Board of Governors of the Federal Reserve System

Appendix: Data Sources and Terms

Data Sources

The Supervision and Regulation Report includes data both on institutions supervised by the Federal Reserve System and for some institutions outside Federal Reserve supervision. The report reflects data through October 2, 2024. This section of the appendix provides information on select data sources in the report.

FFIEC Call Reports

The Federal Financial Institutions Examination Council (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, SMB, insured state nonmember bank, and savings association as of the close of business on the last calendar day of each calendar quarter. The specific reporting requirements for an institution depend on its size, whether it has any foreign offices, and applicable capital standards. The Call Report is a widely used source of timely and accurate financial data regarding an institution's financial condition and the results of its operations. Call Report data are used to monitor the condition, performance, and risk profiles of reporting institutions individually and collectively.

FR Y-9C

The Consolidated Financial Statements for Holding Companies, also known as the FR Y-9C report, collects basic financial data from domestic BHCs, SLHCs, U.S. intermediate holding companies (IHCs), and securities holding companies (SHCs) on a consolidated basis in the form of a balance sheet, income statement, and supporting schedules, including a schedule of off-balance-sheet items. The report is filed by such holding companies with total consolidated assets of $3 billion or more. Additional such holding companies meeting certain other criteria may also be required to file the report, regardless of their size. However, in a case where such holding companies own or control other such holding companies, generally only one top-tier report is required for the entire consolidated organization. The information contained in the report is as of the last calendar day of each calendar quarter.

FR Y-14Q

The Capital Assessments and Stress Testing information collection, also known as the FR Y-14 collection, is used to assess the capital adequacy of large firms based on forward-looking projections of revenue and losses, to support supervisory stress test models, and for continuous monitoring efforts, as well as to inform the Federal Reserve's operational decisionmaking as it continues to implement the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. As part of the FR-14 collection, the FR Y-14Q collects detailed data on BHCs', SLHCs', and IHCs' various asset classes, capital components, and categories of pre-provision net revenue on a quarterly basis.

H.8 Assets and Liabilities of Commercial Banks in the United States

The H.8 release provides an estimated weekly aggregate balance sheet for all commercial banks in the United States. The H.8 estimates are primarily based on data reported weekly by a voluntary authorized panel of 850 domestically chartered banks and foreign-related institutions, along with quarterly Call Report data for commercial banks that are not included in the voluntary authorized panel.

Notes on Data Sources and Terms

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. The composite rating represents an overall appraisal of six key assessment areas: Capital, Asset quality, Management, Earnings, Liquidity, and Sensitivity to market risk. Each assessment area also receives its own "component" rating, resulting in the bank's "CAMELS" ratings.

In addition to and separate from the interagency Uniform Financial Institutions Rating System, the Federal Reserve assigns a risk management rating to all SMBs. The CAMELS composite and component ratings, as well as the risk management rating, are assigned on a numeric 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.

Commercial Real Estate Loans

CRE loans are the sum of construction, land development, and other land loans; loans secured by multifamily residential properties; and loans secured by nonfarm nonresidential properties.

Note: H.8 CRE data include loans secured by farmland.

Common Equity Tier 1 Capital Ratio

The CET1 capital ratio is defined as CET1 capital, which consists primarily of common stock and retained earnings, 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. An advanced approaches institution is subject to the lower of the ratios. CBOs that have opted into the community bank leverage ratio (CBLR) framework are not required to report a CET1 capital ratio nor risk-weighted assets.

Community Bank Leverage Ratio Framework

The CBLR framework, which became effective January 1, 2020, allows qualifying CBOs to adopt a simple leverage ratio to measure capital adequacy. To qualify for the framework, a CBO must have less than $10 billion in total consolidated assets, have limited trading activity and off-balance-sheet exposure, meet the leverage ratio requirement, and not be part of an advanced approaches banking organization. The leverage ratio requirement for the CBLR framework was temporarily lowered to 8 percent beginning in the second quarter of 2020 through the remainder of calendar year 2020. The requirement was set at 8.5 percent for calendar year 2021 and returned to its previous 9 percent level beginning January 1, 2022.

The leverage ratio requirement for the CBLR framework is defined with respect to tier 1 capital as a percent of average total consolidated assets for the quarter as reported on Schedule RC-K on the Call Report or Schedule HC-K on Form FR Y-9C, as applicable. A CBLR banking organization with a ratio above the requirement will not be subject to other capital and leverage requirements.

Consumer Loans

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

Contingency Funding Plan

A contingency funding plan is a bank's strategy for addressing contingent liquidity events. Contingent liquidity events are unexpected situations or business conditions that may increase liquidity risk. These events may be institution-specific or arise from external factors. A contingency funding plan should contain policies to manage a range of stress environments, establish clear lines of responsibility, and articulate clear implementation and escalation procedures. Contingency funding plans should be commensurate with an institution's complexity, risk profile, and scope of operations. Contingency funding plans should address both the severity and duration of contingent liquidity events. Contingency funding plans should be regularly tested and updated to ensure that they are operationally sound.

Credit Default Swap Spread

The five-year credit default swap spread is the premium payment expressed as a proportion of the notional value of the debt that 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 firms only.

Credit Loss Reserves

Credit loss reserves represent the allowance for credit losses on a bank's portfolio of financial instruments carried at amortized cost (including loans held for investment, held-to-maturity debt securities, trade receivables, reinsurance receivables, and receivables that relate to repurchase agreements and securities lending agreements), net investment in leases as a lessor, and off-balance-sheet credit exposures not accounted for as insurance or derivatives. Credit loss reserves are recorded on a bank's balance sheet.

Delinquent Loans

Delinquent loans are the sum of 90+ days past due loans and nonaccrual loans.

Note: FR Y-14Q delinquent loans are the sum of 30+ days past due loans and nonaccrual loans.

LFI Ratings

The LFI rating system evaluates whether a firm possesses sufficient financial and operational strength and resilience to maintain safe-and-sound operations and comply with laws and regulations, including those related to consumer protection, through a range of conditions. It includes three components: (1) capital planning and positions; (2) liquidity risk management and positions; and (3) governance and controls.

Each component is rated based on a four-point non-numeric scale: Broadly Meets Expectations, Conditionally Meets Expectations, Deficient-1, and Deficient-2. A firm is considered to be in satisfactory condition if all of its component ratings are "Broadly Meets Expectations" or "Conditionally Meets Expectations."

Liquid Assets

Liquid assets are cash plus estimates of securities that qualify as high-quality liquid assets, as defined by the Board's liquidity coverage ratio rule.

Market Leverage Ratio

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

Net Interest Margin

Net interest margin measures a bank's yield on its interest-bearing assets after netting out interest expense.

Provisions

Provisions represent the amount necessary to adjust credit loss reserves to reflect management's current estimate of expected credit losses. Provisions are recorded as an expense item on the bank's income statement.

Residential Real Estate Loans

Residential real estate loans refer to loans secured by 1–4 family residential properties, including revolving, open-end loans secured by 1–4 family residential properties and extended under lines of credit; closed-end loans secured by first liens on 1–4 family residential properties; and closed-end loans secured by junior (i.e., other than first) liens on 1–4 family residential properties.

RFI Ratings

The RFI composite rating represents an overall assessment of three components covered under the RFI rating system: Risk management, Financial condition, and Impact of the non-depository entities on the subsidiary depository institutions.

Each component is rated based on a ‘1' to ‘5' numeric scale. A ‘1' numeric rating indicates the highest rating, strongest performance and practices, and least degree of supervisory concern. A ‘5' numeric rating indicates the lowest rating, weakest performance, and highest degree of supervisory concern. Holding companies that are rated ‘1' or ‘2' are generally in satisfactory condition, while those that are rated ‘3,' ‘4,' or ‘5' are in less-than-satisfactory condition.

Tiering of Regulation

In October 2019, the Federal Reserve Board adopted rules that tier its regulations for domestic and foreign banks and holding companies to match their risk profiles more closely. The rules establish a framework that sorts institutions with $100 billion or more in total assets into four categories based on several factors, including asset size, cross-jurisdictional activity, reliance on weighted short-term wholesale funding, nonbank assets, and off-balance-sheet exposure (table A.1).

Table A.1. List of domestic and foreign firms, by category, as of 2024:Q2

Top Holder

All data, unless otherwise noted, refer to the top-holder data. This population generally comprises top-tier Call Report filers and top-tier FR Y-9C filers, including depository SLHCs and FBOs. In instances where a top-tier holding company does not file the FR Y-9C, we combine financial data of subsidiary banks/thrifts to approximate the consolidated financial data of the holding company. Commercial and insurance SLHCs, cooperative banks, and non-deposit trust companies are excluded from the top-holder population.

Well Capitalized Metric

For the purposes of this publication, institutions that met the capital ratio requirements for the "well capitalized" designation according to the Prompt Corrective Action guidelines as they existed in each quarter are considered well capitalized.²⁵ As of 2024:Q2, an insured depository institution was considered well capitalized if it had a total risk-based capital ratio of 10.0 percent or more, a tier 1 risk-based capital ratio of 8.0 percent or more, a CET1 capital ratio of 6.5 percent or more, and a tier 1 leverage ratio of 5 percent or more.²⁶ Qualifying community banks that elected to use the CBLR framework and maintained a leverage ratio of greater than 9 percent are considered well capitalized. While these standards apply to insured depository institutions, they are used as a proxy for holding companies in figure 1.

 

References

 

 25. See the Federal Deposit Insurance Corporation, Federal Deposit Insurance Act, Section 38 Prompt Corrective Action, https://www.fdic.gov/federal-deposit-insurance-act/section-38-prompt-corrective-action for additional information. Return to text

 26. For an insured depository institution that is a subsidiary of a G-SIB, a supplementary leverage ratio of 6.0 percent or more. For the purposes of this publication, this requirement was not applied to institutions. Return to text