The Board of Governors of the Federal Reserve System (“FRB”) issued a final policy statement describing the processes it will use to develop scenarios for future capital planning and stress testing exercises. The policy statement will be used to develop scenarios for both annual supervisory and company-run stress tests, and describes the characteristics of the stress test scenarios and procedures for formulating the scenarios. Although the policy statement is not effective until January 1, 2014, the macroeconomic scenarios released last week for the 2014 stress testing exercise are consistent with the policy statement.
The FRB also issued revised macroeconomic scenarios for the 2014 capital planning and stress testing program to correct a minor computational error for the projections of the five-year Treasury yield in the baseline and adverse scenarios.
See: FRB Final Policy Statement on Scenario Design Framework; FRB Press Release.
Related news: Federal Reserve Board Releases Supervisory Scenarios and Instructions for 2014 Capital Planning and Stress Testing (November 4, 2013); OCC Releases Dodd-Frank Stress Testing Scenarios for 2014 and the Final Policy Statement (November 4, 2013).