Required Reports
Banks engaging in stress testing need to prepare several key reports:
1. Baseline Scenario: A projection based on current conditions.
2. Severely Adverse Scenario: An assessment of potential impacts under extreme conditions.
3. Other Scenarios: Any additional scenarios deemed relevant.
Each report should include:
- Description of Risks: Detailed explanation of the types of risks considered in the stress test.
- Summary of Methodologies: Overview of the methods used to conduct the stress test.
- Estimates: Projections of aggregate losses, pre-provision net revenue, provision for loan and lease losses, net income, and pro forma capital ratios (including regulatory and other FDIC-specified ratios).
Additionally, the report should provide:
- Significant Causes: Explanation of the primary factors driving changes in regulatory capital ratios.
- Aggregate Losses and Net Income: Cumulative losses and net income over the planning horizon.
- Regulatory Capital Ratios: Beginning value, ending value, and minimum value of each ratio throughout the planning horizon.