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    FED Revises and Extends Capital Assessment and Stress Testing Reports

    September 14, 2020

    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. 

     

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    Keywords: Americas, US, Banking, Stress Testing, FR Y-14, Dodd-Frank Act, DFAST, CCAR, Reporting, TLAC, SA-CCR, Basel, FED

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