(a) Public disclosure
of results.
(1) In general. A covered company must publicly
disclose a summary of the results of the stress test required under
section 252.54 within the period that is 15 calendar days after the
Board publicly discloses the results of its supervisory stress test
of the covered company pursuant to section 252.46(b), unless that
time is extended by the Board in writing.
(2) Disclosure
method. The summary required under this section may be disclosed on the
Web site of a covered company, or in any other forum that is reasonably
accessible to the public.
(b) Summary of results. The summary results must, at a minimum,
contain the following information regarding the severely adverse scenario:
(1) A description of the
types of risks included in the stress test;
(2) A general description of the methodologies
used in the stress test, including those employed to estimate losses,
revenues, provision for credit losses, and changes in capital positions
over the planning horizon.
(3) Estimates
of—
(i) Pre-provision
net revenue and other revenue;
(ii) Provision for credit losses, realized losses or gains on available-for-sale
and held-to-maturity securities, trading and counterparty losses or
gains;
(iii) Net income before
taxes;
(iv) Loan losses (dollar
amount and as a percentage of average portfolio balance) in the aggregate
and by subportfolio, including: Domestic closed-end first-lien mortgages;
domestic junior lien mortgages and home equity lines of credit; commercial
and industrial loans; commercial real estate loans; credit card exposures;
other consumer loans; and all other loans; and
(v) Pro forma regulatory capital
ratios and any other capital ratios specified by the Board;
(4) An explanation of the most significant
causes for the changes in regulatory capital ratios; and
(5) With respect to any depository institution
subsidiary that is subject to stress testing requirements pursuant
to 12 U.S.C. 5365(i)(2), as implemented by subpart B of this part,
12 CFR part 46 (OCC), or 12 CFR part 325, subpart C (FDIC), changes
over the planning horizon in regulatory capital ratios and any other
capital ratios specified by the Board and an explanation of the most
significant causes for the changes in regulatory capital ratios.
(c) Content of results.
(1) The following disclosures
required under paragraph (b) of this section must be on a cumulative
basis over the planning horizon:
(i) Pre-provision net revenue and other
revenue;
(ii) Provision for credit
losses, realized losses/gains on available-for-sale and held-to-maturity
securities, trading and counterparty losses, and other losses or gain;
(iii) Net income before taxes;
and
(iv) Loan losses in the aggregate
and by subportfolio.
(2) The disclosure of pro forma regulatory
capital ratios and any other capital ratios specified by the Board
that is required under paragraph (b) of this section must include
the beginning value, ending value, and minimum value of each ratio
over the planning horizon.
