FR Y-14A
General
Q (Y140001109, General):
On July 9, 2019, the U.S. banking agencies finalized the Regulatory Capital Rule: Simplifications to the Capital Rule Pursuant to the Economic Growth and Regulatory Paperwork Reduction Act of 1996. This rule amends the U.S. Basel III capital rules to simplify the capital treatment of capital deductions and recognition of minority interests for non-advanced approaches banking organizations as well as implementing certain technical amendments applicable to both advanced approaches and non-advanced approaches banking organizations. The effective date of the rule is April 1, 2020.
With regard to the June 2019 DFAST submission (due October 5, 2019), should firms reflect the impact of the provisions of the final rule for forecasted periods subsequent to April 1, 2020?
A: Firms should not reflect the changes to the capital rules from the capital simplification rule in their June 2019 DFAST submission. The effects of the capital simplifications rule should only be incorporated into a firm's FR Y-14 projections if and when the FR Y-14 has been revised to incorporate changes related to the capital simplifications rule.
(FRB Response: September 26, 2019)
Q (Y140000884, General):
When looking through the Q&A Report as of March 14, we noticed the FRB's response to Y140000727 states that Income Statement line item 138 is still required to be equal to the losses reported on sub-schedule A.2.b Retail Repurchase Losses.
With Schedule A.2.b scheduled to be discontinued starting for MCST 2018, how will this impact the Income Statement line item 138? Will line item 138 still be reported?
Currently IS 138 is populated in our system via the current A.2.b schedule, so we want to understand if the FRB plans to eliminate that line or populate alternatively via instruction change. This will allow us to determine how to proceed. As it stands, we would need to continue to run the Schedule A.2.b process or find an alternative approach.
A: On December 15, 2017, the Federal Reserve adopted a proposal, which eliminated the Retail Repurchase Projections sub-schedule (FR Y14-A, Schedule A.2.b) from the FR Y-14A report with data as of March 31, 2018 (see 82 FR 59608). The proposal did not eliminate item 138 on the income statement of the FR Y-14A (Summary). This item should continue to be reported in accordance with the instructions. (FRB Response: October 10, 2018)
Schedule A—Summary
Q (Y140001236, Trading):
As a follow up to the below Q&A Y140001106 response, we would like to request clarification from the FRB that given for Tax Oriented Investments held under equity method accounting exposures should not be reported under Schedule F based on the Q&A response, can the FRB kindly confirm on which schedule firms are expected to report these exposures within the FR Y-14Q submission due on May 18th? If we need to submit a new Q&A form, please let me know and I will send one over.
A: These investments should be reported in any line items of the FR Y-14 where the definition of a line item includes the relevant investment, including at minimum relevant line items of the Schedule G (PPNR) and Schedule M (Balances). If the exposure is significant, additional detail may be provided in supplemental materials. (FRB Response: November 4, 2020)
Q (Y140001305, A.1.B, Balance Sheet):
The FR Y-14A instructions assign commercial loans to different line items based on whether the loans were "graded" or "rated" during the underwriting process. However, the Paycheck Protection Program (PPP) loans were recently excluded from June 30, 2020 FR Y-14Q schedules and PPP loans are underwritten separately from other loans (not necessarily "graded" or "scored"). Some PPP loans may be tied to obligor where the lending relationship is "graded" and therefore some PPP loans could be considered "graded" while others are "scored." How should PPP loans be reported on the FR Y-14A Summary schedule, particularly the Balance Sheet Worksheet?
A: Firms should categorize Paycheck Protection Program (PPP) loans for their June 30, 2020, FR Y-14A submissions using the same methodology as they used to report PPP loans on Schedule K (Supplemental) for their June 30, 2020, FR Y-14Q submissions.
(FRB Response: October 7, 2020)
Q (Y140001195, A.1.D, Capital):
For a return of capital that is not considered a dividend from an accounting/legal perspective and will not be reported as a dividend on the FR Y9C, should firms report the capital action on FR Y-14A Summary Form, Schedule A.1.d Capital (line 121) as "Other share repurchases"? The return of capital would be considered similar to a discretionary share repurchase.
A: For purposes of reporting the Y-14A, dividends are defined by reference to the Glossary to the FR Y-9C instructions, where they are defined as payments of cash to stockholders in proportion to the number of shares they own. A return of capital that does not meet this definition of dividend and that is a share repurchase not reported in Schedule A.1.d Capital (line 120) should be reported in Schedule A.1.d Capital (line 121). If you have a question about how to interpret the definition of dividend with regard to a specific transaction, please provide more details about the transaction and why you think it does not meet the definition of a dividend. (FRB Response: June 24, 2020)
Q (Y140001201, General):
Page 8 of the CCAR 2020 Summary Instructions published on March 4, 2020 states: ". . . For the initial quarter of the planning horizon, the firm must take into account the actual capital actions taken during that quarter. For the second quarter of the planning horizon (i.e., the second quarter of 2020), a firm's capital distributions should be consistent with those already included in the capital plan from the prior year and not objected to by the Federal Reserve for that quarter.". If the firm reduces capital distributions for the second quarter of the planning horizon, can the firm submit these reduced capital distributions for the second quarter of the planning horizon or should it submit the amount included in the capital plan from the prior year?
A: Yes. Reduced capital distributions will be considered consistent with those included in the capital plan from the prior year and not objected to by the Federal Reserve for that quarter. (FRB Response: April 15, 2020)
Q (Y140001205, A.1.D, Capital):
According to the FED 14A Form Change published on 3/20/20, a Category III Non-Advanced bank should adopt the revisions of CET1 deductions Threshold from 10% to 25% for PQ2 to PQ9. However in the form the aggregated 15% threshold (A1d line 81) is still in place and A1d Line 84 is still a calculated field. Per the new instructions the eligible banks should report zero in the line 84 from PQ2 to PQ9. Since A1d line 84 is a derived line it does not accept zero as an input.Please provide guidance and clarity on the approach.
A: The re-distributed technical instructions updated the derivation for line 84, which should resolve this issue. (FRB Response: April 15, 2020)
Q (Y140001206, A.1.D, Capital):
Will you be publishing updated technical instructions for the Q4 2019 FR Y-14A submission, including the data dictionary, to reflect the updated capital calculations on the Capital Schedules (A.1.d) based on the above? In the absence of updated technical instructions for CCAR 2020, could you please confirm that the Federal Reserve will similarly calculate regulatory capital in accordance with the regulatory capital simplification rules beginning April 1, 2020, for Category III and IV firms for purposes of the Federal Reserve's DFAST and CCAR calculations and for purposes of calibrating the Stressed Capital Buffer for a particular firm?
A: On March 20, 2020, firms were notified that updated technical instructions were published for the FR Y-14A report. (FRB Response: April 8, 2020)
Q (Y140001196, A.1.D, Capital):
For the new column "Adjusted Starting Value" in A1d schedules, is it the "adjusted starting value" to be reported, or the adjustments only?
For example if the spot balance is 100 and the GMS impact is 20, would you please confirm it's the amount "80" should be reported in the "Adjusted Starting Value" column?
A: The adjusted starting value column should reflect the global market shock. In the example provided, the firm is required to report an adjusted starting value of 80.
(FRB Response: March 25, 2020)
Q (Y140001106, Trading):
The firm would like to clarify the 14Q reporting requirements, and stress forecasting requirements under the supervisory scenarios, for Tax Oriented Investments held under equity method accounting. Page 109 of the FY-14Q instructions sets forth the following definition for Other Fair Value Assets and provides examples, including tax oriented investments and wind farms.
Other Fair Value Assets are all assets held under fair value option (FVO) accounting except for retail and wholesale loans, which should be included in the schedules for Retail and Wholesale FVO loans. Examples would include legacy assets, community development assets, and tax-oriented investments, e.g., wind farms.
In the context of firm's Tax Oriented Investments (TOIs), specifically Sec. 45, Sec. 48 and Sec. 1603, is the firm required to report TOIs held under equity method accounting on 14Q Schedule F.26 Other Fair Value Assets?
Additionally, please clarify whether TOIs held under equity method accounting are required to be subject to the Global Market Shock in Supervisory Stress scenarios.
A: Tax oriented investments held under equity method accounting should not be included in the Other Fair Value Assets worksheet of Schedule F. TOIs under equity method accounting are not subject to the Global Market Shock in supervisory stress scenarios unless they are reported elsewhere on Schedule F. (FRB Response: March 25, 2020)
Q (Y140001107, Trading):
In April 2019, we received the following guidance from the FRB during the annual CCAR exam in reference to Private Equity Exposures: "Please note that all exposures, fair value or non-fair value, reported in the FR Y-14Q schedule F (Trading and CVA Hedges) should be subjected to the global market shock for the supervisory scenarios and the related P&L should be reported in the FR Y-14A schedule A.4 (Trading). The firm does NOT need to resubmit the FR Y-14A for this cycle, but please follow this approach in future CCAR exercises."
Based on the definition of Private Equity, as included on p. 109 of the FR Y-14Q instructions, the firm acknowledges that "Private Equity" is defined as:
Private Equity includes all equity related investments such as common, preferred, and convertible securities.
This includes investments made on a principal basis in standalone companies, real estate, general and limited partnership interests and hedge funds, including seed capital invested in hedge or mutual funds. This includes Private Equity that is mark to market (MTM), held for sale (HFS) or under fair value option accounting (FVO).
The firm interprets this guidance as requiring all fair value and non-fair value private equity exposures be subjected to the global market shock for the supervisory scenarios, regardless of the accounting treatment for those exposures, which may include equity method accounting as well as the accounting treatments itemized in the FR Y-14Q "Private Equity" definition on p. 109. In addition, the firm reports exposures based on "carry value," as noted on p. 145 of the FR Y-14Q instructions:
F.24 – Private Equity
General: This worksheet is meant to capture carry value of Private Equity investments across regions and aggregated by GICS code.
- Given the above, if a firm has a Private Equity Investment held under equity method accounting, which is reported in the books and records of the firm at carry value, rather than fair value, is there any flexibility to apply a stress test methodology in the supervisory scenarios which aligns to the accounting treatment of these investments?
- If no, can you please confirm that the market shock should be applied to the "carry value" and not the "fair value"? (Note that the application to the fair value would seem to be more consistent with the treatment of other assets subject to the market shock.)
- Can we kindly confirm if the firm has the ability to use what is believes to be a more appropriate stress test methodology, aligned to the accounting treatment, for the BHC Scenarios?
A: Firms have flexibility to stress investments as they see appropriate in BHC scenarios. However, in supervisory scenarios, shocks should be applied to the carry value of private equity investments. (FRB Response: March 25, 2020)
Q (Y140001164, A.1.A, Income Statement):
Per instructions in the December 2019 final CECL/Non-CECL NPR, "As indicated in the final CECL rule and as outlined in FR Y-14 CECL proposal, an institution may reflect the adoption of ASU 2016-13 on the FR Y-14 reports beginning with the 2020 stress test cycle. Therefore, all CECL-related items need to be incorporated into the FR Y-14 reports for December 31, 2019."
Our firm is transitioning to CECL on January 1, 2020, and requires additional clarity on how to report provisions on the FR Y-14A for CCAR2020. In order to ensure that the provisions roll on the "Allowance for Loan and Lease Losses" section of the FR Y-14A Schedule A.1.a – Income Statement, actual as-of date balances for line 116 "Total Allowances, current quarter" (MDRM CASI3123) would need to include the impact from the transition to CECL. We will file the FR Y-14A Schedule A.1.a – Income Statement including the day 1 CECL adjustment for as of date actuals in Income Statement line 115 "Other ALLL Changes" (MDRM: CASIKU87). Can the FRB confirm that is the correct interpretation of the instructions as failure to do so would result in the income statement including incorrect projected provisions since the balance would not roll properly from the starting point? Or, alternatively, will the FRB take the Actual in $Millions as of date value of Collection of Supplemental CECL Information line 3 "Adoption of Current Expected Credit Loss Methodology – ASC Topic 326" (MDRM: CASTJJ26)?
A: Firms should report the impact from the transition to CECL in FR Y-14A, Schedule A.1.a, Item 115 "Total Other ALLL Changes." (FRB Response: February 26, 2020)
Q (Y140000983, Counterparty Credit Risk (CCR)):
Should the bank include its TBA exposure within non-trading portfolios (e.g., Fair Value Hedge (FVH) book) in the XVA (counterparty) loss estimation?
A: Firms are expected to include TBA in its data submission in the FR Y-14Q Schedule L (Counterparty). (FRB Response: December 11, 2019)
Q (Y140000795, Counterparty Credit Risk (CCR)):
Can you confirm that the reference to derivatives and derivatives related exposures in the December 2017 letter informing firms that they would be subject to the counterparty default scenario does not refer to client cleared derivative transactions consistent with the guidance given in the FAQ Y14000074? Hence such client cleared exposure should be excluded from the counterparty default scenario loss calculation for supervisory scenarios (and therefore not included in losses in the FR Y-14A).
A: The relevant FAQ is Y140000740, not Y14000074.
In determining the largest loss counterparty for the Counterparty Default Scenario Component in supervisory scenarios, we confirm that the firm is not required to include in its FR Y-14Q Schedule L.6 submission its client-cleared exposure arising either from centrally cleared derivatives or from listed futures and options contracts on futures exchanges.
Further, as in the instructions that were in effect prior to the August 2017 instruction change, it is noted that the firm is not required to include in its FR Y-14Q Schedules L.1-4 submission under the supervisory scenarios its client facing exposures arising either from centrally cleared derivatives or from listed futures and options contracts on futures exchanges.
(FRB Response: May 2, 2018)
Q (Y140000810, Counterparty Credit Risk (CCR)):
We are requesting clarification on how to report amounts requested on the FR Y-14A Schedule A – Summary template on Worksheet A.5 – Counterparty Credit Risk Line CR-5 (Funding Valuation Adjustment (FVA)). The latest FR Y-14A instructions note that I/S-60 (Counterparty Credit MTM Losses (CVA Losses)) must equal CR-2 (Counterparty Credit MTM Losses (CVA Losses)), which must equal the sum of CR-2a (Counterparty CVA Losses) and CR-2b (Offline Reserve CVA Losses); previous FAQs noted that FVA was to be included in CR-2b.
In addition, the instructions note that the sum of items CR-2a and CR-2b (or, CR-2), should correspond to that which is reported in the FR Y-14Q Schedule F – Counterparty Credit Risk Sub-schedule 1.e., where FVA is specifically requested to be included and separately broken out (along with other VAs) on this worksheet.
The instructions also note I/S-62 (Total Trading and Counterparty Losses) should equal the sum of I/S-60 and I/S-61 (Counterparty Default Losses) as well as Trading loss-related line items. As such, should the firm continue to include our UFVA projections in CR-2b, and thus I/S-60 and assume that population of CR-5 with the FVA amount is strictly for information purposes? Are firms required to report amounts in line item CR-5 for CCAR 2018?
A: A firm is not required to report the funding valuation adjustment (FVA) related losses under supervisory scenarios. However, if a firm chooses to report such losses, the FVA related losses, inclusive of hedges, should be reported in
- FR Y-14, Schedule A.5 (Counterparty Credit Risk (CCR)) under both Line item 2b (Offline Reserve CVA Losses) and Line item 5 (Report Valuation Adjustment) the latter of which is for information purposes;
- FR Y-14 schedule A.1.a (Income Statement) under Line item 60 (Counterparty Credit MTM Losses (CVA losses)) of Trading Account section. (FRB Response: May 2, 2018)
Q (Y140000825, Counterparty Credit Risk (CCR)):
Please clarify the following with respect to the addition of Line Item 5 – Report Valuation Adjustment to Schedule A.5 – Counterparty Credit Risk under the 12/21/2017 FR Y-14A update:
- Should both FVA and FVA hedges be reported under A.5 Line Item 5, or should FVA hedges continue to be reported with CVA MTM in A.5 Line item 2b – Offline Reserve CVA Losses?
- Can the FRB confirm that A.5 Line item 5 should be recorded in A.1.a – Income Statement on line 60 – Counterparty Credit MTM Losses (CVA Losses)?
A: A firm is not required to report the funding valuation adjustment (FVA) related losses under supervisory scenarios. However, if a firm chooses to report such losses, the FVA related losses, inclusive of hedges, should be reported in
- FR Y-14, Schedule A.5 (Counterparty Credit Risk (CCR)) under both Line item 2b (Offline Reserve CVA Losses) and Line item 5 (Report Valuation Adjustment) the latter of which is for information purposes;
- FR Y-14 schedule A.1.a (Income Statement) under Line item 60 (Counterparty Credit MTM Losses (CVA losses)) of Trading Account section. (FRB Response: May 2, 2018)
Q (Y140000844, Counterparty Credit Risk (CCR)):
FR Y-14A Schedule A.5 instructions for line item 2 mentions that line items 2a and 2b on A.5 should correspond to data reported on the FR Y-14Q "Schedule F – Counterparty," while the FR Y-14Q Counterparty schedule is labeled as "Schedule L" as per the latest 14Q Instructions found on the FRB Reporting site (modified 12/20/2017). Would the FRB please confirm the instruction meant "Schedule L" instead of "Schedule F"?
A: FR Y-14Q Schedule F – Counterparty noted in the FR Y-14A Schedule A.5 instruction for line item 2 was meant to refer to FR Y-14Q Schedule L – Counterparty.
(FRB Response: May 2, 2018)
Q (Y140000845, Counterparty Credit Risk (CCR)):
Since Funding Valuation Adjustment (FVA) is included in the FR Y-14Q with the CVA Offline reserves per FR Y-14Q FRB instructions (Schedule L – Counterparty, Credit Risk Sub-schedule 1.e.2)), but will be included in line item 5 of the FR Y-14A Schedule A.5 – Counterparty Credit Risk as per FR Y-14A FRB instructions, would the FRB please clarify whether or not FVA needs to be also included in line item 2b (Offline CVA reserves) of the FR Y-14A Schedule A.5 – Counterparty Credit Risk to ensure consistency between the sum of items 2a and 2b of the FR Y-14A Schedule A.5 – Counterparty Credit Risk and the difference between stressed and unstressed aggregated CVA reported in FR Y-14Q Schedule L – Counterparty, Credit Risk sub schedule 1.e?
A: A firm is not required to report the funding valuation adjustment (FVA) related losses under supervisory scenarios. However, if a firm chooses to report such losses, the FVA related losses, inclusive of hedges, should be reported in
- FR Y-14 schedule A.5 (Counterparty Credit Risk (CCR)) under both line item 2b (Offline Reserve CVA Losses) and line item 5 (Report Valuation Adjustments) the latter of which is for information purposes; and
- FR Y-14 schedule A.1.a (Income Statement) under Line item 60 (Counterparty Credit MTM Losses (CVA losses)) of Trading Account section.
Further, the firm should report the FVA balances in each scenario in FR Y-14Q Schedule L.1.e) under Line item d) funding valuation adjustment (FVA) (if applicable).
(FRB Response: May 2, 2018)
Q (Y140000876, Counterparty Credit Risk (CCR)):
Can you please clarify something for the A.5 Counterparty reporting for firms using the additional scenario component. The FRB is expecting 2 lines to be populated on this schedule, correct? Line 2 Counterpart Credit MTM (CPSSN992) and Line 3 Counterparty Default losses CPSSN995.
A: For purposes of reporting information relating to the additional scenario component on the FR Y-14A, Schedule A.5 (Counterparty Credit Risk (CCR)), IHCs are required to submit credit valuation adjustments losses in line item 2 Counterparty Credit MtM Losses (CVA Losses) and large counterparty default losses in line item 3 Counterparty Default Losses. (FRB Response: April 11, 2018)
Q (Y140000788, Trading):
The Final Rule states the following: "Regarding the application of the global market shock component, under the revised FR Y-14 report, the Board is delaying the application of the global market shock to firms that would become newly subject to it until the 2019 DFAST/ CCAR exercise. However, assessing potential losses associated with trading books, private equity positions, and counterparty exposures for firms with significant trading activity is a critical component of stress testing and capital planning. Therefore, for the 2018 DFAST exercise, pursuant to the stress test rules, the materiality of trading exposures and counterparty positions to U.S. IHCs may warrant applying an additional component to firms that meet such criteria. The components would serve as an add-on to the economic conditions and financial market environment specified in the adverse and severely adverse scenarios."
Please confirm our understanding that:
IHCs will not be subject to GMS for CCAR 2018, i.e., the GMS losses will not be a factor in consideration for CCAR capital plan assessment (including objection/non-objection) for the 2018 cycle
IHCs may be required to apply an additional GMS add-on component to their DFAST 2018 for either the adverse and severely adverse scenarios, or only the severely adverse scenario. Where required, the FRB will communicate to affected firms with appropriate instructions through a written notification by 12/31/2017. Additionally, please confirm that:
IHC's will not be required to prepare the FRY 14-A – Trading and Counterparty Schedule (A4/A5) submission, even if IHC's are required to include an add-on component separately; and
IHC's add-on scenario component will not be subject to public disclosure.
A: 1 – The GMS will not apply to U.S. IHCs that are newly subject to CCAR in 2018. For the IHC stress scenario, the firm should incorporate losses on its trading positions and counterparty as outlined in the January 26, 2018 firm specific notification letter from the Federal Reserve.
2 – Firms that meet the FR Y-14 Trading and Counterparty threshold are required to submit the FR Y-14A Trading and Counterparty schedules (Schedules A.4 and A.5) and FR Y-14Q Trading and Counterparty schedules (Schedules F and L). For the supervisory market risk component, securitized products and trading mark-to-market and trading incremental default losses should be reported as the Firmwide Trading Total in the FR Y-14A Trading schedule (CPSSN972), while losses related to credit valuation adjustments and large counterparty default should be reported as the Counterparty Credit MTM Losses (CVA losses) (CPSSN992) and Counterparty Default Losses (CPSSN995) in the FR Y-14A Counterparty schedule, respectively.
3 – The Federal Reserve communicated in a firm specific notification letter on December 22, 2017: "The Board will include a substantially similar market risk component in its supervisory stress test projections […] in the adverse and severely adverse scenarios." As a result, the supervisory stress test results published by the Federal Reserve Board would include losses from the additional scenario component and their impact on capital. In addition, a summary of the firm's own company-run stress test under the Federal Reserve scenarios must be disclosed under the Board's stress testing rule, including any losses from the additional scenario component and its impact on capital. (FRB Response: March 28, 2018)
Q (Y140000727, A.1.A – Income Statement):
The FR Y-14A instructions (Schedule A.2.b – Retail Repurchase Projections) indicated that the sum of the projected future losses from Section 3 are "linked" to the net charge-off line on the Income Statement (item IS-138). The Data Dictionary was changed for CCAR 2017 to indicate that item IS-138 was no longer derived and the XML schema was changed to include item IS-138.
Is item IS-138 (CPSIP195) still required to be equal to Table 3 on the Retail Repurchase sub-schedule (CPSRP195)? If not can you elaborate on the difference in definition between CPSIP195 and CPSRP195?"
Further clarification: The instructions for sub-schedule A.2.b (Retail Repurchase Projections) state that the projected future losses in line G.3 (total losses) are "linked" to the charge-off lines in the Repurchase Reserve on the Income Statement (IS-138). While the term "link" probably refers to the legacy Excel version of the Summary Schedule, the technical instructions used to support that statement. The data dictionary indicated that IS-138 was equal to item G-3 on the Retail Repurchase schedule and both items were derived by the FRB and not included in the schema. For CCAR 2017 the technical instructions were updated to eliminate the derivation beginning with CCAR 2017 and the charge-offs were included as a required input on the schema (version 7 of the schema).
Are the charge-offs to the repurchase reserve (income statement) still required to be equal to the losses reported on schedule A.2.b (Retail Repurchase Losses) as implied by the "link" comment? If not, could the FRB provide an explanation of the difference between the two values?
A: The charge-offs to the "repurchase reserve" on the income statement line item 38 of the FR Y-14A sub-schedule A.1.a is still required to be equal to the losses reported on sub-schedule A.2.b "Retail Repurchase Losses." (FRB Response: March 14, 2018)
Q (Y140000750, A.1.B – Balance Sheet):
We wanted to raise an FAQ with regards to the 14-A schedule based upon the changes from May 23rd publication: Where should Consumer Leases be reported on FRY14A Schedule A.1.b – Balance Sheet? We think it should be Line item 42 however instructions only mentions loans, not leases; Line item 50 only includes non-consumer leases. Could you please clarify the exact line item under which Consumer Leases should be reported?
A: Consumer Leases would be reported in FR Y-14A sub-schedule A.1.B – Balance Sheet line item 42. (FRB Response: March 14, 2018)
Q (Y140000783, Trading):
If a firm incorporates an instantaneous global market shock and/or counterparty default in either the BHC adverse or severely adverse scenarios where, specifically, should those losses be captured in the FR Y-14A schedules?
A: A BHC or IHC that has chosen to incorporate an instantaneous global market shock and/or counterparty default component in its BHC scenario should report counterparty and trading P&L results in the appropriate line items under (1) the Trading Account section of sub-schedule A.1.a – Income Statement, (2) sub-schedule A.4 Trading, and (3) sub-schedule A.5 Counterparty Credit Risk (CCR) of the FR Y-14A Summary Schedule.
(FRB Response: March 14, 2018)
Q (Y140000736, Counterparty Credit Risk (CCR)):
Referencing prior responses, including Y140000692 (released 27-Sep-17), please provide clarification on whether FVA is to be reported for supervisory stress scenarios as well as for internal scenarios.
A: Firms are not required to report losses or gains associated with Funding Valuation Adjustment (FVA) in supervisory scenarios. If BHC opts to report FVA related losses and gains in supervisory scenarios, they should do so in the appropriate schedules, as in the prior FAQ (Y140000692).
Firms' reporting of losses or gains associated with FVA under BHC scenarios should be at the respondent's discretion based on their assessment of internal risks.
(FRB Response: December 20, 2017)
Q (Y140000740, Counterparty Credit Risk (CCR)):
According to a previous question, it was noted that client-clearing exposure should not be reported in the FR Y-14A/Q. However, there is no explicit mention of their treatment in the instructions for either the Counterparty Default Scenario Component (CDSC) or the exposure-specific portions of FR Y-14Q Schedule L (L.5 and L.6). Can you clarify if client-cleared exposure should be included in determining the largest counterparty for the CDSC or if they should be included in the reporting of exposures on FR Y-14Q Schedules L.5 and L.6?
A: In determining the largest loss counterparty for the Counterparty Default Scenario Component, the firm is not required to include in its FR Y-14Q Schedule L.6 submission its client-cleared exposure arising either from centrally-cleared derivatives or from listed futures and options contracts on futures exchanges.
Further, as in the instructions that were in effect prior to the August 2017 instruction change, it is noted that the firm is not required to include in its FR Y-4Q Schedules L.1-4 submission its client-facing exposures arising either from centrally-cleared derivatives or from listed futures and options contracts on futures exchanges. (FRB Response: October 25, 2017)
Q (Y140000702, A.7.C – PPNR Metrics):
Do the metrics on Schedule A.7.c (PPNR Metrics) of reporting form FR Y-14A include only metrics related to the projections reported elsewhere on that schedule, or should those metrics also include balances not used in projecting pre-provision net revenue (PPNR) results for purposes of Schedule A.7.a (PPNR Projections Sub-schedule)? For example, for Assets Under Custody and Administration (AUC/A) reported on line item 40 of Schedule A.7.c, is it appropriate for a bank holding company (BHC) to exclude AUC/A amounts that (i) are not used in the BHC's PPNR estimation methodology and (ii) whose exclusion therefore would not impact the PPNR projections on Schedule A.7.c?
A: The firm's PPNR reporting choices should strive to reflect as accurate a picture of its activity and risks as possible. A BHC has the choice of reporting AUC/A based on its own internal definitions or it can chose to project this metric in a manner that is more consistent with its revenue projections. In either case, a firm should clearly document its choices, strive to make consistent choices over time and between historical actuals and projections, and strive to report metrics consistently with its other regulatory reporting and GAAP (if applicable).
(FRB Response: October 25, 2017)
Q (Y140000692, Counterparty Credit Risk (CCR)):
A previous question regarding the FR Y-14 specifically states that FVA is not required to be reported and only credit valuation adjustment (CVA) is considered under supervisory scenarios. Meanwhile there are other FAQs discussing reporting of FVA on FR Y-14 A/Q schedules. Does the FRB have any objection if FVA (gains & losses) are reported under supervisory scenarios?
A: Firms are asked to report the FVA losses under FR Y-14A.5 (Counterparty Credit Risk), Line item 2b (Offline Reserve CVA Losses), and FVA balances under FR Y-14Q
Schedule L.1.e. Additional/Offline CVA Reserves consistently.
(FRB Response: September 27, 2017)
Schedule B—Scenario
No questions for publication.
Schedule C—Regulatory Capital Instruments
No questions for publication.
Schedule D—Regulatory Capital Transitions
No questions for publication.
Schedule E—Operational Risk
No questions for publication.
Schedule F—Business Plan Changes
No questions for publication.
Schedule G—Retail Repurchase Exposures
No questions for publication.