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
Supervisory Stress Test Results
This section describes the Federal Reserve's projections of losses, revenue, expenses, and capital positions for the 30 BHCs participating in DFAST 2014. The projections presented in this section are based on the adverse and severely adverse scenarios developed by the Federal Reserve.
The results include projections of five post-stress capital ratios for each of the 30 BHCs over the nine-quarter planning horizon spanning the fourth quarter of 2013 to the end of 2015. The first is the ratio of the common equity component of tier 1 capital to RWAs (the tier 1 common ratio), calculated based on the capital rules in effect prior to the revised capital framework. The second is a new ratio defined in the revised capital rules: the ratio of common equity tier 1 capital to RWAs (the common equity tier 1 ratio). The final three ratios are: the ratio of tier 1 capital to RWAs (the tier 1 risk-based capital ratio), the ratio of total regulatory capital to RWAs (the total risk-based capital ratio), and the ratio of tier 1 capital to average assets (the tier 1 leverage ratio). The results also include projections of RWAs and the components of net income before taxes, including revenues, provisions, and losses, as well as components of loan losses.
These results are presented both in the aggregate for the 30 BHCs and for individual BHCs. The aggregate results provide a sense of the stringency of the adverse and severely adverse scenario projections and the sensitivities of losses, revenues, and capital at these BHCs as a group to the stressed economic and financial market conditions contained in those scenarios. The range of results across individual BHCs reflects differences in business focus, asset composition, revenue and expense sources, as well as differences in portfolio risk characteristics. The comprehensive results for individual BHCs are reported in appendix C.
Severely Adverse Scenario
In this Section:
Stressed Regulatory Capital Ratios and Risk-Weighted Assets
The projections suggest significant declines in regulatory capital ratios for nearly all the BHCs under the severely adverse scenario. Overall, the total amount of tier 1 common capital held by the 30 BHCs is estimated to fall more than $283 billion, or about 30 percent, from the third quarter of 2013 to the fourth quarter of 2015 under the severely adverse scenario. As shown in table 2, in the aggregate each of the four capital ratios calculated in the third quarter of 2013 decline over the course of the planning horizon, with year-end 2015 levels ranging from 2.5 percentage points to 4.6 percentage points lower than at the start of the planning horizon. Table 3 presents these ratios for each of the 30 BHCs.
The changes in post-stress regulatory capital ratios vary considerably across BHCs (see figures 9 and 10 and table 3). Overall, post-stress regulatory capital ratios decline from the beginning to the end of the planning horizon for all but two of the BHCs. The post-stress capital ratios incorporate Federal Reserve projections of the levels of total average assets and RWAs over the planning horizon. Declines in regulatory capital ratios in part reflect an increase in RWAs over the planning horizon. In the severely adverse scenario, aggregate RWAs for the 30 BHCs is projected to increase $281 billion, or 3.4 percent, over the planning horizon under the current general approach for RWAs calculations.
Projected Losses
The Federal Reserve's severely adverse scenario projections estimate that the 30 BHCs as a group would experience significant losses under the severely adverse scenario. In this scenario, losses are projected to be $501 billion for the 30 BHCs in the aggregate over the nine quarters of the planning horizon.These losses include $366 billion in accrual loan portfolio losses, $7 billion in OTTI and other realized securities losses, $ 98 billion in trading and/or counterparty losses at the eight BHCs with substantial trading or custodial operations, and $29 billion in additional losses from items such as loans booked under the fair-value option. Table 2 presents these results in the aggregate, while table 5 presents them individually for each of the 30 BHCs.
The biggest sources of loss are accrual loan portfolios and trading and counterparty positions subject to the global market shock and counterparty default component. Together, these account for nearly 93 percent of the projected losses for the 30 BHCs under the severely adverse scenario (figure 11).
Loan Losses
Projected losses on consumer-related lending--
domestic residential mortgages, credit cards, and other consumer loans--represent 63 percent of projected loan losses and 46 percent of total projected losses for the 30 BHCs (see figure 12 and table 6). This is consistent with both the share of these types of loans in the BHCs' loan portfolios--these loans represent about half of the accrual loan portfolio at these firms as of the third quarter of 2013--and with the severely adverse scenario, which features high unemployment rates and significant declines in housing prices. Losses on domestic residential mortgage loans, including both first liens and junior liens/home equity lines of credit (HELOC), is the single largest category of losses, at $106 billion, representing 29 percent of total projected loan losses. Projected losses on credit card portfolios--at $93 billion--is the second largest category, representing 25 percent. The next largest category is projected losses on commercial and industrial loans, at $62 billion.
For the 30 BHCs as a group, the nine-quarter cumulative loss rate for all accrual loan portfolios is 6.9 percent, where the loss rate is calculated as total projected loan losses over the nine quarters of the planning horizon divided by average loan balances over the horizon. This rate is high by historical standards, and more severe than any U.S. recession since the 1930s. As illustrated in figure 12, total loan loss rates vary significantly across BHCs, ranging between 1.6 percent and 15.2 percent across these institutions.
The differences in total loan loss rates across the BHCs reflect differences in loan portfolio composition and differences in risk characteristics for each type of lending across these firms. Loan portfolio composition matters because projected loss rates vary significantly by loan type.39 In the aggregate, nine-quarter cumulative loss rates range between 2.7 percent on other loans and 15.2 percent on credit cards, reflecting both differences in typical performance of these loans--some loan types tend to generate higher losses, though generally also higher revenue--and differences in the sensitivity of different types of lending to the severely adverse scenario. In particular, lending categories whose performance is sensitive to unemployment rates or housing prices may experience high stressed loss rates due to the considerable stress on these factors in the severely adverse scenario.
Figures D.1 through D.7 present the nine-quarter cumulative loss rates on seven different categories of loans for each of the 30 BHCs. There are significant differences across BHCs in the projected loan loss rates for similar types of loans. For example, while the median projected loss rate on domestic first-lien residential mortgages is 4.0 percent, the rates among BHCs with first-lien mortgage portfolios vary from a low of 0.8 percent to a high of 16.7 percent. Similarly, for commercial and industrial loans, the range of projected loss rates is from 2.8 percent to 13.2 percent, with a median of 4.9 percent. Projected loss rates on most loan categories show similar dispersion across BHCs.40
Differences in projected loss rates across BHCs primarily reflect differences in loan characteristics, such as loan-to-value ratios or debt service coverage ratios, and borrower characteristics, such as credit ratings or credit scores. In addition, some BHCs have taken write-downs on portfolios of impaired loans either purchased or acquired through mergers. Losses on these loans are projected using the same loss models used for loans of the same type, and the resulting loss projections are reduced by the amount of such write-downs. For these BHCs, projected loss rates will be lower than for BHCs that hold similar loans that have not been subject to purchase-related write-downs.
Losses on Trading, Private Equity, SFT, and Derivatives Positions
The severely adverse scenario results include $98 billion in trading losses from the global market shock at the six BHCs with large trading and private-equity exposures and losses from the counterparty default component at the eight BHCs with substantial trading or custodial operations. Trading and counterparty losses range between $1 billion and $24 billion across the eight BHCs (see table 5), with the largest losses at those BHCs with the most significant trading activities that were subject to both the global market shock and the counterparty default component. Even so, the relative size of losses across firms depends not on nominal portfolio size but rather on the specific risk characteristics of each BHC's trading positions, inclusive of hedges. Importantly, projected losses related to the global market shock and the counterparty default component are based on the trading positions and counterparty exposures held by these firms on a single date (October 16, 2013) and could have differed, perhaps significantly, over the nine-quarter planning horizon, if they had been based on trading positions as of a different date.
Projected Pre-provision Net Revenue and Net Income
In the aggregate, the 30 BHCs are projected to generate $316 billion in PPNR cumulatively over the nine quarters of the planning horizon, equal to 2.3 percent of their combined average assets (see table 2). Relatively low PPNR projections reflect low levels of net interest income because of the effect of low interest rates and flattening of the yield curve in the early part of the severely adverse scenario, given the BHCs' current and projected balance sheet composition. The results also reflect low levels of noninterest income, consistent with the falling asset prices and sharply contracting economic activity in the severely adverse scenario. In addition, the PPNR projections incorporate expenses stemming from estimates of elevated levels of losses from operational-risk events such as fraud, employee lawsuits, litigation-related expenses, or computer system or other operating disruptions and expenses related to put-backs of mortgages, netted against mortgage put-back reserves already taken by the BHCs.41
The ratio of projected cumulative PPNR to average assets varies across BHCs (see figure 13 and table 5). A significant portion of this variation reflects differences in business focus across the institutions. For instance, the ratio of PPNR to assets tends to be higher at BHCs focusing on credit-card lending, reflecting the higher net interest income that credit cards generally produce relative to other forms of lending.42 Importantly, lower PPNR rates do not necessarily imply lower net income, since the same business focus and revenue risk characteristics determining differences in PPNR across firms could also result in offsetting differences in projected losses across BHCs.
Projected PPNR and losses are the primary determinants of projected net income. Table 2 presents aggregate projections of the components of pre-tax net income, including provisions into the ALLL and one-time income and expense and extraordinary items, under the severely adverse scenario. Table 5 presents these projections for each of the 30 BHCs. The projections are cumulative for the nine quarters of the planning horizon.
Of note, following U.S. GAAP, the net income projections incorporate loan losses indirectly through provisions, which equal projected loan losses plus the amount needed for the ALLL to be at an appropriate level at the end of each quarter. The $399 billion in total provisions reported in table 2 is the result of $366 billion in net charge-offs and a reserve build of more than $32 billion. Table 2 is cumulative over the planning horizon, and masks variation in the ALLL during the course of the nine quarters. Specifically, the projected ALLL increases during the early quarters of the planning horizon, given the increased economic stress in the severely adverse scenario, and then partially retraces this increase as the economic stress abates.
The Federal Reserve's projections of pre-tax net income under the severely adverse scenario imply negative net income at most of the 30 BHCs individually, and for the BHCs as a group, over the nine-quarter planning horizon. As table 2 shows, projected net income before taxes (pre-tax net income) is an aggregate net loss of $217 billion over the planning horizon for the 30 BHCs.
Figure 14 illustrates the ratio of pre-tax net income to average assets for each of the 30 BHCs. The ratio ranges between -5.1 percent and 3.9 percent. Projected cumulative net income for most of the BHCs (23 of 30) is negative over the planning horizon. Differences across the firms reflect differences in the sensitivity of the various components of net income to the economic and financial market conditions in the supervisory scenarios. Projected net income for the eight BHCs subject to global market shock and/or the counterparty default component includes the effect of those additional scenario components in the adverse and severely adverse scenarios, introducing some additional variation in projected net income between these eight BHCs and the other firms participating in DFAST 2014.
Table 2. 30 participating bank holding companies
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 (%) | 11.5 | 7.8 | 7.6 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 7.9 | 7.9 |
| Tier 1 risk-based capital ratio (%) | 12.9 | 8.5 | 8.5 |
| Total risk-based capital ratio (%) | 15.6 | 11.0 | 11.0 |
| Tier 1 leverage ratio (%) | 8.4 | 5.9 | 5.9 |
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 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 | 366.1 | 6.9 |
| First-lien mortgages, domestic | 62.8 | 5.7 |
| Junior liens and HELOCs, domestic | 43.5 | 9.6 |
| Commercial and industrial 2 | 62.3 | 5.4 |
| Commercial real estate, domestic | 48.9 | 8.4 |
| Credit cards | 93.0 | 15.2 |
| Other consumer 3 | 32.5 | 6.0 |
| Other loans 4 | 23.2 | 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 |
8,374.5 | 8,655.7 | 9,432.4 |
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 | 315.9 | 2.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 398.6 | |
| Realized losses/gains on securities (AFS/HTM) | 7.0 | |
| Trading and counterparty losses 4 | 98.1 | |
| Other losses/gains 5 | 29.3 | |
| equals | ||
| Net income before taxes | -217.1 | -1.6 |
| Memo items | ||
| Other comprehensive income 6 | -23.8 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -11.6 | -21.8 |
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 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
| Bank holding company | Tier 1 common ratio (%) | Common equity tier 1 ratio (%) 1 | Tier 1 risk-based capital ratio (%) | Total-risk based capital ratio (%) | Tier 1 leverage ratio (%) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Actual Q3 2013 | Ending | Minimum | Ending | Minimum | Actual Q3 2013 | Ending | Minimum | Actual Q3 2013 | Ending | Minimum | Actual Q3 2013 | Ending | Minimum | |
| Ally Financial Inc. | 7.9 | 6.3 | 6.3 | 7.3 | 7.3 | 15.4 | 9.1 | 9.1 | 16.4 | 10.6 | 10.6 | 13.2 | 7.9 | 7.9 |
| American Express Company | 12.8 | 14.0 | 12.1 | 14.0 | 12.9 | 12.8 | 14.0 | 12.3 | 14.7 | 15.4 | 14.1 | 10.7 | 11.6 | 10.1 |
| Bank of America Corporation | 11.1 | 6.0 | 5.9 | 6.8 | 6.8 | 12.3 | 6.8 | 6.8 | 15.4 | 9.2 | 9.2 | 7.8 | 4.4 | 4.4 |
| The Bank of New York Mellon Corporation | 14.1 | 16.1 | 13.1 | 15.0 | 13.8 | 15.8 | 16.1 | 14.7 | 16.8 | 16.3 | 15.3 | 5.6 | 6.6 | 5.3 |
| BB&T Corporation | 9.4 | 8.4 | 8.4 | 8.1 | 8.1 | 11.3 | 9.8 | 9.8 | 13.9 | 11.6 | 11.6 | 9.0 | 8.0 | 8.0 |
| BBVA Compass Bancshares, Inc. | 11.6 | 8.5 | 8.5 | 8.6 | 8.6 | 11.8 | 8.6 | 8.6 | 14.1 | 10.6 | 10.6 | 10.2 | 7.5 | 7.5 |
| BMO Financial Corp. | 10.8 | 7.6 | 7.6 | 8.9 | 8.9 | 10.8 | 8.9 | 8.5 | 15.2 | 12.5 | 12.4 | 7.9 | 6.5 | 6.0 |
| Capital One Financial Corporation | 12.7 | 7.8 | 7.8 | 8.0 | 8.0 | 13.1 | 8.4 | 8.4 | 15.3 | 10.1 | 10.1 | 10.1 | 6.7 | 6.7 |
| Citigroup Inc. | 12.7 | 7.2 | 7.2 | 9.3 | 9.3 | 13.6 | 9.3 | 9.3 | 16.7 | 11.9 | 11.9 | 8.1 | 5.7 | 5.7 |
| Comerica Incorporated | 10.7 | 8.6 | 8.6 | 8.4 | 8.4 | 10.7 | 8.4 | 8.4 | 13.4 | 10.2 | 10.2 | 10.9 | 8.6 | 8.6 |
| Discover Financial Services | 14.7 | 13.7 | 13.2 | 13.1 | 12.5 | 15.6 | 13.9 | 13.3 | 17.9 | 15.7 | 15.2 | 13.7 | 12.1 | 11.9 |
| Fifth Third Bancorp | 9.9 | 8.4 | 8.4 | 7.9 | 7.9 | 11.1 | 8.7 | 8.7 | 14.3 | 11.8 | 11.8 | 10.6 | 8.5 | 8.5 |
| The Goldman Sachs Group, Inc. | 14.2 | 9.2 | 6.9 | 7.5 | 6.6 | 16.3 | 8.4 | 7.3 | 19.4 | 10.8 | 9.5 | 7.9 | 5.3 | 4.9 |
| HSBC North America Holdings Inc. | 14.7 | 6.6 | 6.6 | 9.4 | 9.4 | 17.1 | 9.4 | 9.4 | 26.5 | 18.2 | 18.2 | 7.8 | 4.4 | 4.4 |
| Huntington Bancshares Incorporated | 10.9 | 7.4 | 7.4 | 7.9 | 7.9 | 12.4 | 8.5 | 8.5 | 14.7 | 10.8 | 10.8 | 10.9 | 7.5 | 7.5 |
| JPMorgan Chase & Co. | 10.5 | 6.7 | 6.3 | 6.5 | 6.5 | 11.7 | 7.1 | 7.1 | 14.3 | 9.3 | 9.3 | 6.9 | 4.6 | 4.6 |
| KeyCorp | 11.2 | 9.3 | 9.2 | 9.3 | 9.3 | 11.9 | 9.6 | 9.6 | 14.4 | 11.9 | 11.9 | 11.3 | 9.2 | 9.2 |
| M&T Bank Corporation | 9.1 | 6.2 | 6.2 | 6.7 | 6.7 | 11.9 | 7.9 | 7.9 | 15.1 | 11.0 | 11.0 | 10.7 | 7.0 | 7.0 |
| Morgan Stanley | 12.6 | 7.6 | 6.1 | 7.8 | 7.1 | 15.3 | 7.9 | 7.1 | 16.1 | 9.9 | 8.9 | 7.3 | 4.6 | 4.5 |
| Northern Trust Corporation | 13.1 | 11.7 | 11.7 | 10.6 | 10.6 | 13.6 | 10.7 | 10.7 | 14.9 | 13.7 | 13.7 | 8.3 | 7.1 | 7.1 |
| The PNC Financial Services Group, Inc. | 10.3 | 9.0 | 9.0 | 7.5 | 7.5 | 12.2 | 9.1 | 9.1 | 15.6 | 11.8 | 11.8 | 11.1 | 8.8 | 8.8 |
| RBS Citizens Financial Group, Inc. | 13.9 | 10.7 | 10.7 | 10.7 | 10.7 | 14.0 | 10.9 | 10.9 | 16.3 | 13.5 | 13.5 | 12.1 | 9.5 | 9.5 |
| Regions Financial Corporation | 11.0 | 9.0 | 8.9 | 9.3 | 9.3 | 11.5 | 9.5 | 9.5 | 14.5 | 12.0 | 12.0 | 9.9 | 8.2 | 8.1 |
| Santander Holdings USA, Inc. | 13.7 | 7.3 | 7.3 | 6.7 | 6.7 | 14.4 | 10.0 | 8.9 | 16.5 | 12.8 | 11.2 | 12.4 | 8.9 | 7.8 |
| State Street Corporation | 15.5 | 14.7 | 13.3 | 11.9 | 11.4 | 17.3 | 12.8 | 12.2 | 19.8 | 14.8 | 14.3 | 7.2 | 7.0 | 6.3 |
| SunTrust Banks, Inc. | 9.9 | 9.0 | 8.8 | 8.5 | 8.4 | 11.0 | 9.0 | 8.9 | 13.0 | 10.9 | 10.9 | 9.5 | 7.8 | 7.8 |
| U.S. Bancorp | 9.3 | 8.3 | 8.2 | 7.6 | 7.5 | 11.2 | 9.2 | 9.1 | 13.3 | 11.1 | 11.0 | 9.6 | 8.1 | 8.1 |
| UnionBanCal Corporation | 11.1 | 8.1 | 8.1 | 8.2 | 8.2 | 11.2 | 8.2 | 8.2 | 13.1 | 10.4 | 10.4 | 10.2 | 7.6 | 7.6 |
| Wells Fargo & Company | 10.6 | 8.2 | 8.2 | 7.4 | 7.4 | 12.1 | 8.5 | 8.5 | 15.1 | 12.0 | 12.0 | 9.8 | 7.0 | 7.0 |
| Zions Bancorporation | 10.5 | 3.6 | 3.6 | 4.6 | 4.6 | 13.1 | 5.4 | 5.4 | 14.8 | 7.2 | 7.2 | 10.6 | 4.5 | 4.5 |
| 30 participating bank holding companies | 11.5 | 7.8 | 7.6 | 7.9 | 7.9 | 12.9 | 8.5 | 8.5 | 15.6 | 11.0 | 11.0 | 8.4 | 5.9 | 5.9 |
Note: 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.
1. Advanced approaches bank holding companies 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
Return to text| Bank holding company | Stressed ratios with DFA stress testing capital action assumptions |
|---|---|
| Ally Financial Inc. | 6.3 |
| American Express Company | 12.1 |
| Bank of America Corporation | 5.9 |
| The Bank of New York Mellon Corporation | 13.1 |
| BB&T Corporation | 8.4 |
| BBVA Compass Bancshares, Inc. | 8.5 |
| BMO Financial Corp. | 7.6 |
| Capital One Financial Corporation | 7.8 |
| Citigroup Inc. | 7.2 |
| Comerica Incorporated | 8.6 |
| Discover Financial Services | 13.2 |
| Fifth Third Bancorp | 8.4 |
| The Goldman Sachs Group, Inc. | 6.9 |
| HSBC North America Holdings Inc. | 6.6 |
| Huntington Bancshares Incorporated | 7.4 |
| JPMorgan Chase & Co. | 6.3 |
| KeyCorp | 9.2 |
| M&T Bank Corporation | 6.2 |
| Morgan Stanley | 6.1 |
| Northern Trust Corporation | 11.7 |
| The PNC Financial Services Group, Inc. | 9.0 |
| RBS Citizens Financial Group, Inc. | 10.7 |
| Regions Financial Corporation | 8.9 |
| Santander Holdings USA, Inc. | 7.3 |
| State Street Corporation | 13.3 |
| SunTrust Banks, Inc. | 8.8 |
| U.S. Bancorp | 8.2 |
| UnionBanCal Corporation | 8.1 |
| Wells Fargo & Company | 8.2 |
| Zions Bancorporation | 3.6 |
Note: 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 capital ratios. The minimum stressed ratios (%) are the lowest quarterly ratios from Q4 2013 to Q4 2015 in the severely adverse scenario.
Source: Stressed ratios with Dodd-Frank Act capital action assumptions through Q4 2015.
| Bank holding company | Sum of revenues | Minus sum of provisions and losses | Equals | Memo items | Other effects on capital | ||||
|---|---|---|---|---|---|---|---|---|---|
| Pre-provision net revenue 1 | Other revenue 2 |
Provisions | Realized losses/gains on securities (AFS/HTM) | Trading and counterparty losses 3 | Other losses/ gains 4 |
Net income before taxes |
Other compre- hensive income 5 |
AOCI included in capital 6 (Q4 2015) |
|
| Ally Financial Inc. | 3.6 | 0.0 | 5.7 | 0.6 | 0.0 | 0.0 | -2.7 | 0.0 | 0.0 |
| American Express Company | 20.9 | 0.0 | 14.9 | 0.0 | 0.0 | 0.0 | 6.0 | -0.4 | -0.7 |
| Bank of America Corporation | 31.4 | 0.0 | 57.0 | 0.5 | 15.8 | 7.1 | -49.1 | -1.8 | -3.5 |
| The Bank of New York Mellon Corporation | 8.3 | 0.0 | 0.8 | 0.2 | 1.3 | 0.1 | 6.0 | -0.1 | -0.6 |
| BB&T Corporation | 7.0 | 0.0 | 5.5 | 0.0 | 0.0 | 0.1 | 1.4 | 0.0 | 0.0 |
| BBVA Compass Bancshares, Inc. | 1.2 | 0.0 | 2.8 | 0.0 | 0.0 | 0.1 | -1.8 | 0.0 | 0.0 |
| BMO Financial Corp. | 1.5 | 0.0 | 3.5 | 0.0 | 0.0 | 0.2 | -2.1 | 0.0 | 0.0 |
| Capital One Financial Corporation | 21.2 | 0.0 | 26.9 | 0.1 | 0.0 | 0.2 | -6.0 | -0.6 | -0.6 |
| Citigroup Inc. | 32.5 | 0.0 | 55.7 | 1.3 | 16.1 | 5.2 | -45.7 | -0.6 | -7.7 |
| Comerica Incorporated | 1.1 | 0.0 | 2.3 | 0.0 | 0.0 | 0.0 | -1.2 | 0.0 | 0.0 |
| Discover Financial Services | 12.0 | 0.0 | 11.4 | 0.0 | 0.0 | 0.0 | 0.6 | 0.0 | 0.0 |
| Fifth Third Bancorp | 4.7 | 0.0 | 4.5 | 0.1 | 0.0 | 0.0 | 0.1 | 0.0 | 0.0 |
| The Goldman Sachs Group, Inc. | 4.9 | 0.0 | 2.1 | 0.0 | 19.8 | 6.0 | -23.0 | 0.0 | -0.2 |
| HSBC North America Holdings Inc. | -1.1 | 0.0 | 8.5 | 0.1 | 0.0 | 1.1 | -10.7 | 0.9 | 0.1 |
| Huntington Bancshares Incorporated | 1.5 | 0.0 | 2.3 | 0.0 | 0.0 | 0.2 | -1.0 | 0.0 | 0.0 |
| JPMorgan Chase & Co. | 48.8 | 0.0 | 59.1 | 1.3 | 24.2 | 1.8 | -37.6 | -6.6 | -2.5 |
| KeyCorp | 2.5 | 0.0 | 3.1 | 0.0 | 0.0 | 0.4 | -1.0 | 0.0 | 0.0 |
| M&T Bank Corporation | 3.9 | 0.0 | 4.8 | 0.0 | 0.0 | 0.1 | -0.9 | 0.0 | 0.0 |
| Morgan Stanley | 0.4 | 0.0 | 2.2 | 0.0 | 13.3 | 2.1 | -17.3 | -0.2 | -0.5 |
| Northern Trust Corporation | 2.7 | 0.0 | 3.0 | 0.0 | 0.0 | 0.0 | -0.4 | 0.3 | -0.0 |
| The PNC Financial Services Group, Inc. | 10.8 | 0.0 | 11.3 | 0.3 | 0.0 | 0.4 | -1.1 | -1.5 | -0.6 |
| RBS Citizens Financial Group, Inc. | 3.2 | 0.0 | 5.7 | 0.1 | 0.0 | 0.2 | -2.6 | 0.0 | 0.0 |
| Regions Financial Corporation | 4.3 | 0.0 | 5.6 | 0.0 | 0.0 | 0.1 | -1.4 | 0.0 | 0.0 |
| Santander Holdings USA, Inc. | 5.6 | 0.0 | 8.0 | 0.0 | 0.0 | 0.0 | -2.4 | 0.0 | 0.0 |
| State Street Corporation | 4.8 | 0.0 | 0.6 | 0.4 | 1.7 | 0.0 | 2.1 | -2.0 | -0.8 |
| SunTrust Banks, Inc. | 5.8 | 0.0 | 6.1 | 0.0 | 0.0 | 0.9 | -1.2 | 0.0 | 0.0 |
| U.S. Bancorp | 20.6 | 0.0 | 17.1 | 0.0 | 0.0 | 0.4 | 3.1 | -0.7 | -0.8 |
| UnionBanCal Corporation | 0.8 | 0.0 | 4.1 | 0.4 | 0.0 | 0.0 | -3.7 | 0.0 | 0.0 |
| Wells Fargo & Company | 50.7 | 0.0 | 61.6 | 1.2 | 5.9 | 2.5 | -20.5 | -10.6 | -3.3 |
| Zions Bancorporation | 0.2 | 0.0 | 2.8 | 0.3 | 0.0 | 0.0 | -2.9 | 0.0 | 0.0 |
| 30 participating bank holding companies | 315.9 | 0.0 | 398.6 | 7.0 | 98.1 | 29.3 | -217.1 | -23.8 | -21.8 |
Note: 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, or net income before taxes. Estimates may not sum precisely due to rounding.
1. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
2. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
3. 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
4. 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
5. 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
6. 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
Return to text
Estimates are for nine quarter period from Q4 2013 to Q4 2015 as a percent of average balances.
| Bank holding company | Loan losses |
First lien mortgages, domestic |
Junior liens and HELOCs, domestic |
Commercial and industrial |
Commercial real estate, domestic 1 |
Credit cards |
Other consumer 2 |
Other loans 3 |
|---|---|---|---|---|---|---|---|---|
| Ally Financial Inc. | 5.0 | 0.4 | 0.2 | 1.4 | 0.1 | 0.0 | 2.9 | 0.0 |
| American Express Company | 11.4 | 0.0 | 0.0 | 3.7 | 0.0 | 7.7 | 0.0 | 0.1 |
| Bank of America Corporation | 54.9 | 12.7 | 9.9 | 8.2 | 5.6 | 13.7 | 2.7 | 2.1 |
| The Bank of New York Mellon Corporation | 0.8 | 0.1 | 0.0 | 0.1 | 0.1 | 0.0 | 0.0 | 0.4 |
| BB&T Corporation | 5.2 | 0.8 | 0.3 | 0.7 | 1.9 | 0.3 | 0.9 | 0.2 |
| BBVA Compass Bancshares, Inc. | 2.6 | 0.3 | 0.2 | 0.6 | 1.1 | 0.1 | 0.1 | 0.1 |
| BMO Financial Corp. | 3.3 | 0.6 | 0.4 | 0.8 | 0.8 | 0.1 | 0.2 | 0.5 |
| Capital One Financial Corporation | 22.8 | 1.4 | 0.2 | 1.4 | 1.3 | 15.0 | 3.1 | 0.4 |
| Citigroup Inc. | 55.5 | 6.8 | 4.6 | 7.5 | 1.1 | 24.8 | 6.1 | 4.7 |
| Comerica Incorporated | 2.1 | 0.1 | 0.1 | 0.8 | 0.8 | 0.0 | 0.0 | 0.3 |
| Discover Financial Services | 9.5 | 0.0 | 0.0 | 0.0 | 0.0 | 8.3 | 1.2 | 0.0 |
| Fifth Third Bancorp | 4.8 | 0.7 | 0.7 | 1.6 | 0.9 | 0.4 | 0.3 | 0.3 |
| The Goldman Sachs Group, Inc. | 1.6 | 0.0 | 0.0 | 0.5 | 0.3 | 0.0 | 0.0 | 0.8 |
| HSBC North America Holdings Inc. | 10.0 | 6.8 | 1.0 | 0.7 | 1.1 | 0.1 | 0.1 | 0.3 |
| Huntington Bancshares Incorporated | 2.1 | 0.3 | 0.4 | 0.6 | 0.6 | 0.0 | 0.2 | 0.0 |
| JPMorgan Chase & Co. | 54.2 | 8.9 | 8.9 | 8.8 | 5.0 | 14.4 | 2.4 | 5.8 |
| KeyCorp | 2.9 | 0.2 | 0.4 | 0.7 | 0.7 | 0.1 | 0.4 | 0.2 |
| M&T Bank Corporation | 4.0 | 0.8 | 0.4 | 0.6 | 1.8 | 0.1 | 0.2 | 0.1 |
| Morgan Stanley | 1.7 | 0.1 | 0.0 | 0.8 | 0.2 | 0.0 | 0.1 | 0.5 |
| Northern Trust Corporation | 2.4 | 0.4 | 0.4 | 0.5 | 0.4 | 0.0 | 0.0 | 0.7 |
| The PNC Financial Services Group, Inc. | 10.1 | 0.6 | 1.3 | 3.4 | 3.1 | 0.5 | 0.8 | 0.4 |
| RBS Citizens Financial Group, Inc. | 4.9 | 0.4 | 2.0 | 0.9 | 0.9 | 0.2 | 0.4 | 0.1 |
| Regions Financial Corporation | 5.2 | 0.9 | 0.8 | 1.0 | 1.9 | 0.2 | 0.2 | 0.3 |
| Santander Holdings USA, Inc. | 6.4 | 0.4 | 0.3 | 0.5 | 1.7 | 0.0 | 3.4 | 0.1 |
| State Street Corporation | 0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.4 |
| SunTrust Banks, Inc. | 5.7 | 1.3 | 1.2 | 1.6 | 0.8 | 0.1 | 0.5 | 0.2 |
| U.S. Bancorp | 15.6 | 1.3 | 1.0 | 4.2 | 4.3 | 2.8 | 1.1 | 0.9 |
| UnionBanCal Corporation | 3.4 | 0.8 | 0.1 | 0.7 | 1.5 | 0.0 | 0.0 | 0.3 |
| Wells Fargo & Company | 55.1 | 15.7 | 8.5 | 9.4 | 9.4 | 4.2 | 5.0 | 2.9 |
| Zions Bancorporation | 2.5 | 0.0 | 0.1 | 0.7 | 1.5 | 0.0 | 0.0 | 0.1 |
| 30 participating bank holding companies | 366.1 | 62.8 | 43.5 | 62.3 | 48.9 | 93.0 | 32.5 | 23.2 |
Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected loan losses.
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Return to table
2. Other consumer loans include student loans and automobile loans. Return to table
3. Other loans include international real estate loans. Return to table
Return to text| Bank holding company | Loan losses 1 |
First lien mortgages, domestic |
Junior liens and HELOCs, domestic |
Commercial and industrial |
Commercial real estate, domestic 2 |
Credit cards | Other consumer 3 |
Other loans 4 |
|---|---|---|---|---|---|---|---|---|
| Ally Financial Inc. | 5.0 | 6.0 | 9.9 | 4.1 | 4.8 | 0.0 | 5.2 | 3.9 |
| American Express Company | 10.7 | 0.0 | 0.0 | 11.4 | 0.0 | 10.6 | 0.0 | 4.5 |
| Bank of America Corporation | 5.8 | 4.9 | 10.3 | 3.8 | 8.9 | 13.4 | 3.5 | 1.6 |
| The Bank of New York Mellon Corporation | 1.6 | 2.3 | 11.7 | 5.1 | 8.6 | 0.0 | 0.5 | 1.0 |
| BB&T Corporation | 4.5 | 2.4 | 4.8 | 4.4 | 6.2 | 15.2 | 6.3 | 2.0 |
| BBVA Compass Bancshares, Inc. | 5.2 | 2.2 | 9.1 | 4.2 | 10.3 | 18.9 | 4.9 | 2.1 |
| BMO Financial Corp. | 6.1 | 6.7 | 7.2 | 5.1 | 9.7 | 15.2 | 2.7 | 5.1 |
| Capital One Financial Corporation | 11.8 | 3.9 | 10.0 | 7.6 | 6.4 | 20.5 | 9.7 | 3.5 |
| Citigroup Inc. | 8.4 | 7.2 | 13.5 | 4.9 | 10.5 | 17.0 | 14.0 | 2.6 |
| Comerica Incorporated | 4.7 | 4.3 | 5.8 | 3.0 | 7.5 | 0.0 | 8.4 | 7.1 |
| Discover Financial Services | 15.2 | 0.0 | 14.9 | 13.2 | 35.4 | 16.4 | 10.2 | 4.5 |
| Fifth Third Bancorp | 5.5 | 5.2 | 7.4 | 4.9 | 9.4 | 18.9 | 2.6 | 3.1 |
| The Goldman Sachs Group, Inc. | 3.1 | 7.5 | 10.9 | 9.5 | 10.0 | 0.0 | 3.3 | 1.8 |
| HSBC North America Holdings Inc. | 10.8 | 16.7 | 18.3 | 2.8 | 12.6 | 16.4 | 10.8 | 2.2 |
| Huntington Bancshares Incorporated | 4.9 | 4.0 | 6.0 | 4.8 | 6.9 | 8.1 | 3.3 | 2.4 |
| JPMorgan Chase & Co. | 7.3 | 6.6 | 11.7 | 7.0 | 6.7 | 12.7 | 4.4 | 3.6 |
| KeyCorp | 5.1 | 4.1 | 5.2 | 3.8 | 8.8 | 16.8 | 8.8 | 2.2 |
| M&T Bank Corporation | 5.3 | 3.9 | 7.1 | 4.0 | 6.9 | 16.5 | 6.2 | 2.4 |
| Morgan Stanley | 3.0 | 1.0 | 11.1 | 8.9 | 9.4 | 0.0 | 0.6 | 2.0 |
| Northern Trust Corporation | 8.2 | 4.7 | 17.5 | 8.1 | 11.3 | 0.0 | 17.9 | 7.8 |
| The PNC Financial Services Group, Inc. | 5.2 | 2.3 | 4.9 | 5.7 | 10.1 | 14.3 | 3.6 | 1.7 |
| RBS Citizens Financial Group, Inc. | 5.8 | 3.3 | 9.9 | 3.9 | 8.4 | 16.0 | 3.1 | 2.4 |
| Regions Financial Corporation | 6.9 | 6.4 | 8.0 | 4.9 | 11.2 | 16.9 | 6.2 | 2.6 |
| Santander Holdings USA, Inc. | 8.7 | 4.3 | 4.8 | 3.9 | 9.5 | 16.4 | 13.3 | 4.3 |
| State Street Corporation | 3.1 | 0.0 | 0.0 | 6.9 | 26.2 | 0.0 | 0.0 | 2.7 |
| SunTrust Banks, Inc. | 4.6 | 4.8 | 7.7 | 4.7 | 5.6 | 13.6 | 2.7 | 1.5 |
| U.S. Bancorp | 7.0 | 2.5 | 6.3 | 8.2 | 11.2 | 16.2 | 4.2 | 4.3 |
| UnionBanCal Corporation | 5.0 | 3.2 | 3.2 | 3.9 | 10.1 | 0.0 | 13.2 | 3.9 |
| Wells Fargo & Company | 6.8 | 6.7 | 9.8 | 6.0 | 7.9 | 16.4 | 5.7 | 2.9 |
| Zions Bancorporation | 6.6 | 0.8 | 5.0 | 6.7 | 8.3 | 16.2 | 10.7 | 4.8 |
| 30 participating bank holding companies | 6.9 | 5.7 | 9.6 | 5.4 | 8.4 | 15.2 | 6.0 | 2.7 |
Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected loan losses.
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
Note: Estimates are for the nine-quarter period from Q4 2013 to Q4 2015 as a percent of average assets.
Adverse Scenario
In this Section:
Stressed Regulatory Capital Ratios and Risk-Weighted Assets
The adverse scenario projections suggest moderate declines in aggregate regulatory capital ratios for the 30 BHCs. Overall, the total amount of tier 1 common capital held by the 30 BHCs is estimated to increase by $5.9 billion, or about 1 percent, from the third quarter of 2013 to the end of 2015 under the adverse scenario. As shown in table 8, the average tier 1 common ratio is projected to fall 1.8 percentage points to its minimum over the planning horizon and to be 0.7 percentage point lower at the end of the planning horizon. In addition, at the end of the planning horizon, the tier 1 risk-based capital ratio and the total risk-based capital ratio are 2.2 and 2.5 percentage points lower than at the start of the planning horizon, respectively. The tier 1 leverage ratio is projected to decline 1.1 percentage point over the planning horizon. Finally, the common equity tier 1 capital ratio reaches a minimum of 9.3 percent, before increasing to 10.0 percent at the end of the planning horizon.
The projected decreases in post-stress regulatory capital ratios are smaller than those under the severely adverse scenario, reflecting the less severe macroeconomic conditions assumed in the adverse scenario and the steepening yield curve that benefits most BHCs' PPNR by generating increased net interest income. As compared to the severely adverse scenario, the adverse scenario projections imply higher aggregate net income driven by higher PPNR and lower losses, offset to some extent by significantly higher projected unrealized losses on securities, which negatively affect advanced approaches BHCs. Offsetting somewhat the effect of higher aggregate net income on capital, the adverse scenario also features more robust projected balance sheet and risk-weighted asset growth than the severely adverse scenario, which on net tends to reduce post-stress capital ratios.
Projected Losses
The Federal Reserve's projections suggest that the 30 BHCs as a group would face elevated losses under the adverse scenario, though not as large as the losses under the severely adverse scenario. In this scenario, total losses are projected to equal $355 billion for the 30 BHCs over the nine-quarter planning horizon. These losses include $267 billion in accrual loan losses, $7 billion in OTTI and other realized securities losses, $57 billion in losses from the global market shock and the largest counterparty default components, and $25 billion in additional losses from items such as loans booked under the fair value option. Table 8 presents these results in the aggregate, while table 11 presents them individually for each of the 30 BHCs. All of these aggregate loss amounts are lower than those projected under the severely adverse scenario, once again reflecting the relatively less stressful macroeconomic and financial market conditions assumed in the adverse scenario.
Loan Losses
As in the severely adverse scenario, the accrual loan portfolio is the largest source of losses in the adverse scenario, accounting for $267 billion of the $355 billion in total projected losses for the 30 BHCs under the adverse scenario. The lower peak unemployment rate and more moderate residential and commercial real estate price declines in the adverse scenario result in lower projected accrual loan losses on consumer and real estate-related loans. The nine-quarter loan loss rate of 5.0 percent is below the peak industry-level rate reached during the recent financial crisis but still higher than the rate during any other time period since the Great Depression of the 1930s. As in the severely adverse scenario results, there is considerable diversity across firms in projected loan loss rates, both in the aggregate and by loan type (see figures 18 and D.8 to D.14).
Losses on Trading, Private Equity, and Derivatives Positions
Projected losses resulting from the impact of the global market shock and the largest counterparty default on trading, private equity, and counterparty exposures for the eight BHCs with large trading or custodial operations equal $57 billion under the adverse scenario. These losses are slightly more than half those projected under the severely adverse scenario, reflecting the less severe market shocks assumed in the global market shock component of the adverse scenario.
Projected Pre-provision Net Revenue and Net Income
As shown in table 8, aggregate PPNR is projected to equal $444 billion for the 30 BHCs under the adverse scenario, equal to 3.2 percent of average projected assets for these firms. Under the adverse scenario, projected PPNR is bolstered by high projected net interest income, driven largely by the increasing long-term interest rates and yield curve steepening assumed in the scenario as well as by moderate loan portfolio growth over the planning horizon. As compared to the severely adverse scenario, PPNR is also strengthened by lower projected operational risk and mortgage repurchase losses, with the latter being consistent with the adverse scenario's more moderate housing price decline. As in the severely adverse scenario, projected ratios of PPNR to assets vary significantly across the 30 BHCs, reflecting differences in business focus as well as differences in sensitivities to the conditions assumed in the Federal Reserve's adverse scenario (see figure 19).
In the aggregate, the 30 BHCs are projected to have cumulative pre-tax net income of $92 billion over the nine-quarter planning horizon under the adverse scenario. About three-quarters of the individual BHCs are also projected to have positive cumulative pre-tax net income, though most experience at least two quarters of negative net income during the planning horizon (see table 11 and figure 20). The higher net income as compared to the severely adverse scenario projections reflects the combination of higher projected PPNR and lower projected losses, especially on trading, private equity, and counterparty positions, and on the accrual loan portfolio. The $263 billion in total provisions reported in table 2 is the result of more than $266 billion in net charge-offs and a small reserve release of $3 billion.
While aggregate pre-tax net income under the adverse scenario is positive, it is low relative to historical standards, with an implied nine-quarter return on assets (ROA) of 0.7 percent, as compared to approximately 2 percent for these BHCs on a nine-quarter basis since 2010. As shown in figure 20, projected nine-quarter ROA under the adverse scenario ranges between -1.9 and 7.1 percent for the 30 BHCs.
As described in box 1, unrealized gains and losses on securities held in the AFS portfolio affect regulatory capital through AOCI. Under the revised capital framework being phased in during 2014 and 2015, a portion of AOCI is included in regulatory capital for advanced approaches BHCs. Higher long-term interest rates and wider credit spreads assumed in the scenario result in -$103 billion of OCI over the nine quarters of the planning horizon for the advanced approaches BHCs. Reflecting the gradual phasing-in of AOCI in the revised capital framework for advanced approached BHCs, -$32 billion (20 percent of total) and -$54 billion (40 percent of total) in AOCI are included in post-stress regulatory capital as of Q4 2014 and Q4 2105, respectively.
Table 8. 30 participating bank holding companies
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 (%) | 11.5 | 10.8 | 9.7 |
| Common equity tier 1 capital ratio (%) 2 | n.a. | 10.0 | 9.3 |
| Tier 1 risk-based capital ratio (%) | 12.9 | 10.7 | 10.0 |
| Total risk-based capital ratio (%) | 15.6 | 13.1 | 12.6 |
| Tier 1 leverage ratio (%) | 8.4 | 7.3 | 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 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 | 266.5 | 5.0 |
| First-lien mortgages, domestic | 39.0 | 3.5 |
| Junior liens and HELOCs, domestic | 32.2 | 7.1 |
| Commercial and industrial 2 | 43.3 | 3.7 |
| Commercial real estate, domestic | 32.0 | 5.5 |
| Credit cards | 77.0 | 12.4 |
| Other consumer 3 | 27.4 | 5.0 |
| Other loans 4 | 15.6 | 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 |
8,374.5 | 8,917.6 | 9,638.8 |
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 | 444.3 | 3.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 263.4 | |
| Realized losses/gains on securities (AFS/HTM) | 6.6 | |
| Trading and counterparty losses 4 | 57.4 | |
| Other losses/gains 5 | 24.5 | |
| equals | ||
| Net income before taxes | 92.4 | 0.7 |
| Memo items | ||
| Other comprehensive income 6 | -103.1 | |
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 | -32.3 | -53.5 |
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 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
| Bank holding company | Tier 1 common ratio (%) | Common equity tier 1 ratio (%) 1 | Tier 1 risk-based capital ratio (%) | Total-risk based capital ratio (%) | Tier 1 leverage ratio (%) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Actual Q3 2013 | Ending | Minimum | Ending | Minimum | Actual Q3 2013 | Ending | Minimum | Actual Q3 2013 | Ending | Minimum | Actual Q3 2013 | Ending | Minimum | |
| Ally Financial Inc. | 7.9 | 10.0 | 7.6 | 9.4 | 8.8 | 15.4 | 11.9 | 10.6 | 16.4 | 13.3 | 11.8 | 13.2 | 10.2 | 8.9 |
| American Express Company | 12.8 | 16.3 | 12.5 | 16.2 | 13.9 | 12.8 | 16.2 | 12.5 | 14.7 | 17.6 | 14.4 | 10.7 | 13.2 | 10.4 |
| Bank of America Corporation | 11.1 | 11.1 | 8.7 | 9.6 | 8.5 | 12.3 | 10.3 | 8.8 | 15.4 | 12.5 | 11.4 | 7.8 | 6.6 | 5.7 |
| The Bank of New York Mellon Corporation | 14.1 | 17.6 | 13.6 | 15.1 | 13.3 | 15.8 | 16.1 | 14.3 | 16.8 | 16.3 | 14.7 | 5.6 | 6.6 | 5.4 |
| BB&T Corporation | 9.4 | 10.2 | 9.1 | 9.9 | 9.3 | 11.3 | 11.6 | 11.0 | 13.9 | 13.2 | 13.0 | 9.0 | 9.3 | 8.7 |
| BBVA Compass Bancshares, Inc. | 11.6 | 11.4 | 11.1 | 11.1 | 10.8 | 11.8 | 11.1 | 10.9 | 14.1 | 12.8 | 12.8 | 10.2 | 9.5 | 9.5 |
| BMO Financial Corp. | 10.8 | 10.4 | 9.9 | 11.3 | 11.1 | 10.8 | 11.3 | 9.9 | 15.2 | 14.4 | 13.8 | 7.9 | 8.2 | 6.9 |
| Capital One Financial Corporation | 12.7 | 12.2 | 11.7 | 10.7 | 10.0 | 13.1 | 11.0 | 10.3 | 15.3 | 12.8 | 12.2 | 10.1 | 8.7 | 8.4 |
| Citigroup Inc. | 12.7 | 10.6 | 9.7 | 11.7 | 11.1 | 13.6 | 11.7 | 11.1 | 16.7 | 14.2 | 13.7 | 8.1 | 7.0 | 6.6 |
| Comerica Incorporated | 10.7 | 10.5 | 10.3 | 10.2 | 10.0 | 10.7 | 10.2 | 10.0 | 13.4 | 11.5 | 11.5 | 10.9 | 10.2 | 10.2 |
| Discover Financial Services | 14.7 | 16.0 | 13.9 | 15.4 | 14.2 | 15.6 | 16.2 | 14.7 | 17.9 | 17.9 | 16.9 | 13.7 | 13.8 | 12.8 |
| Fifth Third Bancorp | 9.9 | 10.1 | 9.2 | 9.6 | 9.1 | 11.1 | 10.5 | 10.0 | 14.3 | 12.9 | 12.7 | 10.6 | 10.0 | 9.6 |
| The Goldman Sachs Group, Inc. | 14.2 | 10.4 | 9.6 | 8.3 | 8.2 | 16.3 | 9.4 | 9.1 | 19.4 | 11.7 | 11.5 | 7.9 | 5.7 | 5.6 |
| HSBC North America Holdings Inc. | 14.7 | 11.1 | 11.1 | 11.7 | 11.6 | 17.1 | 12.2 | 12.2 | 26.5 | 20.7 | 20.7 | 7.8 | 5.6 | 5.6 |
| Huntington Bancshares Incorporated | 10.9 | 9.9 | 9.5 | 9.6 | 9.4 | 12.4 | 10.5 | 10.3 | 14.7 | 12.7 | 12.7 | 10.9 | 9.2 | 9.2 |
| JPMorgan Chase & Co. | 10.5 | 9.5 | 8.7 | 8.4 | 7.8 | 11.7 | 9.2 | 8.5 | 14.3 | 11.1 | 10.8 | 6.9 | 5.8 | 5.4 |
| KeyCorp | 11.2 | 11.2 | 10.5 | 10.9 | 10.5 | 11.9 | 11.4 | 10.9 | 14.4 | 13.3 | 13.0 | 11.3 | 10.7 | 10.4 |
| M&T Bank Corporation | 9.1 | 10.2 | 8.7 | 9.3 | 9.0 | 11.9 | 10.5 | 10.1 | 15.1 | 13.5 | 13.4 | 10.7 | 9.2 | 9.1 |
| Morgan Stanley | 12.6 | 9.4 | 8.9 | 8.6 | 8.4 | 15.3 | 9.0 | 8.7 | 16.1 | 10.9 | 10.6 | 7.3 | 5.0 | 4.9 |
| Northern Trust Corporation | 13.1 | 13.1 | 12.6 | 11.5 | 11.1 | 13.6 | 11.6 | 11.2 | 14.9 | 14.2 | 14.0 | 8.3 | 7.6 | 7.4 |
| The PNC Financial Services Group, Inc. | 10.3 | 10.9 | 10.2 | 9.4 | 8.7 | 12.2 | 10.9 | 10.2 | 15.6 | 13.4 | 13.1 | 11.1 | 10.4 | 9.9 |
| RBS Citizens Financial Group, Inc. | 13.9 | 13.4 | 13.0 | 12.8 | 12.5 | 14.0 | 12.9 | 12.6 | 16.3 | 15.4 | 15.2 | 12.1 | 11.2 | 11.0 |
| Regions Financial Corporation | 11.0 | 11.7 | 10.7 | 11.5 | 10.8 | 11.5 | 11.8 | 11.2 | 14.5 | 14.3 | 13.8 | 9.9 | 10.1 | 9.5 |
| Santander Holdings USA, Inc. | 13.7 | 9.5 | 8.5 | 8.6 | 8.1 | 14.4 | 11.9 | 9.9 | 16.5 | 14.7 | 11.8 | 12.4 | 10.5 | 8.9 |
| State Street Corporation | 15.5 | 17.1 | 13.9 | 12.8 | 11.2 | 17.3 | 13.5 | 11.8 | 19.8 | 15.4 | 13.7 | 7.2 | 7.3 | 6.5 |
| SunTrust Banks, Inc. | 9.9 | 11.1 | 9.7 | 10.7 | 10.0 | 11.0 | 11.4 | 10.6 | 13.0 | 13.2 | 12.6 | 9.5 | 9.8 | 9.2 |
| U.S. Bancorp | 9.3 | 10.5 | 9.1 | 9.6 | 8.6 | 11.2 | 11.2 | 10.2 | 13.3 | 13.0 | 12.1 | 9.6 | 9.7 | 9.0 |
| UnionBanCal Corporation | 11.1 | 11.6 | 11.4 | 11.3 | 11.1 | 11.2 | 11.3 | 11.1 | 13.1 | 13.1 | 13.0 | 10.2 | 10.4 | 10.3 |
| Wells Fargo & Company | 10.6 | 10.7 | 10.0 | 9.4 | 8.8 | 12.1 | 10.6 | 9.9 | 15.1 | 14.3 | 13.6 | 9.8 | 8.6 | 8.2 |
| Zions Bancorporation | 10.5 | 7.3 | 7.3 | 7.5 | 7.5 | 13.1 | 8.9 | 8.9 | 14.8 | 10.7 | 10.7 | 10.6 | 7.2 | 7.2 |
| 30 participating bank holding companies | 11.5 | 10.8 | 9.7 | 10.0 | 9.3 | 12.9 | 10.7 | 10.0 | 15.6 | 13.1 | 12.6 | 8.4 | 7.3 | 6.9 |
Note: 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.
1. Advanced approaches bank holding companies 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
| Bank holding company | Stressed ratios with DFA stress testing capital action assumptions |
|---|---|
| Ally Financial Inc. | 7.6 |
| American Express Company | 12.5 |
| Bank of America Corporation | 8.7 |
| The Bank of New York Mellon Corporation | 13.6 |
| BB&T Corporation | 9.1 |
| BBVA Compass Bancshares, Inc. | 11.1 |
| BMO Financial Corp. | 9.9 |
| Capital One Financial Corporation | 11.7 |
| Citigroup Inc. | 9.7 |
| Comerica Incorporated | 10.3 |
| Discover Financial Services | 13.9 |
| Fifth Third Bancorp | 9.2 |
| The Goldman Sachs Group, Inc. | 9.6 |
| HSBC North America Holdings Inc. | 11.1 |
| Huntington Bancshares Incorporated | 9.5 |
| JPMorgan Chase & Co. | 8.7 |
| KeyCorp | 10.5 |
| M&T Bank Corporation | 8.7 |
| Morgan Stanley | 8.9 |
| Northern Trust Corporation | 12.6 |
| The PNC Financial Services Group, Inc. | 10.2 |
| RBS Citizens Financial Group, Inc. | 13.0 |
| Regions Financial Corporation | 10.7 |
| Santander Holdings USA, Inc. | 8.5 |
| State Street Corporation | 13.9 |
| SunTrust Banks, Inc. | 9.7 |
| U.S. Bancorp | 9.1 |
| UnionBanCal Corporation | 11.4 |
| Wells Fargo & Company | 10.0 |
| Zions Bancorporation | 7.3 |
Note: 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 capital ratios. The minimum stressed ratios (%) are the lowest quarterly ratios from Q4 2013 to Q4 2015 in the adverse scenario.
Source: Stressed ratios with Dodd-Frank Act capital action assumptions through Q4 2015.
| Bank holding company | Sum of revenues | Minus sum of provisions and losses | Equals | Memo items | Other effects on capital | ||||
|---|---|---|---|---|---|---|---|---|---|
| Pre-provision net revenue 1 | Other revenue 2 |
Provisions | Realized losses/gains on securities (AFS/HTM) | Trading and counterparty losses 3 | Other losses/ gains 4 |
Net income before taxes |
Other compre- hensive income 5 |
AOCI included in capital 6 (Q4 2015) |
|
| Ally Financial Inc. | 5.3 | 0.0 | 4.1 | 0.4 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 |
| American Express Company | 22.6 | 0.0 | 11.5 | 0.0 | 0.0 | 0.0 | 11.1 | -0.6 | -0.8 |
| Bank of America Corporation | 56.2 | 0.0 | 36.2 | 0.6 | 8.0 | 6.0 | 5.4 | -20.2 | -10.8 |
| The Bank of New York Mellon Corporation | 11.3 | 0.0 | 0.4 | 0.2 | 0.6 | 0.1 | 10.0 | -4.4 | -2.3 |
| BB&T Corporation | 9.6 | 0.0 | 3.4 | 0.0 | 0.0 | 0.2 | 6.0 | 0.0 | 0.0 |
| BBVA Compass Bancshares, Inc. | 2.0 | 0.0 | 1.7 | 0.0 | 0.0 | 0.1 | 0.2 | 0.0 | 0.0 |
| BMO Financial Corp. | 2.4 | 0.0 | 2.2 | 0.0 | 0.0 | 0.2 | 0.0 | 0.0 | 0.0 |
| Capital One Financial Corporation | 25.3 | 0.0 | 20.7 | 0.0 | 0.0 | 0.1 | 4.5 | -2.7 | -1.4 |
| Citigroup Inc. | 46.0 | 0.0 | 39.4 | 1.5 | 9.5 | 5.4 | -9.8 | -12.9 | -12.7 |
| Comerica Incorporated | 1.9 | 0.0 | 1.2 | 0.0 | 0.0 | 0.0 | 0.7 | 0.0 | 0.0 |
| Discover Financial Services | 12.9 | 0.0 | 9.7 | 0.0 | 0.0 | 0.0 | 3.2 | 0.0 | 0.0 |
| Fifth Third Bancorp | 6.4 | 0.0 | 2.8 | 0.1 | 0.0 | 0.0 | 3.5 | 0.0 | 0.0 |
| The Goldman Sachs Group, Inc. | 4.7 | 0.0 | 1.4 | 0.0 | 13.8 | 4.9 | -15.4 | 0.0 | -0.2 |
| HSBC North America Holdings Inc. | 3.0 | 0.0 | 5.6 | 0.0 | 0.0 | 0.5 | -3.2 | -3.0 | -1.5 |
| Huntington Bancshares Incorporated | 2.3 | 0.0 | 1.6 | 0.0 | 0.0 | 0.3 | 0.4 | 0.0 | 0.0 |
| JPMorgan Chase & Co. | 68.1 | 0.0 | 36.5 | 1.5 | 12.7 | 1.9 | 15.6 | -19.9 | -7.8 |
| KeyCorp | 3.8 | 0.0 | 2.1 | 0.0 | 0.0 | 0.3 | 1.4 | 0.0 | 0.0 |
| M&T Bank Corporation | 5.3 | 0.0 | 3.3 | 0.0 | 0.0 | 0.1 | 1.9 | 0.0 | 0.0 |
| Morgan Stanley | 1.5 | 0.0 | 1.5 | 0.0 | 8.6 | 2.2 | -10.7 | -2.0 | -1.2 |
| Northern Trust Corporation | 3.3 | 0.0 | 2.0 | 0.0 | 0.0 | 0.0 | 1.3 | -0.5 | -0.3 |
| The PNC Financial Services Group, Inc. | 15.3 | 0.0 | 6.6 | 0.2 | 0.0 | 0.3 | 8.2 | -3.5 | -1.4 |
| RBS Citizens Financial Group, Inc. | 5.0 | 0.0 | 4.0 | 0.0 | 0.0 | 0.1 | 0.8 | 0.0 | 0.0 |
| Regions Financial Corporation | 6.0 | 0.0 | 3.6 | 0.0 | 0.0 | 0.1 | 2.4 | 0.0 | 0.0 |
| Santander Holdings USA, Inc. | 6.7 | 0.0 | 5.9 | 0.0 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 |
| State Street Corporation | 7.5 | 0.0 | 0.4 | 0.3 | 0.9 | 0.0 | 5.9 | -4.9 | -2.0 |
| SunTrust Banks, Inc. | 8.5 | 0.0 | 3.8 | 0.0 | 0.0 | 0.5 | 4.2 | 0.0 | 0.0 |
| U.S. Bancorp | 26.6 | 0.0 | 11.2 | 0.0 | 0.0 | 0.4 | 15.0 | -3.1 | -1.8 |
| UnionBanCal Corporation | 2.3 | 0.0 | 2.2 | 0.4 | 0.0 | 0.0 | -0.3 | 0.0 | 0.0 |
| Wells Fargo & Company | 71.7 | 0.0 | 36.9 | 0.9 | 3.3 | 0.9 | 29.7 | -25.5 | -9.3 |
| Zions Bancorporation | 0.7 | 0.0 | 1.6 | 0.3 | 0.0 | 0.0 | -1.1 | 0.0 | 0.0 |
| 30 participating bank holding companies | 444.3 | 0.0 | 263.4 | 6.6 | 57.4 | 24.5 | 92.4 | -103.1 | -53.5 |
Note: 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, or net income before taxes. Estimates may not sum precisely due to rounding.
1. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
2. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
3. 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
4. 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
5. 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
6. 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
* Hash pattern indicates that the minimum tier 1 common ratio over the planning horizon is larger than the Q3 2013 tier 1 common ratio.
Note: Estimates are for the nine quarter period from Q4 2013 to Q4 2015 as a percent of average balances.
Note: Estimates are for the nine-quarter period from Q4 2013 to Q4 2015 as a percent of average balances.
Note: Estimates are for the nine-quarter period from Q4 2013 to Q4 2015 as a percent of average assets.
Note: Estimates are for the nine-quarter period from Q4 2013 to Q4 2015 as a percent of average assets.
| Bank holding company | Loan losses |
First lien mortgages, domestic |
Junior liens and HELOCs, domestic |
Commercial and industrial |
Commercial real estate, domestic 1 |
Credit cards |
Other consumer 2 |
Other loans 3 |
|---|---|---|---|---|---|---|---|---|
| Ally Financial Inc. | 3.8 | 0.3 | 0.2 | 0.9 | 0.1 | 0.0 | 2.3 | 0.0 |
| American Express Company | 8.9 | 0.0 | 0.0 | 2.7 | 0.0 | 6.1 | 0.0 | 0.1 |
| Bank of America Corporation | 40.0 | 8.9 | 7.2 | 5.3 | 3.6 | 11.2 | 2.2 | 1.5 |
| The Bank of New York Mellon Corporation | 0.6 | 0.1 | 0.0 | 0.1 | 0.1 | 0.0 | 0.0 | 0.3 |
| BB&T Corporation | 3.7 | 0.5 | 0.2 | 0.5 | 1.3 | 0.2 | 0.7 | 0.2 |
| BBVA Compass Bancshares, Inc. | 1.8 | 0.2 | 0.2 | 0.4 | 0.7 | 0.1 | 0.1 | 0.1 |
| BMO Financial Corp. | 2.4 | 0.4 | 0.4 | 0.5 | 0.6 | 0.1 | 0.2 | 0.3 |
| Capital One Financial Corporation | 18.0 | 0.5 | 0.2 | 1.0 | 0.9 | 12.7 | 2.5 | 0.2 |
| Citigroup Inc. | 43.4 | 4.8 | 3.4 | 5.4 | 0.7 | 20.6 | 5.4 | 3.2 |
| Comerica Incorporated | 1.3 | 0.0 | 0.1 | 0.5 | 0.5 | 0.0 | 0.0 | 0.2 |
| Discover Financial Services | 8.1 | 0.0 | 0.0 | 0.0 | 0.0 | 7.0 | 1.1 | 0.0 |
| Fifth Third Bancorp | 3.6 | 0.5 | 0.6 | 1.1 | 0.6 | 0.3 | 0.3 | 0.2 |
| The Goldman Sachs Group, Inc. | 1.1 | 0.0 | 0.0 | 0.4 | 0.2 | 0.0 | 0.0 | 0.6 |
| HSBC North America Holdings Inc. | 7.7 | 5.4 | 0.8 | 0.4 | 0.7 | 0.1 | 0.1 | 0.2 |
| Huntington Bancshares Incorporated | 1.6 | 0.2 | 0.3 | 0.4 | 0.4 | 0.0 | 0.2 | 0.0 |
| JPMorgan Chase & Co. | 37.6 | 4.6 | 6.3 | 6.1 | 3.1 | 11.8 | 2.0 | 3.7 |
| KeyCorp | 2.1 | 0.2 | 0.3 | 0.5 | 0.5 | 0.1 | 0.4 | 0.1 |
| M&T Bank Corporation | 2.9 | 0.6 | 0.4 | 0.4 | 1.2 | 0.0 | 0.2 | 0.1 |
| Morgan Stanley | 1.2 | 0.0 | 0.0 | 0.6 | 0.1 | 0.0 | 0.1 | 0.4 |
| Northern Trust Corporation | 1.7 | 0.2 | 0.3 | 0.3 | 0.3 | 0.0 | 0.0 | 0.5 |
| The PNC Financial Services Group, Inc. | 6.9 | 0.4 | 0.9 | 2.2 | 2.0 | 0.4 | 0.7 | 0.3 |
| RBS Citizens Financial Group, Inc. | 3.7 | 0.3 | 1.6 | 0.6 | 0.6 | 0.2 | 0.3 | 0.1 |
| Regions Financial Corporation | 3.8 | 0.7 | 0.6 | 0.7 | 1.3 | 0.1 | 0.2 | 0.2 |
| Santander Holdings USA, Inc. | 4.9 | 0.3 | 0.2 | 0.3 | 1.1 | 0.0 | 2.8 | 0.0 |
| State Street Corporation | 0.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 |
| SunTrust Banks, Inc. | 4.1 | 0.9 | 1.0 | 1.1 | 0.5 | 0.1 | 0.4 | 0.1 |
| U.S. Bancorp | 11.3 | 0.9 | 0.8 | 2.9 | 2.8 | 2.3 | 0.9 | 0.7 |
| UnionBanCal Corporation | 2.0 | 0.4 | 0.1 | 0.5 | 1.0 | 0.0 | 0.0 | 0.2 |
| Wells Fargo & Company | 36.3 | 7.6 | 6.1 | 6.8 | 6.2 | 3.5 | 4.2 | 1.9 |
| Zions Bancorporation | 1.7 | 0.0 | 0.1 | 0.5 | 1.0 | 0.0 | 0.0 | 0.1 |
| 30 participating bank holding companies | 266.5 | 39.0 | 32.2 | 43.3 | 32.0 | 77.0 | 27.4 | 15.6 |
Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected loan losses.
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Return to table
2. Other consumer loans include student loans and automobile loans. Return to table
3. Other loans include international real estate loans. Return to table
| Bank holding company | Loan losses 1 |
First lien mortgages, domestic |
Junior liens and HELOCs, domestic |
Commercial and industrial |
Commercial real estate, domestic 2 |
Credit cards | Other consumer 3 |
Other loans 4 |
|---|---|---|---|---|---|---|---|---|
| Ally Financial Inc. | 3.8 | 4.1 | 6.9 | 2.8 | 3.0 | 0.0 | 4.2 | 2.3 |
| American Express Company | 8.2 | 0.0 | 0.0 | 8.3 | 0.0 | 8.4 | 0.0 | 2.9 |
| Bank of America Corporation | 4.2 | 3.4 | 7.3 | 2.4 | 5.6 | 10.9 | 2.9 | 1.1 |
| The Bank of New York Mellon Corporation | 1.1 | 1.0 | 9.0 | 4.4 | 5.5 | 0.0 | 0.6 | 0.7 |
| BB&T Corporation | 3.1 | 1.6 | 3.6 | 3.1 | 4.2 | 12.3 | 4.9 | 1.3 |
| BBVA Compass Bancshares, Inc. | 3.6 | 1.4 | 7.5 | 2.8 | 6.7 | 15.0 | 4.0 | 1.5 |
| BMO Financial Corp. | 4.4 | 4.5 | 6.4 | 3.5 | 6.8 | 12.2 | 2.2 | 3.6 |
| Capital One Financial Corporation | 9.3 | 1.4 | 8.2 | 5.4 | 4.3 | 17.1 | 7.9 | 2.1 |
| Citigroup Inc. | 6.5 | 5.0 | 9.8 | 3.6 | 6.5 | 14.0 | 12.3 | 1.7 |
| Comerica Incorporated | 3.0 | 2.5 | 4.4 | 1.9 | 4.8 | 0.0 | 7.2 | 4.3 |
| Discover Financial Services | 12.8 | 0.0 | 9.2 | 10.2 | 34.8 | 13.8 | 9.1 | 2.6 |
| Fifth Third Bancorp | 4.0 | 4.3 | 6.2 | 3.2 | 6.3 | 15.0 | 2.1 | 2.3 |
| The Goldman Sachs Group, Inc. | 2.1 | 2.5 | 8.5 | 6.1 | 6.3 | 0.0 | 2.9 | 1.3 |
| HSBC North America Holdings Inc. | 8.2 | 13.2 | 15.5 | 1.8 | 8.0 | 13.5 | 9.5 | 1.4 |
| Huntington Bancshares Incorporated | 3.6 | 2.7 | 5.2 | 3.5 | 4.8 | 8.1 | 2.6 | 1.5 |
| JPMorgan Chase & Co. | 5.1 | 3.4 | 8.2 | 4.8 | 4.1 | 10.3 | 3.7 | 2.3 |
| KeyCorp | 3.7 | 3.5 | 4.1 | 2.4 | 5.9 | 13.8 | 7.5 | 1.5 |
| M&T Bank Corporation | 3.9 | 3.0 | 5.9 | 2.9 | 4.6 | 13.5 | 4.7 | 1.6 |
| Morgan Stanley | 2.1 | 0.5 | 8.3 | 6.4 | 6.1 | 0.0 | 0.6 | 1.4 |
| Northern Trust Corporation | 5.7 | 3.0 | 13.8 | 5.5 | 7.5 | 0.0 | 15.9 | 5.3 |
| The PNC Financial Services Group, Inc. | 3.6 | 1.5 | 3.3 | 3.8 | 6.6 | 11.6 | 3.0 | 1.1 |
| RBS Citizens Financial Group, Inc. | 4.3 | 2.4 | 8.1 | 2.6 | 5.6 | 13.4 | 2.6 | 1.5 |
| Regions Financial Corporation | 4.9 | 4.5 | 6.4 | 3.3 | 7.6 | 13.5 | 5.1 | 1.8 |
| Santander Holdings USA, Inc. | 6.5 | 3.1 | 3.6 | 2.7 | 6.3 | 13.4 | 10.9 | 2.9 |
| State Street Corporation | 2.1 | 0.0 | 0.0 | 4.2 | 16.1 | 0.0 | 0.0 | 1.9 |
| SunTrust Banks, Inc. | 3.3 | 3.2 | 6.5 | 3.0 | 3.6 | 10.7 | 2.2 | 0.9 |
| U.S. Bancorp | 5.0 | 1.7 | 4.7 | 5.8 | 7.3 | 13.3 | 3.3 | 3.2 |
| UnionBanCal Corporation | 2.9 | 1.4 | 1.7 | 2.5 | 6.5 | 0.0 | 11.3 | 2.4 |
| Wells Fargo & Company | 4.5 | 3.2 | 7.0 | 4.3 | 5.2 | 13.5 | 4.7 | 1.9 |
| Zions Bancorporation | 4.3 | 0.3 | 3.5 | 4.5 | 5.4 | 13.3 | 9.1 | 3.2 |
| 30 participating bank holding companies | 5.0 | 3.5 | 7.1 | 3.7 | 5.5 | 12.4 | 5.0 | 1.8 |
Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected loan losses.
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
References
39. The loan categories are defined to be generally consistent with categories on the FR Y-9 C reports. Return to text
40. Losses are calculated based on the exposure at default, which includes both outstanding balances and any additional drawdown of the credit line that occurs prior to default, while loss rates are calculated as a percent of average outstanding balances over the planning horizon. See appendix B for more detail on the models used to project net income and stressed capital. Return to text
41. These estimates are conditional on the hypothetical adverse and severely adverse scenario and on conservative assumptions. They are not a supervisory estimate of the BHCs' current or expected legal liability. Return to text
42. As noted, credit-card lending also tends to generate relatively high loss rates, so the higher PPNR rates at these BHCs do not necessarily indicate higher profitability. Return to text
