[Federal Register Volume 89, Number 120 (Friday, June 21, 2024)]
[Notices]
[Pages 52042-52050]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-13798]


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FEDERAL RESERVE SYSTEM


Proposed Agency Information Collection Activities; Comment 
Request

AGENCY: Board of Governors of the Federal Reserve System.

ACTION: Notice, request for comment.

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SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
invites comment on a proposal to extend for three years, with revision, 
the Capital Assessments and Stress Testing Reports (FR Y-14A/Q/M; OMB 
No. 7100-0341).

DATES: Comments must be submitted on or before August 20, 2024.

ADDRESSES: You may submit comments, identified by FR Y-14A/Q/M, by any 
of the following methods:
     Agency Website: https://www.federalreserve.gov/. Follow 
the instructions for submitting comments at https://www.federalreserve.gov/apps/foia/proposedregs.aspx.
     Email: [email protected]. Include the OMB 
number or FR number in the subject line of the message.
     FAX: (202) 452-3819 or (202) 452-3102.
     Mail: Federal Reserve Board of Governors, Attn: Ann E. 
Misback, Secretary of the Board, Mailstop M-4775, 2001 C St. NW, 
Washington, DC 20551.
    All public comments are available from the Board's website at 
https://www.federalreserve.gov/apps/foia/proposedregs.aspx as 
submitted, unless modified for technical reasons or to remove 
personally identifiable information at the commenter's request. 
Accordingly, comments will not be edited to remove any confidential 
business information, identifying information, or contact information. 
Public comments may also be viewed electronically or in paper in Room 
M-4365A, 2001 C St. NW, Washington, DC 20551, between 9:00 a.m. and 
5:00 p.m. on weekdays, except for Federal holidays. For security 
reasons, the Board requires that visitors make an appointment to 
inspect comments. You may do so by calling (202) 452-3684. Upon 
arrival, visitors will be required to present valid government-issued 
photo identification and to submit to security screening in order to 
inspect and photocopy comments.
    Additionally, commenters may send a copy of their comments to the 
Office of Management and Budget (OMB) Desk Officer for the Federal 
Reserve Board, Office of Information and Regulatory Affairs, Office of 
Management and Budget, New Executive Office Building, Room 10235, 725 
17th Street, NW, Washington, DC 20503, or by fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT: Federal Reserve Board Clearance 
Officer--Nuha Elmaghrabi--Office of the Chief Data Officer, Board of 
Governors of the Federal Reserve System, [email protected], (202) 
452-3884.

SUPPLEMENTARY INFORMATION: On June 15, 1984, OMB delegated to the Board 
authority under the Paperwork Reduction Act (PRA) to approve and assign 
OMB control numbers to collections of information conducted or 
sponsored by the Board. In exercising this delegated authority, the 
Board is directed to take every reasonable step to solicit comment. In 
determining whether to approve a collection of information, the Board 
will consider all comments received from the public and other agencies.
    During the comment period for this proposal, a copy of the proposed 
PRA OMB submission, including the draft reporting form and 
instructions, supporting statement (which contains more detail about 
the information collection and burden estimates than this notice), and 
other documentation, will be made available on the Board's public 
website at https://www.federalreserve.gov/apps/reportingforms/home/review or may be requested from the agency clearance officer, whose 
name appears above. Final versions of these documents will be made 
available at https://www.reginfo.gov/public/do/PRAMain, if approved.

Request for Comment on Information Collection Proposal

    The Board invites public comment on the following information 
collection, which is being reviewed under authority delegated by the 
OMB under the PRA. Comments are invited on the following:
    a. Whether the proposed collection of information is necessary for 
the proper performance of the Board's functions, including whether the 
information has practical utility;
    b. The accuracy of the Board's estimate of the burden of the 
proposed information collection, including the validity of the 
methodology and assumptions used;
    c. Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    d. Ways to minimize the burden of information collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    e. Estimates of capital or startup costs and costs of operation, 
maintenance, and purchase of services to provide information.
    At the end of the comment period, the comments and recommendations 
received will be analyzed to determine the extent to which the Board 
should modify the proposal.

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

    Collection title: Capital Assessments and Stress Testing Reports.
    Collection identifier: FR Y-14A/Q/M.
    OMB Control Number: 7100-0341.
    General description of collection: The FR Y-14A, FR Y-14Q, and FR 
Y-14M reports (FR Y-14 reports) are used to set firms' stress capital 
buffer (SCB)

[[Page 52043]]

requirements, support the supervisory stress test models, and collect 
company-run stress test results. The data are also used to support the 
supervision and regulation of these financial institutions.
    Proposed revisions: The Board proposes to revise the FR Y-14 
reports to implement various changes to the reports that would collect 
more granular information on lending to nondepository financial 
institutions (NDFIs), improve the timeliness and coverage of the 
Board's collections of counterparty credit risk data, remove data 
fields deemed no longer necessary, and make other minor revisions and 
instructional clarifications. For the FR Y-14Q and FR Y-14M, the 
proposed revisions would be effective for the September 30, 2024, as-of 
date submissions, and for the FR Y-14A, the December 31, 2024, as-of 
date submissions.

General

FR Y-14 Q&A System
    Firms that report the FR Y-14 frequently have questions on the 
reporting requirements. In order to promote the accuracy and 
consistency of the FR Y-14 reports, the Board developed a Q&A system 
where firms could submit questions to receive clarification on 
reporting the FR Y-14. Due to the volume of questions received and the 
detailed scenarios described in some questions, the Board is limited in 
its ability to address all submitted questions, and firms occasionally 
do not receive responses in a timely manner. Often, revisions to the FR 
Y-14 address outstanding questions or otherwise make previous questions 
no longer applicable. Moreover, during the revision process, the public 
is provided the opportunity to comment on various aspects of the FR Y-
14 that are unclear. Therefore, unanswered questions that predate the 
most recent FR Y-14 revisions may become obsolete.
    In connection with this proposal, the Board encourages the 
submission of comments regarding any aspects of the FR Y-14 
instructions that may be unclear. Upon receipt of public comments 
following the proposal, the Board intends to answer relevant 
unaddressed questions and retire unanswered questions in the system 
submitted prior to publication of the initial notice. Firms will 
continue to have the opportunity to submit questions related to the FR 
Y-14 to the Federal Reserve.
    Question 1: Given that revisions to the FR Y-14 often address 
outstanding questions, what are the advantages or disadvantages to 
retiring the outstanding questions in the FR Y-14 Q&A system following 
the receipt of public comments?
Supporting Documentation
    Firms currently use Intralinks to submit supporting documentation 
for certain FR Y-14A/Q/M schedules to the Board. Intralinks is being 
replaced by One Agile Supervision Solution (OASiS), and firms will be 
required to submit supporting documentation through OASiS instead of 
Intralinks for the 2024 supervisory stress test. Therefore, the Board 
proposes to update all references to Intralinks in the FR Y-14A/Q/M 
instructions to reflect the transition to OASiS.
Historical Data
    New reporters of the FR Y-14 are currently required to provide 
historical reports of the FR Y-14Q PPNR and Retail schedules, providing 
reports for all periods from when it first submits the FR Y-14 back to 
March 2009 and January 2007, respectively. Firms began reporting the FR 
Y-14 in 2012, and this historical data requirement enabled the Board to 
understand how a firm's retail and PPNR schedules had performed in the 
years preceding the initial submissions, to appropriately project its 
losses in the supervisory stress test. However, given the passage of 
time, firm-level historical data from as far in the past as 2007 or 
2009 is less relevant to modeling a firm's losses in the stress test. 
Additionally, firms that join the FR Y-14 panel may face significant 
burdens to produce the required historical data. Therefore, the Board 
proposes to modify this requirement in the FR Y-14Q instructions such 
that new reporters, or existing reporters that must begin filing a 
Retail schedule, would be required to provide historical reports only 
for the five years preceding the first quarter that the firm is subject 
to reporting. This change would reduce reporting burden, align with the 
original spirit of the FR Y-14 historical reporting requirements, and 
make the reporting requirement consistent for all firms regardless of 
when they begin reporting.
    Question 2: The Board has not established a process through which a 
firm may request an exemption from an FR Y-14 historical data reporting 
requirement. What would be the advantages and disadvantages of 
establishing such a process? In particular, would such a process be 
appropriate even if the changes to the historical data reporting 
requirements described above are adopted? If a process for requesting 
an exemption is established, what factors, such as the unavailability 
of data, cost of providing data, or materiality of data, should the 
Board consider in acting in these types of requests? In addition, what 
would be an appropriate deadline for the filing of such requests (for 
example, one month, three months, or six months prior to the date on 
which the data would be due)?
    Question 3: As an alternative to the proposed requirement to 
provide five years of historical data, what would be the advantages and 
disadvantages of requiring historical data from a different number of 
years, such as 2 years or 10 years?
Exploratory Market Shocks
    The supervisory stress test includes a global market shock (GMS) 
component that applies to covered companies with substantial trading 
exposures and is calculated using a large set of shocks to market risk 
factors.\1\ The losses associated with the GMS are included in a firm's 
losses under the severely adverse scenario, and consequently, generally 
feed into their ultimate SCB requirement. Currently, the use of a 
single GMS limits the Board's ability to capture and test a firm's 
resilience to a range of risks, which is the purpose of the supervisory 
stress test. Exploratory market shocks are informative to supervisory 
efforts and help bolster the safety, soundness, and resiliency of the 
financial system. Consistent with the nature of exploratory market 
shocks and their information-serving purposes, the losses associated 
with any exploratory market shocks would not contribute to firms' 
capital requirements. Therefore, to expand risk identification beyond 
the current GMS framework, the Board proposes to revise the FR Y-14 
instructions to require firms to submit relevant data with respect to 
all market shocks that the Board may conduct in a given year, including 
any exploratory market shocks. Firms currently subject to the GMS 
component of the supervisory stress test would be required to report FR 
Y-14 information related to any exploratory market shocks. For purposes 
of estimating the burden associated with the FR Y-14, the Board 
estimates that it would conduct two exploratory market shocks per year. 
However, the number of exploratory market shocks conducted may vary 
from year to year.
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    \1\ See Board of Governors of the Federal Reserve System, 2023 
Stress Test Scenarios (February 2023), https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20230209a1.pdf.
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Collection of Supplemental CECL Information
    The FR Y-14A, ``Collection of Supplemental CECL Information'' is a 
one-time submission required from

[[Page 52044]]

firms that have adopted ASU 2016-13, which collects certain information 
reflecting the current expected credit losses (CECL) methodology. This 
collection was implemented to identify the effect and timing of the 
adoption of CECL and the associated transition provisions, as provided 
by section 301 of the regulatory capital rules. As all firms have now 
adopted ASU 2016-13, this supplemental collection is not needed on a 
go-forward basis for modeling or analytic purposes. Therefore, the 
Board proposes to remove the ``Collection of Supplemental CECL 
Information'' from the FR Y-14A.
Other Revisions
    For Comprehensive Capital Analysis and Review (CCAR) submissions of 
FR Y-14A, Schedule A (Summary), under both the internal stress scenario 
as well as the supervisory severely adverse scenario, firms are 
currently instructed to report alternative capital actions, which the 
firms would expect to take if the stress scenario were realized. Per 
the Board's capital rule, the maximum payout amount is a function of a 
firm's eligible retained income and capital ratios.\2\ However, upon a 
request of the Board-regulated institution, the Board may approve 
additional distributions if it determines that the distribution would 
not be contrary to the purposes of this capital rule, or to the safety 
and soundness of the Board-regulated institution.\3\ To accurately 
monitor firms' capital ratios and plans under the internal stress 
scenario and the supervisory severely adverse scenario, the Board 
proposes to instruct firms to report the CCAR submissions of Schedule A 
inclusive of capital actions for which the firm expects to request 
prior approval under 12 CFR 217.11.
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    \2\ 12 CFR 217.11(a)(2)(ii).
    \3\ 12 CFR 217.11(c)(1)(vi).
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    Net charge-offs are generally defined to be gross of write-downs. 
FR Y-14A, Schedule A.1.a (Income Statement), line item 114 (``Total Net 
Charge-offs during the quarter'') instructs firms to report as defined 
in the FR Y-9C, Schedule HI-B (Charge-Offs and Recoveries on Loans and 
Leases and Changes in Allowances for Credit Losses), Part I (Charge-
offs and Recoveries on Loans and Leases), line item 9 (Total), column A 
(Charge-offs) minus column B (Recoveries) and is derived as the sum of 
Schedule A.1.a., items 114a-d. However, FR Y-9C, Schedule HI-B, Part I, 
line item 9, column A is charge-offs gross of write downs, and Column B 
is recoveries. The calculation defined in the instructions for line 
item 114a (``Net charge-offs during the quarter on loans and leases'') 
is FR Y-9C, Schedule HI-B, Part II (Changes in Allowances for Credit 
Losses), Column A (Loans and leases held for investment, item 3 
(Charge-offs) minus item 2 (Recoveries), where item 3 is charge-offs 
net of write-downs. This creates an inconsistency between how firms are 
instructed to report line item 114, which is done as reported on the FR 
Y-9C, and its sum as a total of line items 114a-d. For alignment and 
accurate reporting, the Board proposes to revise the instructions for 
the FR Y-14A, Schedule A.1.a line item 114a to be gross of write downs 
and line item 114 to be the total of the components, 114a-d.
    FR Y-14A, Schedule A.7.a, item 36 (``Provisions for Unfunded Off-
Balance Sheet Credit Exposures'') instructs firms to report the 
provision for credit losses on off-balance sheet exposures normally 
reported as one of the items in FR Y-9C, Schedule HI, item 7.d (``Other 
noninterest expense''). Prior to implementation of the CECL 
methodology, provisions for off-balance sheet exposures were recorded 
as other noninterest expense. However, CECL incorporates provisions for 
off-balance sheet exposures in provisions for loan and lease losses. 
The FR Y-9C has been updated to reflect this standard. As a result, the 
FR Y-9C, Schedule HI, item 7.d is no longer relevant for item 36 on FR 
Y-14A, Schedule A.7.a. To ensure consistency between reports, the Board 
proposes to update the instructions for item 36 to reference the FR Y-
9C, Schedule HI-B, Part II, item M7 (``Provisions for credit losses on 
off-balance sheet credit exposures'').
    On January 26, 2023, the Board adopted a final rule to implement 
the Adjustable Interest Rate (LIBOR) Act.\4\ The rule established 
benchmark replacements for certain contracts governed by U.S. law to 
address references to LIBOR, which ceased to exist after June 30, 2023. 
The Board therefore proposes to revise the FR Y-14 to remove or replace 
all references to LIBOR in a manner consistent with the rule.
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    \4\ 88 FR 5204 (January 26, 2023).
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Counterparty
Submission of Fourth Quarter Data
    Unstressed submissions of FR Y-14Q, Schedule L (Counterparty) are 
currently collected four times per year. Three of the as-of dates are 
the last calendar days of the first, second, and third quarters. The 
fourth is the Board provided as-of date for the GMS component of the 
supervisory stress test, which must fall between October 1 of the 
previous calendar year and March 1 of the year of the supervisory 
stress test.\5\ These requirements can result in a timing gap between 
the unstressed submissions for the first and third quarters of up to 6 
months. This timing gap can result in the Board not having up-to-date 
data on firms' counterparty credit risks. The absence of important data 
has been noted during times of instability, when it is important to 
have reliable, timely data. To address this limitation and create 
consistency in reporting frequency, the Board proposes to require an 
additional unstressed Schedule L submission as of the last calendar day 
of the fourth quarter. Consistent with the due date for the other FR Y-
14Q schedules as of the fourth quarter, this submission would be due 52 
days after the calendar quarter-end. A stressed and unstressed Schedule 
L would still be submitted as-of the Board-provided GMS date, as is 
currently required.
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    \5\ 12 CFR 252.54(b)(2)(i).
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Reporting Scope and Frequency for Firms Subject to Category I Standards
    The FR Y-14Q instructions set several materiality thresholds to 
determine the frequency and scope of reporting for several schedules. 
Only firms subject to Category I, II, or III standards and that, as of 
two quarters preceding the reporting quarter, have on average for four 
quarters, 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, must submit FR Y-14Q, Schedule L. 
Firms with trading operations below the materiality threshold are not 
required to report Schedule L. As a result, certain U.S. GSIBs do not 
file the complete Schedule L.
    Category I standards apply to firms that qualify as U.S. global 
systemically important banks (GSIBs), given the risk their individual 
failure poses to the broader financial system. For the U.S. GSIBs that 
are not currently required to report Schedule L, the minimal data on 
their counterparty credit exposures is not sufficiently frequent or 
comprehensive to provide meaningful risk monitoring when a financial 
market stress event occurs.
    To ensure that data on all U.S. GSIB counterparty risks, including 
credit valuation adjustment and counterparty default risks, will be 
available in a timely manner, the Board proposes to revise the 
threshold for Schedule L reporting to be inclusive of all firms subject 
to Category I standards. The reporting threshold would remain

[[Page 52045]]

unchanged for firms subject to Category II, III, and IV standards.
Reporting of Counterparties Under the Firm-Generated Scenario
    FR Y-14Q, Schedule L.5 (Derivatives and Securities Financing 
Transactions Profile) collects information on a firm's top 
counterparties associated with securities financing transactions (SFTs) 
and/or derivative positions at the level of positions netting. 
Specifically, Schedule L.5.1 (Derivative and SFT information by 
counterparty legal entity and netting set/agreement) is intended to 
identify the counterparties to these types of positions under ranking 
methodologies and the associated exposures. Schedule L.5 is submitted 
yearly under the stressed conditions as prescribed in the Board-
provided scenario. Firms are also required to generate their own stress 
scenario, but the related exposures are not collected on Schedule L.5. 
To have more information on a firm's view of its own risk profile, the 
Board proposes to require the reporting of Schedule L.5 under the firm-
generated stress scenario. This revision would require a new ranking 
methodology to be reported on Schedule L.5 under which a firm ranks its 
top 25 counterparties by stressed net current exposure (net CE) under 
the firm-generated scenario and the reporting of the related exposures 
on sub-schedules L.5.2-L.5.4.
Assumptions Associated With the Reporting of CVA Sensitivities
    FR Y-14Q, Schedule L.4 (Aggregate and Top 10 CVA Sensitivities by 
Risk Factor) collects sensitivity information of aggregate asset-side 
CVA based on changes in underlying risk factors. Generally, a 
sensitivity refers to a 1-unit change in the risk factor, and a slide 
refers to a larger change in the risk factor. However, Schedule L.4 
does not specify the assumptions under which to calculate the CVA which 
results in inconsistent reporting across firms and hinders data 
comparisons. Additionally, the other CVA sub-schedules (L.1, L.2, and 
L.3) specify that the data are to be reported using the Board-provided 
scenario and specifications (i.e., margin period of risk of 10 business 
days, keeping CSA thresholds flat, no gains from netting, and no credit 
downgrade triggers). To increase the consistency of reporting and to 
better assess the impact of the market shock scenario across firms, the 
Board proposes to specify that the CVA sensitivities on Schedule L.4 
must be reported using the Federal Reserve provided specifications.
Netting When Calculating Net CE
    FR Y-14Q, Schedule L collects information on net CE for SFT 
agreements in a firm's portfolio. Generally, if a firm does not have a 
close-out netting agreement with a counterparty on its SFT portfolio, 
the firm is not allowed to take a netting benefit across the 
transactions but can net exposures across multiple legs within a single 
transaction when calculating net CE. However, the instructions for 
reporting net CE are ambiguous regarding netting practices. To clarify 
the reporting of net CE in Schedule L, the Board proposes to revise the 
instructions to describe how a firm can net exposures when calculating 
net CE for SFTs. This revision would address questions and issues 
raised in FR Y-14 Q&As #Y140001627 and #Y140001614.
Removal of Fields Deemed No Longer Necessary
    FR Y-14Q, Schedule L.5.1 (Derivative and SFT information by 
counterparty legal entity and netting set/agreement) collects 
information about a firm's top counterparties associated with SFTs and/
or derivative positions at the level of position netting under 
different ranking methodologies. The collection of these data supports 
both stress test modeling and supervisory monitoring of counterparty 
exposures. Over time, several items on Schedule L.5.1 have been 
identified as providing minimal value in these supervisory activities. 
These items are:

 Threshold CP
 Threshold BHC or IHC or SLHC
 Minimum Transfer Amount CP
 Minimum Transfer Amount BHC or IHC or SLHC
 CDS Reference Entity Type
 5Y CDS Spread (bp)

    Additionally, the item ``Downgrade Trigger Modeled?'' on Schedule 
L.1.a (Top consolidated/parent counterparties comprising 95% of firm 
unstressed credit valuation adjustment (CVA), ranked by unstressed CVA) 
and L.1.b (Top consolidated/parent counterparties comprising 95% of 
firm stressed CVA, ranked by Federal Reserve Severely Adverse Scenario 
stressed CVA for the CCAR quarter) is no longer necessary as firms are 
instructed to report `NA' in this field. To reduce burden and ensure 
the Board only collects necessary data, the Board proposes to retire 
all the items discussed in this sub-section from Schedule L.
Other FR Y-14Q, Schedule L Revisions
    Firms are required to identify the type of non-cash collateral or 
initial margin that were either posted or received for SFT and 
derivative agreements in the ``Non-Cash Collateral Type'' field, per 
the general instructions for Schedule L.5.1. However, the ``Non-Cash 
Collateral Type'' instructions do not specify if this field applies to 
both derivatives and SFTs. To remove ambiguity, the Board proposes to 
clarify that the ``Non-Cash Collateral Type'' field pertains to both 
SFTs and derivatives. This revision would address questions and issues 
raised in FR Y-14 Q&A #Y140001591.
    On FR Y-14Q, Schedule L.5, firms are instructed to rank their top 
25 counterparties with positive net CE for each of the ranking 
methodologies. However, in some cases, a firm may not have 25 
counterparties with positive net CE. For clarity, the Board proposes to 
specify that if a firm has less than 25 applicable counterparties for a 
given ranking methodology, then it should only report the applicable 
counterparties, and should not report additional counterparties with 
zero net CE. This revision would address questions and issues raised in 
FR Y-14 Q&A #Y140001595.
    Net CE is calculated at the counterparty netting agreement level 
where it is possible for an underlying netting agreement to cover both 
fair-value and accrual SFT agreements. Schedule L currently pertains to 
both fair-value and accrual SFTs, however the instructions only mention 
fair-value SFTs when calculating Net CE. To reduce ambiguity, the Board 
proposes to clarify that, when a netting agreement covers both fair-
value and accrual SFTs, a firm should combine both types of SFTs for 
purposes of reporting Net CE and CVA metrics in Schedule L.
    The FR Y-14Q, Schedule L.5.1 ``Agreement Type'' field requires 
firms to identify the derivative agreement type when at least one of 
the netting sets associated with the counterparty has a legally 
enforceable collateral agreement. For derivatives, allowable entries 
are ``Derivatives 1-way CSA [Credit Support Annex]'', ``Derivatives 2-
way SCSA [Standard Credit Support Annex]'', ``Derivatives 2-way old 
CSA'', or ``Derivatives Centrally Cleared''. However, the instructions 
do not currently provide definitions for these agreement types. The 
Board proposes to clarify that firms should use the International Swaps 
and Derivatives Association, Inc., publication of the 2013 Standard 
Credit Support Annex for the basis of classifying derivatives as SCSA 
and use Old-CSA for agreements made prior to this publication when 
reporting this field.

[[Page 52046]]

Wholesale
    FR Y-14Q, Schedule H (Wholesale) collects loan-level information on 
corporate and commercial real estate loans and leases to support the 
supervisory stress test and risk analyses. The data collected includes 
details on the obligor and loan itself, and the financial health of the 
obligor. The following proposed revisions would enhance Schedule H to 
address growing financial stability risks, improve the quality of 
collected data, and address new accounting standards.
Reporting Treatment of Nondepository Financial Institutions
    U.S. bank exposures to NDFIs have grown rapidly over the past five 
years and reached about $2 trillion in the fourth quarter of 2022.\6\ 
This growth poses risks to banks, as certain NDFIs operate with very 
high leverage and are dependent on credit from the banking sector. 
Currently, data on exposures to NDFIs are limited on the FR Y-14, as 
banks report minimal information about these obligors, relative to 
other corporate borrowers. This lack of data hinders staff's ability to 
consistently measure, monitor, and model the risks stemming from these 
exposures under stress.
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    \6\ See Board of Governors of the Federal Reserve System, 
Financial Stability Report (May 2023), https://www.federalreserve.gov/publications/files/financial-stability-report-20230508.pdf.
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    The FR Y-14 report currently does not require firms to report 
certain financial information (such as total assets, total liabilities, 
short term debt or net income) on NDFI obligors, which results in a 
material data gap. As a result, less than half of the total committed 
exposure on the corporate loan schedule include data on the financial 
health of the obligor. This lack of data means the stress test models 
may not accurately capture risks associated with loans to NDFIs. 
Similarly, this lack of data reduces the consistency of measurement and 
monitoring of these exposures for supervisory purposes. To understand 
the financial conditions of NDFI borrowers, the Board proposes to 
require the reporting of fields 52 through 82 on Schedule H.1, the 
``Obligor Financial Data Section'', for NDFIs.
    Currently the FR Y-14 lacks the necessary granularity to classify 
the business type of NDFI obligors that borrow from firms and the 
associated risks. As the various business types of NDFIs pose different 
types of risks to banks, these data are necessary to consistently 
measure and monitor the risks NDFIs pose to firms and to ensure that 
the supervisory stress test is appropriately calibrated for loans to 
NDFIs. To understand banks' exposures to various NDFI types, the Board 
proposes to add a ``NDFI Entity Type'' field to Schedule H.1 in which 
firms would have multiple options to specify the NDFI type (e.g., 
credit fund, broker-dealer, special purpose entity, etc.) to which the 
facility was extended.
    Question 4: Which, if any, of the financial data fields (fields 52 
through 82) would be especially difficult to provide for NDFI obligors 
due to differences in financial statement frameworks or other 
obstacles?
Reporting of Financial Sponsors
    The role of financial sponsors has contributed to the growth of 
NDFI activities in the corporate sector over the past several years. A 
financial sponsor is any person, including any subsidiary of such 
person, whose principal business activity is acquiring, holding, and 
selling investments in otherwise unrelated companies that each are 
distinct legal entities with separate management, books, records, and 
bank accounts, whose operations are not integrated with one another and 
whose financial condition and creditworthiness are independent of the 
other companies so owned by such person. While the proposed revisions 
to Schedule H described above would collect information on lending to 
NDFIs and the associated risks, they would not increase insight into 
equity investments in the corporate sector where NDFIs are increasing 
their activities. To address this data gap, the Board proposes to 
introduce three new fields on FR Y-14Q, Schedule H.1 to capture if the 
obligor is controlled by a financial sponsor, and if so, that financial 
sponsor's legal name and legal entity identifier. These fields would 
inform the Board of lending to companies controlled by a NDFI, a noted 
gap of insights into firm activities with NDFIs.
Additional Options for the Reporting of Security Type
    FR Y-14Q, Schedule H.1 item 36 (``Security Type'') requires firms 
to report the predominant security type for collateral other than or in 
addition to real estate. There are currently seven options that can be 
reported for this field. The majority of wholesale loans are secured by 
collateral, which serves as the primary source of repayment. Further, 
collateral is a key risk transmitter from NDFIs to firms and provides 
an additional insight into the NDFI's activities. The lack of 
granularity in this field diminishes the Board's understanding of this 
characteristic of the obligor's facility, as the options provided are 
not comprehensive. To better define the collateral underlying the loan, 
the Board proposes to add twelve additional response options to the 
``Security Type'' field, covering an array of known collateral types, 
and implement an ``Other Security Type'' field to capture the full 
range of collateral types.
Reporting of Fee Information
    The data collected by Schedule H includes pricing characteristics 
of each loan and sources of lender income, such as the facility's 
interest rate. However, a facility's fees can also be a significant 
source of lender income and risk. Fee information is not currently 
captured on Schedule H. The fee structure is a component of the overall 
loan pricing, an indicator of lender tolerance, and a contributor to 
the fair value of loans. The lack of fee data constrains the Board's 
supervisory risk assessment process and obscures the pricing 
characteristics of the facilities reported. To increase insight into 
this aspect of a loan's pricing and riskiness, the Board proposes to 
add five fields to Schedule H.1 and Schedule H.2 to capture the 
facility's fee structure.
Reporting of Collateral Market Value
    On Schedule H.1, one of the fields used to gain insight into the 
financial health of the obligor is ``Collateral Market Value'', line 
item 93, which requires the reporting of collateral market value for 
facilities that require ongoing or periodic valuation of collateral if 
the value has been updated in the firm's internal risk management 
systems. Per the current instructions, this field is only reported for 
collateral that is market-based. These specifications result in 
infrequent reporting of this field, severely limiting its usefulness in 
evaluating firm risk. To increase the understanding of a loan's risk 
characteristics, the Board proposes to modify the instructions of the 
``Collateral Market Value'' field to require the reporting of 
collateral valuations for all facilities with commitments based on 
collateral.
Loan Covenant Violation Information
    Loan covenants appear in many commercial loan contracts and 
circumscribe specific actions a borrower may take (nonfinancial 
covenants) or thresholds for cash flow or balance sheet variables 
(financial covenants). Breaching a covenant can put a borrower into 
technical default and may give the lender the right to modify the terms 
of the agreement. Covenant violations can increase a lender's

[[Page 52047]]

bargaining power and can provide broad opportunity to renegotiate 
contract terms when the lender's internal cost of funds rises. Thus, 
covenant violations could lead to a reduction in the existing stock of 
credit, potentially affecting a large segment of borrowers. Information 
regarding loan covenants provides additional details regarding the 
lender's perspective of loan riskiness. Additionally, details on a 
covenant violation would increase the Board's understanding of a firm's 
ability to renegotiate a credit relationship, change its exposure to a 
given borrower, or provide early warning signs of future loan 
performance. However, FR Y-14Q, Schedule H.1 does not capture covenant 
details. Therefore, the Board proposes to introduce a field to capture 
if a loan covenant exists, whether the covenant has been violated, and, 
if so, whether the agreement has been amended.
Loan Amortization Reporting
    FR Y-14Q, Schedule H.2 requires the reporting of the number of 
months to fully amortize a loan or indication of a non-standard 
amortization schedule in line item 20 (``Amortization''). However, 
there is not equivalent data collected for corporate loans on Schedule 
H.1, and so the Board proposes to add an identical item to Schedule 
H.1. The current expected credit losses (CECL) methodology requires 
additional consideration of amortization periods to accurately quantify 
the lifetime of a loan and balance run off. Therefore, receiving 
amortization information on Schedule H.1 would provide data to more 
accurately model provisions for corporate loans in the stress test.
Troubled Debt Restructurings
    FR Y-14Q, Schedule H.2 collects information on loans that have been 
modified as a troubled debt restructuring (TDR). Additionally, line 
item 10 (``Origination Date'') indicates that firms should generally 
not update the origination date if the modification made is a TDR. In 
March 2022, the Financial Accounting Standards Board (FASB) issued new 
accounting guidance, ASU No. 2022-02, which eliminated the recognition 
of TDRs. In addition, ASU 2022-02 introduced accounting disclosures for 
loan modifications to borrowers experiencing financial difficulty 
(LMBEFDs). This guidance went into effect January 1, 2023, for firms 
that have adopted ASU No. 2016-13. Consistent with ASU 2022-02, the 
Board proposes to introduce a new field to Schedule H.1 and Schedule 
H.2 to capture loans modified as LMBEFDs for firms that have adopted 
ASU 2016-13. The Board also proposes to retire item 49 as it is no 
longer needed under ASU 2022-02. Additionally, the Board proposes to 
add LMBEFDs to line item 10 to indicate that LMBEFDs are generally not 
considered a major loan modification, as currently indicated for TDRs.
Units of Size for Property Size Reporting
    Beginning with the June 30, 2023, as-of date, the Board added two 
options, ``Healthcare'' and ``Warehouse/Distribution'' to the 
``Property Type'' field on the FR Y-14Q, Schedule H.2.\7\ Schedule H.2, 
line item 39 (``Property Size'') collects data on the size of the 
property securing the facility and specifies the unit of size in which 
to report this field based on the property type. The instructions 
currently do not specify how to report this field for the new 
healthcare and warehouse/distribution property types. Therefore, the 
Board proposes to specify that item 39 should be reported in square 
feet when reporting the size of healthcare and warehouse/distribution 
property types.
---------------------------------------------------------------------------

    \7\ 87 FR 52560 (August 26, 2022).
---------------------------------------------------------------------------

Unused Commitments
    The instructions to FR Y-14Q, Schedule H require firms to include 
any unused commitments that are reported on FR Y-9C, Schedule HC-L 
(Derivatives and Off-Balance-Sheet Items) that would be reported in the 
relevant FR Y-9C category if such loans were drawn (including all 
undrawn commitments extended to non-consolidated variable interest 
entities and commitments to commit as defined in the FR Y-9C). Schedule 
H is intended to capture all unused commitments where the firm has 
extended terms that the borrower has accepted and are either in writing 
or otherwise legally binding. The current Schedule H language is 
ambiguous as to how to account for undrawn commitments, which can 
result in inconsistencies across reports. To ensure consistent 
reporting across firms and to eliminate ambiguity, the Board proposes 
to update the Schedule H language to be clear about which commitments 
must be reported.
Removal of Fields Deemed No Longer Necessary
    On FR Y-14Q, Schedule H.1 (Corporate), item 43 (``Interest Income 
Tax Status''), firms report the tax status of interest income for 
Federal or State Income Tax purposes. The allowable values are 
``Taxable'' or ``Tax Exempt,'' as determined by whether the interest 
income received by the firm is tax exempt. The Board has determined 
that information on the tax status of interest income is no longer 
relevant for modeling or monitoring purposes, therefore, the Board 
proposes to retire item 43 from Schedule H.1.

Retail

Alignment Between Loan-Level and Portfolio-Level First Lien Schedules
    Currently, FR Y-14M, Schedule A.2 (Domestic First Lien Closed-end 
1-4 Family Residential Portfolio Level Table) captures total principal 
balance and cumulative write-downs within a firm's domestic first-lien 
portfolio but does not capture total debt from loans involuntarily 
terminated, total net recoveries, or total credit enhancements 
received. While Schedule A.1 (Domestic First Lien Closed-end 1-4 Family 
Residential Loan Level Table) collects these data for individual loans, 
the absence of these data on Schedule A.2 limits the Board's insight 
into charge-off and recovery information at the portfolio level. The 
current granularity of the collection prohibits the calculation of 
write-downs in a specific month or the timing of the loan termination. 
Therefore, the Board proposes to add the fields ``Total Debt from Loans 
Involuntarily Terminated,'' ``Total Net Recoveries,'' and ``Total 
Credit Enhancements Received'' to Schedule A.2. The instructions for 
these fields would replicate the language currently used for the 
related fields on Schedule A.1.
Owner-Occupied Nonfarm Nonresidential Loans
    FR Y-14Q, Schedule A.9 (U.S. Small Business) instructs firms to 
report ``scored'' or ``delinquency managed'' domestic small business 
loans as included in FR Y-9C, Schedule HC-C (Loans and Lease Financing 
Receivables) line items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.2, and 10.b. 
A key differentiating factor between corporate loans and small business 
loans is how the firm evaluates the creditworthiness of the borrower. 
For small business lending, firms rely on the credit score of the 
borrower (scored) and/or use delinquency management. Therefore, scored 
or delinquency managed owner-occupied nonfarm nonresidential (NFNR) 
loans as reported in line item 1.e.1 in the FR Y-9C, Schedule HC-C are 
small business loans and should be reported as such on Schedule A.9. 
However, the Schedule A.9 instructions do not reference the 
corresponding FR Y-9C line item. Further, FR Y-14Q, Schedule M 
(Balances) does not distinguish between wholesale and retail owner-
occupied NFNR loans, as

[[Page 52048]]

there is only one line item under which to report all owner-occupied 
NFNR loans. To eliminate reporting ambiguity, the Board proposes to 
specify that scored or delinquency managed owner-occupied NFNR loans, 
as reported in the FR Y-9C, Schedule HC-C, line item 1.e.1, should be 
reported on Schedule A.9. The Board also proposes to specify that 
scored owner-occupied NFNR loans be reported as small business loans 
(line item 2.b) on Schedule M.1 and to add a line item to Schedule M.2 
for scored owner-occupied NFNR loans. The existing owner-occupied NFNR 
field (line item 1.b.3.a) on schedule M.1 would specify that it is only 
intended to capture the wholesale loan balance. For completeness, the 
Board proposes to enable the reporting of column F (``Scored Loans'') 
for line item 7.d.1 (``Domestic Owner Occupied NFNR'') on FR Y-14Q, 
Schedule K (Supplemental). The Board proposes to also clarify that 
column F applies only to owner-occupied NFNR loans. These revisions 
would ensure scored owner-occupied NFNR loans are reported properly 
across the FR Y-14Q.
Reporting of International and Domestic Credit Card Loans
    The instructions for FR Y-14Q, Schedule A.3 (International Credit 
Card) require firms to report small business and corporate credit card 
loans that are issued to non-U.S. addressees, as defined in the FR Y-
9C, Schedule HC-C, item 4.b ([Loans] To non-U.S. addresses), which only 
accounts the loans for which the borrower is non-U.S. domiciled. 
However, reporting international loans determined by borrower domicile 
is inconsistent with the other international retail sub-schedules and 
the Balances schedule. All other FR Y-14Q retail schedules and the 
Balances schedule instruct firms to report international loans as 
determined by the location of the holding office. The use of borrower 
domicile as the defining criteria for loans in Schedule A.3 results in 
credit card loans issued by international offices to U.S. addresses 
being reflected only in Schedule M, which does not provide any loan 
details. To align reporting standards of international loans across all 
FR Y-14 schedules and ensure the Board has the data needed to project 
loan performance in the stress test, the Board proposes to define all 
international credit card loans by office location, not borrower 
domicile. This revision would supersede the guidance issued in FR Y-14 
Q&As #Y14000700, #Y140001258, #Y140001176, and # Y14000994, and these 
Q&As would be updated to point to the new instructions.
    Further, to avoid ambiguity, the Board proposes to revise the FR Y-
14Q retail schedule instructions to clarify that only loans held in 
foreign offices should be reported on the international sub-schedules. 
Additionally, to avoid a reporting gap or confusion in the 
``Geography'' field, the Board proposes to add ``United States'' to 
Region 1 for all international retail sub-schedules. These revisions 
would be consistent with the proposed revision that would provide that 
international loans are classified as such based on the location of the 
office that holds the loan balance.
    Relatedly, and for completeness in the collection of credit card 
loan data, the Board proposes to incorporate loans issued by domestic 
offices to international domiciles on FR Y-14M, Schedule D (Credit 
Cards). Currently, the FR Y-14M defines domestic credit card loans by 
office location but does not account for loans issued by domestic 
offices to international addressees. This revision would close this 
reporting gap and instruct firms to report all credit card loans held 
in domestic offices, issued to both U.S. and non-U.S. addressees.
Revenue and Loss Sharing Agreements
    As mentioned in the 2023 Supervisory Stress Test Methodology 
document, the Board adjusts projected credit card losses to reflect 
agreements with private entities to share a portion of both revenues 
and losses generated by a specific credit card portfolio.\8\ Currently, 
the Board collects the data used to make this adjustment through a 
supplemental data collection. The Board proposes to formalize this 
supplemental collection by requiring the reporting of all revenue and 
loss sharing agreements (RLSAs) on FR Y-14M, Schedule D (Domestic 
Credit Card). Schedule D currently only collects data on RLSAs with the 
Federal Deposit Insurance Corporation (FDIC). This revision would 
require firms to report all accounts that are a part of any RLSA on 
Schedule D.1 (Domestic Credit Card Loan Level Table), line item 70 
(``Loss Share''). Additionally, the Board would add two line items to 
Schedule D.2 (Domestic Credit Card Portfolio Level Table) to collect 
information on the dollar amount received or credited for credit losses 
associated with RLSAs. Incorporating this supplemental collection would 
ensure reporting of RLSAs is standardized and all firms receive 
consistent treatment in the supervisory stress test.
---------------------------------------------------------------------------

    \8\ See Board of Governors of the Federal Reserve System, 2023 
Supervisory Stress Test Methodology (June 2023), https://www.federalreserve.gov/publications/files/2023-june-supervisory-stress-test-methodology.pdf.
---------------------------------------------------------------------------

Troubled Debt Restructurings
    FR Y-14M, Schedule A.1 and Schedule B.1 (Domestic Home Equity Loan/
Line Level Table) collect information on loans that have been modified 
as a troubled debt restructuring (TDR). Specifically, line item 96 
(``Troubled Debt Restructuring Flag'') on Schedule A.1 and line item 55 
(``Troubled Debt Restructuring Date'') on Schedule B.1 are reported by 
firms that have made a loan modification classified as a TDR, as 
defined in the FR Y-9C Glossary. However, as discussed above, ASU 2022-
02 eliminated the recognition of TDRs and introduced accounting 
disclosures for LMBEFDs. This guidance went into effect January 1, 
2023, for firms that have adopted ASU No. 2016-13. Consistent with ASU 
2022-02, the Board proposes to introduce a new field to each Schedule 
A.1 and Schedule B.1 to capture LMBEFDs for firms that have adopted ASU 
2016-13. The Board also proposes to retire the existing TDR fields as 
they are no longer needed under ASU 2022-02.
Removal of Fields Deemed No Longer Necessary
    The Board proposes to remove three items from FR Y-14M, Schedule 
D.1 (Domestic Credit Card Loan Level Table) that are inconsistently 
reported and therefore provide reduced value in supervisory stress test 
modeling and related analyses. Specifically, the Board proposes to 
remove item 42 (``Behavioral Score''), item 111 (``Behavioral Score 
Name Version''), and item 114 (``Date Co-Borrower was Added''). Items 
42 and 114 are firms' internal estimates that are difficult to compare 
across firms due to inconsistencies in how they are recorded. 
Similarly, item 114 is infrequently reported which results in limited 
value for modeling or analysis.
    Line item 77 ``Modification Type'' on the FR Y-14M, Schedule B.1 
allows the reporting of multiple types of modifications to a loan. One 
of the reportable codes in this field is ``99 = Other,'' which captures 
cases when the loan modification type is unknown. As the ``Modification 
Type'' field covers all possible modification action types, the Board 
proposes to remove line item 90 ``Other Modification Action Type'' from 
Schedule B.1. Item 90 captures the loans under unknown modification 
types but is no longer needed by the Board.

[[Page 52049]]

Other Revisions
    The instructions for FR Y-14M, Schedule A.1 and Schedule B.1 
``Workout Type Completed'' fields, line items 77 and 61 respectively, 
require firms to leave these items blank if the loan has never been in 
loss mitigation. To align the instructions for the workout type fields, 
the Board proposes to clarify that the ``Workout Type Started'' fields 
on these schedules (Schedule A.1, line item 143 and Schedule B.1, line 
item 120), should also be left blank if the loan has never been in loss 
mitigation.
    The Board previously adopted revisions to expand the circumstances 
under which firms would report the ``Principal Deferred'' and 
``Principal Write-Down'' items on FR Y-14M, Schedule B.1; however, the 
instructions for ``Principal Deferred'' were not revised to reflect 
this.\9\ Specifically, the revision intended to expand reporting 
requirements for loans deferred due to loss mitigation activities. 
These revisions were adopted and implemented for the corresponding 
fields on the FR Y-14M, Schedule A.1. For consistency, the Board 
proposes to update the instructions for the FR Y-14M, Schedule B.1 line 
item 59 (``Principal Deferred'') and to expand reporting requirements 
to loans deferred due to loss mitigation activities. For completeness, 
the Board proposes to clarify the instructions for the ``Principal 
Write-Down'' field on the FR Y-14M, Schedule B.1 to indicate the line 
item should be coded ``Y'' if adjustment to the unpaid principal 
balance has occurred through modification or loss mitigation 
activities.
---------------------------------------------------------------------------

    \9\ 87 FR 52560 (August 26, 2022).
---------------------------------------------------------------------------

    Firms are required to report quarter-end balances for charge cards 
with a pay-over-time feature under line item 3.b (``Charge Cards'') on 
FR Y-14Q, Schedule M (Balances). The Board has received questions 
asking if the corresponding line item on FR Y-14A, Schedule A.1.b 
(Balances) should also reflect charge cards with a pay-over-time 
feature. For consistency and clarity, the Board proposes to specify 
that charge cards with a pay-over-time feature should be reported in 
line item 36 (``Charge Cards'') on FR Y-14A, Schedule A.1.b.

Balances

    Information on shared-loss agreements (SLAs) with the FDIC has 
historically been reported on the FR Y-9C, which collected data on the 
balances of a portfolio covered by such agreements. These data have 
been used to monitor the impact of SLAs on a firm's loan and lease 
losses. However, in connection with a recent statutorily mandated 
review, the Board removed most of these items from the FR Y-9C.\10\ To 
ensure that the Board continues to receive this information and that 
SLAs are reflected appropriately in the supervisory stress test, the 
Board proposes to create a new FR Y-14Q, Schedule M (Balances) sub-
schedule to collect data on loans and leases covered by SLAs with the 
FDIC. This collection would be substantially similar to the data 
previously collected by the FR Y-9C. However, collecting the 
information through the FR Y-14, rather than the FR Y-9C, would ensure 
that only firms subject to the supervisory stress test are required to 
report the information.
---------------------------------------------------------------------------

    \10\ 88 FR 18315 (March 28, 2023).
---------------------------------------------------------------------------

Trading

Small Business Investment Companies
    FR Y-14Q, Schedule F (Trading) is designed to capture profit/loss 
sensitivities to positions firms hold in their trading books, private 
equity investments, fair value option (FVO) loan hedges, and certain 
other assets under fair value accounting. Private equity includes all 
equity related investments such as common, preferred, and convertible 
securities. Currently, investments in small business investment 
companies (SBICs) are reported under the ``Other Unspecified Sector/
Industry'' industry group in the ``Unspecified Sector/Industry'' 
sector.\11\ This item is meant to capture the carry value of 
instruments not easily categorized into one of the specified industries 
and sectors, investments in several sectors, and for which there is 
insufficient detail to break out the carry value of the holding into 
component sectors. However, given the unique characteristics of SBICs 
that distinguish them from general private equity exposures, the Board 
proposes to add ``SBIC Interests'' as an industry group to capture 
funded and unfunded equity interests in SBICs.
---------------------------------------------------------------------------

    \11\ See 13 CFR part 107 for the definition of SBICs.
---------------------------------------------------------------------------

Capital

    The instructions for FR Y-14Q, Schedule D (Capital) line item M1 
(``Taxes paid through the as-of date of the current fiscal year'') 
require firms to report the amount of taxes paid during the fiscal 
year, through the as-of date, that are included in Schedule D, line 
item 17 (``Amount to be deducted from common equity tier 1 due to 
deduction threshold''). The reference to line item 17 is erroneous, as 
this item was modified during an update to the form and instructions. 
To correct this error and restore the original intent of item M1, the 
Board proposes to remove the reference to line item 17 from the 
instructions to clarify that firms should report taxes paid through the 
as-of date of the current fiscal year.
    FR Y-14A, Schedule A.1.d (Capital), line item 56 (``Unrealized 
gains on available-for-sale preferred stock classified as an equity 
security under GAAP and available for sale equity exposures includable 
in tier 2 capital'') previously captured unrealized gains on AFS equity 
securities that were recognized in AOCI. However, ASU 2016-01 
reclassified unrealized gains on AFS equity securities to be reflected 
in the retained earnings component of equity capital. To address the 
new accounting standard, the Board proposes to retire item 56, as what 
was previously captured in this item is already reflected in retained 
earnings.
    Firms are required to submit a version of FR Y-14A, Schedule C 
(Regulatory Capital Instruments) at the time the firm seeks approval 
for additional capital distributions pursuant to 12 CFR 225.8(j) or 
within 15 days after making any capital distribution approved pursuant 
to that section or a capital distribution in excess of the firm's final 
planned capital distributions. These Schedule C submissions are 
referred to as ``Incremental'' submissions. In FR Y-14 Q&A #Y140001459, 
the Board clarified that an Incremental submission is required if a 
firm makes a distribution such that the dollar amount exceeds the 
firm's final planned capital distribution, as measured on an aggregate 
basis beginning in the fourth quarter of the planning horizon through 
the quarter at issue, even if that change is not reflected on Schedule 
C. The Board proposes to add language to incorporate that response and 
clarify that these Incremental submissions are required.

Securities

Reporting of Market Value
    Firms are required to report the market value of the security being 
hedged on FR Y-14Q, Schedule B.2 (Securities), line item 4 (``Market 
Value''). Currently, the instructions for this field instruct firms to 
report amortized cost when reporting a security that contains trade 
lots or holdings that are not part of the hedging relationship. Since 
this field is intended to capture the market value of the security, the 
reference to amortized cost is erroneous and duplicative since 
amortized cost is reported in line item 3 (``Amortized Cost''). To 
correct this

[[Page 52050]]

erroneous reference, the Board proposes to revise the language from 
``amortized cost'' to ``market value'' in the instructions for line 
item 4.
Hedge Designations
    FR Y-14Q, Schedule B.2, item 15 (ASU 2017-12 Hedge Designations) 
currently captures ASU 2017-13 hedge designations allowed in 
conjunction with partial-term hedging election in ASC 815-20-25-
12b(2)(ii). On March 28, 2022, the FASB issued ASU 2022-01, which 
established the portfolio layer method to allow multiple hedged layers 
of a closed portfolio, rather than just a single layer as currently 
allowed. To be consistent with ASU 2022-01, the Board proposes to 
revise item 15 to reflect the updated portfolio layer method of hedge 
accounting.
Removal of Field Deemed No Longer Necessary
    FR Y-14Q, Schedule B.2 (Investment Securities with Designated 
Accounting Hedges), item 11 (``Hedged Cash Flow'') collects information 
on the type of cash flow associated with the hedge if it is a cash flow 
hedge. The Board has determined that this variable is not needed for 
modeling or monitoring purposes, the Board proposes to retire item 11 
from Schedule B.2.

Supplemental

    FR Y-14Q, Schedule K (Supplemental) is intended to capture gaps in 
the data collected between the FR Y-14 and FR Y-9C, and firms generally 
do not need to complete all fields in the schedule. Specifically, 
Column A (Immaterial Portfolios) captures the carrying value of loans 
in immaterial or excluded portfolios that were not reported elsewhere 
on the FR Y-14Q of FR Y-14M because they did not meet the materiality 
thresholds. These instructions currently do not specify whether these 
portfolios need to be reported on Schedule K if they were only reported 
on one of the FR Y-14Q or FR Y-14M. Since Schedule K is intended to 
capture gaps in collected data, portfolios that are reported on either 
the FR Y-14Q or the FR Y-14M should not be reported on the schedule, 
and the Board proposes to clarify this existing expectation in the 
instructions.
    Additionally, the instructions for Column D (Outstanding Balance of 
Commercial Real Estate and Corporate loans under $1M in committed 
balance) tell firms to report the outstanding balance of CRE and 
corporate loans with under $1 million in committed balance for each of 
the categories that had been excluded from FR Y-14Q, Schedule H based 
solely on commitment size. Column D is intended to capture the sum of 
the outstanding balance for these loans with under $1 million in 
committed balance in a portfolio that is reported on Schedule H. Column 
A is intended to capture the balance of immaterial portfolios, not 
reported on Schedule H. To remove ambiguity, the Board proposes to 
clarify that column D should only be reported for loans that are 
included in a portfolio reported on Schedule H but were excluded based 
solely on commitment size.
    Frequency: Annually, quarterly, and monthly.
    Respondents: Bank holding companies (BHCs), U.S. intermediate 
holding companies of foreign banking organizations (IHCs), and covered 
savings and loan holding companies (SLHCs) with $100 billion or more in 
total consolidated assets, as based on (1) 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; OMB No. 7100-0128) or (2) 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.
    Total estimated number of respondents: 38.
    Total estimated change in burden: 21,962 hours.
    Total estimated annual burden hours: 848,900.

    Board of Governors of the Federal Reserve System, June 14, 2024.
Benjamin W. McDonough,
Deputy Secretary and Ombuds of the Board.
[FR Doc. 2024-13798 Filed 6-20-24; 8:45 am]
BILLING CODE 6210-01-P