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 [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.
Capital action has
the same meaning as in 12 CFR 225.8(d).
Covered company means:
(1) A global systemically important BHC;
(2) A Category II bank
holding company;
(3)
A Category III bank holding company;
(4) A Category II U.S. intermediate holding
company subject to this section pursuant to section 252.153;
(5) A Category III U.S. intermediate
holding company subject to this section pursuant to section 252.153;
and
(6) A nonbank financial
company supervised by the Board that is made subject to this section
pursuant to a rule or order of the Board.
Foreign banking organization has the same meaning
as in 12 CFR 211.21(o).
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 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.
Subsidiary has the same meaning as in 12 CFR 225.2.
