date of the current fiscal year''). 
The instructions for this item require respondents to report the amount 
of taxes paid during the current fiscal year through the as-of date 
that are included in Schedule D, item 17, ``Potential net

[[Page 70534]]

operating loss carrybacks,'' assuming that fiscal years align with 
calendar years. One commenter asked whether the data from this item can 
be appropriately sourced from FR Y-9C, Schedule HI (Income Statement), 
item 9 (Applicable income taxes (foreign and domestic)). The Board 
notes that, based on the instructions for item M1, firms should only 
report income taxes paid that are included in item 17, which may not 
equal the income taxes reported in FR Y-9C, Schedule HI, item 9. The 
Board has adopted the revisions as proposed.

Schedule F (Trading)

    The Board proposed to delineate reporting of private equity 
investments between those reported at fair value and those reported 
using accounting methods other than fair value (non-fair value). Two 
commenters asked the Board to clarify whether the intended population 
of the private equity investments reported at fair value includes 
investments required to be held at fair value, as well as (1) 
investments in which FVO accounting treatment has been elected and (2) 
fund positions measured at net asset value (NAV). In response, the 
Board notes that the intended population of the private equity 
investments reported at fair value consists of investments required to 
be reported at fair value, including investments where fair value is 
estimated using NAV or where FVO has been elected. The commenters also 
suggested excluding all non-fair value investments from Schedule F 
because they believe the macro scenario is more appropriate than the 
global market shock scenario for capital planning purposes for these 
positions. The Board notes that private equity is the only asset type 
where non-fair value exposures are required to be reported on Schedule 
F. Further, the Board notes that fair value and non-fair value private 
equity investments have different risk characteristics, and so believes 
it is essential that these exposures are separately reported. Since the 
Board now has a breakout between fair value and non-fair value private 
equity investments, the Board will be able to assess whether the macro 
scenario is more appropriate than the global market shock for non-fair 
value exposures. If the macro scenario is more appropriate, then the 
Board will propose an alternative treatment in a future notice.\11\ The 
Board has adopted the revisions as proposed.
---------------------------------------------------------------------------

    \11\ See 84 FR 6664 (February 28, 2019) for more information 
about the Federal Reserve's model development and validation 
practices.
---------------------------------------------------------------------------

    The Board proposed to add a sub-schedule that captures FVO loan 
hedges. One commenter asked the Board to expand this sub-schedule to 
include all non-trading hedges, regardless of accounting treatment, as 
including these hedges would portray a more accurate picture of risk 
and because it may be difficult for firms to segment hedging activity 
that is directly correlated to a specific accounting treatment. The 
Board has been collecting FVO loan hedge information as a supplement to 
the supervisory stress test for several years, and this proposal was a 
formalization of this supplemental collection. FVO loan hedge 
information is critical to adequately assessing the risks posed by FVO 
loans. Without this information, the Board would have no way to 
determine whether firms are mitigating FVO loan risks through hedging. 
The Board has adopted the revisions as proposed, and will consider 
expanding the sub-schedule in a future proposal. The same commenter 
asked the Board to clarify whether the as-of date the FVO loan hedges 
sub-schedule should be at quarter end. Consistent with the instructions 
published with the initial proposal, the as-of date for the FVO loan 
hedges sub-schedule is quarter end.
    One commenter asked whether the Board could provide examples of 
what should be included in the FVO loan hedge sub-schedule. The Board 
is revising the instructions to add a non-exhaustive list of examples 
of what should be included in this sub-schedule.
    The Board proposed to exclude mandated investments, such as those 
in government or government-sponsored entities and stock exchanges, 
from Schedule F. One commenter asked the Board to further clarify the 
definition of mandated investments. The Board believes the proposed 
definition is sufficient, and therefore has adopted the revisions as 
proposed. The Board encourages firms to seek guidance from the Federal 
Reserve if they have specific questions related to bespoke investments.
    The Board did not propose to revise the list of examples for what 
to include the Other Fair Value Assets Sub-schedule that is currently 
in the instructions. However, due to the placement of the list in the 
instructions, one commenter asked that the Board clarify whether the 
list applies only to the Other Fair Value Assets sub-schedule. The 
Board is revising the instructions to make it clear that this list 
applies only to the Other Fair Value Assets sub-schedule.

Schedule H (Wholesale)

    The Board proposed to add two additional Schedules, H.3 (Line of 
Business) and H.4 (Internal Risk Rating Scale), which would allow for 
mapping of each firm's internal risk ratings and line of business 
values to a consistent benchmark for use in modeling. One commenter 
suggested the Board expand Schedule H.4 to ask for additional items, 
such as probability of default information. The commenter also 
suggested expanding Schedule H.4 to correspond to FR Y-14Q, Schedule L 
(Counterparty), instead of just Schedule H, as both schedules require 
an internal and external rating equivalent factor. At this time, the 
Board does not need any additional fields on these schedules, but will 
consider expanding Schedule H.4 as part of a future proposal. 
Additionally, the Board will not expand Schedule H.4 to correspond with 
the Counterparty schedule at this time, as the data between the two 
schedules do not readily align.
    The Board proposed to revise Schedule H.1 (Corporate Loan Data), 
item 25 (``Utilized Exposure Global''), and Schedule H.2 (Commercial 
Real Estate), item 3 (``Outstanding Balance''), to align reporting with 
the FR Y-9C definition of loan and lease financing receivables. This 
would cause the exposure amounts reported in Schedule H.1, item 25, and 
Schedule H.2, item 3, to be netted by deferred fees and costs. One 
commenter stated that while this would align with the FR Y-9C, firms 
would need significant time to accurately implement these revisions, 
and requested the proposal be dropped or delayed. These two fields are 
critical for modeling, and the Board believes that aligning the 
definitions between the FR Y-14Q and FR Y-9C will enhance reporting 
accuracy and improve clarity. The Board also acknowledges that unlike 
the FR Y-9C, the Wholesale schedule is reported at the facility level, 
and so firms need time to adequately capture the deferred fees and 
costs. Therefore, the Board has adopted the revisions as proposed, but 
is delaying implementation until December 31, 2019, so that these 
fields can be updated in time for CECL implementation on the FR Y-14Q, 
as these fields are critical for CECL.
    The Board proposed to revise the line of business items (Schedule 
H.1, item 27; Schedule H.2, item 22) to not require that the line of 
business be reported at origination, as they typically change over 
time. One commenter requested the Board expand the description of these 
items to clarify that the current line of business should be reported. 
The Board

[[Page 70535]]

believes its proposed revision captures this point because firms will 
no longer be required to report the line of business at origination, 
and is more consistent with the existing instructions for other items. 
The Board has adopted the revision as proposed.
    The Board proposed to revise several Schedule H items to align with 
the definition of loans and lease financing receivables on the FR Y-9C. 
One commenter noted that the Board should also align the definition of 
major modification in origination date fields of Schedules H.1 and H.2 
(items 18 and 10, respectively), with that of the FR Y-9C. While the 
Board strives to align reporting definitions when appropriate, the 
definition of a major modification on Schedule H is much broader than 
that of the FR Y-9C and is used to assess whether there has been a 
change in the origination date for all types of loans. The Board does 
not believe it is appropriate to use the FR Y-9C or GAAP definition of 
``modification'' because this definition is mainly associated with 
troubled debt. The Board has adopted the revision as proposed.
    The Board proposed to revise the definition of ``country'' on 
Schedule H.1 (item 6) to refer to the definition of ``domicile,'' as 
defined in the FR Y-9C glossary. One commenter suggested the Board also 
revise Schedule H.1, items 5 (``City'') and 7 (``Zip Code''), to 
reference the borrower's domicile in assigning the obligor's country in 
Schedule H.1, (item 6). The Board strives to align the definitions of 
related items where applicable, and so is revising the instructions 
accordingly.
    The Board proposed to revise the maturity date fields of Schedules 
H.1 and H.2 (item 19 for both) to eliminate the implied requirement to 
test compliance with the terms of the credit agreement each quarter. 
One commenter asked whether this revision means that firms would now 
have to factor in the extension options that are solely at the 
discretion of the borrower from inception, or alternatively, whether it 
means that the extended date is only reported during the extension 
option window provided that the borrower has requested an extension and 
an assessment has been made that the conditions outlined in the 
agreement have been complied with. The Board has adopted the proposed 
revisions to the maturity date fields, which is inclusive of all 
extension options that are solely at the borrower's discretion 
regardless of the timing of the extension option window, including 
extension options that are conditional on certain terms being met 
without any need to assess compliance with the terms of the credit 
agreement.
    The Board proposed to add items 65 (``Committed Exposure Global 
Fair Value'') and 66 (``Outstanding Balance Fair Value'') to Schedule 
H.2. One commenter questioned whether these two new items were 
capturing duplicative information, as items 5 (``Committed Exposure 
Global'') and 3 (``Outstanding Balance''), respectively, seem to 
capture similar information for held-for-sale and FVO exposures. The 
Board notes that Schedule H.2, items 5 and 3, represent different 
concepts from the newly-proposed fair value items 65 and 66. Although 
there may be cases where values in items 5 and 3 coincide with the 
values in the newly proposed fair value items (65 and 66, 
respectively), in other instances the values may differ between these 
fields (specifically for held-for-sale (HFS) loans reported at lower of 
cost or fair value, when amortized cost is lower than fair value). The 
Board has adopted the revisions as proposed.
    The Board proposed to add several fields related to committed 
exposure and utilized exposure global par values, as well as fair 
values, to Schedules H.1 (items 102 through 105) and H.2 (items 63 
through 66). One commenter had several questions about these new items. 
First, the commenter wanted the Board to clarify whether firms should 
report their share of the global commitments or the total global 
commitment of the entire facility. The Board notes that firms are 
expected to report their pro-rata commitments in the committed exposure 
fields. The pro-rata share is net of adjustments that are noted in the 
FR Y-14Q instructions. The ``Committed Exposure Global'' fields should 
include the total commitment amount, including any unused portfolio of 
the commitment. Second, the commenter asked how to report these items 
for facilities that include held-for-sale loans or loans accounted for 
under a fair value option and held-for-investment loans. The Board 
notes that for loans reported in Schedule H.1, if the firm reports a 
value of 3 (``NA'') in the ``Lower of Cost or Market Flag'' (item 86), 
then it should report ``NA'' for items 102 (``Committed Exposure Global 
Par Value'') and 103 (``Utilized Exposure Global Par Value''). In cases 
where there are multiple loans in the same facility, firms should 
report the consolidated exposure based on the accounting type for loans 
that make up the predominant share of the facility. Third, the 
commenter asked whether firms should continue to report commitment 
balances on a trade date basis. The Board notes that firms should 
continue to report commitment balances on a trade date basis. The Board 
has adopted the revision as proposed.
    The Board did not propose any changes to the treatment of disposed 
loans on Schedule H. However, one commenter suggested that the Board 
revise the instructions to allow disposed facilities to be reported 
with data as of the prior reporting cycle rather than the day of 
disposition. The Board believes collecting loan disposition information 
as it existed at the point of disposition is critical, and so will not 
revise the current requirements.

Schedule L (Counterparty)

    The Board proposed to expand the scope of granularity of a firm's 
reporting of credit valuation adjustment (CVA) related data fields from 
the top 95 percent to all counterparties at the legal entity level for 
several sub-schedules. Four commenters expressed that this change would 
cause significant burden on firms not only from a data perspective, but 
also from a technical perspective, as firms' and vendors' systems may 
not be capable of handling data sets of that size. The Board 
acknowledges the operational concerns raised by the industry. In doing 
so, the Board has adopted a modification of the proposed revision that 
limits the scope of counterparty legal entity identifier (LEI) level 
reporting requirements in Schedules L.1-L.3 \12\ to top 95% stressed 
CVA, in addition to the existing 95% unstressed CVA. For the remaining 
counterparties that are not required to be reported at an individual 
LEI level, a new Schedule will be added to collect summary metrics with 
respect to their key attributes, for example by industry, rating, and 
region.
---------------------------------------------------------------------------

    \12\ 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.
---------------------------------------------------------------------------

    Two commenters requested the Board clarify whether this increased 
scope applied to all counterparties, or only counterparties with CVA. 
The Board confirms the scope of the counterparty population under the 
adopted modification of the proposed revision should apply only to 
counterparties with CVA.
    In addition to the increased scope in CVA related fields, the Board 
proposed revisions to several definitions throughout Schedule L. Two 
commenters asked for additional clarification regarding the consistency 
of the ``Netting Set ID'' field throughout the Schedules, the 
definition of the ``Trades Not Captured'' field, as well as

[[Page 70536]]

whether securities financing transactions (SFTs) should be included 
with derivatives in the same counterparty data sets. ``Netting Set ID'' 
and ``Sub-netting Set ID'' are optional fields for certain schedules. 
To ensure consistency across Schedule L, the Board is revising the 
instructions to require these field to be reported for all schedules, 
and is requiring that they be reported using the same granularity 
across Schedule L. Further, the Board is revising the instructions to 
indicate that the ``Trades Not Captured'' field should incorporate 
types of trades or counterparties for which CVA is computed offline 
(i.e., outside of the main CVA systems). This is effectively equivalent 
to the scope of counterparties and/or types of trades for which the 
firm is unable to submit data requirements associated with Schedule L.2 
that relate to the components of the CVA. Finally, the Board is 
revising the instructions to clarify that fair-valued SFTs should be 
reported in aggregate under Schedule L.1.e.2 (Additional/Offline CVA 
Reserves), as opposed to at the granular counterparty LEI level 
reporting under Schedules L.1, L.2, and L.3. In doing so, a new line 
item will be added to collect fair-valued SFTs separately under 
Schedule L.1.e.2.
    The Board proposed to require firms to report certain 
counterparties on Schedule L.1.a-L.1.d at a counterparty legal entity 
level, rather than a consolidated parent level. One commenter 
recommended that the reporting of sovereign counterparties remain 
unchanged since the proposed instructions would require incremental 
data on whether sovereign counterparties are state-owned enterprises, 
which are backed by the full faith and credit of a sovereign entity, 
and that data is not readily available. The commenter added that if 
this change were required, then the Board should clarify the definition 
of ``full faith and credit of a sovereign entity'' and how to determine 
that using North American Industry Classification System (NAICS) codes. 
The commenter further suggested that the Board confirm whether the 
determination of designated central counterparties (CCPs) not located 
in the U.S. is consistent with those CCPs identified as Qualifying 
Central Counterparty (QCCP) under 12 CFR 217. If this is not the 
intended population, the commenter recommended that the Board specify 
the supervisory provisions that would constitute an international CCP 
being regulated and supervised in a manner equivalent to the designated 
financial market utilities. The Board notes that the proposed change to 
the instructions on sovereign and designated CCP counterparties is a 
codification of how the Board requires firms to calculate their largest 
counterparty as part of the large counterparty default (LCPD) 
component. However, the Board does acknowledge the benefit of using the 
definitions of sovereign and CCPs that are consistent with those in the 
regulatory capital rules. Given this, the Board is revising the 
definitions of sovereign and CCPs, including the scope of QCCPs vs non-
QCCPs, to correspond with the definitions in section .2 of the 
regulatory capital rules (12 CFR 217), as recommended by the commenter. 
As a result of the Board revising the instructions to use the 
definition of sovereign in regulatory capital rules and the delaying of 
the effective date until June 30, 2020, the Board believes the concerns 
raised by the commenter have been mitigated.
    The Board proposed to revise Schedule L.1.a (Individual 
Counterparties--Credit Valuation Adjustment (CVA)) to clarify that 
individual counterparties should be captured at the legal entity level, 
rather than at the aggregated parent or consolidated level. Two 
commenters asked the Board to clarify how this change impacts Schedule 
L.1.e (Aggregate CVA Data by Ratings and Collateralization) and 
Schedule L.4 (Aggregate and Top 10 CVA Sensitivities by Risk Factor). 
The Board is revising the instructions to show that Schedule L.1.e 
should be reported based on the immediate counterparty LEI facing the 
firm and that Schedule L.4 should continue to be reported at the 
aggregated parent or consolidated counterparty level.
    The Board received a comment recommending that language be added to 
the Schedule L instructions specifying how the schedule should relate 
to data reported in FR Y-14A, Schedule A.5 (Counterparty Credit Risk). 
The Board strives to align or otherwise connect related data fields, 
where applicable, and is including language in the technical 
instructions to clarify how the data should reconcile between these two 
schedules with regards to both CVA and LCPD.

FR Y-14M

Schedule A (Domestic First Lien Closed-End 1-4 Family Residential Loan) 
and Schedule B (Domestic Home Equity Loan and Home Equity Line)

    The Board proposed to revise Schedules A and B to indicate that in 
cases of involuntary terminations, loans should be reported for up to 
24 months following termination until data in the four loss severity 
fields are available to report. The Board notes that this change should 
apply to loans that have experienced an involuntary termination within 
the past 12 months of the date of the revised instructions and for 
which the four loss severity fields are available. One commenter asked 
whether this revision should only be applied to accounts where the 
event (i.e., charge-off and involuntary termination) occurred in the 
first month after the revision became effective, and which accounts 
should now be included in these schedules. The Board clarifies that the 
reporting of accounts where the event occurred 12 months prior to the 
date of the revised instruction is not changing, and firms are not 
required to include accounts where the event occurred 24 months prior 
to the date of the revised instructions.
    The Board received two other comments on its proposal regarding 
reporting cases of involuntary terminations on Schedule A and B. The 
first comment states that this proposal will create additional 
operational burden, specifically as it relates to loans serviced by 
others. Per the comment, loan servicers are responsible for tracking 
non-performing loans/lines, regardless of lien position, through the 
full loss mitigation process. When a loan/line is involuntary 
liquidated, the servicer is responsible for recording all of the loss 
severity information and passing that information to the bank that owns 
the loan/line. When this happens, the owning bank removes the 
liquidated loan/line from its system. The commenter points out that 
this revision should only be applied prospectively (i.e., for accounts 
with involuntary terminations from the date of the revised instructions 
forward). The second comment asks that certain commercial and serviced 
loans be exempt from this treatment, and asks to confirm whether all 
fields on Schedules A and B need to be filled out for these loans/
lines, or whether only the loss severity fields need to be filled out.
    The Board notes that only a portion of recoveries are realized 
within the first 12 months after charge-off, and so moving to a 24 
month window would portray a more complete picture of applicable 
recoveries. The Board further notes that in the case of involuntary 
terminations, loans should be reported for up to 24 months following 
termination, until the data on specified fields (items 93 (``Total Debt 
at Time of any Involuntary Termination''), 94 (``Net Recovery 
Amount''), 95 (``Credit Enhanced Amount''), and 121 (``Sales Price of 
Property'')) are available to

[[Page 70537]]

report. If the data are available sooner, the firm does not have to 
continue reporting these loans in the following months. Moreover, these 
fields should only be reported for any portfolio or private securitized 
loans that experienced involuntary terminations. Per the proposal, the 
Board will require firms to carry involuntary liquidated loans/lines up 
to 24 months to fully populate all fields up until all the fields are 
captured or 24 months. A firm does not need to change its reporting 
conventions for loans before and after the involuntary liquidations. 
The Board has adopted the revision as proposed.
    The Board proposed to revise item 65 (``Foreclosures Status'') of 
Schedule A to clarify that in the month a loan liquidates, a firm 
should report the loan as a post-sale foreclosure. One commenter noted 
that a loan could have moved from a post-sale foreclosure to real 
estate owned in the month a loan liquidates, and suggested the Board 
clarify in the instructions that item 65 should be reported as of the 
month end in the month the loan liquidates. The Board notes that the 
instructions for this item already require reporting as of the end of 
the reporting month. However, for clarification purposes, the Board is 
revising the instructions to indicate that if a loan was in foreclosure 
in the prior month, and the loan liquidates during the current month, 
then it should be reported as a post-sale foreclosure.
    The Board proposed to revise Schedule A, item 59, and Schedule B, 
item 43 (both ``Principal and Interest (P&I) Amount Current''), to 
clarify that firms should report the principal and interest due from 
the borrower in the reporting month, even in cases of balloon loans 
that mature in the reporting month. One commenter pointed out that this 
clarification contradicts other parts of these items instructions, 
which state that a loan in the process of paying off in a reporting 
month can be reported with a value of zero. As a result, the Board is 
revising the instructions for these two items to state that for balloon 
loans in the process of paying off in a reporting month, firms should 
report the full amount due.
    The Board proposed to add two new items to Schedule B (items 118 
(``Charge-off Amount'') and 119 (``Charge-off Date'')). A commenter 
asked whether similar fields should have been added to Schedule A. The 
Board did not propose to add these fields to Schedule A, as it does not 
need this information for that loan population.

Schedule D (Domestic Credit Card)

    The Board proposed to revise the instructions for Schedule D to 
state if an account at the time of closure or charge-off had a positive 
unpaid balance that needed to be repaid or recovered, then information 
on that account should be reported up to 24 months after the closure or 
charge-off. Previously, information on that account would have only 
been reported up to 12 months after the closure or charge-off. A 
commenter noted that this requirement should only be applied 
prospectively due to the burden of retrieving data from the past 24 
months. The Board notes that only a portion of recoveries are realized 
within the first 12 months after charge-off, and so moving to a 24 
month window would portray a more complete picture of applicable 
recoveries. The Board notes that this reporting change should only 
apply to loans that have experienced a charge-off or termination event 
within the past 12 months of the date of the revised instructions. The 
Board has adopted this revision as proposed.
    The same commenter asked the Board to clarify when closed accounts 
should be excluded in cases when they have a zero balances at closure 
and in cases where they do not. The Board clarifies that charge-off and 
non-charge off accounts should be have a zero balance reported in the 
month they close, and should be excluded in the month after they close. 
Accounts that have a balance greater than zero when closed should be 
reported up to 24 months after they close.
    The Board proposed to update the instructions for items 17 
(``Managed Recoveries'') and 18 (``Booked Recoveries'') on Schedule D 
to clarify that all gross charge-offs, including those related to 
acquired impaired loans, should be included. One commenter asked why 
charge-offs should be included in amounts related to recoveries. The 
Board is revising the instructions to make it clear that these items 
should be capturing the recovery of the charged-off amount for acquired 
impaired loans.
    The Board proposed to add a clause to the instructions for item 68 
(``Account Sold Flag'') on Schedule D to indicate that firms must start 
to report this item from the sale announcement date. The instructions 
were previously ambiguous as to when to begin to report this item. One 
commenter asked how this item should be reported if the sale has been 
announced but the accounts in the portfolio to be sold have not yet 
been finalized. The commenter asked the Board to allow for firms to not 
report this item if the information needed to report is not available 
as of the sale announcement date. The Board needs the information 
reported in this item as soon as it is available in order to adequately 
assess the risk effects of portfolios that are in the process of being 
sold, and so has adopted the revision as proposed.
    One commenter requested revising the FR Y-14M to be reported 
quarterly instead of monthly, citing reporting burden of monthly filing 
as a rationale. Monthly data collection allows the Board's financial 
models to be sensitive to high-frequency changes in risk drivers, and 
so the Board will continue to require monthly data.
    The Board did not propose revising how retired fields on the FR Y-
14M should be reported. However, a commenter requested the Board 
confirm whether retired fields should be removed from the report or 
remain in the schedules but reported with null values. The Board 
confirms that due to previously received industry feedback regarding 
the burden of renumbering items, retired fields should continue to 
reported and reported with null values.

CECL Proposal Comments

General

    The Board proposed to add items and update references to the FR Y-
14 reports to incorporate CECL. One commenter expressed concern that 
firms would be required to produce additional information in order to 
demonstrate how their projections incorporating CECL differ from what 
the projections would have been under the incurred-loss methodology, 
even if the firms intend to retire their incurred-loss models upon 
adoption of CECL and do not intend to maintain parallel processes. The 
commenter referenced CCAR FAQ GEN0207,\13\ in which the Board stated 
that firms should prepare to submit documentation on the methodology 
used to produce the capital plan submission in accordance with the 
capital plan rule. CCAR FAQ GEN0207 further stated that examiners may 
request any additional documentation necessary to understand and 
support the firm's estimated stressed capital insomuch as the firm 
relied upon that information to create and approve that plan. Per the 
response to CCAR FAQ GEN0207, firms are not required to maintain 
parallel methodologies (i.e., CECL and incurred-loss). Firms only need 
to provide documentation on the methodology

[[Page 70538]]

used in their projections and capital plans.
---------------------------------------------------------------------------

    \13\ https://www.federalreserve.gov/publications/comprehensive-capital-analysis-and-review-questions-and-anwers.htm.
---------------------------------------------------------------------------

    The Board received a comment regarding whether the effective dates 
for CECL filers will be revised based on FASB's recent proposal to 
delay CECL effective dates for certain institutions (FASB approved this 
proposal on October 17, 2019).\14\ The Board had initially proposed to 
remove incurred-loss model items and references from the FR Y-14 
reports by March 31, 2022, at the latest, as that was the anticipated 
time by which all filers would have adopted CECL. However, given this 
extension, the Board is delaying the removal of these items until March 
31, 2023.
---------------------------------------------------------------------------

    \14\ https://www.fasb.org/jsp/FASB/Document_C/DocumentPage?cid=117617376157&acceptedDisclaimer=true.
---------------------------------------------------------------------------

    The Board received a comment asking how the implementation of CECL 
would impact the disclosure of DFAST/CCAR results. The commenter points 
out that the fundamental inconsistencies between how the Board and 
participating firms will calculate credit loss allowances over the 
projection horizon will present challenges in comparing the risk 
profiles and capital planning capabilities of firms. Further, per the 
comment, stakeholders may have difficulty evaluating and understanding 
firms' stress-test disclosures, as well as the DFAST and CCAR results, 
because of the different methodologies used among firms and by the 
Board. To avoid potential confusion for stakeholders, the commenter 
recommends that the Board explain in its DFAST and CCAR results 
publications that its projections for the supervisory severely adverse 
scenario are not comparable to firms' projections for the same scenario 
because of the fundamentally different methodologies used by the Board 
and firms to project credit loss allowances, and that firms' own 
projections may not be comparable to one another's because of 
differences in how they incorporated CECL into their projection 
methodologies. Finally, the commenter recommends that to further 
promote clear communication to stakeholders and stakeholders' 
understanding of the stress test results, the Board should provide a 
template disclosure that firms could include in their own DFAST 
disclosures explaining that their projections may not be comparable to 
those of other firms, and are not comparable to those of the Board 
because of methodological differences relating to the projections of 
credit loss allowances. In response, the Board understands the concerns 
posed by the commenter, and will consider this comment as part of its 
results disclosure process.

FR Y-14A

General

    In the initial proposal, the Board mentioned that it would update 
applicable reporting instructions to account for the exclusion of 
unconditionally cancelable commitments from the allowance for credit 
losses off-balance sheet exposures. One commenter pointed out that the 
Board did not make any such revisions. The Board notes that the 
reference to updating applicable instructions should not have been made 
in the initial proposal because the only instructions that mention 
unconditionally cancelable commitments refer to the definition on the 
FR Y-9C, and so no additional updates were necessary.

Schedule A.1.a (Income Statement)

    The Board proposed to add items that capture the provisions, net 
charge-offs, and allowances for held-to-maturity (HTM) and available-
for-sale (AFS) debt securities to Schedule A.1.a. However, the Board 
did not add items that capture these fields for all other financial 
assets that fall within the scope of CECL, such as securities purchased 
under agreements to resell and other assets. One commenter pointed out 
that without adding these items, net income as reported on Schedule 
A.1.a would not be accurate. The Board notes that under the proposed 
instructions, net income would not reconcile across the FR Y-14 and FR 
Y-9C reports, and is revising the form and instructions to add 
applicable items to capture all other financial assets that fall within 
the scope of CECL.

Schedule A.1.b (Balance Sheet)

    The Board proposed to revise the instructions for ``Other assets'' 
(item 129) to change the FR Y-9C items referenced in the definition. 
Specifically, the Board proposed to remove references to FR Y-9C, 
Schedule HC (Balance Sheet), items 8 (``Investments in unconsolidated 
subsidiaries and associated companies'') and 9 (``Direct and indirect 
investments in real estate ventures''). One commenter noted that if the 
references to items 8 and 9 were removed, then the total assets 
balances would not reconcile between the FR Y-14A and FR Y-9C. The 
Board notes the total balances would not reconcile under the proposed 
revision, and is revising the instructions to add back these 
references.

Schedule A.1.d (Capital)

    The Board proposed several revisions to Schedule A.1.d to mirror 
those made to FR Y-9C, Schedule HC-R (Regulatory Capital), Part I 
(Regulatory Capital Components and Ratios), to incorporate the adoption 
of CECL. One commenter pointed out that in the proposed revisions for 
item 54 (``Allowance for loan and lease losses includable in tier 2 
capital''), the Board did not properly mirror the revisions to the 
equivalent item on the FR Y-9C, Schedule HC-R, Part I (item 30.a), in 
that it did not add a clause to the instructions for item 54 specifying 
that firms should only include the portion of allowance for loan and 
lease losses (ALLL) or adjusted allowances for credit losses (AACL) 
that is includable in tier 2 capital, per the regulatory capital rule. 
The Board notes that this clause should be added to the instructions, 
as only the ALLL or AACL that is included in tier 2 capital should be 
included in item 54, and is revising the instructions for item 54 to 
use language in the equivalent FR Y-9C item.
    The Board did not propose to revise the instructions for item 96 
(``Supplementary leverage ratio exposure'') to state that firms that 
have adopted ASU 2016-13 and have elected to apply the transition 
provision should incorporate the effects of this transition. One 
commenter pointed out that per the regulatory capital rules, the 
transitional amount should also be applied to the supplementary 
leverage ratio, and suggested the Board revise the instructions for 
item 96 to indicate so. The Board confirms that the transitional amount 
should be applied to the supplementary leverage ratio. However, the 
current instructions for item 96 directly reference the regulatory 
capital rules, which describe the items to which the transitional 
amount applies. Given this, the Board does not believe any further 
clarification is necessary.
    The Board did not propose to add an item to separately capture the 
AACL on PCD assets on the FR Y-14. One commenter asked the Board to 
confirm it will not ask firms to provide this information through a 
supplemental request. The Board does not intend to add an item to 
separately capture this value on the FR Y-14.

Schedules A.3.f and A.3.g (Expected Credit Loss and Provision for 
Credit Loss--HTM and AFS Securities, Respectively)

    The Board proposed to add Schedules A.3.f and A.3.g to capture 
allowance for credit loss information on HTM and AFS securities. One 
commenter asked

[[Page 70539]]

whether the ``Total allowance for credit loss'' items on both schedules 
should be reported as of the prior quarter, the current quarter, or a 
projected quarter. The Board is revising the instructions to clarify 
that these items should be reported as of the report date (i.e., 
current quarter).
    One commenter requested that the Board specify what the ``Expected 
loss'' item in both schedules consists of, whether it corresponds to 
any FR Y-9C item, and how it differs from the ``Provision for credit 
loss'' item that is also on both schedules. The ``Expected loss'' item 
is the expected credit losses as defined by ASU 2016-13 and before 
applying the ``fair value floor'' that limits the amount of the 
allowance for credit losses to the amount by which fair value is below 
amortized cost. This item should equal FR Y-9C, Schedule HI-B (Charge-
offs and Recoveries on Loans and Leases and Changes in Allowances for 
Credit Losses), Part 2 (Change in Allowances for Credit Losses), item 5 
(``Provision for credit losses''). To avoid confusion, the Board is 
renaming the ``Expected loss'' item to ``Expected credit loss before 
applying the fair value floor,'' and is revising the instructions to 
indicate this as well. Also in response to this comment, the Board is 
removing the ``Amortized cost of securities intended to sell or will be 
required to sell before recovery of amortized cost'' item from Schedule 
A.3.g, as it is no longer necessary.
    Finally, one commenter asked the Board to confirm that the sum of 
provision for credit loss items reported on Schedules A.3.f and A.3.g 
should equal proposed items 91.b (``Provisions for credit losses on 
held-to-maturity debt securities during the quarter'') and 91.c 
(``Provisions for credit losses on available-for-sale securities during 
the quarter'') on Schedule A.1.a, respectively. The Board confirms 
these values should be equal.

Collection of Supplemental CECL Information

    The Board proposed to add a collection of supplemental CECL 
information to be reported by institutions that adopt ASU 2016-13 that 
captures the timing and impact of CECL adoption as of December 31. This 
collection would require firms to report actual values (i.e., not 
projected) that incorporate the adoption of CECL on the FR Y-14A, in 
the stress test cycle year of adoption. One commenter notes that the 
collection of supplemental CECL information would not require reporting 
of information on the stressed impact of CECL on either existing 
portfolios or on newly originated exposures during the stress test 
horizon. The commenter is also concerned that this proposed collection 
would not provide the Board with the insight it is seeking into the 
stressed impacts of CECL since these potential losses are important 
components of overall CECL estimates. The commenter further suggested 
that the Board provide a description of the relationship between each 
item on Collection of Supplemental CECL information and items on the FR 
Y-14A, Summary sub-schedules. Finally, the commenter pointed out that 
the instructions for item 6 (``Total allowance for credit losses'') 
refer to sub-items 5.a and 5.b, which do not exist.
    The Board notes that it intends to collect information of the day 1 
unstressed impact; that is, the effect of the change in accounting 
principles on the effective date of CECL (i.e., not the impact over the 
entire projection horizon). The Board also notes that because this 
collection is a pro-forma estimate of the effect of the change in 
accounting principles, there is no relationship between items on this 
schedule and other FR Y-14A items corresponding to prior quarter end 
financial statement data. The Board believes that it will have 
sufficient data under the collection to reflect the impact of stress 
losses under CECL accounting. Therefore, the Board has adopted this 
revision as proposed, except that it is revising the heading on the 
form to make it clear that the Board is asking for the effect of 
changes in accounting principles, and it is revising the instructions 
for item 6 to refer to the sub-items of item 6. For clarification 
purposes, the Board is also updating the FR Y-14A instructions to 
include language about when this schedule should be filed and which 
items need to be reported for certain firms.
    FR Y-14Q

Schedule B (Securities)

    The Board proposed to add two items to Schedule B that would only 
be completed by firms that have adopted CECL (``Amount of allowance for 
credit losses'' and ``Writeoffs''). One commenter asked whether the 
Board will specify that reporting debt securities on a trade-lot level 
will continue to apply to firms that have adopted CECL if they 
calculate their credit loss allowances for AFS debt securities on 
security-level basis or for HTM debt securities on either a security-
level or pool-level basis. The Board is revising the instructions for 
these two items to instruct firms that if a given allowance measurement 
or specific writeoff applies to more than one row on the reporting 
form, to allocate the allowances across the relevant investments on a 
pro rata basis, based on amortized cost.
    The Board proposed instructions for ``Writeoffs'' to require firms 
to report any writeoffs of the security during the quarter. One 
commenter asked the Board to clarify whether that means on a quarter-
to-date, year-to-date, or lifetime-to-date basis. The Board is revising 
the instructions to clarify that this item should be reported on a 
quarter-to-date basis.

Schedule D (Regulatory Capital)

    The Board proposed minor revisions to Schedule D in the CECL 
proposal, but substantial revisions to the schedule in the non-CECL 
proposal. Two firms commented as to how to reconcile revisions in the 
event that certain text and items were eliminated in one proposal but 
not the other. Since the Board has adopted both proposals at the same 
time, the combined instructions document should clear up any ambiguity. 
Further, the Board clarifies that Schedule D should be reported by all 
firms that file the FR Y-14Q, and not just advanced approaches firms.

Schedule H (Wholesale)

    The Board proposed to revise the instructions to Schedule H.1, item 
24 (``Committed Exposure Global'') to require firms to report the total 
commitment amount as the sum of loan and lease financing receivables 
recorded in FR Y-9C, Schedule HC-C (reported in field 25--``Utilized 
Exposure Global'') and any unused portion of the commitment recorded in 
Schedules HC-F (Other Assets), HC-G (Other Liabilities), and HC-L 
(Derivatives and Off-Balance Sheet Items). One commenter said that this 
revision made it unclear what to report in this item, and recommended 
the Board clarify the types of unused loan commitments that should be 
reported instead of referencing other FR Y-14Q or FR Y-9C items. The 
Board does not believe further clarification is necessary for two 
reasons. First, the Schedule H instructions already define the 
reportable facilities. Second, the Board believes it is better to 
leverage existing instructions within or across reports in order to 
reduce burden and improve data accuracy. The Board has adopted the 
revision as proposed.
    The Board proposed to add additional items to Schedules H.1 and H.2 
that are only reported by firms that have adopted CECL. Two of these 
items, ``ASC326-20'' and ``Purchased Credit Deteriorated Noncredit 
Discount'' (Schedule H.1--items 102 and 103;

[[Page 70540]]

Schedule H.2--items 63 and 64, respectively), require firms to report 
the information at the credit facility level, if available, or if not, 
at a pro-rated allocation from the collective (pool) basis. One 
commenter stated it was unclear which basis should be used for the 
proposed allocation. Further, the commenter is concerned that without a 
prescribed allocation methodology, methods could vary broadly across 
firms. Per the comment, this inconsistency would weaken comparability 
and reduce the value of this schedule. Finally, the commenter requested 
the Board remove the requirements proposed in these two items, and 
instead prescribe a clear allocation methodology. The Board believes 
that the reporting firm is in the best position to determine the 
appropriate allocation methodology, and does not want to impose 
additional burden by prescribing a single allocation methodology. The 
Board has adopted the revision as proposed.

FR Y-14M

    Generally, institutions subject to filing the FR Y-14 reports would 
reflect the CECL standard in data reported on the FR Y-14A, FR Y-14Q, 
and FR Y-14M, with as-of dates following the start of the firm's fiscal 
year and the adoption of the standard, beginning with the FR Y-14 
reports as of December 31, 2019. In the initial proposal, the Board 
instructed firms to refer the final CECL rule for specifics surrounding 
inclusion of credit losses in a given stress test cycle. One commenter 
asked if a firm that adopts CECL January 1, 2020, could report CECL-
related FR Y-14M items on a best effort basis for its January and 
February 2020 FR Y-14M submissions. The rationale for this request is 
that a firm will be required to file other regulatory reports 
reflecting CECL for the first time as of March 31, 2020 (FR Y-9C, FR Y-
14Q, Securities and Exchange Commission (SEC) reports, etc.). In light 
of the concerns posed in this comment, the Board is allowing CECL-
related FR Y-14M items to be reported on a best effort basis for the 
January and February 2020 submissions.

    Board of Governors of the Federal Reserve System, December 18, 
2019.
Michele Taylor Fennell,
Assistant Secretary of the Board.
[FR Doc. 2019-27655 Filed 12-20-19; 8:45 am]
 BILLING CODE 6210-01-P