Appendix A: Definitions of Data Sources and Terms
Definition of Data Sources
The Supervision and Regulation Report includes data on institutions supervised by the Federal Reserve System, as well as institutions that are not so supervised. The report reflects data through April 15, 2021. 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, 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.
FR Y-9C
The Consolidated Financial Statement for Holding Companies, also known as the FR Y-9C report, collects basic financial data from domestic bank holding companies (BHCs), savings and loan holding companies (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, U.S. IHCs, and SHCs meeting certain criteria may be required to file this report, regardless of size. However, when such BHCs, SLHCs, U.S. IHCs, or SHCs own or control, or are owned or controlled by, other BHCs, SLHCs, U.S. 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 Sources and Terms
Commercial Real Estate Loans
The sum of construction, land development, and other land loans; loans secured by multifamily residential properties; and loans secured by other 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. CBOs that have opted into the community bank leverage ratio (CBLR) framework are not required to report a CET1 capital ratio and risk-weighted assets.
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.
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 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 (includes single payment and installment loans other than automobile loans, and all student loans).
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 which 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.
Delinquent Loans
Delinquent loans are the sum of 90+ days past due loans and nonaccrual loans.
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.
Loan Loss Reserves
Loan loss reserves represent the allowance for credit losses on a bank's portfolio of loans and leases.22 Loan loss reserves are recorded as a contra asset on a bank's balance sheet and netted against gross loans and leases.
Loan Modifications under Section 4013 of the CARES Act
Section 4013 of the CARES Act (and further amendments by the Consolidated Appropriations Act, 2021) 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) January 1, 2022 (referred to as the "applicable period").
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 firms only.
Material Supervisory Determination
As explained in SR letter 20-28/CA letter 20-14, a "material supervisory determination" includes, but is not limited to, any material determination relating to examination or inspection composite ratings, material examination or inspection component ratings, the adequacy of loan loss reserves and/or capital, significant loan classification, accounting interpretation, Matters Requiring Attention (MRAs), Matters Requiring Immediate Attention (MRIAs), Community Reinvestment Act ratings (including component ratings), and consumer compliance ratings. The term does not include any supervisory determination for which an independent right of appeal exists or a referral to another government agency.
Provisions
Provisions represent the amount necessary to adjust loan loss reserves to reflect management's current estimate of expected credit losses on loans and leases. Provisions are recorded as an expense item on the bank's income statement.
Residential Real Estate Loans
Loans secured by one to four family residential properties, including: revolving, open-end loans secured by one to four family residential properties and extended under lines of credit; closed-end loans secured by first liens on one to four family residential properties; and closed-end loans secured by junior (i.e., other than first) liens on one to four family residential properties.
Top Holder
All data, unless otherwise noted, use top-holder data. This population generally comprises top-tier Call Report filers and top-tier Y-9C filers, including depository SLHCs and foreign banking organizations. In instances where a top-tier holding company does not file the 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 Federal Reserve member non-deposit trust companies are excluded from the top-holder population.
Tailoring of Regulation
In October 2019, the Board adopted rules that tailor its regulations for domestic and foreign banks to more closely match their risk profiles.23 The rules establish a framework that sorts banks 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 (wSTWF), nonbank assets (NBA), and off-balance-sheet exposure (table 1.A).
Table 1.A. List of domestic and foreign firms, by category, as of 2020:Q4
| Firm type | Category I U.S. G-SIBs |
Category II >=$700b total assets or >=$75b in cross-jurisdictional activity |
Category III >=$250b total assets or >=$75b in NBA, wSTWF, or off-balance-sheet exposure |
Category IV Other firms with $100b to $250b total assets |
|---|---|---|---|---|
| Domestic firms | ||||
| U.S. domestic banking organization | Bank of America Bank of New York Mellon Citigroup Goldmans Sachs JPMorgan Chase Morgan Stanley State Street Wells Fargo |
Northern Trust | Capital One Charles Schwab PNC Financial Truist Financial U.S. Bancorp |
Ally Financial American Express Citizens Financial Discover Fifth Third Huntington KeyCorp M&T Bank Regions Financial Synchrony Financial |
| Foreign firms (standards vary by legal entity) | ||||
| Intermediate holding company | Barclays US Credit Suisse USA Deutsche Bank USA DWS USA HSBC North America TD Group US UBS Americas |
BBVA USA BMO Financial BNP Paribas USA MUFG Americas RBC US Santander Holdings USA |
||
| Combined U.S. operations | Barclays Credit Suisse Deutsche Bank MUFG Sumitomo Mitsui |
Bank of Montreal BNP Paribas HSBC Mizuho Royal Bank of Canada Toronto-Dominion UBS |
Banco Santander Bank of Nova Scotia BBVA BPCE Societe Generale |
|
Note: NBA is nonbank assets, wSTWF is weighted short-term wholesale funding.
Source: FR Y-15, FR Y-9C, FR Y-7Q, 2020:Q1-2020:Q4.
References
22. Allowance for Loan and Lease Losses was changed to Allowance for Credit Losses on Loans and Leases Held for Investment under the CECL methodology, adopted in the first quarter of 2020. Return to text
23. Prudential Standards for Large Bank Holding Companies, Savings and Loan Holding Companies, and Foreign Banking Organizations, https://www.govinfo.gov/content/pkg/FR-2019-11-01/pdf/2019-23662.pdf. Return to text