[Federal Register Volume 77, Number 194 (Friday, October 5, 2012)]
[Proposed Rules]
[Pages 60948-60952]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-24637]
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Proposed Rules
Federal Register
________________________________________________________________________
This section of the FEDERAL REGISTER contains notices to the public of
the proposed issuance of rules and regulations. The purpose of these
notices is to give interested persons an opportunity to participate in
the rule making prior to the adoption of the final rules.
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Federal Register / Vol. 77, No. 194 / Friday, October 5, 2012 /
Proposed Rules
[[Page 60948]]
FEDERAL HOUSING FINANCE AGENCY
12 CFR Part 1238
RIN 2590-AA47
Stress Testing of Regulated Entities
AGENCY: Federal Housing Finance Agency.
ACTION: Notice of proposed rulemaking; request for comment.
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SUMMARY: This proposed rule would implement section 165(i)(2) of the
Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank
Act) which requires certain financial companies with total consolidated
assets of more than $10 billion, and which are regulated by a primary
federal financial regulatory agency, to conduct annual stress tests to
determine whether the companies have the capital necessary to absorb
losses as a result of adverse economic conditions. The Federal Housing
Finance Agency (FHFA) is the primary federal financial regulator of the
Federal National Mortgage Association (Fannie Mae), the Federal Home
Loan Mortgage Corporation (Freddie Mac), and the Federal Home Loan
Banks (Banks) (Fannie Mae and Freddie Mac collectively, the
Enterprises; the Enterprises and the Banks collectively, regulated
entities). While each of the regulated entities currently has total
consolidated assets of more than $10 billion, FHFA proposes expressly
to retain to the Director the discretion to require any regulated
entity that falls below the $10 billion threshold to conduct annually
the stress test. FHFA's proposal reflects its supervisory judgment and
is grounded in its regulatory and supervisory authority and obligation
to ensure the safety and soundness of the regulated entities under the
Federal Housing Enterprises Financial Safety and Soundness Act of 1992,
as amended (12 U.S.C. 4501 et seq.) (Safety and Soundness Act) and the
Federal Home Loan Bank Act, as amended (12 U.S.C. 1421 through 1449)
(Bank Act). In accordance with section 165(i)(2)(C) of the Dodd-Frank
Act, FHFA has coordinated with the Federal Reserve Board of Governors
(Board), and the Federal Insurance Office.
DATES: Comments on the proposed rule must be received on or before
November 5, 2012.
ADDRESSES: You may submit your comments, identified by regulatory
identification number (RIN) 2590-AA47, by any of the following methods:
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments. If you submit your
comment to the Federal eRulemaking Portal, please also send it by email
to FHFA at [email protected] to ensure timely receipt by the agency.
Please include ``RIN 2590-AA47'' in the subject line of the message.
Email: Comments to Alfred M. Pollard, General Counsel, may
be sent by email to [email protected]. Please include ``RIN 2590-
AA47'' in the subject line of the message.
U.S. Mail, United Parcel Service, Federal Express, or
Other Mail Service: The mailing address for comments is: Alfred M.
Pollard, General Counsel, Attention: Comments/RIN 2590-AA47, Federal
Housing Finance Agency, Eighth Floor, 400 Seventh Street SW.,
Washington, DC 20024.
Hand Delivered/Courier: The hand delivery address is:
Alfred M. Pollard, General Counsel, Attention: Comments/RIN 2590-AA47,
Federal Housing Finance Agency, Eighth Floor, 400 Seventh Street SW.,
Washington, DC 20024. The package should be logged at the Guard's Desk,
First Floor, on business days between 9 a.m. to 5 p.m.
See SUPPLEMENTARY INFORMATION for additional information on
submission and posting of comments.
FOR FURTHER INFORMATION CONTACT: Naa Awaa Tagoe, Senior Associate
Director, Office of Financial Analysis, Modeling and Simulations, (202)
649-3140, [email protected]; Fred Graham, Associate Director, Risk
Modeling and Market Analysis, (202) 649-3500, [email protected]; or
Mark D. Laponsky, Deputy General Counsel, Office of General Counsel,
(202) 649-3054 (these are not toll-free numbers),
[email protected]. The telephone number for the Telecommunications
Device for the Hearing Impaired is (800) 877-8339.
SUPPLEMENTARY INFORMATION:
I. Comments
FHFA invites comment on all aspects of the proposed rule and will
take all comments into consideration before issuing a final rule.
Copies of all comments received will be posted without change on the
FHFA Web site at http://www.fhfa.gov, and will include any personal
information you provide, such as your name, address, and telephone
number. In addition, copies of all comments received will be available
for examination by the public on business days between the hours of 10
a.m. and 3 p.m. at the Federal Housing Finance Agency, Eighth Floor,
400 Seventh Street SW., Washington, DC 20024. To make an appointment to
inspect comments, please call the Office of General Counsel at (202)
649-3804.
II. Background
Establishment of FHFA
FHFA is an independent agency of the Federal government and was
established by the Housing and Economic Recovery Act of 2008 (HERA),
Public Law 110-289, 122 Stat. 2654, to regulate and oversee the
regulated entities.\1\ HERA amended the Safety and Soundness Act and
the Bank Act to enhance the authorities and responsibilities of the new
agency. FHFA's regulatory mission is to ensure, among other things,
that each of the regulated entities ``operates in safe and sound
manner'' and that their ``operations and activities * * * foster
liquid, efficient, competitive, and resilient national housing finance
markets.'' (12 U.S.C. 4513(a)(1)(B)).
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\1\ See Division A, titled the ``Federal Housing Finance
Regulatory Reform Act of 2008,'' Title I, section 1101 of HERA.
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III. Analysis of Proposed Rule
The purpose of this proposed rule is to ensure stronger regulation
of the regulated entities by providing FHFA with additional, forward-
looking information that will help it to assess capital adequacy under
various scenarios at the regulated entities. Section 165(i)(2)(A) of
the Dodd-Frank Act states in part:
A nonbank financial company supervised by the Board of Governors
and a bank holding company described in subsection (a)
[[Page 60949]]
shall conduct semi-annual stress tests. All other financial
companies that have total consolidated assets of more than
$10,000,000,000 and are regulated by a primary Federal financial
regulatory agency shall conduct annual stress tests * * * (emphasis
added.)
The annual stress test requirement contained in section 165(i)(2)
of the Dodd-Frank Act applies to large financial companies that meet
the total consolidated assets threshold, and that are regulated by a
primary federal financial regulator. Each of FHFA's regulated entities
currently has total consolidated assets of more than $10 billion and is
currently subject to the annual stress test requirement. FHFA proposes
expressly to retain to the Director the discretion to require any
regulated entity to conduct the stress test annually if its total
consolidated assets fall below $10 billion in a particular year. FHFA's
proposal reflects its preliminary supervisory judgment that under some
unforeseen circumstances prudential supervision of a regulated entity
that has dropped below the $10 billion total consolidated asset
threshold of the Dodd-Frank Act, may be enhanced by application of the
stress-test regime.
A. Authority and Purpose--Proposed Sec. 1238.1
Section 1238.1 of the proposed rule describes the authority and
purpose of this rulemaking. As the primary federal financial regulator
of the regulated entities, FHFA issues this proposed rule to implement
the Dodd-Frank Act's annual stress test requirement for Fannie Mae,
Freddie Mac, and each of the Federal Home Loan Banks.
Section 165(i)(2)(C) of the Dodd-Frank Act (12 U.S.C.
5365(i)(2)(C)) requires FHFA, as a primary federal financial regulatory
agency, in coordination with the Board and the Federal Insurance
Office, to issue consistent and comparable regulations for annual
stress testing. This requirement extends, expressly, to: (i) The
definition of ``stress test''; (ii) the establishment of methodologies
for the conduct of stress tests (which must provide for at least three
different sets of conditions, including baseline, adverse, and severely
adverse); (iii) establishing the form and content of the report that
the regulated entities are required to submit to FHFA and to the Board;
and (iv) requiring the regulated entities to publish a summary of the
results of the annual stress tests. FHFA has consulted with the Board
and the Federal Insurance Office in developing these proposed
regulations.
FHFA's authority to exercise its discretion to apply the proposed
stress test requirements to any regulated entity that falls below the
$10 billion threshold of the Dodd-Frank Act rests in its general
supervisory authorities conferred by the Safety and Soundness Act and
the Bank Act.\2\ FHFA intends that the company-run stress test
regulations will be codified at 12 CFR part 1238, and expects that the
stress test requirements will apply annually to each of the regulated
entities that has total consolidated assets of at least $10 billion.
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\2\ 12 U.S.C. 4513, 4526, 4612, and 1426.
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If a regulated entity is designated by the Financial Stability
Oversight Council for supervision by the Board in accordance with
section 113 of the Dodd-Frank Act, it would also become subject to
supervisory stress tests overseen by the Board. The regulated entity
would also become subject to enhanced prudential standards, and early
remediation requirements, as required by sections 165 and 166 of the
Dodd-Frank Act. However, some of these enhanced prudential standards
and early remediation requirements may need to be tailored, by
regulation or order, to address the newly covered entity's business
model, capital requirements, liquidity needs, concentration risks, and
other considerations.
B. Definitions--Proposed Sec. 1238.2
Section 1238.2 of the proposed rule defines a number of terms used
in section 165(i)(2) of the Dodd-Frank Act, including a definition of
the statutory term ``stress test,'' as required by section
165(i)(2)(C)(i). In coordination with the Board, FHFA proposes to
define ``stress test'' to mean ``a process to assess the potential
impact on the consolidated earnings and capital of a regulated entity,
of different economic and financial conditions over a set planning
horizon (``scenarios''), taking into account the current condition of
the regulated entity and the regulated entity's risks, exposures,
strategies and activities.'' FHFA specifically requests public comments
on this definition of ``stress test.'' This proposed rule also defines
the following additional terms: ``planning horizon,'' ``scenarios,''
and a number of other terms.
C. Annual Stress Test--Proposed Sec. 1238.3
Section 165(i)(2) of the Dodd-Frank Act directs each financial
company with total consolidated assets of more than $10 billion, and
that is regulated by a primary federal financial regulatory agency, to
complete an annual stress test. The proposed rule would require a
regulated entity to use its data as of September 30 of that calendar
year, except for data related to the regulated entity's trading and
counterparty exposures for which FHFA will communicate the required as
of date in the fourth quarter of each year. The annual stress test
would require the regulated entities to assess the potential impact of
different scenarios on their consolidated earnings and capital, and
other related factors, over a nine-quarter forward-looking planning
horizon taking into account all relevant exposures and activities.
Section 1238.3(b) also provides that, in conducting the annual
stress test, the regulated entities must use scenarios that reflect a
minimum of three sets of economic and financial conditions, including a
baseline, adverse, and severely adverse scenario. FHFA will define
scenarios for the regulated entities, bearing in mind the key risk
exposures at each regulated entity.
D. Methodologies and Practices--Proposed Sec. 1238.4
Section 1238.4 provides that, in conducting a stress test, each
regulated entity is required to calculate how certain financial values
and ratios are affected during each of the nine quarters of the stress
test planning horizon, for each scenario. The financial values and
ratios to be considered include: (1) Potential losses, pre-provision
net revenues, allowance for loan losses, and future pro forma capital
positions over the planning horizon; (2) capital levels and capital
ratios, including regulatory and any other capital ratios, specified by
FHFA; and (3) Market Value of Equity.
Section 1238.4(c) provides that, if FHFA determines that the stress
test methodologies and practices of a regulated entity are deficient,
it can require the regulated entity to use additional analytical
techniques and exercises to fulfill the stress test requirement. The
proposed rule provides that FHFA will issue guidance annually to
describe the scenarios and methodologies to be used in conducting the
annual stress test.
Section 1238.4(d)(1) requires each regulated entity to establish
and maintain a system of controls, oversight, and documentation to
ensure that the stress testing process is effective to meet the
requirements of part 1238. Section 1238.4(d)(2) of the proposed rule
would require each regulated entity's board of directors and senior
management to approve, and annually review, such controls, oversight,
and documentation,
[[Page 60950]]
including policies and procedures, to ensure compliance with this part.
E. Required Report to FHFA and the Board of Stress Test Results and
Related Information--Proposed Sec. 1238.5
Section 1238.5 would require each regulated entity, on or before
January 5 of each year, to report the results of the stress test to
FHFA and to the Board. This section provides that each regulated entity
must file a report in the manner and form established by FHFA. FHFA
expects to issue an order at the time the final stress test regulation
is published that will contain the specific contents of the annual
report. Section 1238.5 of the proposed rule also specifies the
confidentiality requirements that govern the release of information
contained in the annual report and other information required to be
submitted that is related to the annual report. FHFA currently is
considering that the annual report should include at least the
following elements, on which comment is solicited:
Qualitative disclosures--
A description of scenarios used and risks covered;
A description of data, methods and key assumptions used,
and internal capital goals and targets; and
A discussion of changes in the results from one reporting
period to the next that clearly identifies primary drivers of the
changes.
Quantitative disclosures--for each quarter of the planning
horizon--
Income statement (reflecting a comparable level of detail
to SEC filings);
Balance sheet (reflecting a comparable level of detail to
SEC filings);
Capital roll-forward (i.e., For each quarter of the
planning horizon, the amount of capital at the start of the quarter,
changes to capital during the quarter, and the amount of capital at the
end of the quarter);
Credit summary reflecting--Charge-offs, foreclosed
property expenses, credit losses, payments from private mortgage
insurers (disaggregated by private mortgage insurer), Credit-related
expenses, defaults, REO acquisitions, number of seriously delinquent
loans, aggregate unpaid principal balance of seriously delinquent
loans, seriously delinquent rate, loan modifications, and ending loan
loss reserve balance;
Market Value of Equity (as estimated by the regulated
entity using observed market prices, market price estimates and model-
based estimates, as appropriate).
For the baseline scenario--
The sensitivity of the book value of capital and market
value of equity to parallel interest rate shocks (e.g., plus and minus
50 basis points and 100 basis points) at the ``as of'' date of the
stress test;
The sensitivity of the book value of capital and market
value of equity to other factors at the ``as of'' date of the stress
test.
F. Post-Assessment Actions by Regulated Entities--Proposed Sec. 1238.6
Section 1238.6 would require that each regulated entity take the
results of the annual stress test into account in making any changes,
as appropriate, to its capital structure (including the level and
composition of capital); its exposures, concentrations, and risk
positions; any plans for recovery and resolution; and to improve
overall risk management. If a regulated entity is under FHFA
conservatorship, any post-assessment actions would require FHFA's prior
approval.
G. Publication of Results by Regulated Entities--Proposed Sec. 1238.7
The proposed rule would require, at Sec. 1238.7, that each
regulated entity publish annually, a summary of the results of its
company-run stress test within 90 days of submitting its stress test
report to FHFA and to the Board. The section also identifies the
minimum elements of the public disclosure.
H. Additional Implementing Action--Proposed Sec. 1238.8
Section 1238.8 provides that the Director may require a regulated
entity with total consolidated assets below $10 billion to conduct
stress testing under this part; and, from time to time, issue such
guidance and orders as may be necessary to facilitate implementation of
this part.
IV. Coordination With the Board and the Federal Insurance Office
In accordance with section 165(i)(2)(C), FHFA has coordinated with
both the Board and the Federal Insurance Office. The Board issued its
notice of proposed rulemaking on January 5, 2012 \3\; the Federal
Deposit Insurance Corporation (FDIC) issued its notice of proposed
rulemaking on January 23, 2012 \4\; the Office of the Comptroller of
the Currency (OCC) issued its notice of proposed rulemaking on January
24, 2012.\5\ Although FHFA's proposed rule is not identical to those of
the Board, the FDIC, and the OCC, it is consistent and comparable with
them. FHFA sought and considered input from the Board and the Federal
Insurance Office while drafting this proposed rule.
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\3\ See 77 FR 594, 625-633, ``Enhanced Prudential Standards and
Early Remediation Requirements for Covered Companies.''
\4\ 77 FR 3166, ``Annual Stress Test.''
\5\ 77 FR 3408, ``Annual Stress Test.''
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V. Differences Between Banks and Enterprises
Section 1313 of the Safety and Soundness Act requires the Director
to consider the differences between the Banks and the Enterprises
whenever promulgating regulations that affect the Banks. In developing
this proposed rule, FHFA considered the differences between the Banks
and the Enterprises, but also adhered to the statutory mandate that the
regulation be ``consistent and comparable'' with the regulations of the
other agencies. In implementing the regulation, FHFA will define
scenarios for the regulated entities, bearing in mind the key risk
exposures at each regulated entity.
VI. Regulatory Impact
Paperwork Reduction Act
The proposed rule does not contain any collections of information
pursuant to the Paperwork Reduction Act of 1995 (44 U.S.C. 3501 et
seq.). Therefore, FHFA has not submitted any information to the Office
of Management and Budget for review.
Regulatory Flexibility Act
The proposed rule applies only to the regulated entities, which do
not come within the meaning of small entities as defined in the
Regulatory Flexibility Act (see 5 U.S.C. 601(6)). Therefore, in
accordance with section 605(b) of the Regulatory Flexibility Act (5
U.S.C. 605(b)), FHFA certifies that this proposed rule, if promulgated
as a final rule, will not have a significant economic impact on a
substantial number of small entities.
List of Subjects in 12 CFR Part 1238
Administrative practice and procedure, Capital, Federal Home Loan
Banks, Government-sponsored enterprises, Reporting and recordkeeping
requirements, Stress test.
For the reasons stated in the preamble, the Federal Housing Finance
Agency proposes to add part 1238 to subchapter B, to Title 12, Chapter
XII of the Code of Federal Regulations to read as follows:
PART 1238--STRESS TESTING OF REGULATED ENTITIES
Sec.
1238.1 Authority and purpose.
1238.2 Definitions.
1238.3 Annual stress test.
[[Page 60951]]
1238.4 Methodologies and practices.
1238.5 Required report to FHFA and the Board of stress test results
and related information.
1238.6 Post-assessment actions by regulated entities.
1238.7 Publication of results by regulated entities.
1238.8 Additional implementing action.
Authority: 12 U.S.C. 1426; 4513; 4526; 4612; 5365(i).
Sec. 1238.1 Authority and purpose.
(a) Authority. This part is issued by the Federal Housing Finance
Agency (FHFA) under section 165(i) of Title I of the Dodd-Frank Wall
Street Reform and Consumer Protection Act (Dodd-Frank Act) (Pub. L.
111-203, 124 Stat. 1376, 1423-32 (2010), 12 U.S.C. 5365(i)), the
Federal Housing Enterprises Financial Safety and Soundness Act of 1992,
as amended (12 U.S.C. 4513, 4526, 4612), and the Federal Home Loan Bank
Act, as amended (12 U.S.C. 1426).
(b) Purpose. This part implements section 165(i)(2) of the Dodd-
Frank Act, which requires all large financial companies that have total
consolidated assets of more than $10 billion, and are regulated by a
primary federal financial regulatory agency, to conduct annual stress
tests. To ensure the safety and soundness of the regulated entities,
the Director reserves and retains the discretion to apply this part to
any regulated entity with less than $10 billion total consolidated
assets in a particular year.
This part establishes requirements that apply to each regulated
entity's performance of annual stress tests. The purpose of the annual
stress test is to provide the regulated entities, FHFA and the Federal
Reserve Board of Governors (Board) with additional, forward-looking
information that will help them to assess capital adequacy at the
regulated entities under various scenarios; to review the regulated
entities' stress test results; and to increase public disclosure of the
regulated entities' capital condition by requiring broad dissemination
of the stress test scenarios and results.
Sec. 1238.2 Definitions.
For purposes of this part, the following definitions apply:
Board means the Board of Governors of the Federal Reserve System.
Director means the Director of the Federal Housing Finance Agency.
Enterprise means the Federal National Mortgage Association (Fannie
Mae) or the Federal Home Loan Mortgage Corporation (Freddie Mac).
Enterprises means, collectively, Fannie Mae and Freddie Mac.
Federal Home Loan Banks or Banks mean the Federal Home Loan Banks
established under section 12 of the Federal Home Loan Bank Act (12
U.S.C. 1432). Each of the Banks is a regulated entity.
Federal Housing Finance Agency or FHFA means the agency established
by 12 U.S.C. 4511.
Planning horizon means the period of time over which the stress
projections must extend. The planning horizon cannot be less than nine
quarters.
Regulated entity means Fannie Mae, Freddie Mac, or any one of the
twelve Federal Home Loan Banks. Regulated entities means, collectively,
Fannie Mae, Freddie Mac, and the twelve Federal Home Loan Banks.
Scenarios are sets of economic and financial conditions used in the
regulated entities' stress tests, including baseline, adverse, and
severely adverse.
Stress test is a process to assess the potential impact on a
regulated entity of economic and financial conditions (``scenarios'')
on the consolidated earnings, losses, and capital of the regulated
entity over a set planning horizon, taking into account the current
condition of the regulated entity and the regulated entity's risks,
exposures, strategies, and activities.
Sec. 1238.3 Annual stress test.
(a) In general. Each regulated entity:
(1) Shall complete an annual stress test of itself based on its
data as of September 30 of that calendar year, except for data related
to the regulated entity's trading and counterparty exposures for which
FHFA will communicate the required as of date in the fourth quarter of
each year;
(2) The stress test shall be conducted in accordance with this
section and the methodologies and practices described in Sec. 1238.4.
(b) Scenarios provided by FHFA. In conducting its annual stress
tests under this section, each regulated entity must use scenarios
provided by FHFA, which shall be generally consistent and comparable to
those established by the Board, that reflect a minimum of three sets of
economic and financial conditions, including a baseline, adverse, and
severely adverse scenario. In advance of these stress tests, FHFA will
provide to all regulated entities a description of the baseline,
adverse, and severely adverse scenarios that each regulated entity
shall use to conduct its annual stress tests under this part.
Sec. 1238.4 Methodologies and practices.
(a) Potential impact. In conducting a stress test under Sec.
1238.3, each regulated entity shall calculate how each of the following
is impacted during each quarter of the stress test planning horizon,
for each scenario:
(1) Potential losses, pre-provision net revenues, allowance for
loan losses, and future pro forma capital positions over the planning
horizon;
(2) Capital levels and capital ratios, including regulatory and any
other capital ratios, specified by FHFA; and
(3) Market Value of Equity.
(b) Planning horizon. Each regulated entity must use a planning
horizon of at least nine quarters over which the impact of specified
scenarios would be assessed.
(c) Additional analytical techniques. If FHFA determines that the
stress test methodologies and practices of a regulated entity are
deficient, FHFA may determine that additional analytical techniques and
exercises are appropriate for a regulated entity to use in identifying,
measuring, and monitoring risks to the financial soundness of the
regulated entity, and require a regulated entity to implement such
techniques and exercises in order to fulfill the requirements of this
part. In addition, FHFA will issue guidance annually to describe the
baseline, adverse and severely adverse scenarios, and methodologies to
be used in conducting the annual stress test.
(d) Controls and oversight of stress testing processes. (1) Each
regulated entity must establish and maintain a system of controls,
oversight, and documentation, including policies and procedures,
designed to ensure that the stress testing processes used by the
regulated entity are effective in meeting the requirements of this
part. These policies and procedures must, at a minimum, describe the
regulated entity's testing practices and methodologies, validation and
use of stress test results, and processes for updating the regulated
entity's stress testing practices consistent with relevant supervisory
guidance; and
(2) The board of directors and senior management of each regulated
entity shall approve and annually review their controls, oversight, and
documentation, including policies and procedures to ensure compliance
with this part.
Sec. 1238.5 Required report to FHFA and the Board of stress test
results and related information.
(a) Report required for stress tests. On or before January 5 of
each year, each regulated entity must report the results of the stress
test required under Sec. 1238.3 to FHFA, and to the Board, in
accordance with paragraph (b) of this section;
[[Page 60952]]
(b) Content of report for annual stress test. Each regulated entity
must file a report in the manner and form established by FHFA.
(c) Confidential treatment of information submitted. The
confidentiality of information submitted to FHFA, and to the Board,
under this part shall be determined in accordance with applicable
exemptions under the Freedom of Information Act (5 U.S.C. 552(b));
FHFA's Freedom of Information Act regulation (12 CFR part 1202); and
the Board's Rules Regarding Availability of Information (12 CFR part
261).
Sec. 1238.6 Post-assessment actions by regulated entities.
Each regulated entity shall take the results of the stress test
conducted under Sec. 1238.3 into account in making changes, as
appropriate, to the regulated entity's capital structure (including the
level and composition of capital); its exposures, concentrations, and
risk positions; any plans for recovery and resolution; and to improve
overall risk management. If a regulated entity is under FHFA
conservatorship, any post-assessment actions shall require prior FHFA
approval.
Sec. 1238.7 Publication of results by regulated entities.
(a) Public disclosure of results required for stress tests of
regulated entities. Within 90 days after it submits a report for its
required stress test under Sec. 1238.3, a regulated entity shall
disclose publicly a summary of the results of the stress test. The
summary may be published on the regulated entity's Web site or in any
other form that is reasonably accessible to the public;
(b) Information to be disclosed in the summary. The information
disclosed by each regulated entity shall, at a minimum, include--
(1) A description of the types of risks being included in the
stress test;
(2) For each regulated entity, a high-level description of
scenarios provided by FHFA, including key variables (such as GDP,
unemployment rate, housing prices, foreclosure rate, etc.);
(3) A general description of the methodologies employed to estimate
losses, pre-provision net revenue, allowance for loan losses, and
changes in capital positions over the planning horizon;
(4) A general description of the use of the required stress test as
one element in a regulated entity's overall capital planning and
capital adequacy assessment. If a regulated entity is under FHFA
conservatorship, this description shall be coordinated with FHFA;
(5) Aggregate losses, pre-provision net revenue, allowance for loan
losses, net income, and pro forma capital levels and capital ratios
(including regulatory and any other capital ratios specified by FHFA)
over the planning horizon, under each scenario; and
(6) Such other data fields, in such form (e.g., aggregated), as the
Director may require by order.
Sec. 1238.8 Additional implementing action.
The Director may, in circumstances considered appropriate, require
any regulated entity not subject to this part to conduct stress testing
hereunder; and from time to time, issue such guidance and orders as may
be necessary to facilitate implementation of this part.
Dated: September 23, 2012.
Edward J. DeMarco,
Acting Director, Federal Housing Finance Agency.
[FR Doc. 2012-24637 Filed 10-4-12; 8:45 am]
BILLING CODE 8070-01-P