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.

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, and insured nonmember bank 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.

CCAR

The Comprehensive Capital Analysis and Review, or CCAR, evaluates the capital planning processes and capital adequacy of the largest U.S.-based holding companies on an annual basis. This includes the firms' planned capital actions, such as dividend payments and share buybacks. Strong capital levels act as a cushion to absorb losses and help ensure that banking organizations have the ability to lend to households and businesses even in times of stress. When evaluating a firm's capital plan, the Board considers both quantitative and qualitative factors. Quantitative factors include a firm's projected capital ratios under a hypothetical scenario of severe economic and financial market stress. Qualitative factors include the strength of the firm's capital planning process, which incorporates risk management, internal controls, and governance practices that support the process.

Notes on Specific Data

Top Holder

All data, unless otherwise noted, use top-holder data. This population comprises top-tier commercial bank Call Report filers and top-tier Y-9C filers. In instances where a top-tier BHC does not file the Y-9C, we combine financial data of subsidiary banks to approximate the consolidated financial data of the bank holding company. Because of data limitations, all FBOs, SLHCs, and commercial bank subsidiaries of top-tier FBOs and SLHCs are excluded from the top-holder population.

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 was used for all firms.

Common equity tier 1 capital ratio is defined as common equity tier 1 as a percent of risk-weighted assets. While advanced approaches institutions are required to report an additional CET1 metric using an alternative calculation of risk-weighted assets, we use the standardized risk-weighted assets calculation in all cases to maintain consistency.

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.19

Well Capitalized Metric

Simplified for the purposes of this publication, firms that met or exceeded the "well capitalized" category according to the FDIC Prompt Corrective Action (PCA) guidelines as they existed in each quarter are considered well capitalized (table A.1).20 While this standard applies to insured depositories, it is used as a proxy for holding companies in figure 6.

Table A.1. Prompt Corrective Action (PCA) capital ratio categories

Percent

PCA category Total RBC
ratio
Tier 1 RBC ratio Common equity tier 1 RBC ratio Tier 1 leverage ratio
Well capitalized 10 8 6.5 5
Adequately capitalized 8 6 4.5 4
Undercapitalized <8 <6 <4.5 <4
Significantly undercapitalized <6 <4 <3 <3
Critically undercapitalized Tangible equity/total assets ≤2 percent

Note: Values are as of the end of 2018:Q2

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.21

Highly Liquid Assets

The highly liquid assets (HLA) displayed here are an approximation of the high-quality liquid assets (HQLA) used by regulators. HLAs are the sum of the following items:

  • cash: includes all interest-bearing and noninterest-bearing deposits.
  • U.S. Treasury securities and government agency obligations
  • federal funds sold in domestic offices and securities purchased under agreements to resell
  • other U.S. government-guaranteed securities: includes mortgage-backed securities (MBS) issued or guaranteed by the U.S. government or a government-sponsored enterprise (GSE), and MBS collateralized by MBS issued or guaranteed by the U.S. government or GSEs. Includes held-to-maturity (amortized cost) and available-for-sale (fair value) securities.

Less the following item:

  • pledged securities

Because of changes in the Call Report and FR Y-9C since the first quarter of 2006, the definition of HLA is not consistent during the entire time series. Agency commercial mortgage-backed securities are included in other U.S. government-guaranteed securities from the first quarter of 2006 until the first quarter of 2009 but are excluded from the second quarter of 2009 to the fourth quarter of 2010 before being included again in the first quarter of 2011. This is true for both banks and BHCs. Also note that the pledged securities category includes all pledged securities, including securities without government guarantees.

Allowance for Loan and Lease Losses (ALLL)

The allowance for loan and lease losses, which was originally referred to as the "reserve for bad debts," is a valuation reserve established and maintained by charges against the bank's operating income. As a valuation reserve, it is an estimate of uncollectible amounts that is used to reduce the book value of loans and leases to the amount that is expected to be collected.

Nonperforming Loans

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

Reserve Coverage Ratio

The reserve coverage ratio is the ratio of ALLL over nonperforming loans. When calculating nonperforming loans for the reserve coverage ratio, loans provided by Ginnie Mae that have been repurchased or are eligible for repurchase have been removed.

Credit Default Swap (CDS) Spread

The five-year CDS spread is reported in basis points relative to senior firm debt. 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.

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 12 are not based on 2052a reporting data.

Percent of Time Spent Offsite

The percent of time spent offsite measures the percentage of examination and inspection time that occurs offsite for SMB, BHC, and SLHC safety-and-soundness events. Small shell holding companies, with assets less than $1 billion, are excluded from these data.22

 

References

 

 19. For more information about MRAs and MRIAs, see SR letter 13-13, "Supervisory Considerations for the Communication of Supervisory Findings," at www.federalreserve.gov/supervisionreg/srletters/sr1313a1.pdfReturn to text

 20. For more information on the FDIC's PCA, see www.fdic.gov/regulations/laws/rules/1000-4000.htmlReturn to text

 21. For more information regarding composite rating considerations, see SR letters 95-51, 96-38, and 16-11 at www.federalreserve.gov/supervisionreg/srletters/srletters.htm, as well as the Commercial Bank Examination Manual appendix section A.5020.1 at www.federalreserve.gov/publications/files/cbem.pdf; with regard to CAMELS rating upgrades, see SR letter 12-4 at www.federalreserve.gov/supervisionreg/srletters/sr1204.htmReturn to text

 22. For more information regarding offsite examinations, see SR letters 16-8 and 95-13 at www.federalreserve.gov/supervisionreg/srletters/srletters.htmReturn to text

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Last Update: November 09, 2018