Dodd-Frank Act Stress Test 2014: Supervisory Stress Test Methodology and Results
Print- Supervisory Stress Test Framework and Model Methodology
- Revised Capital Framework
- Supervisory Stress Test Results
- Appendix A: Supervisory Scenarios
- Appendix B: Models to Project Net Income and Stressed Capital
- Appendix C: BHC-Specific Results
- Appendix D: Selected Loss Rates
- Appendix E: Errata
Appendix C: BHC-Specific Results
- Ally Financial Inc. severely adverse scenario, adverse scenario
- American Express Company severely adverse scenario, adverse scenario
- Bank of America Corporation severely adverse scenario, adverse scenario
- The Bank of New York Mellon Corporation severely adverse scenario, adverse scenario
- BB&T Corporation severely adverse scenario, adverse scenario
- BBVA Compass Bancshares, Inc. severely adverse scenario, adverse scenario
- BMO Financial Corp. severely adverse scenario, adverse scenario
- Capital One Financial Corporation severely adverse scenario, adverse scenario
- Citigroup Inc. severely adverse scenario, adverse scenario
- Comerica Incorporated severely adverse scenario, adverse scenario
- Discover Financial Services severely adverse scenario, adverse scenario
- Fifth Third Bancorp severely adverse scenario, adverse scenario
- The Goldman Sachs Group, Inc. severely adverse scenario, adverse scenario
- HSBC North America Holdings Inc. severely adverse scenario, adverse scenario
- Huntington Bancshares Incorporated severely adverse scenario, adverse scenario
- JPMorgan Chase & Co. severely adverse scenario, adverse scenario
- KeyCorp severely adverse scenario, adverse scenario
- M&T Bank Corporation severely adverse scenario, adverse scenario
- Morgan Stanley severely adverse scenario, adverse scenario
- Northern Trust Corporation severely adverse scenario, adverse scenario
- The PNC Financial Services Group, Inc. severely adverse scenario, adverse scenario
- RBS Citizens Financial Group, Inc. severely adverse scenario, adverse scenario
- Regions Financial Corporation severely adverse scenario, adverse scenario
- Santander Holdings USA, Inc. severely adverse scenario, adverse scenario
- State Street Corporation severely adverse scenario, adverse scenario
- SunTrust Banks, Inc. severely adverse scenario, adverse scenario
- U.S. Bancorp severely adverse scenario, adverse scenario
- UnionBanCal Corporation severely adverse scenario, adverse scenario
- Wells Fargo & Company severely adverse scenario, adverse scenario
- Zions Bancorporation severely adverse scenario, adverse scenario
Table C.1.A. Ally Financial Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 7.9 | 6.3 | 6.3 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.3 | 7.3 |
| Tier 1 risk-based capital ratio (%) | 15.4 | 9.1 | 9.1 |
| Total risk-based capital ratio (%) | 16.4 | 10.6 | 10.6 |
| Tier 1 leverage ratio (%) | 13.2 | 7.9 | 7.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 5.0 | 5.0 |
| First-lien mortgages, domestic | 0.4 | 6.0 |
| Junior liens and HELOCs, domestic | 0.2 | 9.9 |
| Commercial and industrial 2 | 1.4 | 4.1 |
| Commercial real estate, domestic | 0.1 | 4.8 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 2.9 | 5.2 |
| Other loans 4 | 0.0 | 3.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
127.3 | 129.4 | 137.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.6 | 2.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.7 | |
| Realized losses/gains on securities (AFS/HTM) | 0.6 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -2.7 | -1.8 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.1.B. Ally Financial Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 7.9 | 10.0 | 7.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.4 | 8.8 |
| Tier 1 risk-based capital ratio (%) | 15.4 | 11.9 | 10.6 |
| Total risk-based capital ratio (%) | 16.4 | 13.3 | 11.8 |
| Tier 1 leverage ratio (%) | 13.2 | 10.2 | 8.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.8 | 3.8 |
| First-lien mortgages, domestic | 0.3 | 4.1 |
| Junior liens and HELOCs, domestic | 0.2 | 6.9 |
| Commercial and industrial 2 | 0.9 | 2.8 |
| Commercial real estate, domestic | 0.1 | 3.0 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 2.3 | 4.2 |
| Other loans 4 | 0.0 | 2.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
127.3 | 134.1 | 140.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 5.3 | 3.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 4.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.4 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 0.8 | 0.5 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.2.A. American Express Company
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.8 | 14.0 | 12.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 14.0 | 12.9 |
| Tier 1 risk-based capital ratio (%) | 12.8 | 14.0 | 12.3 |
| Total risk-based capital ratio (%) | 14.7 | 15.4 | 14.1 |
| Tier 1 leverage ratio (%) | 10.7 | 11.6 | 10.1 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 11.4 | 10.7 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 0.0 |
| Commercial and industrial 2 | 3.7 | 11.4 |
| Commercial real estate, domestic | 0.0 | 0.0 |
| Credit cards | 7.7 | 10.6 |
| Other consumer 3 | 0.0 | 0.0 |
| Other loans 4 | 0.1 | 4.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
123.2 | 124.5 | 130.6 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 20.9 | 13.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 14.9 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 6.0 | 3.9 |
| Memo items | ||
| Other comprehensive income 6 | -0.4 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.3 | -0.7 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.2.B. American Express Company
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.8 | 16.3 | 12.5 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 16.2 | 13.9 |
| Tier 1 risk-based capital ratio (%) | 12.8 | 16.2 | 12.5 |
| Total risk-based capital ratio (%) | 14.7 | 17.6 | 14.4 |
| Tier 1 leverage ratio (%) | 10.7 | 13.2 | 10.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 8.9 | 8.2 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 0.0 |
| Commercial and industrial 2 | 2.7 | 8.3 |
| Commercial real estate, domestic | 0.0 | 0.0 |
| Credit cards | 6.1 | 8.4 |
| Other consumer 3 | 0.0 | 0.0 |
| Other loans 4 | 0.1 | 2.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
123.2 | 128.1 | 132.9 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 22.6 | 14.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 11.5 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 11.1 | 7.1 |
| Memo items | ||
| Other comprehensive income 6 | -0.6 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.4 | -0.8 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.3.A. Bank of America Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.1 | 6.0 | 5.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 6.8 | 6.8 |
| Tier 1 risk-based capital ratio (%) | 12.3 | 6.8 | 6.8 |
| Total risk-based capital ratio (%) | 15.4 | 9.2 | 9.2 |
| Tier 1 leverage ratio (%) | 7.8 | 4.4 | 4.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 54.9 | 5.8 |
| First-lien mortgages, domestic | 12.7 | 4.9 |
| Junior liens and HELOCs, domestic | 9.9 | 10.3 |
| Commercial and industrial 2 | 8.2 | 3.8 |
| Commercial real estate, domestic | 5.6 | 8.9 |
| Credit cards | 13.7 | 13.4 |
| Other consumer 3 | 2.7 | 3.5 |
| Other loans 4 | 2.1 | 1.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,289.4 | 1,319.5 | 1,401.6 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 31.4 | 1.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 57.0 | |
| Realized losses/gains on securities (AFS/HTM) | 0.5 | |
| Trading and counterparty losses 4 | 15.8 | |
| Other losses/gains 5 | 7.1 | |
| equals | ||
| Net income before taxes | -49.1 | -2.3 |
| Memo items | ||
| Other comprehensive income 6 | -1.8 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -1.7 | -3.5 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.3.B. Bank of America Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.1 | 11.1 | 8.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.6 | 8.5 |
| Tier 1 risk-based capital ratio (%) | 12.3 | 10.3 | 8.8 |
| Total risk-based capital ratio (%) | 15.4 | 12.5 | 11.4 |
| Tier 1 leverage ratio (%) | 7.8 | 6.6 | 5.7 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 40.0 | 4.2 |
| First-lien mortgages, domestic | 8.9 | 3.4 |
| Junior liens and HELOCs, domestic | 7.2 | 7.3 |
| Commercial and industrial 2 | 5.3 | 2.4 |
| Commercial real estate, domestic | 3.6 | 5.6 |
| Credit cards | 11.2 | 10.9 |
| Other consumer 3 | 2.2 | 2.9 |
| Other loans 4 | 1.5 | 1.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,289.4 | 1,371.7 | 1,436.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 56.2 | 2.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 36.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.6 | |
| Trading and counterparty losses 4 | 8.0 | |
| Other losses/gains 5 | 6.0 | |
| equals | ||
| Net income before taxes | 5.4 | 0.2 |
| Memo items | ||
| Other comprehensive income 6 | -20.2 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -6.4 | -10.8 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.4.A. The Bank of New York Mellon Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.1 | 16.1 | 13.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 15.0 | 13.8 |
| Tier 1 risk-based capital ratio (%) | 15.8 | 16.1 | 14.7 |
| Total risk-based capital ratio (%) | 16.8 | 16.3 | 15.3 |
| Tier 1 leverage ratio (%) | 5.6 | 6.6 | 5.3 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 0.8 | 1.6 |
| First-lien mortgages, domestic | 0.1 | 2.3 |
| Junior liens and HELOCs, domestic | 0.0 | 11.7 |
| Commercial and industrial 2 | 0.1 | 5.1 |
| Commercial real estate, domestic | 0.1 | 8.6 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 0.5 |
| Other loans 4 | 0.4 | 1.0 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
114.4 | 118.0 | 138.5 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 8.3 | 2.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 0.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.2 | |
| Trading and counterparty losses 4 | 1.3 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 6.0 | 1.6 |
| Memo items | ||
| Other comprehensive income 6 | -0.1 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.3 | -0.6 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.4.B. The Bank of New York Mellon Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.1 | 17.6 | 13.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 15.1 | 13.3 |
| Tier 1 risk-based capital ratio (%) | 15.8 | 16.1 | 14.3 |
| Total risk-based capital ratio (%) | 16.8 | 16.3 | 14.7 |
| Tier 1 leverage ratio (%) | 5.6 | 6.6 | 5.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 0.6 | 1.1 |
| First-lien mortgages, domestic | 0.1 | 1.0 |
| Junior liens and HELOCs, domestic | 0.0 | 9.0 |
| Commercial and industrial 2 | 0.1 | 4.4 |
| Commercial real estate, domestic | 0.1 | 5.5 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 0.6 |
| Other loans 4 | 0.3 | 0.7 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
114.4 | 122.8 | 143.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 11.3 | 2.9 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 0.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.2 | |
| Trading and counterparty losses 4 | 0.6 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 10.0 | 2.6 |
| Memo items | ||
| Other comprehensive income 6 | -4.4 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -1.4 | -2.3 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.5.A. BB&T Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.4 | 8.4 | 8.4 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.1 | 8.1 |
| Tier 1 risk-based capital ratio (%) | 11.3 | 9.8 | 9.8 |
| Total risk-based capital ratio (%) | 13.9 | 11.6 | 11.6 |
| Tier 1 leverage ratio (%) | 9.0 | 8.0 | 8.0 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 5.2 | 4.5 |
| First-lien mortgages, domestic | 0.8 | 2.4 |
| Junior liens and HELOCs, domestic | 0.3 | 4.8 |
| Commercial and industrial 2 | 0.7 | 4.4 |
| Commercial real estate, domestic | 1.9 | 6.2 |
| Credit cards | 0.3 | 15.2 |
| Other consumer 3 | 0.9 | 6.3 |
| Other loans 4 | 0.2 | 2.0 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
138.3 | 139.9 | 147.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 7.0 | 3.8 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.5 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 1.4 | 0.8 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.5.B. BB&T Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.4 | 10.2 | 9.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.9 | 9.3 |
| Tier 1 risk-based capital ratio (%) | 11.3 | 11.6 | 11.0 |
| Total risk-based capital ratio (%) | 13.9 | 13.2 | 13.0 |
| Tier 1 leverage ratio (%) | 9.0 | 9.3 | 8.7 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.7 | 3.1 |
| First-lien mortgages, domestic | 0.5 | 1.6 |
| Junior liens and HELOCs, domestic | 0.2 | 3.6 |
| Commercial and industrial 2 | 0.5 | 3.1 |
| Commercial real estate, domestic | 1.3 | 4.2 |
| Credit cards | 0.2 | 12.3 |
| Other consumer 3 | 0.7 | 4.9 |
| Other loans 4 | 0.2 | 1.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
138.3 | 144.3 | 151.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 9.6 | 5.1 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.2 | |
| equals | ||
| Net income before taxes | 6.0 | 3.2 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.6.A. BBVA Compass Bancshares, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.6 | 8.5 | 8.5 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.6 | 8.6 |
| Tier 1 risk-based capital ratio (%) | 11.8 | 8.6 | 8.6 |
| Total risk-based capital ratio (%) | 14.1 | 10.6 | 10.6 |
| Tier 1 leverage ratio (%) | 10.2 | 7.5 | 7.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.6 | 5.2 |
| First-lien mortgages, domestic | 0.3 | 2.2 |
| Junior liens and HELOCs, domestic | 0.2 | 9.1 |
| Commercial and industrial 2 | 0.6 | 4.2 |
| Commercial real estate, domestic | 1.1 | 10.3 |
| Credit cards | 0.1 | 18.9 |
| Other consumer 3 | 0.1 | 4.9 |
| Other loans 4 | 0.1 | 2.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
55.2 | 55.6 | 58.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.2 | 1.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | -1.8 | -2.5 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.6.B. BBVA Compass Bancshares, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.6 | 11.4 | 11.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.1 | 10.8 |
| Tier 1 risk-based capital ratio (%) | 11.8 | 11.1 | 10.9 |
| Total risk-based capital ratio (%) | 14.1 | 12.8 | 12.8 |
| Tier 1 leverage ratio (%) | 10.2 | 9.5 | 9.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.8 | 3.6 |
| First-lien mortgages, domestic | 0.2 | 1.4 |
| Junior liens and HELOCs, domestic | 0.2 | 7.5 |
| Commercial and industrial 2 | 0.4 | 2.8 |
| Commercial real estate, domestic | 0.7 | 6.7 |
| Credit cards | 0.1 | 15.0 |
| Other consumer 3 | 0.1 | 4.0 |
| Other loans 4 | 0.1 | 1.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
55.2 | 57.4 | 59.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.0 | 2.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.7 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 0.2 | 0.3 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.7.A. BMO Financial Corp.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.8 | 7.6 | 7.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.9 | 8.9 |
| Tier 1 risk-based capital ratio (%) | 10.8 | 8.9 | 8.5 |
| Total risk-based capital ratio (%) | 15.2 | 12.5 | 12.4 |
| Tier 1 leverage ratio (%) | 7.9 | 6.5 | 6.0 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.3 | 6.1 |
| First-lien mortgages, domestic | 0.6 | 6.7 |
| Junior liens and HELOCs, domestic | 0.4 | 7.2 |
| Commercial and industrial 2 | 0.8 | 5.1 |
| Commercial real estate, domestic | 0.8 | 9.7 |
| Credit cards | 0.1 | 15.2 |
| Other consumer 3 | 0.2 | 2.7 |
| Other loans 4 | 0.5 | 5.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
75.1 | 76.1 | 81.1 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.5 | 1.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.5 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.2 | |
| equals | ||
| Net income before taxes | -2.1 | -1.8 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.7.B. BMO Financial Corp.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.8 | 10.4 | 9.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.3 | 11.1 |
| Tier 1 risk-based capital ratio (%) | 10.8 | 11.3 | 9.9 |
| Total risk-based capital ratio (%) | 15.2 | 14.4 | 13.8 |
| Tier 1 leverage ratio (%) | 7.9 | 8.2 | 6.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.4 | 4.4 |
| First-lien mortgages, domestic | 0.4 | 4.5 |
| Junior liens and HELOCs, domestic | 0.4 | 6.4 |
| Commercial and industrial 2 | 0.5 | 3.5 |
| Commercial real estate, domestic | 0.6 | 6.8 |
| Credit cards | 0.1 | 12.2 |
| Other consumer 3 | 0.2 | 2.2 |
| Other loans 4 | 0.3 | 3.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
75.1 | 78.3 | 82.8 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.4 | 2.1 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.2 | |
| equals | ||
| Net income before taxes | 0.0 | 0.0 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.8.A. Capital One Financial Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.7 | 7.8 | 7.8 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.0 | 8.0 |
| Tier 1 risk-based capital ratio (%) | 13.1 | 8.4 | 8.4 |
| Total risk-based capital ratio (%) | 15.3 | 10.1 | 10.1 |
| Tier 1 leverage ratio (%) | 10.1 | 6.7 | 6.7 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 22.8 | 11.8 |
| First-lien mortgages, domestic | 1.4 | 3.9 |
| Junior liens and HELOCs, domestic | 0.2 | 10.0 |
| Commercial and industrial 2 | 1.4 | 7.6 |
| Commercial real estate, domestic | 1.3 | 6.4 |
| Credit cards | 15.0 | 20.5 |
| Other consumer 3 | 3.1 | 9.7 |
| Other loans 4 | 0.4 | 3.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
215.8 | 213.8 | 241.0 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 21.2 | 7.1 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 26.9 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.2 | |
| equals | ||
| Net income before taxes | -6.0 | -2.0 |
| Memo items | ||
| Other comprehensive income 6 | -0.6 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.3 | -0.6 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.8.B. Capital One Financial Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.7 | 12.2 | 11.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.7 | 10.0 |
| Tier 1 risk-based capital ratio (%) | 13.1 | 11.0 | 10.3 |
| Total risk-based capital ratio (%) | 15.3 | 12.8 | 12.2 |
| Tier 1 leverage ratio (%) | 10.1 | 8.7 | 8.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 18.0 | 9.3 |
| First-lien mortgages, domestic | 0.5 | 1.4 |
| Junior liens and HELOCs, domestic | 0.2 | 8.2 |
| Commercial and industrial 2 | 1.0 | 5.4 |
| Commercial real estate, domestic | 0.9 | 4.3 |
| Credit cards | 12.7 | 17.1 |
| Other consumer 3 | 2.5 | 7.9 |
| Other loans 4 | 0.2 | 2.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
215.8 | 224.6 | 247.0 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 25.3 | 8.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 20.7 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 4.5 | 1.5 |
| Memo items | ||
| Other comprehensive income 6 | -2.7 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.9 | -1.4 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.9.A. Citigroup Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.7 | 7.2 | 7.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.3 | 9.3 |
| Tier 1 risk-based capital ratio (%) | 13.6 | 9.3 | 9.3 |
| Total risk-based capital ratio (%) | 16.7 | 11.9 | 11.9 |
| Tier 1 leverage ratio (%) | 8.1 | 5.7 | 5.7 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 55.5 | 8.4 |
| First-lien mortgages, domestic | 6.8 | 7.2 |
| Junior liens and HELOCs, domestic | 4.6 | 13.5 |
| Commercial and industrial 2 | 7.5 | 4.9 |
| Commercial real estate, domestic | 1.1 | 10.5 |
| Credit cards | 24.8 | 17.0 |
| Other consumer 3 | 6.1 | 14.0 |
| Other loans 4 | 4.7 | 2.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,069.0 | 1,100.2 | 1,180.9 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 32.5 | 1.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 55.7 | |
| Realized losses/gains on securities (AFS/HTM) | 1.3 | |
| Trading and counterparty losses 4 | 16.1 | |
| Other losses/gains 5 | 5.2 | |
| equals | ||
| Net income before taxes | -45.7 | -2.4 |
| Memo items | ||
| Other comprehensive income 6 | -0.6 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -4.2 | -7.7 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.9.B. Citigroup Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.7 | 10.6 | 9.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.7 | 11.1 |
| Tier 1 risk-based capital ratio (%) | 13.6 | 11.7 | 11.1 |
| Total risk-based capital ratio (%) | 16.7 | 14.2 | 13.7 |
| Tier 1 leverage ratio (%) | 8.1 | 7.0 | 6.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 43.4 | 6.5 |
| First-lien mortgages, domestic | 4.8 | 5.0 |
| Junior liens and HELOCs, domestic | 3.4 | 9.8 |
| Commercial and industrial 2 | 5.4 | 3.6 |
| Commercial real estate, domestic | 0.7 | 6.5 |
| Credit cards | 20.6 | 14.0 |
| Other consumer 3 | 5.4 | 12.3 |
| Other loans 4 | 3.2 | 1.7 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,069.0 | 1,134.1 | 1,204.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 46.0 | 2.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 39.4 | |
| Realized losses/gains on securities (AFS/HTM) | 1.5 | |
| Trading and counterparty losses 4 | 9.5 | |
| Other losses/gains 5 | 5.4 | |
| equals | ||
| Net income before taxes | -9.8 | -0.5 |
| Memo items | ||
| Other comprehensive income 6 | -12.9 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -7.2 | -12.7 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.10.A. Comerica Incorporated
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.7 | 8.6 | 8.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.4 | 8.4 |
| Tier 1 risk-based capital ratio (%) | 10.7 | 8.4 | 8.4 |
| Total risk-based capital ratio (%) | 13.4 | 10.2 | 10.2 |
| Tier 1 leverage ratio (%) | 10.9 | 8.6 | 8.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.1 | 4.7 |
| First-lien mortgages, domestic | 0.1 | 4.3 |
| Junior liens and HELOCs, domestic | 0.1 | 5.8 |
| Commercial and industrial 2 | 0.8 | 3.0 |
| Commercial real estate, domestic | 0.8 | 7.5 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 8.4 |
| Other loans 4 | 0.3 | 7.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
64.0 | 65.2 | 67.6 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.1 | 1.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -1.2 | -1.7 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.10.B. Comerica Incorporated
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.7 | 10.5 | 10.3 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.2 | 10.0 |
| Tier 1 risk-based capital ratio (%) | 10.7 | 10.2 | 10.0 |
| Total risk-based capital ratio (%) | 13.4 | 11.5 | 11.5 |
| Tier 1 leverage ratio (%) | 10.9 | 10.2 | 10.2 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.3 | 3.0 |
| First-lien mortgages, domestic | 0.0 | 2.5 |
| Junior liens and HELOCs, domestic | 0.1 | 4.4 |
| Commercial and industrial 2 | 0.5 | 1.9 |
| Commercial real estate, domestic | 0.5 | 4.8 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 7.2 |
| Other loans 4 | 0.2 | 4.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
64.0 | 67.1 | 69.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.9 | 2.8 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 0.7 | 1.0 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.11.A. Discover Financial Services
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.7 | 13.7 | 13.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 13.1 | 12.5 |
| Tier 1 risk-based capital ratio (%) | 15.6 | 13.9 | 13.3 |
| Total risk-based capital ratio (%) | 17.9 | 15.7 | 15.2 |
| Tier 1 leverage ratio (%) | 13.7 | 12.1 | 11.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 9.5 | 15.2 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 14.9 |
| Commercial and industrial 2 | 0.0 | 13.2 |
| Commercial real estate, domestic | 0.0 | 35.4 |
| Credit cards | 8.3 | 16.4 |
| Other consumer 3 | 1.2 | 10.2 |
| Other loans 4 | 0.0 | 4.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
65.7 | 64.9 | 68.8 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 12.0 | 15.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 11.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 0.6 | 0.7 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.11.B. Discover Financial Services
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.7 | 16.0 | 13.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 15.4 | 14.2 |
| Tier 1 risk-based capital ratio (%) | 15.6 | 16.2 | 14.7 |
| Total risk-based capital ratio (%) | 17.9 | 17.9 | 16.9 |
| Tier 1 leverage ratio (%) | 13.7 | 13.8 | 12.8 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 8.1 | 12.8 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 9.2 |
| Commercial and industrial 2 | 0.0 | 10.2 |
| Commercial real estate, domestic | 0.0 | 34.8 |
| Credit cards | 7.0 | 13.8 |
| Other consumer 3 | 1.1 | 9.1 |
| Other loans 4 | 0.0 | 2.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
65.7 | 66.6 | 70.0 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 12.9 | 16.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 9.7 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 3.2 | 4.1 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.12.A. Fifth Third Bancorp
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.9 | 8.4 | 8.4 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.9 | 7.9 |
| Tier 1 risk-based capital ratio (%) | 11.1 | 8.7 | 8.7 |
| Total risk-based capital ratio (%) | 14.3 | 11.8 | 11.8 |
| Tier 1 leverage ratio (%) | 10.6 | 8.5 | 8.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 4.8 | 5.5 |
| First-lien mortgages, domestic | 0.7 | 5.2 |
| Junior liens and HELOCs, domestic | 0.7 | 7.4 |
| Commercial and industrial 2 | 1.6 | 4.9 |
| Commercial real estate, domestic | 0.9 | 9.4 |
| Credit cards | 0.4 | 18.9 |
| Other consumer 3 | 0.3 | 2.6 |
| Other loans 4 | 0.3 | 3.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
114.5 | 116.2 | 122.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.7 | 3.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 4.5 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 0.1 | 0.1 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.12.B. Fifth Third Bancorp
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.9 | 10.1 | 9.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.6 | 9.1 |
| Tier 1 risk-based capital ratio (%) | 11.1 | 10.5 | 10.0 |
| Total risk-based capital ratio (%) | 14.3 | 12.9 | 12.7 |
| Tier 1 leverage ratio (%) | 10.6 | 10.0 | 9.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.6 | 4.0 |
| First-lien mortgages, domestic | 0.5 | 4.3 |
| Junior liens and HELOCs, domestic | 0.6 | 6.2 |
| Commercial and industrial 2 | 1.1 | 3.2 |
| Commercial real estate, domestic | 0.6 | 6.3 |
| Credit cards | 0.3 | 15.0 |
| Other consumer 3 | 0.3 | 2.1 |
| Other loans 4 | 0.2 | 2.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
114.5 | 119.3 | 125.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 6.4 | 4.9 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 3.5 | 2.7 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.13.A. The Goldman Sachs Group, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.2 | 9.2 | 6.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.5 | 6.6 |
| Tier 1 risk-based capital ratio (%) | 16.3 | 8.4 | 7.3 |
| Total risk-based capital ratio (%) | 19.4 | 10.8 | 9.5 |
| Tier 1 leverage ratio (%) | 7.9 | 5.3 | 4.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.6 | 3.1 |
| First-lien mortgages, domestic | 0.0 | 7.5 |
| Junior liens and HELOCs, domestic | 0.0 | 10.9 |
| Commercial and industrial 2 | 0.5 | 9.5 |
| Commercial real estate, domestic | 0.3 | 10.0 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 3.3 |
| Other loans 4 | 0.8 | 1.8 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
436.7 | 456.1 | 595.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.9 | 0.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 19.8 | |
| Other losses/gains 5 | 6.0 | |
| equals | ||
| Net income before taxes | -23.0 | -2.5 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.1 | -0.2 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.13.B. The Goldman Sachs Group, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.2 | 10.4 | 9.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.3 | 8.2 |
| Tier 1 risk-based capital ratio (%) | 16.3 | 9.4 | 9.1 |
| Total risk-based capital ratio (%) | 19.4 | 11.7 | 11.5 |
| Tier 1 leverage ratio (%) | 7.9 | 5.7 | 5.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.1 | 2.1 |
| First-lien mortgages, domestic | 0.0 | 2.5 |
| Junior liens and HELOCs, domestic | 0.0 | 8.5 |
| Commercial and industrial 2 | 0.4 | 6.1 |
| Commercial real estate, domestic | 0.2 | 6.3 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 2.9 |
| Other loans 4 | 0.6 | 1.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
436.7 | 456.4 | 597.6 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.7 | 0.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 13.8 | |
| Other losses/gains 5 | 4.9 | |
| equals | ||
| Net income before taxes | -15.4 | -1.6 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.1 | -0.2 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.14.A. HSBC North America Holdings Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.7 | 6.6 | 6.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.4 | 9.4 |
| Tier 1 risk-based capital ratio (%) | 17.1 | 9.4 | 9.4 |
| Total risk-based capital ratio (%) | 26.5 | 18.2 | 18.2 |
| Tier 1 leverage ratio (%) | 7.8 | 4.4 | 4.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 10.0 | 10.8 |
| First-lien mortgages, domestic | 6.8 | 16.7 |
| Junior liens and HELOCs, domestic | 1.0 | 18.3 |
| Commercial and industrial 2 | 0.7 | 2.8 |
| Commercial real estate, domestic | 1.1 | 12.6 |
| Credit cards | 0.1 | 16.4 |
| Other consumer 3 | 0.1 | 10.8 |
| Other loans 4 | 0.3 | 2.2 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
153.4 | 154.4 | 164.8 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | -1.1 | -0.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 8.5 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 1.1 | |
| equals | ||
| Net income before taxes | -10.7 | -3.4 |
| Memo items | ||
| Other comprehensive income 6 | 0.9 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.1 | 0.1 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.14.B. HSBC North America Holdings Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 14.7 | 11.1 | 11.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.7 | 11.6 |
| Tier 1 risk-based capital ratio (%) | 17.1 | 12.2 | 12.2 |
| Total risk-based capital ratio (%) | 26.5 | 20.7 | 20.7 |
| Tier 1 leverage ratio (%) | 7.8 | 5.6 | 5.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 7.7 | 8.2 |
| First-lien mortgages, domestic | 5.4 | 13.2 |
| Junior liens and HELOCs, domestic | 0.8 | 15.5 |
| Commercial and industrial 2 | 0.4 | 1.8 |
| Commercial real estate, domestic | 0.7 | 8.0 |
| Credit cards | 0.1 | 13.5 |
| Other consumer 3 | 0.1 | 9.5 |
| Other loans 4 | 0.2 | 1.4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
153.4 | 160.3 | 169.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.0 | 0.9 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.5 | |
| equals | ||
| Net income before taxes | -3.2 | -1.0 |
| Memo items | ||
| Other comprehensive income 6 | -3.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.9 | -1.5 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.15.A. Huntington Bancshares Incorporated
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.9 | 7.4 | 7.4 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.9 | 7.9 |
| Tier 1 risk-based capital ratio (%) | 12.4 | 8.5 | 8.5 |
| Total risk-based capital ratio (%) | 14.7 | 10.8 | 10.8 |
| Tier 1 leverage ratio (%) | 10.9 | 7.5 | 7.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.1 | 4.9 |
| First-lien mortgages, domestic | 0.3 | 4.0 |
| Junior liens and HELOCs, domestic | 0.4 | 6.0 |
| Commercial and industrial 2 | 0.6 | 4.8 |
| Commercial real estate, domestic | 0.6 | 6.9 |
| Credit cards | 0.0 | 8.1 |
| Other consumer 3 | 0.2 | 3.3 |
| Other loans 4 | 0.0 | 2.4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
48.7 | 49.8 | 52.5 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.5 | 2.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.2 | |
| equals | ||
| Net income before taxes | -1.0 | -1.7 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.15.B. Huntington Bancshares Incorporated
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.9 | 9.9 | 9.5 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.6 | 9.4 |
| Tier 1 risk-based capital ratio (%) | 12.4 | 10.5 | 10.3 |
| Total risk-based capital ratio (%) | 14.7 | 12.7 | 12.7 |
| Tier 1 leverage ratio (%) | 10.9 | 9.2 | 9.2 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.6 | 3.6 |
| First-lien mortgages, domestic | 0.2 | 2.7 |
| Junior liens and HELOCs, domestic | 0.3 | 5.2 |
| Commercial and industrial 2 | 0.4 | 3.5 |
| Commercial real estate, domestic | 0.4 | 4.8 |
| Credit cards | 0.0 | 8.1 |
| Other consumer 3 | 0.2 | 2.6 |
| Other loans 4 | 0.0 | 1.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
48.7 | 51.5 | 53.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.3 | 3.8 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.3 | |
| equals | ||
| Net income before taxes | 0.4 | 0.6 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.16.A. JPMorgan Chase & Co.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.5 | 6.7 | 6.3 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 6.5 | 6.5 |
| Tier 1 risk-based capital ratio (%) | 11.7 | 7.1 | 7.1 |
| Total risk-based capital ratio (%) | 14.3 | 9.3 | 9.3 |
| Tier 1 leverage ratio (%) | 6.9 | 4.6 | 4.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 54.2 | 7.3 |
| First-lien mortgages, domestic | 8.9 | 6.6 |
| Junior liens and HELOCs, domestic | 8.9 | 11.7 |
| Commercial and industrial 2 | 8.8 | 7.0 |
| Commercial real estate, domestic | 5.0 | 6.7 |
| Credit cards | 14.4 | 12.7 |
| Other consumer 3 | 2.4 | 4.4 |
| Other loans 4 | 5.8 | 3.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,374.0 | 1,457.8 | 1,574.1 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 48.8 | 1.9 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 59.1 | |
| Realized losses/gains on securities (AFS/HTM) | 1.3 | |
| Trading and counterparty losses 4 | 24.2 | |
| Other losses/gains 5 | 1.8 | |
| equals | ||
| Net income before taxes | -37.6 | -1.5 |
| Memo items | ||
| Other comprehensive income 6 | -6.6 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -1.6 | -2.5 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.16.B. JPMorgan Chase & Co.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.5 | 9.5 | 8.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.4 | 7.8 |
| Tier 1 risk-based capital ratio (%) | 11.7 | 9.2 | 8.5 |
| Total risk-based capital ratio (%) | 14.3 | 11.1 | 10.8 |
| Tier 1 leverage ratio (%) | 6.9 | 5.8 | 5.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 37.6 | 5.1 |
| First-lien mortgages, domestic | 4.6 | 3.4 |
| Junior liens and HELOCs, domestic | 6.3 | 8.2 |
| Commercial and industrial 2 | 6.1 | 4.8 |
| Commercial real estate, domestic | 3.1 | 4.1 |
| Credit cards | 11.8 | 10.3 |
| Other consumer 3 | 2.0 | 3.7 |
| Other loans 4 | 3.7 | 2.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,374.0 | 1,499.4 | 1,606.9 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 68.1 | 2.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 36.5 | |
| Realized losses/gains on securities (AFS/HTM) | 1.5 | |
| Trading and counterparty losses 4 | 12.7 | |
| Other losses/gains 5 | 1.9 | |
| equals | ||
| Net income before taxes | 15.6 | 0.6 |
| Memo items | ||
| Other comprehensive income 6 | -19.9 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -5.2 | -7.8 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.17.A. KeyCorp
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.2 | 9.3 | 9.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.3 | 9.3 |
| Tier 1 risk-based capital ratio (%) | 11.9 | 9.6 | 9.6 |
| Total risk-based capital ratio (%) | 14.4 | 11.9 | 11.9 |
| Tier 1 leverage ratio (%) | 11.3 | 9.2 | 9.2 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.9 | 5.1 |
| First-lien mortgages, domestic | 0.2 | 4.1 |
| Junior liens and HELOCs, domestic | 0.4 | 5.2 |
| Commercial and industrial 2 | 0.7 | 3.8 |
| Commercial real estate, domestic | 0.7 | 8.8 |
| Credit cards | 0.1 | 16.8 |
| Other consumer 3 | 0.4 | 8.8 |
| Other loans 4 | 0.2 | 2.2 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
82.9 | 84.1 | 87.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.5 | 2.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.4 | |
| equals | ||
| Net income before taxes | -1.0 | -1.0 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.17.B. KeyCorp
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.2 | 11.2 | 10.5 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.9 | 10.5 |
| Tier 1 risk-based capital ratio (%) | 11.9 | 11.4 | 10.9 |
| Total risk-based capital ratio (%) | 14.4 | 13.3 | 13.0 |
| Tier 1 leverage ratio (%) | 11.3 | 10.7 | 10.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.1 | 3.7 |
| First-lien mortgages, domestic | 0.2 | 3.5 |
| Junior liens and HELOCs, domestic | 0.3 | 4.1 |
| Commercial and industrial 2 | 0.5 | 2.4 |
| Commercial real estate, domestic | 0.5 | 5.9 |
| Credit cards | 0.1 | 13.8 |
| Other consumer 3 | 0.4 | 7.5 |
| Other loans 4 | 0.1 | 1.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
82.9 | 86.8 | 89.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.8 | 4.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.3 | |
| equals | ||
| Net income before taxes | 1.4 | 1.5 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.18.A. M&T Bank Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.1 | 6.2 | 6.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 6.7 | 6.7 |
| Tier 1 risk-based capital ratio (%) | 11.9 | 7.9 | 7.9 |
| Total risk-based capital ratio (%) | 15.1 | 11.0 | 11.0 |
| Tier 1 leverage ratio (%) | 10.7 | 7.0 | 7.0 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 4.0 | 5.3 |
| First-lien mortgages, domestic | 0.8 | 3.9 |
| Junior liens and HELOCs, domestic | 0.4 | 7.1 |
| Commercial and industrial 2 | 0.6 | 4.0 |
| Commercial real estate, domestic | 1.8 | 6.9 |
| Credit cards | 0.1 | 16.5 |
| Other consumer 3 | 0.2 | 6.2 |
| Other loans 4 | 0.1 | 2.4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
72.6 | 85.6 | 98.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.9 | 3.9 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 4.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | -0.9 | -0.9 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.18.B. M&T Bank Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.1 | 10.2 | 8.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.3 | 9.0 |
| Tier 1 risk-based capital ratio (%) | 11.9 | 10.5 | 10.1 |
| Total risk-based capital ratio (%) | 15.1 | 13.5 | 13.4 |
| Tier 1 leverage ratio (%) | 10.7 | 9.2 | 9.1 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.9 | 3.9 |
| First-lien mortgages, domestic | 0.6 | 3.0 |
| Junior liens and HELOCs, domestic | 0.4 | 5.9 |
| Commercial and industrial 2 | 0.4 | 2.9 |
| Commercial real estate, domestic | 1.2 | 4.6 |
| Credit cards | 0.0 | 13.5 |
| Other consumer 3 | 0.2 | 4.7 |
| Other loans 4 | 0.1 | 1.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
72.6 | 89.6 | 100.9 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 5.3 | 5.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 1.9 | 1.9 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.19.A. Morgan Stanley
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.6 | 7.6 | 6.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.8 | 7.1 |
| Tier 1 risk-based capital ratio (%) | 15.3 | 7.9 | 7.1 |
| Total risk-based capital ratio (%) | 16.1 | 9.9 | 8.9 |
| Tier 1 leverage ratio (%) | 7.3 | 4.6 | 4.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.7 | 3.0 |
| First-lien mortgages, domestic | 0.1 | 1.0 |
| Junior liens and HELOCs, domestic | 0.0 | 11.1 |
| Commercial and industrial 2 | 0.8 | 8.9 |
| Commercial real estate, domestic | 0.2 | 9.4 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.1 | 0.6 |
| Other loans 4 | 0.5 | 2.0 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
385.7 | 409.8 | 495.1 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 0.4 | 0.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 13.3 | |
| Other losses/gains 5 | 2.1 | |
| equals | ||
| Net income before taxes | -17.3 | -2.0 |
| Memo items | ||
| Other comprehensive income 6 | -0.2 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.3 | -0.5 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.19.B. Morgan Stanley
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 12.6 | 9.4 | 8.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.6 | 8.4 |
| Tier 1 risk-based capital ratio (%) | 15.3 | 9.0 | 8.7 |
| Total risk-based capital ratio (%) | 16.1 | 10.9 | 10.6 |
| Tier 1 leverage ratio (%) | 7.3 | 5.0 | 4.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.2 | 2.1 |
| First-lien mortgages, domestic | 0.0 | 0.5 |
| Junior liens and HELOCs, domestic | 0.0 | 8.3 |
| Commercial and industrial 2 | 0.6 | 6.4 |
| Commercial real estate, domestic | 0.1 | 6.1 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.1 | 0.6 |
| Other loans 4 | 0.4 | 1.4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
385.7 | 410.3 | 496.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.5 | 0.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.5 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 8.6 | |
| Other losses/gains 5 | 2.2 | |
| equals | ||
| Net income before taxes | -10.7 | -1.2 |
| Memo items | ||
| Other comprehensive income 6 | -2.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.7 | -1.2 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.20.A. Northern Trust Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 13.1 | 11.7 | 11.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.6 | 10.6 |
| Tier 1 risk-based capital ratio (%) | 13.6 | 10.7 | 10.7 |
| Total risk-based capital ratio (%) | 14.9 | 13.7 | 13.7 |
| Tier 1 leverage ratio (%) | 8.3 | 7.1 | 7.1 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.4 | 8.2 |
| First-lien mortgages, domestic | 0.4 | 4.7 |
| Junior liens and HELOCs, domestic | 0.4 | 17.5 |
| Commercial and industrial 2 | 0.5 | 8.1 |
| Commercial real estate, domestic | 0.4 | 11.3 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 17.9 |
| Other loans 4 | 0.7 | 7.8 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
57.8 | 59.0 | 65.0 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.7 | 2.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.0 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -0.4 | -0.4 |
| Memo items | ||
| Other comprehensive income 6 | 0.3 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.0 | -0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.20.B. Northern Trust Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 13.1 | 13.1 | 12.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.5 | 11.1 |
| Tier 1 risk-based capital ratio (%) | 13.6 | 11.6 | 11.2 |
| Total risk-based capital ratio (%) | 14.9 | 14.2 | 14.0 |
| Tier 1 leverage ratio (%) | 8.3 | 7.6 | 7.4 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.7 | 5.7 |
| First-lien mortgages, domestic | 0.2 | 3.0 |
| Junior liens and HELOCs, domestic | 0.3 | 13.8 |
| Commercial and industrial 2 | 0.3 | 5.5 |
| Commercial real estate, domestic | 0.3 | 7.5 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 15.9 |
| Other loans 4 | 0.5 | 5.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
57.8 | 61.0 | 66.8 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.3 | 3.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.0 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 1.3 | 1.3 |
| Memo items | ||
| Other comprehensive income 6 | -0.5 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.2 | -0.3 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.21.A. The PNC Financial Services Group, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.3 | 9.0 | 9.0 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.5 | 7.5 |
| Tier 1 risk-based capital ratio (%) | 12.2 | 9.1 | 9.1 |
| Total risk-based capital ratio (%) | 15.6 | 11.8 | 11.8 |
| Tier 1 leverage ratio (%) | 11.1 | 8.8 | 8.8 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 10.1 | 5.2 |
| First-lien mortgages, domestic | 0.6 | 2.3 |
| Junior liens and HELOCs, domestic | 1.3 | 4.9 |
| Commercial and industrial 2 | 3.4 | 5.7 |
| Commercial real estate, domestic | 3.1 | 10.1 |
| Credit cards | 0.5 | 14.3 |
| Other consumer 3 | 0.8 | 3.6 |
| Other loans 4 | 0.4 | 1.7 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
266.7 | 270.1 | 296.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 10.8 | 3.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 11.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.3 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.4 | |
| equals | ||
| Net income before taxes | -1.1 | -0.3 |
| Memo items | ||
| Other comprehensive income 6 | -1.5 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.3 | -0.6 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.21.B. The PNC Financial Services Group, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.3 | 10.9 | 10.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.4 | 8.7 |
| Tier 1 risk-based capital ratio (%) | 12.2 | 10.9 | 10.2 |
| Total risk-based capital ratio (%) | 15.6 | 13.4 | 13.1 |
| Tier 1 leverage ratio (%) | 11.1 | 10.4 | 9.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 6.9 | 3.6 |
| First-lien mortgages, domestic | 0.4 | 1.5 |
| Junior liens and HELOCs, domestic | 0.9 | 3.3 |
| Commercial and industrial 2 | 2.2 | 3.8 |
| Commercial real estate, domestic | 2.0 | 6.6 |
| Credit cards | 0.4 | 11.6 |
| Other consumer 3 | 0.7 | 3.0 |
| Other loans 4 | 0.3 | 1.1 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
266.7 | 278.6 | 304.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 15.3 | 4.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 6.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.2 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.3 | |
| equals | ||
| Net income before taxes | 8.2 | 2.5 |
| Memo items | ||
| Other comprehensive income 6 | -3.5 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.8 | -1.4 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.22.A. RBS Citizens Financial Group, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 13.9 | 10.7 | 10.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.7 | 10.7 |
| Tier 1 risk-based capital ratio (%) | 14.0 | 10.9 | 10.9 |
| Total risk-based capital ratio (%) | 16.3 | 13.5 | 13.5 |
| Tier 1 leverage ratio (%) | 12.1 | 9.5 | 9.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 4.9 | 5.8 |
| First-lien mortgages, domestic | 0.4 | 3.3 |
| Junior liens and HELOCs, domestic | 2.0 | 9.9 |
| Commercial and industrial 2 | 0.9 | 3.9 |
| Commercial real estate, domestic | 0.9 | 8.4 |
| Credit cards | 0.2 | 16.0 |
| Other consumer 3 | 0.4 | 3.1 |
| Other loans 4 | 0.1 | 2.4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
96.7 | 96.0 | 101.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.2 | 2.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.7 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.2 | |
| equals | ||
| Net income before taxes | -2.6 | -2.1 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.22.B. RBS Citizens Financial Group, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 13.9 | 13.4 | 13.0 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 12.8 | 12.5 |
| Tier 1 risk-based capital ratio (%) | 14.0 | 12.9 | 12.6 |
| Total risk-based capital ratio (%) | 16.3 | 15.4 | 15.2 |
| Tier 1 leverage ratio (%) | 12.1 | 11.2 | 11.0 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.7 | 4.3 |
| First-lien mortgages, domestic | 0.3 | 2.4 |
| Junior liens and HELOCs, domestic | 1.6 | 8.1 |
| Commercial and industrial 2 | 0.6 | 2.6 |
| Commercial real estate, domestic | 0.6 | 5.6 |
| Credit cards | 0.2 | 13.4 |
| Other consumer 3 | 0.3 | 2.6 |
| Other loans 4 | 0.1 | 1.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
96.7 | 99.4 | 104.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 5.0 | 4.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 4.0 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 0.8 | 0.7 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.23.A. Regions Financial Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.0 | 9.0 | 8.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.3 | 9.3 |
| Tier 1 risk-based capital ratio (%) | 11.5 | 9.5 | 9.5 |
| Total risk-based capital ratio (%) | 14.5 | 12.0 | 12.0 |
| Tier 1 leverage ratio (%) | 9.9 | 8.2 | 8.1 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 5.2 | 6.9 |
| First-lien mortgages, domestic | 0.9 | 6.4 |
| Junior liens and HELOCs, domestic | 0.8 | 8.0 |
| Commercial and industrial 2 | 1.0 | 4.9 |
| Commercial real estate, domestic | 1.9 | 11.2 |
| Credit cards | 0.2 | 16.9 |
| Other consumer 3 | 0.2 | 6.2 |
| Other loans 4 | 0.3 | 2.6 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
96.5 | 97.3 | 101.6 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.3 | 3.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | -1.4 | -1.2 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.23.B. Regions Financial Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.0 | 11.7 | 10.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.5 | 10.8 |
| Tier 1 risk-based capital ratio (%) | 11.5 | 11.8 | 11.2 |
| Total risk-based capital ratio (%) | 14.5 | 14.3 | 13.8 |
| Tier 1 leverage ratio (%) | 9.9 | 10.1 | 9.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.8 | 4.9 |
| First-lien mortgages, domestic | 0.7 | 4.5 |
| Junior liens and HELOCs, domestic | 0.6 | 6.4 |
| Commercial and industrial 2 | 0.7 | 3.3 |
| Commercial real estate, domestic | 1.3 | 7.6 |
| Credit cards | 0.1 | 13.5 |
| Other consumer 3 | 0.2 | 5.1 |
| Other loans 4 | 0.2 | 1.8 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
96.5 | 101.1 | 104.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 6.0 | 4.9 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 2.4 | 1.9 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.24.A. Santander Holdings USA, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 13.7 | 7.3 | 7.3 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 6.7 | 6.7 |
| Tier 1 risk-based capital ratio (%) | 14.4 | 10.0 | 8.9 |
| Total risk-based capital ratio (%) | 16.5 | 12.8 | 11.2 |
| Tier 1 leverage ratio (%) | 12.4 | 8.9 | 7.8 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 6.4 | 8.7 |
| First-lien mortgages, domestic | 0.4 | 4.3 |
| Junior liens and HELOCs, domestic | 0.3 | 4.8 |
| Commercial and industrial 2 | 0.5 | 3.9 |
| Commercial real estate, domestic | 1.7 | 9.5 |
| Credit cards | 0.0 | 16.4 |
| Other consumer 3 | 3.4 | 13.3 |
| Other loans 4 | 0.1 | 4.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
63.2 | 88.5 | 91.8 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 5.6 | 5.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 8.0 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -2.4 | -2.4 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.24.B. Santander Holdings USA, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 13.7 | 9.5 | 8.5 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.6 | 8.1 |
| Tier 1 risk-based capital ratio (%) | 14.4 | 11.9 | 9.9 |
| Total risk-based capital ratio (%) | 16.5 | 14.7 | 11.8 |
| Tier 1 leverage ratio (%) | 12.4 | 10.5 | 8.9 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 4.9 | 6.5 |
| First-lien mortgages, domestic | 0.3 | 3.1 |
| Junior liens and HELOCs, domestic | 0.2 | 3.6 |
| Commercial and industrial 2 | 0.3 | 2.7 |
| Commercial real estate, domestic | 1.1 | 6.3 |
| Credit cards | 0.0 | 13.4 |
| Other consumer 3 | 2.8 | 10.9 |
| Other loans 4 | 0.0 | 2.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
63.2 | 91.6 | 94.7 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 6.7 | 6.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.9 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 0.8 | 0.8 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.25.A. State Street Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 15.5 | 14.7 | 13.3 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.9 | 11.4 |
| Tier 1 risk-based capital ratio (%) | 17.3 | 12.8 | 12.2 |
| Total risk-based capital ratio (%) | 19.8 | 14.8 | 14.3 |
| Tier 1 leverage ratio (%) | 7.2 | 7.0 | 6.3 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 0.5 | 3.1 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 0.0 |
| Commercial and industrial 2 | 0.0 | 6.9 |
| Commercial real estate, domestic | 0.0 | 26.2 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 0.0 |
| Other loans 4 | 0.4 | 2.7 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
80.4 | 83.0 | 111.2 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.8 | 2.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 0.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.4 | |
| Trading and counterparty losses 4 | 1.7 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 2.1 | 0.9 |
| Memo items | ||
| Other comprehensive income 6 | -2.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.5 | -0.8 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.25.B. State Street Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 15.5 | 17.1 | 13.9 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 12.8 | 11.2 |
| Tier 1 risk-based capital ratio (%) | 17.3 | 13.5 | 11.8 |
| Total risk-based capital ratio (%) | 19.8 | 15.4 | 13.7 |
| Tier 1 leverage ratio (%) | 7.2 | 7.3 | 6.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 0.3 | 2.1 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 0.0 |
| Commercial and industrial 2 | 0.0 | 4.2 |
| Commercial real estate, domestic | 0.0 | 16.1 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 0.0 |
| Other loans 4 | 0.3 | 1.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
80.4 | 86.0 | 114.8 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 7.5 | 3.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 0.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.3 | |
| Trading and counterparty losses 4 | 0.9 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 5.9 | 2.6 |
| Memo items | ||
| Other comprehensive income 6 | -4.9 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -1.3 | -2.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.26.A. SunTrust Banks, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.9 | 9.0 | 8.8 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.5 | 8.4 |
| Tier 1 risk-based capital ratio (%) | 11.0 | 9.0 | 8.9 |
| Total risk-based capital ratio (%) | 13.0 | 10.9 | 10.9 |
| Tier 1 leverage ratio (%) | 9.5 | 7.8 | 7.8 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 5.7 | 4.6 |
| First-lien mortgages, domestic | 1.3 | 4.8 |
| Junior liens and HELOCs, domestic | 1.2 | 7.7 |
| Commercial and industrial 2 | 1.6 | 4.7 |
| Commercial real estate, domestic | 0.8 | 5.6 |
| Credit cards | 0.1 | 13.6 |
| Other consumer 3 | 0.5 | 2.7 |
| Other loans 4 | 0.2 | 1.5 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
143.5 | 144.9 | 149.9 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 5.8 | 3.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 6.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.9 | |
| equals | ||
| Net income before taxes | -1.2 | -0.7 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.26.B. SunTrust Banks, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.9 | 11.1 | 9.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.7 | 10.0 |
| Tier 1 risk-based capital ratio (%) | 11.0 | 11.4 | 10.6 |
| Total risk-based capital ratio (%) | 13.0 | 13.2 | 12.6 |
| Tier 1 leverage ratio (%) | 9.5 | 9.8 | 9.2 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 4.1 | 3.3 |
| First-lien mortgages, domestic | 0.9 | 3.2 |
| Junior liens and HELOCs, domestic | 1.0 | 6.5 |
| Commercial and industrial 2 | 1.1 | 3.0 |
| Commercial real estate, domestic | 0.5 | 3.6 |
| Credit cards | 0.1 | 10.7 |
| Other consumer 3 | 0.4 | 2.2 |
| Other loans 4 | 0.1 | 0.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
143.5 | 149.1 | 154.0 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 8.5 | 4.8 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 3.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.5 | |
| equals | ||
| Net income before taxes | 4.2 | 2.4 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.27.A. U.S. Bancorp
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.3 | 8.3 | 8.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.6 | 7.5 |
| Tier 1 risk-based capital ratio (%) | 11.2 | 9.2 | 9.1 |
| Total risk-based capital ratio (%) | 13.3 | 11.1 | 11.0 |
| Tier 1 leverage ratio (%) | 9.6 | 8.1 | 8.1 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 15.6 | 7.0 |
| First-lien mortgages, domestic | 1.3 | 2.5 |
| Junior liens and HELOCs, domestic | 1.0 | 6.3 |
| Commercial and industrial 2 | 4.2 | 8.2 |
| Commercial real estate, domestic | 4.3 | 11.2 |
| Credit cards | 2.8 | 16.2 |
| Other consumer 3 | 1.1 | 4.2 |
| Other loans 4 | 0.9 | 4.3 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
293.2 | 297.1 | 316.1 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 20.6 | 5.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 17.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.4 | |
| equals | ||
| Net income before taxes | 3.1 | 0.8 |
| Memo items | ||
| Other comprehensive income 6 | -0.7 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -0.4 | -0.8 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.27.B. U.S. Bancorp
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 9.3 | 10.5 | 9.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.6 | 8.6 |
| Tier 1 risk-based capital ratio (%) | 11.2 | 11.2 | 10.2 |
| Total risk-based capital ratio (%) | 13.3 | 13.0 | 12.1 |
| Tier 1 leverage ratio (%) | 9.6 | 9.7 | 9.0 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 11.3 | 5.0 |
| First-lien mortgages, domestic | 0.9 | 1.7 |
| Junior liens and HELOCs, domestic | 0.8 | 4.7 |
| Commercial and industrial 2 | 2.9 | 5.8 |
| Commercial real estate, domestic | 2.8 | 7.3 |
| Credit cards | 2.3 | 13.3 |
| Other consumer 3 | 0.9 | 3.3 |
| Other loans 4 | 0.7 | 3.2 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
293.2 | 306.8 | 324.0 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 26.6 | 7.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 11.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.4 | |
| equals | ||
| Net income before taxes | 15.0 | 4.0 |
| Memo items | ||
| Other comprehensive income 6 | -3.1 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -1.1 | -1.8 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.28.A. UnionBanCal Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.1 | 8.1 | 8.1 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 8.2 | 8.2 |
| Tier 1 risk-based capital ratio (%) | 11.2 | 8.2 | 8.2 |
| Total risk-based capital ratio (%) | 13.1 | 10.4 | 10.4 |
| Tier 1 leverage ratio (%) | 10.2 | 7.6 | 7.6 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 3.4 | 5.0 |
| First-lien mortgages, domestic | 0.8 | 3.2 |
| Junior liens and HELOCs, domestic | 0.1 | 3.2 |
| Commercial and industrial 2 | 0.7 | 3.9 |
| Commercial real estate, domestic | 1.5 | 10.1 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 13.2 |
| Other loans 4 | 0.3 | 3.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
90.9 | 92.8 | 97.4 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 0.8 | 0.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 4.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.4 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -3.7 | -3.5 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.28.B. UnionBanCal Corporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 11.1 | 11.6 | 11.4 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 11.3 | 11.1 |
| Tier 1 risk-based capital ratio (%) | 11.2 | 11.3 | 11.1 |
| Total risk-based capital ratio (%) | 13.1 | 13.1 | 13.0 |
| Tier 1 leverage ratio (%) | 10.2 | 10.4 | 10.3 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.0 | 2.9 |
| First-lien mortgages, domestic | 0.4 | 1.4 |
| Junior liens and HELOCs, domestic | 0.1 | 1.7 |
| Commercial and industrial 2 | 0.5 | 2.5 |
| Commercial real estate, domestic | 1.0 | 6.5 |
| Credit cards | 0.0 | 0.0 |
| Other consumer 3 | 0.0 | 11.3 |
| Other loans 4 | 0.2 | 2.4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
90.9 | 95.6 | 99.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.3 | 2.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.4 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -0.3 | -0.3 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.29.A. Wells Fargo & Company
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.6 | 8.2 | 8.2 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.4 | 7.4 |
| Tier 1 risk-based capital ratio (%) | 12.1 | 8.5 | 8.5 |
| Total risk-based capital ratio (%) | 15.1 | 12.0 | 12.0 |
| Tier 1 leverage ratio (%) | 9.8 | 7.0 | 7.0 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 55.1 | 6.8 |
| First-lien mortgages, domestic | 15.7 | 6.7 |
| Junior liens and HELOCs, domestic | 8.5 | 9.8 |
| Commercial and industrial 2 | 9.4 | 6.0 |
| Commercial real estate, domestic | 9.4 | 7.9 |
| Credit cards | 4.2 | 16.4 |
| Other consumer 3 | 5.0 | 5.7 |
| Other loans 4 | 2.9 | 2.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,135.1 | 1,161.6 | 1,211.3 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 50.7 | 3.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 61.6 | |
| Realized losses/gains on securities (AFS/HTM) | 1.2 | |
| Trading and counterparty losses 4 | 5.9 | |
| Other losses/gains 5 | 2.5 | |
| equals | ||
| Net income before taxes | -20.5 | -1.3 |
| Memo items | ||
| Other comprehensive income 6 | -10.6 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -1.6 | -3.3 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.29.B. Wells Fargo & Company
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.6 | 10.7 | 10.0 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 9.4 | 8.8 |
| Tier 1 risk-based capital ratio (%) | 12.1 | 10.6 | 9.9 |
| Total risk-based capital ratio (%) | 15.1 | 14.3 | 13.6 |
| Tier 1 leverage ratio (%) | 9.8 | 8.6 | 8.2 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 36.3 | 4.5 |
| First-lien mortgages, domestic | 7.6 | 3.2 |
| Junior liens and HELOCs, domestic | 6.1 | 7.0 |
| Commercial and industrial 2 | 6.8 | 4.3 |
| Commercial real estate, domestic | 6.2 | 5.2 |
| Credit cards | 3.5 | 13.5 |
| Other consumer 3 | 4.2 | 4.7 |
| Other loans 4 | 1.9 | 1.9 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
1,135.1 | 1,199.3 | 1,246.1 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 71.7 | 4.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 36.9 | |
| Realized losses/gains on securities (AFS/HTM) | 0.9 | |
| Trading and counterparty losses 4 | 3.3 | |
| Other losses/gains 5 | 0.9 | |
| equals | ||
| Net income before taxes | 29.7 | 1.9 |
| Memo items | ||
| Other comprehensive income 6 | -25.5 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -5.8 | -9.3 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.30.A. Zions Bancorporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.5 | 3.6 | 3.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 4.6 | 4.6 |
| Tier 1 risk-based capital ratio (%) | 13.1 | 5.4 | 5.4 |
| Total risk-based capital ratio (%) | 14.8 | 7.2 | 7.2 |
| Tier 1 leverage ratio (%) | 10.6 | 4.5 | 4.5 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 2.5 | 6.6 |
| First-lien mortgages, domestic | 0.0 | 0.8 |
| Junior liens and HELOCs, domestic | 0.1 | 5.0 |
| Commercial and industrial 2 | 0.7 | 6.7 |
| Commercial real estate, domestic | 1.5 | 8.3 |
| Credit cards | 0.0 | 16.2 |
| Other consumer 3 | 0.0 | 10.7 |
| Other loans 4 | 0.1 | 4.8 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
44.5 | 44.8 | 47.6 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 0.2 | 0.4 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.3 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -2.9 | -5.1 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table C.30.B. Zions Bancorporation
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | 10.5 | 7.3 | 7.3 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.5 | 7.5 |
| Tier 1 risk-based capital ratio (%) | 13.1 | 8.9 | 8.9 |
| Total risk-based capital ratio (%) | 14.8 | 10.7 | 10.7 |
| Tier 1 leverage ratio (%) | 10.6 | 7.2 | 7.2 |
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | 1.7 | 4.3 |
| First-lien mortgages, domestic | 0.0 | 0.3 |
| Junior liens and HELOCs, domestic | 0.1 | 3.5 |
| Commercial and industrial 2 | 0.5 | 4.5 |
| Commercial real estate, domestic | 1.0 | 5.4 |
| Credit cards | 0.0 | 13.3 |
| Other consumer 3 | 0.0 | 9.1 |
| Other loans 4 | 0.1 | 3.2 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
44.5 | 46.2 | 48.5 |
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 0.7 | 1.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.3 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -1.1 | -1.9 |
| Memo items | ||
| Other comprehensive income 6 | 0.0 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | 0.0 | 0.0 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
