FR Y-14 Capital Assessments and Stress Testing Guide¶
Overview¶
The FR Y-14 is the Federal Reserve's primary data collection for stress testing and capital planning under CCAR (Comprehensive Capital Analysis and Review) and DFAST (Dodd-Frank Act Stress Testing). It has three components:
- Y-14A (Annual): Forward-looking 9-quarter projections under stress scenarios
- Y-14Q (Quarterly): Current positions, risk metrics, and financial data
- Y-14M (Monthly): Loan-level portfolio data
Reporters¶
Bank Holding Companies (BHCs), Intermediate Holding Companies (IHCs), and covered Savings and Loan Holding Companies (SLHCs) with $100 billion or more in total consolidated assets.
Y-14A Annual Schedules¶
A.1 - Income Statement Projections¶
Projects income statement items over 9 quarters under baseline and stress scenarios: - Net Interest Income (cross-ref: HI, BHCK4074) - Trading Revenue (cross-ref: HI, BHCKA220) - Provision for Credit Losses (cross-ref: HI, BHCT4230) - Net Income (cross-ref: HI, BHCT4340)
A.2 - Balance Sheet Projections¶
Projects balance sheet under stress: - Total Assets (cross-ref: HC, BHCT2170) - Loans by type (cross-ref: HC-C) - Securities (cross-ref: HC-B) - Trading Assets (cross-ref: HC-D, BHCT3545)
A.3 - Capital Projections¶
Projected capital ratios - the core output of stress testing: - CET1 Ratio (cross-ref: HC-R, BHCAP859 / BHCAA223) - Tier 1 Ratio - Total Capital Ratio - Leverage Ratio
A.4 - RWA Projections¶
Risk-weighted assets by category under stress.
A.5 - Operational Risk¶
Operational loss projections including scenario analysis.
F.2 - Counterparty Default¶
Impact of the default of the firm's largest counterparty.
Y-14Q Quarterly Schedules¶
Schedule B - Securities Risk¶
CUSIP-level data on the securities portfolio, enabling position-level stress loss estimation. Links to HC-B.
Schedule E - Counterparty Credit Risk¶
- E.1: Top 20 counterparty exposures by EAD (links to HC-L)
- E.2: CVA and wrong-way risk detail (links to Pillar 3 CCR2)
Schedule G - Trading Risk (Volcker-Critical)¶
- G.1: Global trading revenue by desk and product. Primary source for trading P&L attribution.
- G.2: VaR and stressed VaR by risk factor. Links to FFIEC 102 and Pillar 3 MR3.
Schedule H - PPNR¶
Pre-Provision Net Revenue: detailed revenue and expense components for stress projections. Links to HI.
Y-14M Monthly Schedules¶
Loan-level data for credit-sensitive portfolios: 1. First Lien Residential Mortgage (FICO, LTV, delinquency) 2. Home Equity (HELOC/HEL draw rates, utilization) 3. Credit Card (balances, limits, payment behavior) 4. Auto Loans (vintage, LTV, performance)
Cross-Form Relationships¶
| Y-14 Schedule | FR Y-9C | Call Report | FFIEC 102 | Pillar 3 |
|---|---|---|---|---|
| A.1 Income | HI | RI | - | - |
| A.2 Balance Sheet | HC | RC | - | KM1 |
| A.3 Capital | HC-R | RC-R | - | KM1 |
| B Securities | HC-B | RC-B | - | - |
| E Counterparty | HC-L | RC-L | - | CCR1-CCR8 |
| G.1 Trading Revenue | HI | RI | - | MR1 |
| G.2 VaR | - | - | VaR/sVaR | MR3, MR4 |
| H PPNR | HI | RI | - | - |
Key Use Cases¶
- Stress Testing: Primary input for Fed's annual stress test results
- Capital Planning: Firms project minimum capital ratios under stress
- Trading Risk Analysis: G.1/G.2 provide granular trading revenue and risk data
- Counterparty Risk: E.1/E.2 reveal concentrated counterparty exposures
- Credit Portfolio Analysis: Y-14M provides loan-level data unavailable elsewhere
Data Availability¶
Y-14 data is confidential - only aggregate stress test results are published. The instructions and form templates are public and available in the Knowledge Base.
Repository Files¶
csv/FR_Y14A_SCHEDULES.csv- Y-14A schedule itemscsv/FR_Y14Q_SCHEDULES.csv- Y-14Q schedule itemscsv/Y14_SCHEDULE_MAP.csv- Schedule reference mapping
Part of the Bank Regulatory Data Dictionary