National banks with assets of more than $250 billion must file their 2024 stress tests results to their regulator by April 5, the agency said Thursday, with results expected to be published by July 15.
The Office of the Comptroller of the Currency (OCC) said each bank subject to stress testing will be required to submit the results of its tests based on at least one stress scenario developed by the bank and a bank baseline scenario.
“The bank baseline scenario should reflect the bank’s view of the expected path of the economy over the planning horizon,” the OCC said in its reporting instructions. “A bank may use the same baseline scenario as the supervisory baseline scenario if that bank believes the supervisory baseline scenario appropriately represents its view of the most likely outlook for the risk factors salient to the bank. For the bank stress scenario, the firm should apply the BHC (bank holding company) stress scenario to the exposures (both on- and off- balance sheet) and activities of the bank. The bank should not develop a separate bank-level stress scenario which is materially different from the BHC stress scenario.”
The agency said that, additionally, the bank should include documentation on the scenario development process, “which at a minimum, should describe how the risk identification process relates to the scenario design and how the scenario design corresponds to the bank’s idiosyncratic risks.”