Risk-based capital stress test.

CFR · 2024-01-01 · US · Title 12

You will perform the risk-based capital stress test as described in summary form below and as described in detail in appendix A to this subpart. The risk-based capital stress test spreadsheet is also available electronically at (a) (1) You will use Corporation loan-level data to implement the credit risk component of the risk-based capital stress test. (2) You will use Call Report data as the basis for Corporation data over the 10-year stress period supplemented with your interest rate risk measurements and tax data. (3) You will use other data, including the 10-year Constant Maturity Treasury (CMT) rate and the applicable Internal Revenue Service corporate income tax schedule, as further described in appendix A to this subpart. (b) (1) For each loan in the Farmer Mac I portfolio, you will determine a default probability by using the logit functions specified in appendix A to this subpart with each of the following variables: (i) Borrower's debt-to-asset ratio at loan origination; (ii) Loan-to-value ratio at origination, which is the loan amount divided by the value of the property; (iii) Debt-service-coverage ratio at origination, which is the borrower's net income (on- and off-farm) plus depreciation, capital lease payments, and interest, less living expenses and income taxes, divided by the total term debt payments; (iv) The origination loan balance stated in 1997 dollars based on the consumer price index; and, (v) The worst-case percentage change in farmland values (23.52

official document · source cfr-2024 · id 12:§ 652.65