2016 Supervisory Scenarios for Annual Stress Tests Required under the
Dodd-Frank Act Stress Testing Rules and the Capital Plan Rule
Print- Introduction
- Supervisory Scenarios
- Variables Considered in Scenarios
January 28, 2016
Introduction
The Dodd-Frank Wall Street Reform and Consumer Protection Act requires the Board of Governors of the Federal Reserve System (Board) to conduct an annual supervisory stress test of bank holding companies (BHCs) with $50 billion or greater in total consolidated assets (large BHCs), and to require BHCs and state member banks with total consolidated assets of more than $10 billion to conduct company-run stress tests at least once a year.1 This publication describes the three supervisory scenarios--baseline, adverse, and severely adverse--that the Board will use in its supervisory stress test for this stress test cycle; that a BHC or state member bank must use in conducting its annual company-run stress test; and that a large BHC must use to estimate projected revenues, losses, reserves, and pro forma capital levels as part of its 2016 capital plan submission.2 The publication also details additional components that certain BHCs will be required to incorporate into the supervisory scenarios--the global market shock component and the counterparty default component.
References
1. 12 U.S.C. 5365(i). Return to text
2. See 12 CFR 252.14(b), 12 CFR 252.54(b), and 12 CFR 225.8. Return to text
