For purposes of this subpart
E, the following definitions apply:
Advanced approaches means the risk-weighted assets calculation
methodologies at 12 CFR part 217, subpart E [at
3-2200 et seq.], as applicable, and any successor regulation.
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:
(1) A U.S. bank holding
company with average total consolidated assets of $100 billion or
more;
(2) A U.S. intermediate
holding company subject to this section pursuant to section 252.153;
and
(3) A nonbank financial
company supervised by the Board.
Foreign banking organization has the same meaning as in 12 CFR
211.21(o).
Pre-provision net
revenue means the sum of net interest income and noninterest income
less expenses before adjusting for loss provisions.
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.
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 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 12 CFR 225.2.
