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. The report reflects data through October 16, 2020. This appendix details these sources.
Earnings Release Data
The earnings release data shown in box 2 were collected by S&P Global Market Intelligence, and consist of the following 13 bank holding companies, which all reported third-quarter earnings by October 16: Ally Financial Inc.; Bank of America Corporation; The Bank of New York Mellon Corporation; Citigroup Inc.; Citizens Financial Group, Inc.; The Goldman Sachs Group, Inc.;, JPMorgan Chase & Co.; Morgan Stanley; The PNC Financial Services Group, Inc.; State Street Corporation; Truist Financial Corporation; U.S. Bancorp; and Wells Fargo & Company. Firm panels are fixed throughout all the series shown. Loan loss reserves data are not reported by The Goldman Sachs Group and Morgan Stanley in their earnings releases, so data for those two firms have been excluded from figure B. All firms shown in this data sample adopted CECL in the first quarter of 2020. For dates prior to March 31, 2020, loan loss reserves represent the allowance for loan and lease losses (ALLL). For dates including and after March 31 , 2020, loan loss reserves represent the allowance for credit losses (ACL) on loans and leases.
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 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.
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 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.
Notes on Specific Data
Allowance for Credit Losses Coverage Ratio
The ACL coverage ratio is the ratio of ACL over total loans.
Data for domestic LISCC firms include the following: Bank of America Corporation, The Bank of New York Mellon Corporation, Citigroup Inc., The Goldman Sachs Group, JPMorgan Chase & Co., Morgan Stanley, State Street Corporation, and Wells Fargo & Company.
Data for domestic LBO firms include the following: Ally Financial Inc.; American Express Company; Capital One Financial Corporation; Citizens Financial Group, Inc.; Discover Financial Services; Fifth Third Bancorp; Huntington Bancshares Incorporated; KeyCorp; M&T Bank Corporation; Northern Trust Corporation; The PNC Financial Services Group, Inc.; Regions Financial Corporation; Synchrony Financial; Truist Financial Corporation; and U.S. Bancorp. Data for consumer-focused LBO firms include the following: Ally Financial Inc., American Express Company, Capital One Financial Corporation, Discover Financial Services, and Synchrony Financial.
As reported by firms in their public financial filings, commercial loans include commercial real estate loans, commercial lease financing, commercial construction loans, and commercial and industrial (C&I) loans.
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.
Common Equity Tier 1
Common equity capital is currently evaluated using a common equity tier 1 (CET1) capital ratio, which was introduced into the regulatory capital framework with the implementation of Basel III. The 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. An advanced approaches institution is subject to the lower of the ratios.
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 through 2019, CET1 capital was used for all firms. Starting in 2020, CET1 capital is used for all firms except those that have opted into the community bank leverage ratio (CBLR) framework.
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 will be set at 8.5 percent for calendar year 2021 and will return to its previous 9 percent level beginning January 1, 2022.
The leverage ratio requirement for the CBLR framework is defined as 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 bank organization with a ratio above the requirement will not be subject to other capital and leverage requirements.
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).
Credit Default Swap Spread
The five-year credit default swap (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 provided are for LISCC (domestic and foreign) firms only.
Liquid assets are cash plus estimates of securities that qualify as high-quality liquid assets, as defined by the liquidity coverage ratio requirement. Because of data availability constraints, HQLA estimate amounts displayed in figure 5 are based on Y-9C data and not based on 2052a reporting data.
Loan Modifications under Section 4013
Section 4013 of the CARES Act, enacted March 27, 2020, allows financial institutions to suspend the requirements to classify certain loan modifications as troubled debt restructurings. To be an eligible loan under section 4013, a loan modification must be: (1) related to COVID-19; (2) executed on a loan that was not more than 30 days past due as of December 31, 2019; and (3) executed between March 1, 2020, and the earlier of (a) 60 days after the date of termination of the National Emergency or (b) December 31, 2020 (referred to as the "applicable period").
Loan Modifications Reporting in 10-Q SEC Filing
There is not a standard definition of "loan modifications" within the banking industry, and the SEC has not provided guidance on how firms should report these balances on their 10-Qs. Accordingly, while publicly disclosed loan modifications indicate the magnitude of these balances, they do not provide comparable data across firms.
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.
Nonperforming loans are those loans that are 90 days or more past due, plus loans in nonaccrual status.
For institutions that have adopted the Financial Accounting Standards Board's Accounting Standards Update 2016-13, "Financial Instruments–Credit Losses (Topic 326): Measurement of Credit Loses on Financial Instruments" (ASU 2016-13), provisions represent the amount expensed as provisions for credit losses (or reversals of provisions) on loans and leases held for investment during the calendar year-to-date. Provision for credit losses (or reversals of provisions) on loans and leases held for investment represents the amount necessary to adjust the related allowances for credit losses at the quarter-end report date for management's current estimate of expected credit losses on these assets.
For institutions that have not adopted ASU 2016-13, provisions represent the amount expensed as the provision for loan and losses during the calendar year-to-date. Provision for loan and lease losses represents the amount needed to make the allowance for loan and lease losses adequate to absorb estimated loan and lease losses, based upon management's evaluation of the bank's current loan and lease exposures.
All data, unless otherwise noted, 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 commercial bank subsidiaries of top-tier FBOs and SLHCs are excluded from the top-holder population.