stress testing

Fed Announcement of Supervisory Scenarios for Capital Planning and Stress Testing

On November 1, the Fed issued supervisory scenarios to be used for the 2014 capital planning and stress testing program, which includes the Comprehensive Capital Analysis and Review of 30 bank holding companies with $50 billion or more of total consolidated assets.   Fed ReleaseFed Comprehensive Capital Analysis.

Rating Agency Developments

On May 17, Fitch issued a release setting forth its view that the final guidance regarding internal stress testing for large banks released by bank regulators is sound and sufficiently flexible to allow for firms to comply. Fitch Release.

On May 17, Fitch released a report detailing the statistical analysis underlying the revised basis spread stresses for FFELP ABS transactions included in its updated criteria for rating FFELP student loan ABS. Fitch Release.  Fitch Report.

On May 15, S&P released its short-term/long-term ratings linkage criteria for corporate and sovereign issuers. S&P Release.

On May 15, Moody’s released its approach to quantifying set-off risk for securitizations and covered bonds originated by U.K. deposit-taking institutions. Moody’s Report.

On May 14, Moody’s released its approach to rating structured finance CDOs. Moody’s Report.

On May 14, Fitch updated its criteria for U.S. auto lease ABS. Fitch Report.

On May 11, S&P issued its methodology for assessing when a guarantor’s failure to honor a payment obligation under a guarantee would be a default and how it would affect the guarantor’s issuer credit rating. S&P Release.

Note: Free registration is required for rating agency releases and reports

Large Bank Stress Testing Guidance Finalized

On May 14, the Fed, FDIC, and OCC issued final supervisory guidance for stress testing practices at banking organizations with total consolidated assets of more than $10 billion. The guidance outlines general principles for a satisfactory stress testing framework and describes various stress testing approaches. Supervisory Guidance.