DFAST 2017 supervisory stress test methodology and results
The Federal Reserve (FRB) conducted supervisory stress tests of 34 BHCs under the Supervisory Severely Adverse (SSA) and Supervisory Adverse (SA) scenarios using a standardized set of capital actions. The FRB calculates its projections of a BHC’s balance sheet, risk-weighted assets, net income, and resulting regulatory capital ratios under SA and SSA scenarios using data provided by the BHCs and a set of models developed or selected by the FRB. Key methodology changes for 2017 include:
Despite a slightly severe downturn in the 2017 SSA scenario, banks exhibited better stress test performance. Regulatory capital ratios for all 34 banks remain above the required minimum. And only 7 of 33 comparable banks reported a lower minimum Common Equity Tier 1 (“CET1”) ratio compared to 2016.