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.
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 http://www.census.gov/srd/www/x12a/ .) 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