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.
On December 2, 2015, the Federal Reserve amended the final rule in the Federal Register (80 FR 75419) (12 C.F.R. Part 252, Subpart H). All changes to the final rule apply as of January 1, 2016. The amendment to the final rule changed the annual as of date of the report to December 31, the collection date of the report to July 31, and the company public disclosure date to between October 15 and October 30. Lastly, the amendment to the rule changed the parameters for how companies will project dividends over the test's nine quarter planning horizon.
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. Beginning with the January 1, 2016 cycle, results of the company-run annual stress test must be reported to the Federal Reserve by July 31 of each year based on financial data as of December 31 of the prior year. Prior cycles required reporting to the Federal Reserve by March 31 of each year based on financial data as of September 30.
The Federal Reserve does not publish or make available the results from any respondent's FR Y-16 submission. Beginning with the January 1, 2016 cycle, in accordance with the Federal Reserve's rule, FR Y-16 respondents are required to publicly disclose a summary of certain information regarding their projected results under only the severely adverse supervisory scenario. Respondents must publicly disclose the results from their company-run stress test under only the severely adverse supervisory scenario between October 15 and 30 of each year.