Liquidity stress testing and buffer requirements.

CFR · 2024-01-01 · US · Title 12

(a) (i) The bank 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 bank 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 (iii) of this section, the bank holding company must address the potential direct adverse impact of associated market disruptions on the bank holding company and incorporate the potential actions of other market participants experiencing liquidity stresses under the market disruptions that would adversely affect the bank holding company. (2) (i) If the bank holding company is not a Category IV bank holding company, at least monthly; or (ii) If the bank holding company is a Category IV bank holding company, at least quarterly. (3) (A) A scenario reflecting adverse market conditions; (B) A scenario reflecting an idiosyncratic stress event for the bank holding company; and (C) A scenario reflecting combined market and idiosyncratic stresses. (ii) The bank holding company must incorporate additional liquidity stress scenarios into its liquidity stress test, as appropriate, based on its financial condition, size, complexity, risk profile, scope of operations, or activities. The Board may require the bank holding company to vary the underlying assumptions and stress scen

official document · source cfr-2024 · id 12:§ 252.35