Appendix A: Data
Definition of Data Sources
The Supervision and Regulation Report includes data on institutions supervised or not supervised by the Federal Reserve System. This appendix details these sources. All data presented in this report are as of June 30, 2019, 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 holding company does not file the Y-9C, we combine financial data of subsidiary banks or savings associations 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.
Commercial Real Estate Loans
The sum of construction, land development, and other land loans; loans secured by farmland; loans secured by multifamily residential properties; and loans secured by nonfarm nonresidential properties.
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 capital 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. We take the higher value of the two risk-weighted assets calculations, per requirements under the Collins Amendment.
Reserve Coverage Ratio
The reserve coverage ratio is the ratio of ALLL over nonperforming loans. When calculating nonperforming loans for the reserve coverage ratio, rebooked Ginnie Mae loans that have been repurchased or are eligible for repurchase have been removed.
Credit Default Swap (CDS) Spread
The five-year CDS spread is the premium payment expressed as a proportion of the notional value of the debt which is being insured against default (typically $10 million in senior debt) in basis points. Data are 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.
CAMELS Ratings
Following an examination of a commercial bank, the examiner's conclusions regarding the overall condition of the bank are summarized in a composite rating assigned in accordance with guidelines provided under the Uniform Financial Institution Rating system (CAMELS). The composite rating represents an overall appraisal of six key assessment areas (components) covered under the CAMELS rating system: Capital, Asset quality, Management, Earnings, Liquidity, and Sensitivity to market risk.
In addition, and separate from the interagency Uniform Financial Institutions Rating System, the Federal Reserve assigns a risk-management rating to all SMBs. The summary, or composite, rating, as well as each of the assessment areas, including risk management, is delineated on a numerical scale of 1 to 5, with 1 being the highest or best possible rating. Thus, a bank with a composite rating of 1 requires the lowest level of supervisory attention, while a 5-rated bank has the most critically deficient level of performance and therefore requires the highest degree of supervisory attention.
When appraising the six key assessment areas and assigning a composite rating, the examiner weighs and evaluates all relevant factors for downgrades and upgrades of supervisory ratings.
Liquid Assets
Liquid assets are reserves plus estimates of securities that qualify as high-quality liquid assets as defined by the liquidity coverage ratio requirement.
Matters Requiring Attention (MRAs)/Matters Requiring Immediate Attention (MRIAs)
MRAs constitute matters that are important and that the Federal Reserve is expecting a banking organization to address over a reasonable period of time but when the timing need not be "immediate."
MRIAs are matters of significant importance and urgency that the Federal Reserve requires banking organizations to address immediately.
The MRA/MRIA count data are subject to revisions as issues are reviewed, updated, and finalized; this could result in minor historical count fluctuations.