Expiration Date: January 31, 2020 Instructions For The .
Modified August 22, 2017OMB No. 7100-0341Expiration Date: January 31, 2020Instructions for theCapital Assessments and Stress Testing information collection(Reporting Form FR Y-14Q)This Report is required by law: section 165 of the Dodd-Frank Act (12 U.S.C. § 5365) and section 5 of the Bank HoldingCompany Act (12 U.S.C. § 1844). Public reporting burden for this information collection is estimated to vary from 4 to1,926 hours per response, with an average of 243 hours per response, including time to gather and maintain data in therequired form and to review instructions and complete the information collection. Comments regarding this burdenestimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sentto Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and tothe Office of Management and Budget, Paperwork Reduction Project (7100-0341), Washington, DC 20503.1
ContentsGENERAL INSTRUCTIONS. 4WHO MUST REPORT. 4WHERE TO SUBMIT THE REPORTS . 5WHEN TO SUBMIT THE REPORTS . 6HOW TO PREPARE THE REPORTS: . 7Schedule A – Retail . 10A.1 – INTERNATIONAL AUTO LOAN. 10A.2 – US AUTO LOAN . 15A.3 – INTERNATIONAL CREDIT CARD . 21A.4 – INTERNATIONAL HOME EQUITY . 25A.5 – INTERNATIONAL FIRST LIEN MORTGAGE . 29A.6 – INTERNATIONAL OTHER CONSUMER SCHEDULE . 33A.7 – US OTHER CONSUMER . 36A.8 – INTERNATIONAL SMALL BUSINESS . 39A.9 – US SMALL BUSINESS . 42A.10 – STUDENT LOAN . 45Schedule B—Securities . 49B.1—SECURITIES 1 (“MAIN SCHEDULE”) . 49B.2—SECURITIES 2 (“INVESTMENT SECURITIES WITH DESIGNATED ACCOUNTING HEDGES”). 54Schedule C—Regulatory Capital Instruments . 58C.1—REGULATORY CAPITAL INSTRUMENTS AS OF QUARTER END . 58C.2—REGULATORY CAPITAL INSTRUMENT REPURCHASES/REDEMPTIONS DURING QUARTER . 59C.3 – REGULATORY CAPITAL INSTRUMENTS ISSUANCES DURING QUARTER . 60Schedule D—Regulatory Capital Transitions . 62D.1—CAPITAL COMPOSITION . 67D.2—EXCEPTION BUCKET CALCULATOR . 75D.3— ADVANCED RISK-WEIGHTED ASSETS . 77D.4—STANDARDIZED RISK-WEIGHTED ASSETS . 83D.5—LEVERAGE EXPOSURE . 87D.6—PLANNED ACTIONS . 93Schedule E—Operational Risk . 95E.1—OPERATIONAL LOSS HISTORY . 95E.2. INTERNAL BUSINESS LINE . 102E.3. UNIT-OF-MEASURE (UOM) . 103E.4. THRESHOLD INFORMATION. 103E.5—LEGAL RESERVES FREQUENCY . 104Schedule F—Trading . 107GLOSSARY . 109REGIONAL GROUPINGS . 111F.1—EQUITY BY GEOGRAPHY . 113F.2—EQUITY SPOT-VOL GRID . 114F.3—OTHER EQUITY . 1152
F.4—FX SPOT SENSITIVITIES. 116F.5—FX VEGA. 117F.6—RATES DV01. 118F.7—RATES VEGA . 120F.8—OTHER RATES. 121F.9—ENERGY . 122F.10—METALS . 123F.11—AGS & SOFTS . 124F.12—COMMODITY INDICES . 125F.13—COMMODITY SPOT-VOL GRIDS . 126F.14—SECURITIZED PRODUCTS . 128F.15—AGENCIES . 129F.16—MUNIS . 130F.17—AUCTION RATE SECURITIES (ARS) . 131F.18—CORPORATE CREDIT-ADVANCED . 132F.19—CORPORATE CREDIT-EMERGING MARKETS. 134F.20—SOVEREIGN CREDIT . 136F.21—CREDIT CORRELATION . 138F.22—IDR-CORPORATE CREDIT . 140F.23—IDR-JUMP TO DEFAULT . 142F.24—PRIVATE EQUITY . 143F.25—OTHER FAIR VALUE ASSETS . 144Schedule G—PPNR . 145G.1—PPNR SUBMISSION WORKSHEET . 148G.2—PPNR NET INTEREST INCOME (NII) WORKSHEET . 162G.3—PPNR METRICS . 170Schedule H—Wholesale Risk . 182H.1 - CORPORATE LOAN DATA SCHEDULE. 182H.2 – COMMERCIAL REAL ESTATE SCHEDULE . 234Schedule I –MSR Valuation Schedule . 266Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS) . 269Schedule K - Supplemental . 272Schedule L - Counterparty . 275Schedule M—Balances . 307Appendix A: FR Y-14Q Supporting Documentation . 312SUPPORTING DOCUMENTATION FOR SCHEDULE C – REGULATORY CAPITAL INSTRUMENTS . 312SUPPORTING DOCUMENTATION FOR SCHEDULE D – REGULATORY CAPITAL TRANSITIONS . 312SUPPORTING DOCUMENTATION FOR SCHEDULE L – COUNTERPARTY. 3123
INSTRUCTIONS FOR PREPARATION OFCapital Assessments and Stress Testing ReportFR Y-14QGENERAL INSTRUCTIONSThe Capital Assessments and Stress Testing Report (FR Y-14Q report) collects detailed data on bank holdingcompanies’ (BHCs) and intermediate holding companies’ (IHCs) various asset classes, capital components, andcategories of pre-provision net revenue (PPNR) on a quarterly basis, which will be used to support supervisorystress testing models and for continuous monitoring efforts.The FR Y-14Q report is comprised of Retail, Securities, Regulatory Capital Instruments, Regulatory CapitalTransitions, Operational, Trading, PPNR, Wholesale, MSR Valuation Schedule, Retail Fair Value Option/Held forSale, Supplemental, Counterparty and Balances schedules, each with multiple supporting worksheets. All of thedata schedules are to be submitted for each reporting period unless materiality thresholds apply. The number ofschedules a BHC or IHC must complete is subject to materiality thresholds and certain other criteria.BHCs and IHCs may also be required to submit qualitative information supporting their projections, includingdescriptions of the methodologies used to develop the internal projections of capital across scenarios and otheranalyses that support their comprehensive capital plans. Further information regarding the qualitative andtechnical requirements of required supporting documentation is provided in individual schedules asappropriate, as well as in the Supporting Documentation instructions (Appendix A). When submitting supportingdocumentation, provide each response in a separate document.Who Must ReportA. Reporting CriteriaBank holding companies (BHCs) and intermediate holding companies (IHCs) with total consolidated assets of 50 billion or more, as defined by the capital plan rule (12 CFR 225.8), are required to submit the CapitalAssessment and Stress Testing report (FR Y-14A/Q/M) to the Federal Reserve. The capital plan rule definestotal consolidated assets as the average of the company’s total consolidated assets over the course of theprevious four calendar quarters, as reflected on the BHC’s or IHC’s Consolidated Financial Statement for BankHolding Companies (FR Y–9C). Total assets shall be calculated based on the due date of the bank orintermediate holding company’s most recent FR Y–9C. If the BHC or IHC has not filed an FR Y-9C for each of thefour most recent quarters, the average of the BHC’s or IHC’s total consolidated assets in the most recentconsecutive quarters as reported quarterly on the BHC’s or IHC’s FR Y-9C should be used in the calculation.Certain data elements within the schedules are subject to materiality thresholds. The instructions to these dataschedules provide details on how to determine whether a BHC or IHC must submit a specific schedule,worksheet, or data element. A BHC or IHC must fill out all of the schedules of the FR Y-14M and FR Y-14Q wherethe BHC or IHC meets the materiality definition. When applicable, the definition of the BHC’s or IHC’ssubmissions should correlate to the definitions outlined by the corresponding MDRM code within the FR Y-9Creport.All schedules are required to be reported by all BHCs and IHCs with exceptions as described below:PPNR, Regulatory Capital Transitions, Regulatory Capital Instruments and Balances schedules: All bankand intermediate holding companies must submit these schedules.Trading and Counterparty schedules: Only BHCs or IHCs with greater than 500 billion in total consolidated4
assets who are subject to the amended market risk rule (12 CFR Parts 208, Appendix E and 225 Appendix E)must submit this schedule and worksheets.All other quarterly schedules: Reporting of the remaining schedules is subject to materiality thresholds.For large and noncomplex firms: 1 Material portfolios are defined as those with asset balances greater than 5 billion or with asset balances greater than ten percent of Tier 1 capital on average for the four quarterspreceding the reporting quarter.For large and complex or LISCC firms: 2 Material portfolios are defined as those with asset balances greaterthan 5 billion or asset balances greater than five percent of Tier 1 capital on average for the four quarterspreceding the reporting quarter.For schedules that require the institutions to report information on serviced loans, the materiality threshold isbased on the asset balances associated with the BHC’s or IHC’s owned portfolio. All data used to determinemateriality should be measured as of the close of business of the last calendar day of the quarter, and assetsincluded in a given portfolio are defined in the instructions for each schedule.BHCs and IHCs also have the option to complete the data s
This Report is required by law: section 165 of the Dodd-Frank Act (12 U.S.C. § 5365) and section 5 of the Bank Holding . Schedule I –MSR Valuation Schedule . A large and noncomplex firm is a BHC or a U.S. intermediate holding company subsidiary of a foreign banking organization (IHC)
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