Liquidity stress testing and buffer requirements.

CFR · 2024-01-01 · US · Title 12

(a) (i) The covered savings and loan holding company must take into consideration its balance sheet exposures, off-balance sheet exposures, size, risk profile, complexity, business lines, organizational structure, and other characteristics of the covered savings and loan holding company that affect its liquidity risk profile in conducting its stress test. (ii) In conducting a liquidity stress test using the scenarios described in paragraphs (a)(3)(i) and (ii) of this section, the covered savings and loan holding company must address the potential direct adverse impact of associated market disruptions on the covered savings and loan holding company and incorporate the potential actions of other market participants experiencing liquidity stresses under the market disruptions that would adversely affect the covered savings and loan holding company. (2) (i) If the covered savings and loan holding company is not a Category IV savings and loan holding company, at least monthly; or (ii) If the covered savings and loan holding company is a Category IV savings and loan holding company, at least quarterly. (3) (A) A scenario reflecting adverse market conditions; (B) A scenario reflecting an idiosyncratic stress event for the covered savings and loan holding company; and (C) A scenario reflecting combined market and idiosyncratic stresses. (ii) The covered savings and loan holding company must incorporate additional liquidity stress scenarios into its liquidity stress test, as appropria

official document · source cfr-2024 · id 12:§ 238.124