FED Revises and Extends Capital Assessment and Stress Testing Reports
FED adopted 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). The revisions are applicable with as-of dates ranging from September 30, 2020 to June 30, 2021. The proposed revisions consisted of changes necessary to better identify risk as part of the stress tests—such as revisions related to wholesale, trading, and counterparty exposures—as well as capital revisions related to capital simplification, total loss-absorbing capacity (TLAC), and the standardized approach for counterparty credit risk (SA-CCR). Additionally, FED has updated the forms and instructions for FR Y-14A/Q/M.
FED had also proposed to make several clarifications to the instructions; these clarifications were partly prompted by the questions that FED had received from reporting institutions. In March 2020, FED had issued the proposal to revise and extend FR Y-14 reports. The comment period for this notice expired on May 18, 2020. FED received two comment letters from banking organizations and one comment letter from a banking industry group. FED has adopted the proposed revisions with certain exceptions. In addition, although FED did not receive any comment letters regarding the proposed revisions related to a proposed rule that would modify the TLAC requirements, FED has not adopted these revisions as proposed.
FR Y-14A/Q/M reports are used to support the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Test (DFAST) exercises. The annual FR Y-14A collects quantitative projections of balance sheet, income, losses, and capital across a range of macroeconomic scenarios and qualitative information on methodologies used to develop internal projections of capital across scenarios. The quarterly FR Y-14Q collects granular data on various asset classes, including loans, securities, trading assets, and pre-provision net revenue for the reporting period. The monthly FR Y-14M comprises retail portfolio-level and loan-level schedules, along with the detailed address-matching schedule, to supplement two of the portfolio and loan-level schedules. These collections of information are applicable to bank holding companies, U.S. intermediate holding companies, and savings and loan holding companies.
Related Links
Keywords: Americas, US, Banking, Stress Testing, FR Y-14, Dodd-Frank Act, DFAST, CCAR, Reporting, TLAC, SA-CCR, Basel, FED
Featured Experts
Laurent Birade
Advises U.S. and Canadian financial institutions on risk and finance integration, CCAR/DFAST stress testing, IFRS9 and CECL credit loss reserving, and credit risk practices.
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
James Partridge
Credit analytics expert helping clients understand, develop, and implement credit models for origination, monitoring, and regulatory reporting.
Previous Article
FCA Finalizes Additional Guidance to Support Mortgage BorrowersRelated Articles
OSFI Discusses Benchmark Rate Transition, Sets Out Work Priorities
The Office of the Superintendent of Financial Institutions (OSFI) published the strategic plan for 2022-2025 and the departmental plan for 2022-23.
EBA Proposes Standards to Support Secondary NPL Markets
The European Banking Authority (EBA) is consulting, until August 31, 2022, on the draft implementing technical standards specifying requirements for the information that sellers of non-performing loans (NPLs) shall provide to prospective buyers.
EU Confirms Agreement on Rules on Cybersecurity and Banking Resolution
The European Council and the Parliament reached an agreement on the revised Directive on security of network and information systems (NIS2 Directive).
EBA Issues Standards for Crowdfunding Service Providers Under ECSPR
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying information that crowdfunding service providers shall provide to investors on the calculation of credit scores and prices of crowdfunding offers.
EU Confirms Agreement on Rules on Cybersecurity and Banking Resolution
The European Securities and Markets Authority (ESMA) published a paper that examines the systemic risk posed by increasing use of cloud services, along with the potential policy options to mitigate this risk.
EC Consults on PSD2 and Open Finance; EU Reaches Agreement on DORA
The European Commission (EC) published a public consultation on the review of revised payment services directive (PSD2) and open finance.
EC Mandates ESAs to Propose Amendments to SFDR Technical Standards
The European Commission (EC) has issued two letters mandating the European Supervisory Authorities (ESAs) to jointly propose amendments to the regulatory technical standards under Sustainable Finance Disclosure Regulation or SFDR.
EBA Examines Supervisory Practices, Issues Deposits Reporting Template
The European Banking Authority (EBA) published its annual report on convergence of supervisory practices for 2021. Additionally, following a request from the European Commission (EC),
SNB Updates NSFR Forms and FINMA Consults on Operational Risk Circular
The Swiss National Bank (SNB) published Version 1.2 of the reporting forms (NSFR_G and NSFR_P) on the net stable funding ratio (NSFR) of banks, along with the associated documentation.
US Agency Publications Address Basel, Reporting, and CECL Developments
The Farm Credit Administration published, in the Federal Register, the final rule on implementation of the Current Expected Credit Losses (CECL) methodology for allowances
