For purposes of this subpart,
the following definitions apply:
Advanced approaches means the regulatory capital requirements
at 12 CFR 217, subpart E, as applicable, and any successor regulation.
Asset threshold means average total
consolidated assets of greater than $250 billion.
Baseline scenario means a set of conditions
that affect the U.S. economy or the financial condition of a state
member bank, 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 subsidiary means
a state member bank that is a subsidiary of a covered company as defined
in subpart F of this part.
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 state
member bank that has adopted the current expected credit losses methodology
under GAAP, the provision for credit losses, as would be reported
by the state member bank on the Call Report in the current stress
test cycle; and
(2)
With respect to a state member bank 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 state member bank on
the Call Report in the current stress test cycle.
Regulatory capital ratio means
a capital ratio for which the Board has established minimum requirements
for the state member bank by regulation or order, including, as applicable,
the state member bank’s regulatory capital ratios calculated under
12 CFR part 217 and the deductions required under 12 CFR 248.12; except
that the state member bank 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 state member bank 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 state member bank 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 state member bank over the planning horizon, taking into account
the 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(o).
