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.
Covered company means a covered savings and loan holding
company (other than a foreign banking organization) subject to this
subpart.
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 noninterest
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 covered
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 supervisory 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 cycle means the period beginning on January
1 of a calendar year and ending on December 31 of that year.
Subsidiary has the same meaning as in section 225.2(o) of
this chapter.
