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Board of Governors of the Federal Reserve System
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Federal Reserve Board of Governors

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.  

Last update: August 2, 2013