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Federal Register / Vol. 86, No. 21 / Wednesday, February 3, 2021 / Rules and Regulations
election to the Board and the appropriate Federal Reserve Bank.22
Commenters requested clarity on whether there would be required disclosure of the stress capital buffer requirement for a firm subject to Category IV standards that did not participate in the supervisory stress test.
One of these commenters supported mandatory disclosure of such a firms stress capital buffer requirement, regardless of opt-in or mandatory participation in the supervisory stress test for any given year.
For all firms subject to the capital plan rule, the stress capital buffer requirement will be updated and publicly disclosed on an annual basis.
During a year in which a firm subject to Category IV standards is not generally subject to the supervisory stress test, this firm will receive an updated stress capital buffer requirement that reflects the firms updated planned common stock dividends.
As discussed in the proposal and allowed under the current capital plan rule, the Board retains the ability to require a firm to resubmit its capital plan if, among other reasons, the Board determines that there has been or will likely be a material change in the firms risk profile, financial condition, or corporate structure, or if changes to financial market conditions or the macroeconomic outlook require the use of updated scenarios. If a firm resubmits its capital plan, the Board may recalculate its stress capital buffer requirement and may use a new severely adverse scenario. These requirements help ensure that a firms stress capital buffer requirement remains commensurate with its risk profile.

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D. Changes to Stress Test Rules for Firms With Total Consolidated Assets of at Least $100 Billion i. Business Plan Change Assumption For purposes of the supervisory stress test, the Board does not incorporate the impact of expected changes to a firms business plan that are likely to have a material impact on the firms capital adequacy and funding profile material business plan changes in the balance sheet, risk-weighted asset, and capital projections. In order to ensure alignment in the assumptions in the supervisory and company-run stress tests, the proposal would have clarified that the Board and firms would exclude 22 In order to provide notice to the Federal Reserve, firms should send a letter to the appropriate Federal Reserve Bank and to the Stress Testing Communication mailbox info.stresstesting@frb.gov.

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the impacts of unconsummated material business plan changes in the supervisory and company-run stress tests conducted pursuant to the DoddFrank Act. As this assumption would be reflected in the stress test rules, the proposal would have removed the corresponding section from the Stress Testing Policy Statement. No comments were received on these aspects of the proposal, and the final rule adopts them as proposed.
Under the final rule, each firm will continue to be required to include in its capital plan a discussion of any expected changes to the firms business plan that are likely to have a material impact on the firms capital adequacy or liquidity. Each firm will also continue to be required to incorporate impacts of material business plan changes in projections of income and capital levels under all scenarios required for purposes of capital planning. This requirement helps to ensure that a firm appropriately understands the impact of changes to its business on the firms forward-looking capital position. If a material business plan change resulted in or would result in a material change in a firms risk profile, the firm would still be required to resubmit its capital plan.
ii. Changes to Reporting Requirements Related to Stress Test Rule Changes The proposal would have updated the FR Y14 reporting requirements for firms with total consolidated assets of at least $100 billion to conform with changes made to the stress test rules.
Consistent with the proposal and as described above, the final rule no longer requires firms subject to Category IV
standards to submit FR Y14A
schedules associated with company-run stress test results. These schedules include FR Y14A, Schedule A, Schedule B, Schedule F, and Appendix A.
In order to reflect the exclusion of material business plan changes in company-run stress test projections while also ensuring firms incorporate impacts of material business plan changes in projections of income and capital levels required for purposes of capital planning, the proposal would create two sub-schedules for all items on FR Y14A, Schedule A and Schedule C: One where a firm would not incorporate the effects of material business plan changes and one where a firm would incorporate the effects of business plan changes, consistent with prior FR Y14A reporting
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requirements.23 24 Firms subject to Category I, II, or III standards would be required to submit the two subschedules for both FR Y14A, Schedule A and Schedule C, and firms subject to Category IV standards would be required to submit the two subschedules for only FR Y14A, Schedule C.
Firms would report projections on the DFAST sub-schedule under the scenarios provided by the Federal Reserve, and firms would report projections on the CCAR subschedule under expected conditions and under a range of scenarios, including the supervisory severely adverse scenario provided by the Federal Reserve and at least one baseline scenario and one stress scenario generated by the firms. Given the changes made to FR Y14A, Schedule A, firms subject to Category I, II, or III
standards would no longer be required to submit the supervisory baseline scenario for FR Y14A, Schedule F
Business Plan Changes. As noted in sections of the proposal and this final rule on the Paperwork Reduction Act, firms are required to report FR Y14A, Schedule F, under the Internal baseline and supervisory severely adverse scenarios.
A commenter opposed the proposed reporting changes as they would increase the reporting burden for firms subject to Category I, II, or III standards, and instead suggested that the Board add scenarios to the FR Y14A, Schedule FBusiness Plan Changes.
Although the changes in the proposal would modestly increase reporting requirements for firms subject to Category I, II, or III standards that include material business plan changes in their capital plan submission, projections both inclusive and exclusive of material business plan changes are necessary for the Federal Reserve to monitor that a firm appropriately plans for changes to its business for purposes of capital planning. In addition, the proposed reporting changes ensure 23 These sub-schedules include FR Y14A, Schedule A.1.aIncome Statement, Schedule A.1.bBalance Sheet, Schedule A.1.c.1
Standardized RWA, Schedule A.1.dCapital, Schedule A.2.aRetail Balance and Loss Projections, Schedule A.3AFS/HTM Securities, Schedule A.4Trading, Schedule A.5
Counterparty Credit Risk, Schedule A.6
Operational Risk, and Schedule A.7Pre-Provision Net Revenue.
24 On FR Y14A, Schedule A, the DFAST subschedule would not include the effects of material business plan changes and the CCAR subschedule would include these effects. On FR Y
14A, Schedule C, the SCB sub-schedule would not include the effects of material business plan changes and the CCAR sub-schedule would include these effects.

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