(a) In general.
(1) A foreign banking organization with
total consolidated assets of more than $10 billion but less than $50
billion and a foreign savings and loan holding company with total
consolidated assets of more than $10 billion must:
(i) Be subject
on a consolidated basis to a capital stress testing regime by its
home-country supervisor that meets the requirements of paragraph (a)(2)
of this section; and
(ii) Conduct such stress tests or be subject to a supervisory stress
test and meet any minimum standards set by its home-country supervisor
with respect to the stress tests.
(2) The capital stress testing regime of
a foreign banking organization or foreign savings and loan holding
company’s home-country supervisor must include:
(i) An
annual supervisory capital stress test conducted by the relevant home-country
supervisor or an annual evaluation and review by the home-country
supervisor of an internal capital adequacy stress test conducted by
the foreign banking organization; and
(ii) Requirements for governance and
controls of stress testing practices by relevant management and the
board of directors (or equivalent thereof).
(b) Additional standards.
(1) Unless the Board otherwise
determines in writing, a foreign banking organization or a foreign
savings and loan holding company that does not meet each of the requirements
in paragraph (a)(1) and (2) of this section must:
(i) Maintain
eligible assets in its U.S. branches and agencies that, on a daily
basis, are not less than 105 percent of the average value over each
day of the previous calendar quarter of the total liabilities of all
branches and agencies operated by the foreign banking organization
in the United States;
(ii) Conduct an annual stress test of its U.S. subsidiaries to determine
whether those subsidiaries have the capital necessary to absorb losses
as a result of adverse economic conditions; and
(iii) Report on an annual basis a summary
of the results of the stress test to the Board that includes a description
of the types of risks included in the stress test, a description of
the conditions or scenarios used in the stress test, a summary description
of the methodologies used in the stress test, estimates of aggregate
losses, pre-provision net revenue, total loan loss provisions, net
income before taxes and pro forma regulatory capital ratios required
to be computed by the home-country supervisor of the foreign banking
organization or foreign savings and loan holding company and any other
relevant capital ratios, and an explanation of the most significant
causes for any changes in regulatory capital ratios.
(2) An enterprise-wide
stress test that is approved by the Board may meet the stress test
requirement of paragraph (b)(1)(ii) of this section.