Print
Accessible Version of Figures
Figure 1: Initial and Stressed Tier 1 Common Capital Ratios
Percent
| Quarter | Approximate Ratio | Target Ratio |
|---|---|---|
| SCAP Actual, 4Q08 | 5.25 | 4 |
| SCAP Stressed, 4Q10 | 4 | 4 |
| CCAR 2012, Acutal, 3Q11 | 10.1 | 5 |
| CCAR 2012, Stressed, 4Q13 | 6.5 | 5 |
Note: Aggregate ratios for 19 participating bank holing companies. Post stress estimates are supervisory estimates.
Source: Federal Reserve. "The Supervisory Capital Assessment Prgram: Overview of Results," May 7, 2009.
Figure 2: Real GDP Growth Rate in the Supervisory Stress Scenario
Q/Q seasonally adjusted growth rates annualized, Percent
| Quarter | Value |
|---|---|
| Q1 2009 | -6.84 |
| Q2 2009 | -.69 |
| Q3 2009 | 1.68 |
| Q4 2009 | 3.75 |
| Q1 2010 | 3.88 |
| Q2 2010 | 3.73 |
| Q3 2010 | 2.48 |
| Q4 2010 | 2.33 |
| Q1 2011 | .36 |
| Q2 2011 | 1.33 |
| Q3 2011 | 2.44 |
| Q4 2011 | -4.94 |
| Q1 2012 | -8.23 |
| Q2 2012 | -4.3 |
| Q3 2012 | -3.56 |
| Q4 2012 | 0 |
| Q1 2013 | .71 |
| Q2 2013 | 2.19 |
| Q3 2013 | 2.3 |
| Q4 2013 | 3.41 |
| Q1 2014 | 3.32 |
| Q2 2014 | 3.66 |
| Q3 2014 | 4.56 |
| Q4 2014 | 4.56 |
Source: Bureau of Economic Analysis and Federal Reserve assumptions in the Supervisory Stress Scenario.
Figure 3: Unemployment Rate in the Supervisory Stress Scenario
Percent
| Quarter | Value |
|---|---|
| Q1 2009 | 8.22 |
| Q2 2009 | 9.29 |
| Q3 2009 | 9.69 |
| Q4 2009 | 10.01 |
| Q1 2010 | 9.7 |
| Q2 2010 | 9.66 |
| Q3 2010 | 9.59 |
| Q4 2010 | 9.63 |
| Q1 2011 | 8.93 |
| Q2 2011 | 9.06 |
| Q3 2011 | 9.09 |
| Q4 2011 | 9.68 |
| Q1 2012 | 10.58 |
| Q2 2012 | 11.4 |
| Q3 2012 | 12.16 |
| Q4 2012 | 12.76 |
| Q1 2013 | 13 |
| Q2 2013 | 13.05 |
| Q3 2013 | 12.96 |
| Q4 2013 | 12.76 |
| Q1 2014 | 12.61 |
| Q2 2014 | 12.36 |
| Q3 2014 | 12.04 |
| Q4 2014 | 11.66 |
Source: Bureau of Labor Statistics and Federal Reserve assumptions in the Supervisory Stress Scenario.
Figure 4: Dow Jones Total Stock Market Index, End of Quarter
| Quarter | Value |
|---|---|
| Q1 2009 | 8133.14 |
| Q2 2009 | 9424.92 |
| Q3 2009 | 10911.69 |
| Q4 2009 | 11497.41 |
| Q1 2010 | 12160.97 |
| Q2 2010 | 10750.01 |
| Q3 2010 | 11947.14 |
| Q4 2010 | 13290.03 |
| Q1 2011 | 14036.43 |
| Q2 2011 | 13968.11 |
| Q3 2011 | 11771.86 |
| Q4 2011 | 9501.48 |
| Q1 2012 | 7576.38 |
| Q2 2012 | 7089.87 |
| Q3 2012 | 5705.55 |
| Q4 2012 | 5668.34 |
| Q1 2013 | 6082.47 |
| Q2 2013 | 6384.32 |
| Q3 2013 | 7084.65 |
| Q4 2013 | 7618.89 |
| Q1 2014 | 8014.71 |
| Q2 2014 | 9925.73 |
| Q3 2014 | 10874.38 |
| Q4 2014 | 12005.11 |
Source: Dow Jones and Federal Reserve assumptions in the Supervisory Stress Scenario.
Figure 5: National House Price Index in the Supervisory Stress Scenario
| Quarter | Value |
|---|---|
| Q1 2009 | 142.77 |
| Q2 2009 | 143.51 |
| Q3 2009 | 144.81 |
| Q4 2009 | 145.34 |
| Q1 2010 | 146.66 |
| Q2 2010 | 146.1 |
| Q3 2010 | 141.78 |
| Q4 2010 | 139.61 |
| Q1 2011 | 137.93 |
| Q2 2011 | 137.56 |
| Q3 2011 | 136.86 |
| Q4 2011 | 135.13 |
| Q1 2012 | 131.61 |
| Q2 2012 | 127.5 |
| Q3 2012 | 123.12 |
| Q4 2012 | 119.08 |
| Q1 2013 | 115.15 |
| Q2 2013 | 111.92 |
| Q3 2013 | 109.77 |
| Q4 2013 | 108.48 |
| Q1 2014 | 108.08 |
| Q2 2014 | 108.4 |
| Q3 2014 | 109.24 |
| Q4 2014 | 110.29 |
Source: CoreLogic (seasonally adjusted by Federal Reserve) and Federal Reserve assumptions in the Supervisory Stress Scenario.
Figure 6: Real GDP Growth in Four Country/Country Block Areas in the Supervisory Stress Scenario
Q/Q seasonally adjusted growth rates annualized, Percent
| Quarter | Euro Area Value | Japan Value | United Kingdom Value | Developing Asia Value |
|---|---|---|---|---|
| Q1 2009 | -10.81 | -19.91 | -6.32 | 5.33 |
| Q2 2009 | -0.85 | 7.79 | -0.81 | 12.71 |
| Q3 2009 | 1.77 | -1.75 | 0.93 | 12.11 |
| Q4 2009 | 1.54 | 6.54 | 2.94 | 10.74 |
| Q1 2010 | 1.32 | 8.91 | 0.64 | 10.74 |
| Q2 2010 | 3.69 | -0.66 | 4.2 | 7.1 |
| Q3 2010 | 1.62 | 3.96 | 2.47 | 8.78 |
| Q4 2010 | 1.07 | -2.41 | -2.05 | 6.36 |
| Q1 2011 | 3.1 | -3.77 | 1.58 | 9.05 |
| Q2 2011 | 0.65 | -2.17 | 0.41 | 7.54 |
| Q3 2011 | 1.33 | 1.01 | 0.7 | 7.52 |
| Q4 2011 | -1.03 | 1.63 | -0.29 | 5.76 |
| Q1 2012 | -3.49 | 0.48 | -1.6 | 4.93 |
| Q2 2012 | -5.4 | -1.29 | -2.93 | 4.69 |
| Q3 2012 | -6.91 | -3.94 | -4.25 | 4.67 |
| Q4 2012 | -4.92 | -4.23 | -3.61 | 6.86 |
| Q1 2013 | -2.64 | -3.51 | -2.41 | 7.91 |
| Q2 2013 | -0.88 | -2.66 | -1.19 | 8.23 |
| Q3 2013 | 0.35 | -1.77 | -0.1 | 8.25 |
| Q4 2013 | 1.11 | -0.92 | 0.76 | 8.18 |
| Q1 2014 | 1.5 | -0.14 | 1.39 | 8.15 |
| Q2 2014 | 1.68 | 0.44 | 1.83 | 8.16 |
| Q3 2014 | 1.74 | 0.83 | 2.12 | 8.21 |
| Q4 2014 | 1.72 | 1.05 | 2.3 | 8.28 |
Source: Federal Reserve calculations based on official sector sources and Federal Reserve assumptions in the Supervisory Stress Scenario. 3Q11 data based on Federal Reserve calculations using available data as of November 8, 2011.
Figure 7: Minimum Tier 1 Common Ratio in the Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 2.5 | 5.9 |
| AmEx | 10.8 | 5.9 |
| BofA | 5.9 | 5.9 |
| BNYM | 13.0 | 5.9 |
| BB | 6.4 | 5.9 |
| CapOne | 7.8 | 5.9 |
| Citi | 4.9 | 5.9 |
| Fifth Third | 6.3 | 5.9 |
| Goldman | 5.7 | 5.9 |
| JPMC | 5.4 | 5.9 |
| KeyCorp | 5.3 | 5.9 |
| MetLife | 5.1 | 5.9 |
| Morgan Stanley | 5.4 | 5.9 |
| PNC | 5.9 | 5.9 |
| Regions | 6.6 | 5.9 |
| State St | 12.5 | 5.9 |
| SunTrust | 4.8 | 5.9 |
| USB | 5.4 | 5.9 |
| Wells | 6.0 | 5.9 |
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 8: Change from 3Q11 to Minimum Tier 1 Common Ratio in the Supervisory Stress
Percent
| BHC | Change from 3Q11 to Minimum | Minimum Ratio |
|---|---|---|
| Ally | 5.5 | 2.5 |
| AmEx | 1.5 | 10.8 |
| BofA | 2.7 | 5.9 |
| BNYM | -.5 | 13.0 |
| BB | 3.4 | 6.4 |
| CapOne | 2.2 | 7.8 |
| Citi | 6.8 | 4.9 |
| Fifth Third | 3.0 | 6.3 |
| Goldman | 6.3 | 5.7 |
| JPMC | 4.5 | 5.4 |
| KeyCorp | 6.0 | 5.3 |
| MetLife | 4.2 | 5.1 |
| Morgan Stanley | 6.5 | 5.4 |
| PNC | 4.6 | 5.9 |
| Regions | 1.5 | 6.6 |
| State St | 3.4 | 12.5 |
| SunTrust | 4.6 | 4.8 |
| USB | 3.1 | 5.4 |
| Wells | 3.4 | 6.0 |
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 9: Projected Losses in the Supervisory Stress Scenario
Billions of Dollars
| BHC | Supervisory Estimate |
|---|---|
| First Lien Mortgages, Domestic | $61.1 |
| Trading and Counterparty Losses | $116.5 |
| Credit Cards | $92.1 |
| Commercial and Industrial Loans | $66.7 |
| Securities Losses (AFS/HTM) | $31.0 |
| Junior Liens and HELOCs, Domestic | $56.3 |
| Commercial Real Estate, Domestic | $23.6 |
| Other Consumer Loans | $25.7 |
| Other Loans | $15.7 |
| Other Losses | $45.5 |
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 10: Total Loan Loss Rates in the Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 3.3 | 7.1 |
| AmEx | 9.3 | 7.1 |
| BofA | 8.3 | 7.1 |
| BNYM | 2.6 | 7.1 |
| BB | 5.7 | 7.1 |
| CapOne | 11.4 | 7.1 |
| Citi | 11.3 | 7.1 |
| Fifth Third | 8.0 | 7.1 |
| Goldman | .9 | 7.1 |
| JPMC | 8.1 | 7.1 |
| KeyCorp | 6.9 | 7.1 |
| MetLife | 1.4 | 7.1 |
| Morgan Stanley | 1.6 | 7.1 |
| PNC | 7.1 | 7.1 |
| Regions | 8.1 | 7.1 |
| State St | 2.0 | 7.1 |
| SunTrust | 6.8 | 7.1 |
| USB | 7.4 | 7.1 |
| Wells | 8.2 | 7.1 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 11: First Lien Mortgages, Domestic Loss Rates in the Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 6.0 | 6.3 |
| AmEx | .0 | 6.3 |
| BofA | 6.7 | 6.3 |
| BNYM | 7.7 | 6.3 |
| BB | 5.4 | 6.3 |
| CapOne | 3.7 | 6.3 |
| Citi | 9.3 | 6.3 |
| Fifth Third | 7.7 | 6.3 |
| Goldman | .0 | 6.3 |
| JPMC | 6.3 | 6.3 |
| KeyCorp | 7.5 | 6.3 |
| MetLife | .0 | 6.3 |
| Morgan Stanley | .7 | 6.3 |
| PNC | 9.0 | 6.3 |
| Regions | 8.8 | 6.3 |
| State St | .0 | 6.3 |
| SunTrust | 7.4 | 6.3 |
| USB | 4.7 | 6.3 |
| Wells | 9.5 | 6.3 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates are in the Supervisory Stress scenario.
Figure 12: Junior Liens and HELOCs, Domestic Loss Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 21.1 | 11.5 |
| AmEx | .0 | 11.5 |
| BofA | 15.0 | 11.5 |
| BNYM | 12.6 | 11.5 |
| BB | 8.5 | 11.5 |
| CapOne | 11.1 | 11.5 |
| Citi | 18.2 | 11.5 |
| Fifth Third | 12.1 | 11.5 |
| Goldman | 12.1 | 11.5 |
| JPMC | 10.5 | 11.5 |
| KeyCorp | 7.8 | 11.5 |
| MetLife | .0 | 11.5 |
| Morgan Stanley | 12.5 | 11.5 |
| PNC | 11.5 | 11.5 |
| Regions | 11.4 | 11.5 |
| State St | .0 | 11.5 |
| SunTrust | 12.6 | 11.5 |
| USB | 9.9 | 11.5 |
| Wells | 13.8 | 11.5 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario
Figure 13: Commercial and Industrial Loss Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 1.6 | 7.0 |
| AmEx | 8.0 | 7.0 |
| BofA | 7.7 | 7.0 |
| BNYM | 6.5 | 7.0 |
| BB | 5.9 | 7.0 |
| CapOne | 8.2 | 7.0 |
| Citi | 10.9 | 7.0 |
| Fifth Third | 8.2 | 7.0 |
| Goldman | .0 | 7.0 |
| JPMC | 9.0 | 7.0 |
| KeyCorp | 8.7 | 7.0 |
| MetLife | .0 | 7.0 |
| Morgan Stanley | 3.5 | 7.0 |
| PNC | 6.7 | 7.0 |
| Regions | 6.2 | 7.0 |
| State St | .0 | 7.0 |
| SunTrust | 7.0 | 7.0 |
| USB | 10.8 | 7.0 |
| Wells | 8.1 | 7.0 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 14: Commercial Real Estate, Domestic Loss Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 2.3 | 5.5 |
| AmEx | .0 | 5.5 |
| BofA | 6.4 | 5.5 |
| BNYM | 9.8 | 5.5 |
| BB | 5.6 | 5.5 |
| CapOne | 2.1 | 5.5 |
| Citi | 5.9 | 5.5 |
| Fifth Third | 11.3 | 5.5 |
| Goldman | 4.1 | 5.5 |
| JPMC | 3.0 | 5.5 |
| KeyCorp | 4.1 | 5.5 |
| MetLife | 1.3 | 5.5 |
| Morgan Stanley | 4.0 | 5.5 |
| PNC | 6.0 | 5.5 |
| Regions | 9.2 | 5.5 |
| State St | 20.1 | 5.5 |
| SunTrust | 6.9 | 5.5 |
| USB | 5.0 | 5.5 |
| Wells | 5.5 | 5.5 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 15: Credit Card Loss Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | .0 | 15.5 |
| AmEx | 10.0 | 15.5 |
| BofA | 15.5 | 15.5 |
| BNYM | .0 | 15.5 |
| BB | 18.9 | 15.5 |
| CapOne | 19.4 | 15.5 |
| Citi | 18.5 | 15.5 |
| Fifth Third | 22.3 | 15.5 |
| Goldman | .0 | 15.5 |
| JPMC | 18.0 | 15.5 |
| KeyCorp | 20.0 | 15.5 |
| MetLife | .0 | 15.5 |
| Morgan Stanley | .0 | 15.5 |
| PNC | 15.0 | 15.5 |
| Regions | 14.1 | 15.5 |
| State St | .0 | 15.5 |
| SunTrust | 18.9 | 15.5 |
| USB | 16.9 | 15.5 |
| Wells | 22.4 | 15.5 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 16: Other Consumer Loss Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 3.0 | 3.6 |
| AmEx | 10.1 | 3.6 |
| BofA | 5.6 | 3.6 |
| BNYM | 1.2 | 3.6 |
| BB | 5.6 | 3.6 |
| CapOne | 9.8 | 3.6 |
| Citi | 23.4 | 3.6 |
| Fifth Third | 1.8 | 3.6 |
| Goldman | 3.7 | 3.6 |
| JPMC | 3.6 | 3.6 |
| KeyCorp | 7.3 | 3.6 |
| MetLife | .0 | 3.6 |
| Morgan Stanley | 1.2 | 3.6 |
| PNC | 3.4 | 3.6 |
| Regions | 5.3 | 3.6 |
| State St | .0 | 3.6 |
| SunTrust | 2.4 | 3.6 |
| USB | 3.3 | 3.6 |
| Wells | 5.1 | 3.6 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 17: Other Loans Loss Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | 2.5 | 2.4 |
| AmEx | .0 | 2.4 |
| BofA | 1.9 | 2.4 |
| BNYM | 1.3 | 2.4 |
| BB | 2.0 | 2.4 |
| CapOne | 3.5 | 2.4 |
| Citi | 2.8 | 2.4 |
| Fifth Third | 2.9 | 2.4 |
| Goldman | .9 | 2.4 |
| JPMC | 2.4 | 2.4 |
| KeyCorp | 4.7 | 2.4 |
| MetLife | 1.6 | 2.4 |
| Morgan Stanley | .9 | 2.4 |
| PNC | 3.0 | 2.4 |
| Regions | 3.2 | 2.4 |
| State St | 1.2 | 2.4 |
| SunTrust | 3.1 | 2.4 |
| USB | 4.7 | 2.4 |
| Wells | 2.1 | 2.4 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 18: PPNR Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | -2.7 | 2.0 |
| AmEx | 12.2 | 2.0 |
| BofA | 2.0 | 2.0 |
| BNYM | 2.0 | 2.0 |
| BB | 3.1 | 2.0 |
| CapOne | 7.5 | 2.0 |
| Citi | 2.3 | 2.0 |
| Fifth Third | 3.6 | 2.0 |
| Goldman | 1.7 | 2.0 |
| JPMC | 2.7 | 2.0 |
| KeyCorp | 1.9 | 2.0 |
| MetLife | 1.4 | 2.0 |
| Morgan Stanley | .1 | 2.0 |
| PNC | 1.5 | 2.0 |
| Regions | 3.1 | 2.0 |
| State St | 1.2 | 2.0 |
| SunTrust | 1.5 | 2.0 |
| USB | 4.6 | 2.0 |
| Wells | 4.1 | 2.0 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
Figure 19: Pre-Tax Net Income Rates in Supervisory Stress Scenario
Percent
| BHC | Supervisory Estimate | Median |
|---|---|---|
| Ally | -5.2 | -1.6 |
| AmEx | 4.8 | -1.6 |
| BofA | -2.6 | -1.6 |
| BNYM | 1.6 | -1.6 |
| BB | -.5 | -1.6 |
| CapOne | -1.6 | -1.6 |
| Citi | -2.8 | -1.6 |
| Fifth Third | -.7 | -1.6 |
| Goldman | -2.5 | -1.6 |
| JPMC | -1.0 | -1.6 |
| KeyCorp | -3.3 | -1.6 |
| MetLife | -1.5 | -1.6 |
| Morgan Stanley | -3.2 | -1.6 |
| PNC | -3.2 | -1.6 |
| Regions | -2.0 | -1.6 |
| State St | .8 | -1.6 |
| SunTrust | -3.3 | -1.6 |
| USB | -.3 | -1.6 |
| Wells | -1.5 | -1.6 |
Note: Estimates are for nine-quarter period from 4Q11 to 4Q13 as a percent of average balances.
Source: Federal Reserve estimates in the Supervisory Stress scenario.
