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Federal Register / Vol. 86, No. 21 / Wednesday, February 3, 2021 / Rules and Regulations
trading-related exposures such as counterparty-credit risk exposures or other items sensitive to changes in market factors, including, as appropriate, information about the sensitivity of positions to changes in market rates and prices;
iv The covered savings and loan holding companys relevant policies and procedures, including risk management policies and procedures;
v The covered savings and loan holding companys liquidity profile and management;
vi The loss, revenue, and expense estimation models used by the covered savings and loan holding company for stress scenario analysis, including supporting documentation regarding each models development and validation; and vii Any other relevant qualitative or quantitative information requested by the Board or by the appropriate Reserve Bank to facilitate review of the covered savings and loan holding companys capital plan under this section.
4 Resubmission of a capital plan. i A covered savings and loan holding company must update and resubmit its capital plan to the appropriate Reserve Bank within 30 calendar days of the occurrence of one of the following events:
A The covered savings and loan holding company determines there has been or will be a material change in the covered savings and loan holding companys risk profile, financial condition, or corporate structure since the covered savings and loan holding company last submitted the capital plan to the Board and the appropriate Reserve Bank under this section; or B The Board, or the appropriate Reserve Bank with concurrence of the Board, directs the covered savings and loan holding company in writing to revise and resubmit its capital plan for any of the following reasons:
1 The capital plan is incomplete or the capital plan, or the covered savings and loan holding companys internal capital adequacy process, contains material weaknesses;
2 There has been, or will likely be, a material change in the covered savings and loan holding companys risk profile including a material change in its business strategy or any risk exposure, financial condition, or corporate structure;
3 The Internal stress scenarios are not appropriate for the covered savings and loan holding companys business model and portfolios, or changes in financial markets or the macroeconomic outlook that could have a material impact on a covered savings
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and loan holding companys risk profile and financial condition require the use of updated scenarios; or ii The Board, or the appropriate Reserve Bank with concurrence of the Board, may extend the 30-day period in paragraph e4i of this section for up to an additional 60 calendar days, or such longer period as the Board or the appropriate Reserve Bank, with concurrence of the Board, determines appropriate.
iii Any updated capital plan must satisfy all the requirements of this section; however, a covered savings and loan holding company may continue to rely on information submitted as part of a previously submitted capital plan to the extent that the information remains accurate and appropriate.
5 Confidential treatment of information submitted. The confidentiality of information submitted to the Board under this section and related materials shall be determined in accordance with applicable exemptions under the Freedom of Information Act 5 U.S.C. 552b and the Boards Rules Regarding Availability of Information 12 CFR part 261.
f Calculation of the stress capital buffer requirement1 General. The Board will determine the stress capital buffer requirement that applies under 12
CFR 217.11 pursuant to paragraph f of this section. For each covered savings and loan holding company that is not a Category IV savings and loan holding company, the Board will calculate the covered savings and loan holding companys stress capital buffer requirement annually. For each Category IV savings and loan holding company, the Board will calculate the covered savings and loan holding companys stress capital buffer requirement biennially, occurring in each calendar year ending in an even number, and will adjust the covered savings and loan holding companys stress capital buffer requirement biennially, occurring in each calendar year ending in an odd number.
Notwithstanding the previous sentence, the Board will calculate the stress capital buffer requirement of a Category IV savings and loan holding company in a year ending in an odd number with respect to which that company makes an election pursuant to 12 CFR
238.132c2ii.
2 Stress capital buffer requirement calculation. A covered savings and loan holding companys stress capital buffer requirement is equal to the greater of:
i The following calculation:
A The ratio of a covered savings and loan holding companys common equity tier 1 capital to risk-weighted assets, as
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calculated under 12 CFR part 217, subpart D, as of the final quarter of the previous capital plan cycle, unless otherwise determined by the Board;
minus B The lowest projected ratio of the covered savings and loan holding companys common equity tier 1 capital to risk-weighted assets, as calculated under 12 CFR part 217, subpart D, in any quarter of the planning horizon under a supervisory stress test; plus C The ratio of:
1 The sum of the covered savings and loan holding companys planned common stock dividends expressed as a dollar amount for each of the fourth through seventh quarters of the planning horizon; to 2 The risk-weighted assets of the covered savings and loan holding company in the quarter in which the covered savings and loan holding company had its lowest projected ratio of common equity tier 1 capital to riskweighted assets, as calculated under 12
CFR part 217, subpart D, in any quarter of the planning horizon under a supervisory stress test; and ii 2.5 percent.
3 Recalculation of stress capital buffer requirement. If a covered savings and loan holding company resubmits its capital plan pursuant to paragraph e4
of this section, the Board may recalculate the covered savings and loan holding companys stress capital buffer requirement. The Board will provide notice of whether the covered savings and loan holding companys stress capital buffer requirement will be recalculated within 75 calendar days after the date on which the capital plan is resubmitted, unless the Board provides notice to the company that it is extending the time period.
4 Adjustment of stress capital buffer requirement. In each calendar year in which the Board does not calculate a Category IV savings and loan holding companys stress capital buffer requirement pursuant to paragraph f1
of this section, the Board will adjust the Category IV savings and loan holding companys stress capital buffer requirement to be equal to the result of the calculation set forth in paragraph f2 of this section, using the same values that were used to calculate the stress capital buffer requirement most recently provided to the covered savings and loan holding company, except that the value used in paragraph f2iC1 of the calculation will be equal to the covered savings and loan holding companys planned common stock dividends expressed as a dollar amount for each of the fourth through seventh quarters of the planning horizon
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