For purposes of this subpart, the following definitions
apply:
Advanced approaches means the risk-weighted assets
calculation methodologies at 12 CFR part 217, subpart E, as applicable.
Baseline scenario means a set of conditions that affect
the U.S. economy or the financial condition of a covered company and
that reflect the consensus views of the economic and financial outlook.
Capital action means any issuance or redemption of a debt
or equity capital instrument, any capital distribution, and any similar
action that the Federal Reserve determines could impact a savings
and loan holding company’s consolidated capital.
Covered
company means:
(1)
A Category II savings and loan holding company;
(2) A Category III savings and loan holding
company; or
(3) A savings and loan
holding company with average total consolidated assets of greater
than $250 billion.
Planning horizon means
the period of at least nine consecutive quarters, beginning on the
first day of a stress test cycle over which the relevant projections
extend.
Pre-provision net revenue means the sum of net
interest income and non-interest income less expenses before adjusting
for loss provisions.
Provision for credit losses means:
(1) With respect to a covered
company that has adopted the current expected credit losses methodology
under GAAP, the provision for credit losses, as would be reported
by the covered company on the FR Y-9C in the current stress test cycle;
and
(2) With respect to a covered
company that has not adopted the current expected credit losses methodology
under GAAP, the provision for loan and lease losses as would be reported
by the covered company on the FR Y-9C in the current stress test cycle.
Regulatory capital ratio means a capital ratio
for which the Board has established minimum requirements for the savings
and loan holding company by regulation or order, including, as applicable,
the company’s regulatory capital ratios calculated under 12 CFR part
217 and the deductions required under 12 CFR 248.12; except that the company
shall not use the advanced approaches to calculate its regulatory
capital ratios.
Scenarios are those sets of conditions
that affect the U.S. economy or the financial condition of a covered
company that the Board determines are appropriate for use in the company-run
stress tests, including, but not limited to, baseline and severely
adverse scenarios.
Severely adverse scenario means a
set of conditions that affect the U.S. economy or the financial condition
of a covered company and that overall are significantly more severe
than those associated with the baseline scenario and may include trading
or other additional components.
Stress test means a
process to assess the potential impact of scenarios on the consolidated
earnings, losses, and capital of a covered company over the planning
horizon, taking into account its current condition, risks, exposures,
strategies, and activities.
Stress test cycle means
the period beginning on January 1 of a calendar year and ending on
December 31 of that year.
