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Federal Register / Vol. 86, No. 21 / Wednesday, February 3, 2021 / Rules and Regulations distributions included in a capital plan that include the adjustments made pursuant to paragraph h of this section, if any.
12 Internal baseline scenario means a scenario that reflects the covered savings and loan holding companys expectation of the economic and financial outlook, including expectations related to the covered saving and loan holding companys capital adequacy and financial condition.
13 Internal stress scenario means a scenario designed by a covered savings and loan holding company that stresses the specific vulnerabilities of the covered savings and loan holding companys risk profile and operations, including those related to the covered savings and loan holding companys capital adequacy and financial condition.
14 Planning horizon means the period of at least nine consecutive quarters, beginning with the quarter preceding the quarter in which the covered savings and loan holding company submits its capital plan, over which the relevant projections extend.
15 Regulatory capital ratio means a capital ratio for which the Board has established minimum requirements for the covered savings and loan holding company by regulation or order, including, as applicable, the covered savings and loan holding companys regulatory capital ratios calculated under 12 CFR part 217 and the deductions required under 12 CFR
248.12; except that the covered savings and loan holding company shall not use the advanced approaches to calculate its regulatory capital ratios.
16 Severely adverse scenario means a set of conditions that affect the U.S.
economy or the financial condition of a covered company and that overall are significantly more severe than those associated with the baseline scenario and may include trading or other additional components.
17 Stress capital buffer requirement means the amount calculated under paragraph f of this section.
18 Supervisory stress test means a stress test conducted using a severely adverse scenario and the assumptions contained in 12 CFR part 238, subpart O.
e Capital planning requirements and procedures1 Annual capital planning. i A covered savings and loan holding company must develop and maintain a capital plan.
ii A covered savings and loan holding company must submit its complete capital plan to the Board and the appropriate Reserve Bank by April
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5 of each calendar year, or such later date as directed by the Board or by the appropriate Reserve Bank with concurrence of the Board.
iii The covered savings and loan holding companys board of directors or a designated committee thereof must at least annually and prior to submission of the capital plan under paragraph e1ii of this section:
A Review the robustness of the covered savings and loan holding companys process for assessing capital adequacy;
B Ensure that any deficiencies in the covered savings and loan holding companys process for assessing capital adequacy are appropriately remedied;
and C Approve the covered savings and loan holding companys capital plan.
2 Mandatory elements of capital plan. A capital plan must contain at least the following elements:
i An assessment of the expected uses and sources of capital over the planning horizon that reflects the covered savings and loan holding companys size, complexity, risk profile, and scope of operations, assuming both expected and stressful conditions, including:
A Estimates of projected revenues, losses, reserves, and pro forma capital levels, including regulatory capital ratios, and any additional capital measures deemed relevant by the covered savings and loan holding company, over the planning horizon under a range of scenarios, including:
1 If the covered savings and loan holding company is a Category IV
savings and loan holding company, the Internal baseline scenario and at least one Internal stress scenario, as well as any additional scenarios, based on financial conditions or the macroeconomic outlook, or based on the covered savings and loan holding companys financial condition, size, complexity, risk profile, or activities, or risks to the U.S. economy, that the Federal Reserve may provide the covered savings and loan holding company after giving notice to the covered savings and loan holding company; or 2 If the covered savings and loan holding company is not a Category IV
savings and loan holding company, any scenarios provided by the Federal Reserve, the Internal baseline scenario, and at least one Internal stress scenario;
B A discussion of the results of any stress test required by law or regulation, and an explanation of how the capital plan takes these results into account;
and C A description of all planned capital actions over the planning
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horizon. Planned capital actions must be consistent with effective capital distribution limitations, except as may be adjusted pursuant to paragraph h of this section. In determining whether a covered savings and loan holding companys planned capital distributions are consistent with effective capital distribution limitations, a covered savings and loan holding company must assume that any countercyclical capital buffer amount currently applicable to the covered savings and loan holding company remains at the same level, except that the covered savings and loan holding company must reflect any increases or decreases in the countercyclical capital buffer amount that have been announced by the Board at the times indicated by the Boards announcement for when such increases or decreases will take effect.
ii A detailed description of the covered savings and loan holding companys process for assessing capital adequacy, including:
A A discussion of how the covered savings and loan holding company will, under expected and stressful conditions, maintain capital commensurate with its risks, maintain capital above the regulatory capital ratios, and serve as a source of strength to its subsidiary depository institutions;
B A discussion of how the covered savings and loan holding company will, under expected and stressful conditions, maintain sufficient capital to continue its operations by maintaining ready access to funding, meeting its obligations to creditors and other counterparties, and continuing to serve as a credit intermediary;
iii The covered savings and loan holding companys capital policy; and iv A discussion of any expected changes to the covered savings and loan holding companys business plan that are likely to have a material impact on the covered savings and loan holding companys capital adequacy or liquidity.
3 Data collection. Upon the request of the Board or appropriate Reserve Bank, the covered savings and loan holding company shall provide the Federal Reserve with information regarding:
i The covered savings and loan holding companys financial condition, including its capital;
ii The covered savings and loan holding companys structure;
iii Amount and risk characteristics of the covered savings and loan holding companys onand off-balance sheet exposures, including exposures within the covered savings and loan holding companys trading account, other
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