Appendix A: Data Appendix
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 the sources for these data.
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.
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). 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.
H.8—Assets and Liabilities of Commercial Banks in the United States
The H.8 statistical release provides an estimated weekly aggregate balance sheet for all commercial banks in the United States. The H.8 release is primarily based on data that are reported weekly by a sample of approximately 875 domestically chartered banks and foreign-related institutions. Data for domestically chartered commercial banks and foreign-related institutions that do not report weekly are estimated at a weekly frequency based on quarterly Call Report data.
H.4.1—Factors Affecting Reserve Balances
The H.4.1 statistical release, "Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks," presents a balance sheet for each Federal Reserve Bank, a consolidated balance sheet for all 12 Reserve Banks, an associated statement that lists the factors affecting reserve balances of DIs, and several other tables presenting information on the assets, liabilities, and commitments of the Federal Reserve Banks.
Notes on Specific Data
Figure 1 and figure 3 use top-holder data. This population comprises top-tier Call Report (NAT, NMB, and SMB) 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 to approximate the consolidated financial data of the holding company. Because of data limitations, all FBOs, SLHCs, and subsidiaries of top-tier FBOs and SLHCs are excluded from the top-holder population.
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 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).
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). While this standard applies to insured depositories, it is used as a proxy for holding companies in figure 1.
Table A.1. Prompt Corrective Action (PCA) capital ratio categories
|PCA category||Total RBC ratio||Tier 1 RBC ratio||Common equity tier 1 RBC ratio||Tier 1 leverage ratio|
|Critically undercapitalized||Tangible equity/total assets ≤2 percent|
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 CET1 capital (for advanced approaches firms) were used. From 2015 to present, CET1 capital has been used for all firms.
CET1 capital ratio is defined as CET1 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.
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 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 are provided for the eight U.S. and three FBO LISCC firms (U.S.: Bank of America, Bank of New York Mellon, Citigroup, Goldman Sachs, JPMorgan Chase, Morgan Stanley, State Street, and Wells Fargo; FBO: Barclays, Credit Suisse, Deutsche Bank) and UBS.
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 are provided for the eight U.S. and three FBO LISCC firms (U.S.: Bank of America, Bank of New York Mellon, Citigroup, Goldman Sachs, JPMorgan Chase, Morgan Stanley, State Street, and Wells Fargo; FBO: Barclays, Credit Suisse, Deutsche Bank) and UBS.