The Davis Polk Capital and Prudential Standards Blog is under redesign. We plan to relaunch in early 2017.
We have prepared visuals of the 2015 Comprehensive Capital Analysis and Review (“CCAR“) and Dodd-Frank Act Stress Test (“DFAST“) results. At this time, the visuals include the company-run DFAST results for 24 out of the 31 companies participating in this year’s CCAR program.
Background on DFAST: Pursuant to its DFAST regulations, the Federal Reserve conducts annual supervisory stress tests to assess the potential impact of various hypothetical economic scenarios on the consolidated earnings, losses and regulatory capital of each U.S.… Read More
Today, Federal Reserve Governor Daniel K. Tarullo delivered a speech that, among other things, provided a preview of the forthcoming proposal to implement the GSIB risk-based capital surcharge.
While our proposal will use the GSIB risk-based capital surcharge framework developed by the BCBS as a starting point, it will strengthen the BCBS framework in two important respects. First, the surcharge levels for U.S. GSIBs will be higher than the levels required by the BCBS, noticeably so for some firms. Second, the surcharge formula will directly take into account each U.S.… Read More
Today, the Federal Reserve issued a proposal to revise certain aspects of its capital planning and stress testing regulations. We have prepared a blackline (available here) showing these proposed changes.
Key changes: The proposal would, among other things:
- Shift the start date of the capital plan and stress test cycles from October 1 of a calendar year to January 1 of the following calendar year. A large (≥$50 billion) bank holding company (“BHC“) would be required to submit its capital plan and stress test results to the Federal Reserve by April 5, three months later than under current regulations.
The Federal Reserve has issued a proposal to implement the financial sector concentration limit in Section 622 of the Dodd-Frank Act. The concentration limit generally prohibits a financial company from merging or consolidating with, acquiring all or substantially all of the assets of, or otherwise acquiring control of another company if the “liabilities” of the resulting financial company, calculated using methodologies in the proposal, exceed 10% of aggregate financial sector liabilities. We have prepared a visual memorandum (available here) that uses diagrams, formulas, tables and examples to illustrate key aspects of the Federal Reserve’s concentration limit proposal.… Read More