FED updated the supplemental instructions and the questions and answers (Q&A) document for the information collection on capital assessments and stress testing, which is covered by the reporting form FR Y-14A. The annual schedules are reported as of December 31 each year. In the Q&A document, FED provides answers to firms on an ongoing basis to assist with the correct interpretation of reporting requirements and the submission of report data. The Q&A document covers questions submitted on or after August 01, 2017.
The FR Y-14A report collects detailed data on bank holding companies' and intermediate holding companies' quantitative projections of balance sheet assets and liabilities, income, losses, and capital across a range of macroeconomic scenarios. The report comprises Summary, Macro Scenario, Regulatory Capital Instruments, Regulatory Capital Transitions, Operational Risk, Business Plan Changes, and Retail Repurchase Exposures schedules, each with multiple supporting sub-schedules. The number of schedules a respondent must complete is subject to materiality thresholds and certain other criteria. Respondents report projections on the FR Y-14A schedules across supervisory scenarios as well as firm-defined scenarios. Respondents are also required to submit qualitative information supporting their projections, including descriptions of the methodologies used to develop the internal projections of capital across scenarios and other analyses that support their comprehensive capital plans.
Keywords: Americas, US, Banking, Reporting, FR Y-14A, Stress Testing, Technical Instructions, Q&A, FED
ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.
ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).
ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.
FED released hypothetical scenarios for a second round of stress tests for banks.
FED is proposing to temporarily revise the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes necessary to conduct stressed analysis in connection with the re-submission of capital plans, using data as of June 30, 2020.
FED adopted a proposal to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314).
EBA published a voluntary online survey seeking input from credit institutions on their practices and future plans for Pillar 3 disclosures on the environmental, social, and governance (ESG) risks.