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Dodd-Frank Act Stress Test (Company-Run)

Purpose

Section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank Act”) requires national banks and federal savings associations with total consolidated assets of more than $10 billion to conduct annual stress tests. On October 9, 2012, the OCC published its final annual stress test rule (12 CFR 46), which set out definitions and rules for scope of application, scenarios, reporting, and disclosure. On December 3, 2014, the OCC published final rules to adjust the timing of the annual stress testing cycle and to clarify the method used to calculate regulatory capital in the stress tests. On October 27, 2017, the OCC proposed technical and conforming changes to the stress test rule.

Beginning in 2016, all covered institutions, as defined in the final rule, with between $10 and $50 billion in assets are required to submit the results of their company-run stress tests to the OCC by July 31 and publish those results between October 15 and October 31. Covered institutions with $50 billion in assets or more are required to submit the results of their company-run stress tests to the OCC by April 5 and publish those results between June 15 and July 15. The OCC will provide the required scenarios to the covered institutions by February 15 of each year.

The results of the company-run stress tests provide the OCC with forward-looking information used in bank supervision and will assist the agency in assessing the company’s risk profile and capital adequacy. The objective of the annual company-run stress test is to ensure that institutions have robust, forward-looking capital planning processes that account for their unique risks, and to help ensure that institutions have sufficient capital to continue operations throughout times of economic and financial stress. The OCC intends to use the data to assess the reasonableness of the stress test results and determine whether additional analytical techniques are needed to identify, measure and monitor risk. These stress test results are also expected to support ongoing improvement in a covered institution’s stress testing practices with respect to its internal assessments of capital adequacy and overall capital planning.

Scenarios

Beginning in 2016, the OCC will release economic and financial market scenarios that are used in the annual company-run stress test under the Dodd-Frank Act no later than February 15. The scenarios include baseline, adverse and severely adverse scenarios. Each scenario includes economic variables, including macroeconomic activity, unemployment, exchange rates, prices, incomes and interest rates. The adverse and severely adverse scenarios are not forecasts, but rather hypothetical scenarios designed to assess the strength and resilience of financial institutions. Note that the scenarios are expected to be the same for both the $50 billion or more and $10 billion to $50 billion size institutions.

Reporting Templates

These reporting templates collect quantitative projections of balance sheet, capital, losses, and income across three or more macroeconomic scenarios, along with qualitative information on methodologies.

Covered institutions are required to complete reporting templates using financial information as of December 31 each year. For 2018, the OCC has proposed the following changes to the templates and instructions:

Institution Size Templates Instructions Scenarios

$50B or more

.zip
(proposed)

.zip
(proposed)

By February 15

$10B to $50B

TBD

TBD

TBD

Click here for 2017, 2016, 2015 and 2014 DFAST templates, instructions, scenarios, and technical instructions.

The $10 billion to $50 billion covered institutions will be required to complete the following templates:

  • OCC DFAST 10-50 Results Template
  • OCC DFAST 10-50 Scenario Variables Template

Disclosure of Annual Stress Test Results

The Annual Stress Test rule (12 CFR 46.8) requires the covered institutions to publish a summary of the results of its annual stress tests. The required summary of results may be published on the covered institution’s web site or in any other forum that is reasonably accessible to the public.

  • $50 billion or more covered institution: Effective January 1, 2016, $50 billion or more covered institution must publish a summary of the results of its annual stress test in the period starting June 15 and ending July 15 (for the stress test cycle beginning January 1, 2016, and for all stress tests thereafter). Unless the OCC determines otherwise, if the $50 billion or more covered institution is a consolidated subsidiary of a bank holding company or savings and loan holding company subject to supervisory stress tests conducted by the Board of Governors of the Federal Reserve System pursuant to 12 CFR part 252, then within the June 15 to July 15 period such covered institution may not publish the required summary of its annual stress test earlier than the date that the Board of Governors of the Federal Reserve System publishes the supervisory stress test results of the covered bank's parent holding company.
  • $10 to $50 billion covered institution: Effective January 1, 2016, a $10 to $50 billion covered institution must publish a summary of the results of its annual stress test in the period starting October 15 and ending October 31 (for the stress test cycle beginning January 1, 2016, and for all stress tests thereafter).

Related Links

Date Issued Subject/Title
November 8, 2017 (Over $50B Proposed Reporting Template and Instructions) Agency Information Collection Activities: Revision of an Approved Information Collection; Comment Request; Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions With Total Consolidated Assets of $50 Billion or More Under the Dodd-Frank Wall Street Reform and Consumer Protection Act
October 27, 2017 Proposed Rule on Annual Stress Test
February 3, 2017 (Over $50B Final Reporting Template and Instructions) Agency Information Collection Activities; Proposals, Submissions, and Approvals: Company-Run Annual Stress Test Reporting Template and Documentation for Covered Institutions with Total Consolidated Assets of 50 Billion Dollars or More under Dodd-Frank Wall Street Reform and Consumer Protection Act
March 30, 2016

($10-$50B Final Reporting Template and Instructions) Agency Information Collection Activities; Revision of an Approved Information Collection; Submission for OMB Review; Annual Company-Run Stress Test Reporting Template and Documentation for Covered Institutions with Total Consolidated Assets of $10 Billion to $50 Billion under the Dodd-Frank Wall Street Reform and Consumer Protection Act

October 20, 2015

($10B to $50B Proposed Reporting Template and Instructions)
Agency Information Collection Activities; Proposed Revision; Comment Request; Annual Company-Run Stress Test Reporting Template and Documentation for Covered Institutions With Total Consolidated Assets of $10 Billion to $50 Billion Under the Dodd-Frank Wall Street Reform and Consumer Protection Act

December 3, 2014 Amended Final Rule on Annual Stress Test
March 5, 2014 ($10B to $50B Guidance) Final Supervisory Guidance on Implementing Dodd-Frank Act Company-Run Stress Tests for Banking Organizations with Total Consolidated Assets of more than $10 Billion but less than $50 Billion
October 28, 2013 Final Policy Statement on the Principles for Development and Distribution of Annual Stress Test Scenarios