The annual FR Y-16 collects quantitative projections of balance sheet assets, liabilities, income, losses, and capital across three scenarios provided by the Board (baseline, adverse, and severely adverse) and qualitative information on methodologies used to develop these internal projections. The FR Y-16 comprises two primary schedules: (1) Results Schedule, which includes the quantitative results of the stress tests under the baseline, adverse, and severely adverse scenarios for each quarter of the planning horizon--that is, aggregate losses, pre-provision net revenue, provision for loan and lease losses, net income, and pro forma capital ratios (including regulatory and any other capital ratios specified by the Board); and (2) Scenario Variables Schedule.
Purpose: This information collection is required under Section 165(i)(2) of the Dodd-Frank Act and the Federal Reserve's final rule on annual company-run stress test requirements for banking organizations with total consolidated assets over $10 billion other than covered companies (12 C.F.R. Part 252, Subpart H). The information is used to form supervisory assessments of how effectively these banking organizations internally plan for their capital needs, identify risk, and measure and assess their own capital adequacy. Data collected provides the Federal Reserve with the additional information and perspective needed to help assess how these banking organizations manage their capital relative to the unique nuances of each company's risk profile. Information gathered in this data collection is also used in connection with the Federal Reserve's supervision and regulation of these financial institutions.
On October 12, 2012, the Federal Reserve published a final rule in the
Federal Register (77 FR 62396) (12 C.F.R. Part 252, Subpart H) outlining the annual company-run stress testing requirements for banking organizations with total consolidated assets over $10 billion other than covered companies. The rule implements the company-run stress testing requirement promulgated by the Dodd-Frank Act, Pub. L. No. 111-203, § 165(i)(2). Under the final rule, a bank holding company (BHC) or savings and loan holding company (SLHC) or any affiliated or unaffiliated state member bank (SMB) that meets the asset threshold is required to conduct an annual stress test using scenarios provided by the Board.
The respondent panel includes any BHC or SLHC with average total consolidated assets of greater than $10 billion but less than $50 billion, and any affiliated or unaffiliated SMB that has average total consolidated assets of greater than $10 billion but less than $50 billion excluding SMB subsidiaries of covered companies.
Annual. Results of the company-run annual stress test must be reported to the Federal Reserve by March 31 of each year based on financial data as of September 30 of the prior year, beginning with the September 30, 2013, financial data and the March 31, 2014, submission date.
FR Y-16 respondents are required to publish a summary of the results of the required stress tests by June 30 of each year, beginning with the 2015 stress test.