Assets and Liabilities of Commercial Banks in the United States - H.8
This page provides additional information about data in the Board of Governors’ statistical release on Assets and Liabilities of Commercial Banks in the United States (Weekly) - H.8. Most of the information is of a technical nature and represents answers to questions that may be of interest to a range of analysts and researchers. The page will be updated as such questions arise.
Documentation for the statistics in the H.8 release is available on the About page on the Board's website.
The H.8 release uses a two-stage estimation to seasonally adjust the weekly bank balance sheet data, consisting of the following steps: (1) a monthly seasonal estimation using the Census Bureau’s X-13ARIMA-SEATS Seasonal Adjustment Program that automatically detects and adjusts for outliers, such as outliers caused by the onset of the COVID-19 pandemic and the Global Financial Crisis; and (2) a weekly seasonal estimation, constrained by the results of the monthly estimation, that allocates seasonal factors across the weeks of a month. Beginning with the H.8 release on June 30, 2023, the inputs to the weekly seasonal estimation now exclude weeks corresponding to the outliers identified during the monthly seasonal estimation. Federal Reserve Board staff has determined that this methodological change reduces volatility in the weekly seasonally adjusted series and has little effect on the monthly seasonally adjusted series, which are constructed as pro rata averages of the weekly seasonally adjusted series.
As defined on the H.8 About page, large domestically chartered commercial banks are the top 25 domestically chartered commercial banks ranked by size. Banks are ranked by domestic assets as of the previous commercial bank Call Report to which the H.8 release data have been benchmarked (a cover note to the H.8 release informs the public each time the data have been benchmarked). If a large bank is acquired by a commercial bank or if a large bank leaves the commercial bank universe, then it is replaced with the bank next in line, typically the bank ranked number 26. If a nonbank converts to a commercial bank charter, or if a small bank becomes large in size, it is not considered for the large bank panel (regardless of size) until the data are benchmarked to the subsequent Call Report.
In the construction of the H.8 release, a commercial bank is distinguished by its RSSD ID. The RSSD ID is a unique identifier assigned to financial institutions by the Federal Reserve. Information about financial institution characteristics by RSSD ID may be found on the FFIEC National Information Center website. For example, if a large bank becomes inactive and its assets are acquired by a newly established bank with a different RSSD ID, the newly established bank will not be considered for the large bank panel until it has filed a Call Report and the H.8 data are benchmarked to that Call Report. If instead a large bank is acquired by another large bank, then the next bank in line will join the large bank panel. In either case there will be an adjustment to the level and growth rate series to remove the effect of the panel shift as described on the About page and in a previous Technical Q&A.
What methodological change, affecting the large and small domestically chartered commercial bank data series, was implemented with the October 2, 2020, H.8 release?Posted: 10/02/2020
A change in the methodology used to account for shifts between large and small domestically chartered commercial banks was implemented with the October 2, 2020, H.8 release.
Data for large and small domestically chartered banks are regularly adjusted to remove the estimated effects of shifts in membership between the two bank groups, so as to maintain the historical continuity of the data for each individual bank group. After such a shift occurs, a ratio procedure is used to adjust past levels to make them comparable with current levels. The previous procedure computed ratio adjustments based on the gross dollar shift out of each bank group, and then the ratio adjustments were netted to produce the ultimate shift effect on each data series. The modified procedure computes the net dollar shift between bank groups before computing a ratio adjustment. The modified procedure results in reduced variance in the large and small domestically chartered bank series.
The change in methodology only affects data series for large and small domestically chartered commercial banks (data in H.8 release tables 6 through 9); the change in methodology does not affect data series for all domestically chartered commercial banks, foreign-related institutions, or all commercial banks. Because the effects on the data of ratio adjustments accumulate over time, revisions to the data due to this methodological change are most significant for earlier dates.
What caused the increase in Treasury and agency securities, mortgage-backed securities (MBS) for the week ending April 3, 2013?Posted: 05/14/2013
The H.8 report released on May 10, 2013 incorporated revisions to historical data for Treasury and agency securities, mortgage-backed securities (MBS); Treasury and agency securities, non-MBS; other securities, non-MBS; and other assets. These revisions were confirmed correct, and their effects have been removed from the growth rates published on page 1 of the H.8 release.
In seasonally adjusting the bank balance sheet data, we use the Census Bureau’s X-12-ARIMA Seasonal Adjustment Program. (For more information on X-12-ARIMA please refer to https://www.census.gov/library/working-papers/1998/adrm/findley-01.html .) By default, X-12-ARIMA implements a model selection procedure and selects the optimal statistical model from a range of alternatives. However, the automatic model selection process may not deliver stable seasonal adjustment factors over time if the underlying economic time series is subject to large level shifts and other changes that increase its variability. Federal Reserve Board staff has determined that using a fixed baseline model to update the seasonal factors for all bank balance sheet series is preferred to the automatic model selection option as the former approach ensures stability and accuracy of seasonal factors over time while the losses from not implementing the automatic model selection were found to be small. The baseline model uses a first order moving average term in both the seasonal and non-seasonal components for differenced data. As a result of our use of this different X-12-ARIMA option, the cash assets series revised significantly; a few other series exhibited smaller revisions (net due to related foreign offices; allowance for loan and lease losses; and Treasury and agency securities, non-MBS). Revisions to all other series were well within the typical range associated with a quarterly benchmark.Back to Top