(a) Stress test.
(1) In general. A covered company must conduct a stress test as required under this
subpart.
(2) Frequency.
(i) General. Except as provided in paragraph
(a)(2)(ii) of this section, a covered company must conduct a stress
test according to the frequency in Table 1 to section 252.54(a)(2)(i).
Table 1 to section
252.54(a)(2)(i)
| If the covered company
is a |
Then the stress test must be conducted |
| Global
systemically important BHC |
Annually, by April 5 of each calendar
year based on data as of December 31 of the preceding calendar year,
unless the time or the as-of date is extended by the Board in writing. |
| Category
II bank holding company |
Annually, by April 5 of each calendar
year based on data as of December 31 of the preceding calendar year,
unless the time or the as-of date is extended by the Board in writing. |
| Category
II U.S. intermediate holding company |
Annually, by April 5 of each calendar
year based on data as of December 31 of the preceding calendar year,
unless the time or the as-of date is extended by the Board in writing. |
| Category
III bank holding company |
Biennially, by April 5 of each calendar
year ending in an even number, based on data as of December 31 of
the preceding calendar year, unless the time or the as-of date is
extended by the Board in writing. |
| Category
III U.S. intermediate holding company |
Biennially, by April 5 of each calendar
year ending in an even number, based on data as of December 31 of
the preceding calendar year, unless the time or the as-of date is
extended by the Board in writing. |
| Nonbank financial company supervised by
the Board |
Periodically,
as determined by rule or order. |
(ii) Change in frequency. The Board may require
a covered company to conduct a stress test on a more or less frequent
basis than would be required under paragraph (a)(2)(i) of this section
based on the company’s financial condition, size, complexity,
risk profile, scope of operations, or activities, or risks to the
U.S. economy.
(3) Notice and response.
(i) Notification of change in frequency. If
the Board requires a covered company to change the frequency of the
stress test under paragraph (a)(2)(ii) of this section, the Board
will notify the company in writing and provide a discussion of the
basis for its determination.
(ii) Request
for reconsideration and Board response. Within 14 calendar days
of receipt of a notification under paragraph (a)(3)(i) of this section,
a covered company may request in writing that the Board reconsider
the requirement to conduct a stress test on a more or less frequent
basis than would be required under paragraph (a)(2)(i) of this section.
A covered company’s request for reconsideration must include
an explanation as to why the request for reconsideration should be
granted. The Board will respond in writing within 14 calendar days
of receipt of the company’s request.
(b) Scenarios provided
by the Board.
(1) In general. In conducting a stress test under this section, a covered company
must, at a minimum, use the scenarios provided by the Board. Except
as provided in paragraphs (b)(2) and (3) of this section, the Board
will provide a description of the scenarios to each covered company
no later than February 15 of the calendar year in which the stress
test is performed pursuant to this section.
(2) Additional components.
(i) The Board may require a covered
company with significant trading activity to include a trading and
counterparty component in its severely adverse scenario in the stress
test required by this section. The data used in this component must
be as of a date selected by the Board between October 1 of the previous
calendar year and March 1 of the calendar year in which the stress
test is performed pursuant to this section, and the Board will communicate
the as-of date and a description of the component to the company no
later than March 1 of the calendar year in which the stress test is
performed pursuant to this section. A covered company has significant
trading activity if it has:
(A) Aggregate
trading assets and liabilities of $50 billion or more, or aggregate
trading assets and liabilities equal to 10 percent or more of total
consolidated assets;
(B)
Is not a Category IV bank holding company.
(ii) The Board may require
a covered company to include one or more additional components in
its severely adverse scenario in the stress test required by this
section based on the company’s financial condition, size, complexity,
risk profile, scope of operations, or activities, or risks to the
U.S. economy.
(3) Additional scenarios. The Board
may require a covered company to use one or more additional scenarios
in the stress test required by this section based on the company’s
financial condition, size, complexity, risk profile, scope of operations,
or activities, or risks to the U.S. economy.
(4) Notice and
response.
(i) Notification
of additional component. If the Board requires a covered company
to include one or more additional components in its adverse and severely
adverse scenarios under paragraph (b)(2) of this section or to use
one or more additional scenarios under paragraph (b)(3) of this section,
the Board will notify the company in writing. The Board will provide
such notification no later than December 31 of the preceding calendar
year. The notification will include a general description of the additional
component(s) or additional scenario(s) and the basis for requiring
the company to include the additional component(s) or additional scenario(s).
(ii) Request for reconsideration and Board response. Within 14 calendar days of receipt of a notification under this
paragraph, the covered company may request in writing that the Board
reconsider the requirement that the company include the additional
component(s) or additional scenario(s), including an explanation as
to why the request for reconsideration should be granted. The Board
will respond in writing within 14 calendar days of receipt of the
company’s request.
(iii) Description
of component. The Board will provide the covered company with
a description of any additional component(s) or additional scenario(s)
by March 1 of the calendar year in which the stress test is performed
pursuant to this section.
