Board of Governors of the Federal Reserve System

Appendix A: Data

Definition of Data Sources

The Supervision and Regulation Report consists of data from institutions supervised in whole, or in part, by the Federal Reserve System. This appendix details these sources. All financial and table data presented in this report are as of December 31, 2018, unless specified otherwise.

FFIEC Call Reports

The FFIEC Consolidated Reports of Condition and Income, also known as the Call Report, is a periodic report that is required to be completed by every national bank, state member bank, insured nonmember bank, and savings association as of the last day of each calendar quarter. The details required to be reported depend on the size of the institution, the nature of the institution's activities, and whether or not it has foreign offices. Call Report data are a widely used source of timely and accurate financial data regarding a bank's financial condition and the results of its operations. The data collected from the Call Report are used to monitor the condition, performance, and risk profiles of the institutions as individuals and as an industry.

FR Y-9C

The Consolidated Financial Statement for Holding Companies, also known as the FR Y-9C report, collects basic financial data from domestic BHCs, SLHCs, U.S. IHCs, and securities holding companies (SHCs). Respondent burden reduction initiatives led to the asset-sized threshold change from $500 million to $1 billion, and from $1 billion to $3 billion effective March 2015 and September 2018, respectively. In addition, BHCs, SLHCs, IHCs, and SHCs meeting certain criteria may be required to file this report, regardless of size. However, when such BHCs, SLHCs, IHCs, or SHCs own or control, or are owned or controlled by, other BHCs, SLHCs, IHCs, or SHCs, only top-tier holding companies must file this report for the consolidated holding company organization. The information contained in the report is as of the last day of each calendar quarter.

Notes on Specific Data

Top Holder

All data, unless otherwise noted, use top-holder data. This population comprises top-tier Call Report filers and top-tier Y-9C filers. In instances where a top-tier HC does not file the Y-9C, financial data of subsidiary banks or savings associations arecombined to approximate the consolidated financial data of the holding company.

Savings and Loan Holding Companies (SLHCs)

Supervisory and regulatory responsibilities for SLHCs were transferred to the Federal Reserve in 2011. Most SLHCs migrated to the Federal Reserve's standardized report forms for holding companies in 2012, with the exception of certain SLHCs engaged primarily in insurance and commercial activities, which continued to submit a tailored report form. In this report, SLHCs that are depository in nature are included in the portfolio that corresponds with their relative size, while SLHCs that are primarily engaged in insurance and commercial activities are considered their own portfolio. Unless otherwise noted, the data presented exclude insurance and commercial SLHCs.

Net Interest Margin (NIM)

Net interest margin comprises annualized total interest income, less total interest expense, divided by average earning assets.

Consumer Loans

Consumer loans include credit cards, other revolving credit lines, automobile loans, and other consumer loans (includes single-payment and installment loans other than automobile loans, and all student loans).

Nonperforming Loans

Nonperforming loans, or problem loans, are those loans that are 90 days or more past due, plus loans in nonaccrual status.

Common Equity Tier 1

The Federal Reserve's evaluation of a firm's common equity capital was initially measured using a tier 1 common capital ratio but now is evaluated using a common equity tier 1 (CET1) capital ratio, which was introduced into the regulatory capital framework with the implementation of Basel III. From 2006 through 2013, tier 1 common was used to measure common equity capital for all firms. In 2014, both tier 1 common capital (for non-advanced approaches firms) and common equity tier 1 capital (for advanced approaches firms) were used. From 2015 to present, common equity tier 1 capital has been used for all firms.

Common equity tier 1 capital ratio is defined as common equity tier 1 as a percent of risk-weighted assets. Advanced approaches institutions are required to report risk-weighted assets using an internal model-based approach and a standardized approach. The higher value of the two risk-weighted assets calculations is taken, per requirements under the Collins Amendment.

Credit Default Swap (CDS) Spread

The CDS spread represents the annual cost of protection against a company defaulting on a loan or bond. The spread is represented as a percentage of a notional amount and is shown as basis points, so a spread of 100 basis points equates to an annual protection cost of $100,000 (i.e., 1.0 percent of $10 million). Data displayed in figure 7 are five-year CDS spreads based on daily polls of individual broker–dealers worldwide. Note that these broker quotes are typically not transaction prices. Data provided are for LISCC (domestic and foreign) firms only.

Market Leverage

The market leverage ratio—defined as the ratio of the firm's market capitalization to the sum of market capitalization and the book value of liabilities—can be considered a market-based measure of firm capital (expressed in percentage points). Data provided are for LISCC (domestic and foreign) firms only.

Supervision Hours

The average supervision hours are estimated by totaling all direct supervisory time going to institutions within a peer group along with the estimated allocated time for horizontal reviews, application processing, enforcement actions, risk and surveillance, and other general supervisory time, divided by the total number of institutions in the peer group. It does not include time to national program administration, travel time, time off, or support and overhead time. All time is for safety and soundness; it does not include consumer compliance time.

Additionally, in July 2018, the Federal Reserve implemented changes to its supervisory portfolio designations that raised the total asset threshold between large and regional banking organizations from $50 billion to $100 billion. The portfolio designation in figure 8 reflects this threshold change. However, supervision hours that occurred prior to July 2018 would not reflect the changes in supervisory exam plans related to this threshold change.

 

High-Quality Liquid Assets (HQLA)

HQLA are estimated by adding excess reserves to an estimate of securities that qualify for HQLA. Excess reserves are estimated using balance data from internal Federal Reserve accounting records and reserve balance requirements computed based on confidential fillings of the FR 2900 Report of Transaction Accounts, Other Deposits, and Vault Cash. Securities are estimated from Form FR Y-9C. Haircuts and Level 2 asset limitations are incorporated into the estimate (Level 2 assets can represent only a limited share of the HQLA stock).

Because of data availability constraints, HQLA amounts displayed in figure 10 are not based on 2052a reporting data.

Percent of Time Spent Off-site

The percent of time spent off-site measures the percentage of examination and inspection time that occurs off-site for SMB, BHC, and SLHC safety-and-soundness events. Small shell holding companies, with assets less than $1 billion, are excluded from these data.⁸

Median Exam Hours

The median value of total hours spent on each exam. Data displayed in figure 12 are for routine, full-scope, safety-and-soundness exams conducted independently by the Federal Reserve Banks in 2018 on SMBs under $10 billion in total assets.

Footnotes