Dodd-Frank Act Stress Test 2015: Supervisory Stress Test Methodology and Results - Accessible Version
Figure 1. Historical and stressed tier 1 common ratio
| Quarter | Percent |
|---|---|
| Actual, Q1 2010 | 8.5 |
| Actual, Q1 2011 | 10.0 |
| Actual, Q1 2012 | 10.9 |
| Actual, Q1 2013 | 11.0 |
| Actual, Q4 2013 | 11.6 |
| Actual, Q3 2014 | 11.9 |
| Stressed, Q4 2016 | 8.4 |
Source: FR Y-9C, FR Y-14A, and supervisory estimates under the severely adverse scenario.
Figure 2. Unemployment rate in the severely adverse and adverse scenarios, 2010:Q1-2016:Q4
Percent
| Quarter | Unemployment rate | Severely adverse | Adverse |
|---|---|---|---|
| Q1 2010 | 9.8 | ND | ND |
| Q2 2010 | 9.6 | ND | ND |
| Q3 2010 | 9.5 | ND | ND |
| Q4 2010 | 9.6 | ND | ND |
| Q1 2011 | 9.0 | ND | ND |
| Q2 2011 | 9.1 | ND | ND |
| Q3 2011 | 9.0 | ND | ND |
| Q4 2011 | 8.6 | ND | ND |
| Q1 2012 | 8.2 | ND | ND |
| Q2 2012 | 8.2 | ND | ND |
| Q3 2012 | 8.0 | ND | ND |
| Q4 2012 | 7.8 | ND | ND |
| Q1 2013 | 7.7 | ND | ND |
| Q2 2013 | 7.5 | ND | ND |
| Q3 2013 | 7.2 | ND | ND |
| Q4 2013 | 7.0 | ND | ND |
| Q1 2014 | 6.7 | ND | ND |
| Q2 2014 | 6.2 | ND | ND |
| Q3 2014 | 6.1 | 6.1 | 6.1 |
| Q4 2014 | ND | 6.9 | 6.4 |
| Q1 2015 | ND | 8.0 | 6.9 |
| Q2 2015 | ND | 8.8 | 7.2 |
| Q3 2015 | ND | 9.5 | 7.4 |
| Q4 2015 | ND | 9.9 | 7.6 |
| Q1 2016 | ND | 10.0 | 7.8 |
| Q2 2016 | ND | 10.1 | 7.9 |
| Q3 2016 | ND | 10.0 | 7.9 |
| Q4 2016 | ND | 9.9 | 8.0 |
| Q1 2017 | ND | 9.7 | 8.0 |
| Q2 2017 | ND | 9.5 | 8.0 |
| Q3 2017 | ND | 9.3 | 8.0 |
| Q4 2017 | ND | 9.1 | 8.0 |
Source: Bureau of Labor Statistics and Federal Reserve assumptions in the supervisory scenarios.
Figure 3. Real GDP growth rate in the severely adverse and adverse scenarios, 2010:Q1-2016:Q4
Percent
| Quarter | Real GDP growth rate | Severely adverse | Adverse |
|---|---|---|---|
| Q1 2010 | 1.7 | ND | ND |
| Q2 2010 | 3.9 | ND | ND |
| Q3 2010 | 2.7 | ND | ND |
| Q4 2010 | 2.5 | ND | ND |
| Q1 2011 | -1.5 | ND | ND |
| Q2 2011 | 2.9 | ND | ND |
| Q3 2011 | 0.8 | ND | ND |
| Q4 2011 | 4.6 | ND | ND |
| Q1 2012 | 2.3 | ND | ND |
| Q2 2012 | 1.6 | ND | ND |
| Q3 2012 | 2.5 | ND | ND |
| Q4 2012 | 0.1 | ND | ND |
| Q1 2013 | 2.7 | ND | ND |
| Q2 2013 | 1.8 | ND | ND |
| Q3 2013 | 4.5 | ND | ND |
| Q4 2013 | 3.5 | ND | ND |
| Q1 2014 | -2.1 | ND | ND |
| Q2 2014 | 4.6 | ND | ND |
| Q3 2014 | 3.1 | 3.1 | 3.1 |
| Q4 2014 | ND | -3.9 | -0.6 |
| Q1 2015 | ND | -6.1 | -1.3 |
| Q2 2015 | ND | -3.9 | -0.2 |
| Q3 2015 | ND | -3.2 | 0.2 |
| Q4 2015 | ND | -1.5 | 0.3 |
| Q1 2016 | ND | 1.2 | 0.8 |
| Q2 2016 | ND | 1.2 | 1.2 |
| Q3 2016 | ND | 3.0 | 1.7 |
| Q4 2016 | ND | 3.0 | 1.8 |
| Q1 2017 | ND | 3.9 | 1.8 |
| Q2 2017 | ND | 3.9 | 1.9 |
| Q3 2017 | ND | 3.9 | 2.0 |
| Q4 2017 | ND | 3.9 | 2.2 |
Source: Bureau of Economic Analysis and Federal Reserve assumptions in the supervisory scenarios.
Figure 4. Dow Jones Total Stock Market Index, end of quarter in the severely adverse and adverse scenarios, 2010:Q1-2016:Q4
| Quarter | Dow Jones Stock Market Index | Severely adverse | Adverse |
|---|---|---|---|
| Q1 2010 | 12032.5 | ND | ND |
| Q2 2010 | 10645.8 | ND | ND |
| Q3 2010 | 11814.0 | ND | ND |
| Q4 2010 | 13131.5 | ND | ND |
| Q1 2011 | 13908.5 | ND | ND |
| Q2 2011 | 13843.5 | ND | ND |
| Q3 2011 | 11676.5 | ND | ND |
| Q4 2011 | 13019.3 | ND | ND |
| Q1 2012 | 14627.5 | ND | ND |
| Q2 2012 | 14100.2 | ND | ND |
| Q3 2012 | 14894.7 | ND | ND |
| Q4 2012 | 14834.9 | ND | ND |
| Q1 2013 | 16396.2 | ND | ND |
| Q2 2013 | 16771.3 | ND | ND |
| Q3 2013 | 17718.3 | ND | ND |
| Q4 2013 | 19413.2 | ND | ND |
| Q1 2014 | 19711.2 | ND | ND |
| Q2 2014 | 20568.7 | ND | ND |
| Q3 2014 | 20458.8 | 20458.8 | 20458.8 |
| Q4 2014 | ND | 17133.5 | 19418.4 |
| Q1 2015 | ND | 12498.5 | 18508.7 |
| Q2 2015 | ND | 10190.1 | 17689.2 |
| Q3 2015 | ND | 8770.7 | 16983.8 |
| Q4 2015 | ND | 8606.3 | 16257.8 |
| Q1 2016 | ND | 9087.3 | 15737.3 |
| Q2 2016 | ND | 9607.2 | 15430.8 |
| Q3 2016 | ND | 10480.7 | 15188.2 |
| Q4 2016 | ND | 11521.4 | 14992.3 |
| Q1 2017 | ND | 12894.7 | 14866.4 |
| Q2 2017 | ND | 14079.2 | 14791.4 |
| Q3 2017 | ND | 15430.3 | 14807.1 |
| Q4 2017 | ND | 16487.6 | 15005.9 |
Source: Dow Jones and Federal Reserve assumptions in the supervisory scenarios.
Figure 5. National House Price Index in the severely adverse and adverse scenarios, 2010:Q1-2016:Q4
| Quarter | National House Price Index | Severely adverse | Adverse |
|---|---|---|---|
| Q1 2010 | 145.5 | ND | ND |
| Q2 2010 | 144.4 | ND | ND |
| Q3 2010 | 141.3 | ND | ND |
| Q4 2010 | 140.0 | ND | ND |
| Q1 2011 | 138.1 | ND | ND |
| Q2 2011 | 137.3 | ND | ND |
| Q3 2011 | 137.3 | ND | ND |
| Q4 2011 | 137.1 | ND | ND |
| Q1 2012 | 139.3 | ND | ND |
| Q2 2012 | 142.5 | ND | ND |
| Q3 2012 | 145.4 | ND | ND |
| Q4 2012 | 148.9 | ND | ND |
| Q1 2013 | 153.8 | ND | ND |
| Q2 2013 | 158.7 | ND | ND |
| Q3 2013 | 162.6 | ND | ND |
| Q4 2013 | 166.4 | ND | ND |
| Q1 2014 | 169.7 | ND | ND |
| Q2 2014 | 170.8 | ND | ND |
| Q3 2014 | 172.1 | 172.1 | 172.1 |
| Q4 2014 | ND | 169.5 | 170.8 |
| Q1 2015 | ND | 164.0 | 168.0 |
| Q2 2015 | ND | 157.6 | 164.8 |
| Q3 2015 | ND | 150.7 | 161.2 |
| Q4 2015 | ND | 144.3 | 157.7 |
| Q1 2016 | ND | 138.4 | 154.5 |
| Q2 2016 | ND | 133.4 | 151.7 |
| Q3 2016 | ND | 130.4 | 150.0 |
| Q4 2016 | ND | 128.4 | 148.9 |
| Q1 2017 | ND | 127.9 | 148.6 |
| Q2 2017 | ND | 128.4 | 148.9 |
| Q3 2017 | ND | 129.5 | 149.5 |
| Q4 2017 | ND | 131.0 | 150.3 |
Source: CoreLogic (seasonally adjusted by Federal Reserve) and Federal Reserve assumptions in the supervisory scenarios.
Figure 6. U.S. BBB corporate yield, quarterly average in the severely adverse and adverse scenarios, 2010:Q1-2016:Q4
Percentage yield
| Quarter | BBB corporate yield | Severely adverse | Adverse |
|---|---|---|---|
| Q1 2010 | 5.8 | ND | ND |
| Q2 2010 | 5.6 | ND | ND |
| Q3 2010 | 5.1 | ND | ND |
| Q4 2010 | 5.0 | ND | ND |
| Q1 2011 | 5.4 | ND | ND |
| Q2 2011 | 5.1 | ND | ND |
| Q3 2011 | 4.9 | ND | ND |
| Q4 2011 | 5.0 | ND | ND |
| Q1 2012 | 4.7 | ND | ND |
| Q2 2012 | 4.5 | ND | ND |
| Q3 2012 | 4.2 | ND | ND |
| Q4 2012 | 3.9 | ND | ND |
| Q1 2013 | 4.0 | ND | ND |
| Q2 2013 | 4.1 | ND | ND |
| Q3 2013 | 4.9 | ND | ND |
| Q4 2013 | 4.8 | ND | ND |
| Q1 2014 | 4.6 | ND | ND |
| Q2 2014 | 4.3 | ND | ND |
| Q3 2014 | 4.2 | 4.2 | 4.2 |
| Q4 2014 | ND | 4.7 | 5.7 |
| Q1 2015 | ND | 5.6 | 6.5 |
| Q2 2015 | ND | 6.0 | 6.9 |
| Q3 2015 | ND | 6.3 | 7.0 |
| Q4 2015 | ND | 6.2 | 7.1 |
| Q1 2016 | ND | 6.0 | 7.4 |
| Q2 2016 | ND | 5.8 | 7.5 |
| Q3 2016 | ND | 5.6 | 7.5 |
| Q4 2016 | ND | 5.5 | 7.6 |
| Q1 2017 | ND | 5.3 | 7.6 |
| Q2 2017 | ND | 5.2 | 7.7 |
| Q3 2017 | ND | 5.1 | 7.7 |
| Q4 2017 | ND | 5.1 | 7.7 |
Source: Merrill Lynch (adjusted by Federal Reserve using a Nelson-Siegel smoothed yield curve model) and Federal Reserve assumptions in the supervisory scenarios.
Figure 7. U.S. Market Volatility Index (VIX) in the severely adverse and adverse scenarios, 2010:Q1-2016:Q4
| Quarter | Market Volatility Index (VIX) | Severely adverse | Adverse |
|---|---|---|---|
| Q1 2010 | 27.3 | ND | ND |
| Q2 2010 | 45.8 | ND | ND |
| Q3 2010 | 32.9 | ND | ND |
| Q4 2010 | 23.5 | ND | ND |
| Q1 2011 | 29.4 | ND | ND |
| Q2 2011 | 22.7 | ND | ND |
| Q3 2011 | 48.0 | ND | ND |
| Q4 2011 | 45.5 | ND | ND |
| Q1 2012 | 23.0 | ND | ND |
| Q2 2012 | 26.7 | ND | ND |
| Q3 2012 | 20.5 | ND | ND |
| Q4 2012 | 22.7 | ND | ND |
| Q1 2013 | 19.0 | ND | ND |
| Q2 2013 | 20.5 | ND | ND |
| Q3 2013 | 17.0 | ND | ND |
| Q4 2013 | 20.3 | ND | ND |
| Q1 2014 | 21.4 | ND | ND |
| Q2 2014 | 17.0 | ND | ND |
| Q3 2014 | 17.0 | 17.0 | 17.0 |
| Q4 2014 | ND | 79.0 | 28.9 |
| Q1 2015 | ND | 71.3 | 32.9 |
| Q2 2015 | ND | 76.9 | 33.2 |
| Q3 2015 | ND | 68.1 | 27.3 |
| Q4 2015 | ND | 48.1 | 24.9 |
| Q1 2016 | ND | 38.4 | 24.6 |
| Q2 2016 | ND | 30.7 | 22.8 |
| Q3 2016 | ND | 25.5 | 21.4 |
| Q4 2016 | ND | 21.6 | 20.5 |
| Q1 2017 | ND | 18.7 | 19.8 |
| Q2 2017 | ND | 17.6 | 19.4 |
| Q3 2017 | ND | 16.4 | 19.1 |
| Q4 2017 | ND | 16.5 | 19.2 |
Source: Chicago Board Options Exchange (converted to quarterly by Federal Reserve using the maximum quarterly close-of-day value) and Federal Reserve assumptions in the supervisory scenarios.
Figure 8. Projecting net income and regulatory capital
A flowchart with five steps, leading from one to the next.
- Net interest income plus noninterest income, minus noninterest expense, equals pre-provision net revenue (PPNR).
(Note: PPNR includes income from mortgage servicing rights and losses from operational-risk events, mortgage put-back losses, and OREO costs.) - PPNR plus other revenue, minus provisions, minus AFS/HTM securities losses, minus HFS/FVO loan losses, minus trading and counterparty losses, equals pre-tax net income.
(Note: Change in the allowance for loan and lease losses, plus net charge-offs, equals provisions.) - Pre-tax net income minus taxes, minus extraordinary items net of taxes, minus change in the valuation allowance, equals after-tax net income.
- After-tax net income minus net distributions to common and preferred shareholders and other net reductions to shareholder's equity from DFAST assumptions, equals change in equity capital.
- Change in equity capital minus deductions from regulatory capital, plus other additions to regulatory capital (including accumulated other comprehensive income, when applicable), equals change in regulatory capital.
Figure 9. Projected losses in the severely adverse scenario
| Billions of dollars | |
|---|---|
| First-lien mortgages, domestic | 40 |
| Trading and counterparty losses | 103 |
| Credit cards | 83 |
| Commercial and industrial loans | 68 |
| Securities losses (AFS/HTM) | 18 |
| Junior liens and HELOCs, domestic | 34 |
| Commercial real estate, domestic | 53 |
| Other consumer loans | 35 |
| Other loans | 28 |
| Other losses | 29 |
Figure 10. Change from 2014:Q3 to minimum tier 1 common ratio in the severely adverse scenario
Percent
| Bank Holding Company | Change from Q3 2013 to minimum | Minimum ratio |
|---|---|---|
| Ally | 1.8 | 7.9 |
| American Express | 0.7 | 12.6 |
| Bank of America | 4.2 | 7.1 |
| Bank of NY-Mellon | 1.3 | 12.6 |
| BB&T | 2.5 | 8.1 |
| BBVA | 4.7 | 6.4 |
| BMO | 2.5 | 9.0 |
| Capital One | 3.3 | 9.5 |
| Citigroup | 5.2 | 8.2 |
| Citizens | 2.2 | 10.7 |
| Comerica | 1.5 | 9.1 |
| Deutsche Bank | 2.0 | 34.7 |
| Discover | 0.8 | 13.9 |
| Fifth Third | 1.7 | 7.9 |
| Goldman Sachs | 8.5 | 6.7 |
| HSBC | 5.0 | 8.9 |
| Huntington | 1.3 | 9.0 |
| JPMorgan Chase | 4.4 | 6.5 |
| KeyCorp | 1.3 | 9.9 |
| M&T | 2.5 | 7.3 |
| Morgan Stanley | 8.8 | 6.3 |
| MUFG Americas | 4.6 | 8.0 |
| Northern Trust | 0.5 | 12.3 |
| PNC | 1.5 | 9.5 |
| Regions | 3.5 | 8.3 |
| Santander | 1.7 | 9.4 |
| State Street | 1.9 | 12.0 |
| SunTrust | 1.4 | 8.2 |
| U.S. Bancorp | 1.0 | 8.5 |
| Wells Fargo | 3.2 | 7.6 |
| Zions | 6.7 | 5.1 |
Median = 8.5%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average assets.
Figure 11. Total loan loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 5.00 |
| American Express | 9.22 |
| Bank of America | 4.94 |
| Bank of NY-Mellon | 2.31 |
| BB&T | 4.62 |
| BBVA | 5.66 |
| BMO | 4.61 |
| Capital One | 10.76 |
| Citigroup | 7.19 |
| Citizens | 5.14 |
| Comerica | 4.55 |
| Deutsche Bank | 4.48 |
| Discover | 12.16 |
| Fifth Third | 5.58 |
| Goldman Sachs | 3.24 |
| HSBC | 8.64 |
| Huntington | 4.15 |
| JPMorgan Chase | 6.36 |
| KeyCorp | 4.97 |
| M&T | 5.25 |
| Morgan Stanley | 3.99 |
| MUFG Americas | 4.96 |
| Northern Trust | 4.93 |
| PNC | 4.70 |
| Regions | 6.89 |
| Santander | 9.55 |
| State Street | 3.34 |
| SunTrust | 4.54 |
| U.S. Bancorp | 6.48 |
| Wells Fargo | 5.75 |
| Zions | 6.46 |
Median = 5.0%
Note: Estimates are for nine quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure 12. PPNR rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 2.66 |
| American Express | 14.88 |
| Bank of America | 1.56 |
| Bank of NY-Mellon | 2.93 |
| BB&T | 3.82 |
| BBVA | 1.37 |
| BMO | 0.87 |
| Capital One | 6.96 |
| Citigroup | 1.49 |
| Citizens | 2.84 |
| Comerica | 2.41 |
| Deutsche Bank | 1.56 |
| Discover | 15.44 |
| Fifth Third | 3.37 |
| Goldman Sachs | 0.27 |
| HSBC | -0.26 |
| Huntington | 3.29 |
| JPMorgan Chase | 1.16 |
| KeyCorp | 3.31 |
| M&T | 3.26 |
| Morgan Stanley | 0.48 |
| MUFG Americas | 0.99 |
| Northern Trust | 2.76 |
| PNC | 3.31 |
| Regions | 2.98 |
| Santander | 5.23 |
| State Street | 2.47 |
| SunTrust | 3.21 |
| U.S. Bancorp | 5.62 |
| Wells Fargo | 2.51 |
| Zions | 1.07 |
Median = 2.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average assets.
Figure 13. Pre-tax net income rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | -1.65 |
| American Express | 6.30 |
| Bank of America | -1.69 |
| Bank of NY-Mellon | 1.81 |
| BB&T | 0.34 |
| BBVA | -3.40 |
| BMO | -1.36 |
| Capital One | -1.42 |
| Citigroup | -2.48 |
| Citizens | -1.33 |
| Comerica | -1.03 |
| Deutsche Bank | -0.19 |
| Discover | 3.27 |
| Fifth Third | -0.60 |
| Goldman Sachs | -2.68 |
| HSBC | -3.14 |
| Huntington | -0.17 |
| JPMorgan Chase | -2.09 |
| KeyCorp | -0.38 |
| M&T | -1.13 |
| Morgan Stanley | -2.25 |
| MUFG Americas | -3.82 |
| Northern Trust | 1.11 |
| PNC | -0.06 |
| Regions | -2.10 |
| Santander | -1.79 |
| State Street | 1.17 |
| SunTrust | -0.54 |
| U.S. Bancorp | 1.15 |
| Wells Fargo | -1.73 |
| Zions | -4.96 |
Median = -1.3%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average assets.
Figure 14. Projected losses in the adverse scenario
| Billions of dollars | |
|---|---|
| First-lien mortgages, domestic | 28 |
| Trading and counterparty losses | 55 |
| Credit cards | 67 |
| Commercial and industrial loans | 42 |
| Securities losses (AFS/HTM) | 9 |
| Junior liens and HELOCs, domestic | 23 |
| Commercial real estate, domestic | 31 |
| Other consumer loans | 28 |
| Other loans | 16 |
| Other losses | 16 |
Figure 15. Change from 2014:Q3 to minimum tier 1 common ratio in the adverse scenario
Percent
| Bank Holding Company | Change from Q3 2013 to minimum | Minimum ratio |
|---|---|---|
| Ally | 0.4 | 9.3 |
| American Express | 0.4 | 12.8 |
| Bank of America | 1.3 | 10.0 |
| Bank of NY-Mellon | 0.5 | 13.3 |
| BB&T | 1.6 | 8.9 |
| BBVA | 1.5 | 9.5 |
| BMO | 0.0 | 11.5 |
| Capital One | 1.3 | 11.5 |
| Citigroup | 1.9 | 11.5 |
| Citizens | 0.9 | 12.1 |
| Comerica | 0.2 | 10.4 |
| Deutsche Bank | 0.3 | 36.3 |
| Discover | 0.5 | 14.3 |
| Fifth Third | 0.3 | 9.3 |
| Goldman Sachs | 2.2 | 12.2 |
| HSBC | 0.1 | 13.9 |
| Huntington | 0.3 | 10.0 |
| JPMorgan Chase | 1.4 | 9.6 |
| KeyCorp | 0.5 | 10.8 |
| M&T | 0.5 | 9.3 |
| Morgan Stanley | 2.8 | 12.2 |
| MUFG Americas | 1.3 | 11.3 |
| Northern Trust | 0.3 | 12.5 |
| PNC | 0.3 | 10.7 |
| Regions | 1.2 | 10.6 |
| Santander | 0.0 | 11.0 |
| State Street | 1.0 | 12.7 |
| SunTrust | 0.2 | 9.5 |
| U.S. Bancorp | 0.2 | 9.3 |
| Wells Fargo | 1.0 | 9.8 |
| Zions | 1.4 | 10.4 |
Median = 10.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure 16. Total loan loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 3.41 |
| American Express | 6.99 |
| Bank of America | 3.31 |
| Bank of NY-Mellon | 1.55 |
| BB&T | 2.98 |
| BBVA | 3.51 |
| BMO | 2.91 |
| Capital One | 8.25 |
| Citigroup | 5.29 |
| Citizens | 3.46 |
| Comerica | 2.59 |
| Deutsche Bank | 2.74 |
| Discover | 9.81 |
| Fifth Third | 3.69 |
| Goldman Sachs | 1.95 |
| HSBC | 6.38 |
| Huntington | 2.83 |
| JPMorgan Chase | 4.19 |
| KeyCorp | 3.24 |
| M&T | 3.55 |
| Morgan Stanley | 2.35 |
| MUFG Americas | 2.78 |
| Northern Trust | 3.06 |
| PNC | 2.93 |
| Regions | 4.54 |
| Santander | 6.78 |
| State Street | 2.04 |
| SunTrust | 3.05 |
| U.S. Bancorp | 4.29 |
| Wells Fargo | 3.72 |
| Zions | 3.82 |
Median = 3.4%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure 17. PPNR rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 2.82 |
| American Express | 15.89 |
| Bank of America | 2.73 |
| Bank of NY-Mellon | 4.74 |
| BB&T | 4.57 |
| BBVA | 2.14 |
| BMO | 1.87 |
| Capital One | 7.25 |
| Citigroup | 2.55 |
| Citizens | 3.46 |
| Comerica | 3.84 |
| Deutsche Bank | 4.41 |
| Discover | 15.85 |
| Fifth Third | 4.43 |
| Goldman Sachs | 2.07 |
| HSBC | 1.53 |
| Huntington | 3.63 |
| JPMorgan Chase | 2.63 |
| KeyCorp | 4.32 |
| M&T | 4.18 |
| Morgan Stanley | 1.92 |
| MUFG Americas | 1.90 |
| Northern Trust | 4.06 |
| PNC | 4.45 |
| Regions | 3.87 |
| Santander | 5.48 |
| State Street | 3.74 |
| SunTrust | 4.40 |
| U.S. Bancorp | 6.53 |
| Wells Fargo | 3.83 |
| Zions | 2.59 |
Median = 3.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average assets.
Figure 18. Pre-tax net income rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 0.07 |
| American Express | 9.28 |
| Bank of America | 0.91 |
| Bank of NY-Mellon | 4.05 |
| BB&T | 2.45 |
| BBVA | -0.48 |
| BMO | 0.69 |
| Capital One | 0.90 |
| Citigroup | 0.02 |
| Citizens | 0.99 |
| Comerica | 2.20 |
| Deutsche Bank | 3.35 |
| Discover | 5.85 |
| Fifth Third | 2.13 |
| Goldman Sachs | 0.44 |
| HSBC | -0.25 |
| Huntington | 1.51 |
| JPMorgan Chase | 0.79 |
| KeyCorp | 2.08 |
| M&T | 1.43 |
| Morgan Stanley | 0.55 |
| MUFG Americas | -0.59 |
| Northern Trust | 3.12 |
| PNC | 2.63 |
| Regions | 0.79 |
| Santander | 0.93 |
| State Street | 3.15 |
| SunTrust | 2.22 |
| U.S. Bancorp | 3.81 |
| Wells Fargo | 1.47 |
| Zions | -0.41 |
Median = 1.4%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average assets.
Figure D.1. First-lien mortgages, domestic loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 5.36 |
| American Express | 0.00 |
| Bank of America | 3.10 |
| Bank of NY-Mellon | 2.92 |
| BB&T | 2.69 |
| BBVA | 2.94 |
| BMO | 3.52 |
| Capital One | 2.55 |
| Citigroup | 4.84 |
| Citizens | 2.76 |
| Comerica | 2.58 |
| Deutsche Bank | 3.78 |
| Discover | 5.09 |
| Fifth Third | 4.40 |
| Goldman Sachs | 5.09 |
| HSBC | 12.45 |
| Huntington | 2.75 |
| JPMorgan Chase | 3.77 |
| KeyCorp | 4.28 |
| M&T | 3.70 |
| Morgan Stanley | 1.61 |
| MUFG Americas | 3.11 |
| Northern Trust | 3.52 |
| PNC | 1.72 |
| Regions | 4.71 |
| Santander | 4.52 |
| State Street | 0.00 |
| SunTrust | 4.00 |
| U.S. Bancorp | 2.39 |
| Wells Fargo | 2.95 |
| Zions | 0.92 |
Median = 3.5%
Estimates are for nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.2. Junior liens and HELOCs, domestic loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 8.02 |
| American Express | 0.00 |
| Bank of America | 9.18 |
| Bank of NY-Mellon | 9.81 |
| BB&T | 3.55 |
| BBVA | 6.77 |
| BMO | 5.05 |
| Capital One | 7.48 |
| Citigroup | 11.46 |
| Citizens | 7.24 |
| Comerica | 4.86 |
| Deutsche Bank | 9.56 |
| Discover | 15.04 |
| Fifth Third | 5.67 |
| Goldman Sachs | 9.28 |
| HSBC | 22.29 |
| Huntington | 4.53 |
| JPMorgan Chase | 9.71 |
| KeyCorp | 4.54 |
| M&T | 6.11 |
| Morgan Stanley | 9.28 |
| MUFG Americas | 4.21 |
| Northern Trust | 12.96 |
| PNC | 2.97 |
| Regions | 6.47 |
| Santander | 4.48 |
| State Street | 0.00 |
| SunTrust | 7.11 |
| U.S. Bancorp | 5.35 |
| Wells Fargo | 7.88 |
| Zions | 4.21 |
Median = 7.1%
Estimates are for nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.3. Commercial and industrial loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 4.51 |
| American Express | 9.05 |
| Bank of America | 3.91 |
| Bank of NY-Mellon | 3.34 |
| BB&T | 4.12 |
| BBVA | 4.62 |
| BMO | 4.80 |
| Capital One | 7.61 |
| Citigroup | 4.60 |
| Citizens | 3.91 |
| Comerica | 3.02 |
| Deutsche Bank | 9.88 |
| Discover | 14.03 |
| Fifth Third | 4.98 |
| Goldman Sachs | 9.84 |
| HSBC | 3.51 |
| Huntington | 3.96 |
| JPMorgan Chase | 7.53 |
| KeyCorp | 4.03 |
| M&T | 3.76 |
| Morgan Stanley | 7.98 |
| MUFG Americas | 4.78 |
| Northern Trust | 3.98 |
| PNC | 5.65 |
| Regions | 4.76 |
| Santander | 3.61 |
| State Street | 4.79 |
| SunTrust | 4.48 |
| U.S. Bancorp | 7.80 |
| Wells Fargo | 6.68 |
| Zions | 6.85 |
Median = 4.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances. 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 outstanding balances.
Figure D.4. Commercial real estate, domestic loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 5.07 |
| American Express | 0.00 |
| Bank of America | 8.28 |
| Bank of NY-Mellon | 10.32 |
| BB&T | 6.98 |
| BBVA | 12.53 |
| BMO | 7.94 |
| Capital One | 6.44 |
| Citigroup | 9.13 |
| Citizens | 11.34 |
| Comerica | 7.76 |
| Deutsche Bank | 7.86 |
| Discover | 31.64 |
| Fifth Third | 13.18 |
| Goldman Sachs | 6.06 |
| HSBC | 9.62 |
| Huntington | 7.20 |
| JPMorgan Chase | 6.66 |
| KeyCorp | 7.97 |
| M&T | 7.50 |
| Morgan Stanley | 19.71 |
| MUFG Americas | 9.04 |
| Northern Trust | 8.49 |
| PNC | 9.33 |
| Regions | 14.73 |
| Santander | 9.01 |
| State Street | 29.37 |
| SunTrust | 6.91 |
| U.S. Bancorp | 11.02 |
| Wells Fargo | 8.32 |
| Zions | 8.23 |
Median = 8.4%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.5. Credit card loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 0.00 |
| American Express | 9.28 |
| Bank of America | 11.38 |
| Bank of NY-Mellon | 0.00 |
| BB&T | 13.57 |
| BBVA | 14.38 |
| BMO | 10.67 |
| Capital One | 18.45 |
| Citigroup | 14.98 |
| Citizens | 12.55 |
| Comerica | 0.00 |
| Deutsche Bank | 0.00 |
| Discover | 12.66 |
| Fifth Third | 14.31 |
| Goldman Sachs | 0.00 |
| HSBC | 14.66 |
| Huntington | 14.67 |
| JPMorgan Chase | 10.99 |
| KeyCorp | 12.77 |
| M&T | 14.66 |
| Morgan Stanley | 0.00 |
| MUFG Americas | 0.00 |
| Northern Trust | 0.00 |
| PNC | 12.08 |
| Regions | 13.93 |
| Santander | 14.66 |
| State Street | 0.00 |
| SunTrust | 13.87 |
| U.S. Bancorp | 14.66 |
| Wells Fargo | 14.84 |
| Zions | 14.66 |
Median = 14.1%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.6. Other consumer loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 5.15 |
| American Express | 14.28 |
| Bank of America | 2.77 |
| Bank of NY-Mellon | 10.65 |
| BB&T | 6.05 |
| BBVA | 3.97 |
| BMO | 2.79 |
| Capital One | 8.83 |
| Citigroup | 11.92 |
| Citizens | 3.41 |
| Comerica | 7.80 |
| Deutsche Bank | 2.33 |
| Discover | 10.13 |
| Fifth Third | 2.72 |
| Goldman Sachs | 2.67 |
| HSBC | 7.36 |
| Huntington | 3.21 |
| JPMorgan Chase | 3.74 |
| KeyCorp | 8.78 |
| M&T | 6.23 |
| Morgan Stanley | 0.68 |
| MUFG Americas | 14.68 |
| Northern Trust | 13.11 |
| PNC | 3.20 |
| Regions | 5.79 |
| Santander | 17.25 |
| State Street | 0.56 |
| SunTrust | 3.36 |
| U.S. Bancorp | 3.41 |
| Wells Fargo | 6.60 |
| Zions | 11.59 |
Median = 5.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.7. Other loans loss rates in the severely adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 12.73 |
| American Express | 0.00 |
| Bank of America | 2.16 |
| Bank of NY-Mellon | 1.39 |
| BB&T | 2.08 |
| BBVA | 1.54 |
| BMO | 3.67 |
| Capital One | 3.79 |
| Citigroup | 4.12 |
| Citizens | 1.85 |
| Comerica | 6.64 |
| Deutsche Bank | 1.38 |
| Discover | 4.33 |
| Fifth Third | 3.40 |
| Goldman Sachs | 2.02 |
| HSBC | 2.74 |
| Huntington | 2.20 |
| JPMorgan Chase | 4.13 |
| KeyCorp | 2.56 |
| M&T | 2.54 |
| Morgan Stanley | 4.14 |
| MUFG Americas | 4.17 |
| Northern Trust | 3.67 |
| PNC | 1.52 |
| Regions | 2.95 |
| Santander | 3.81 |
| State Street | 2.73 |
| SunTrust | 1.51 |
| U.S. Bancorp | 3.92 |
| Wells Fargo | 3.61 |
| Zions | 5.05 |
Median = 3.2%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.8. First-lien mortgages, domestic loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 4.28 |
| American Express | 0.00 |
| Bank of America | 2.13 |
| Bank of NY-Mellon | 2.08 |
| BB&T | 1.91 |
| BBVA | 1.97 |
| BMO | 2.71 |
| Capital One | 1.54 |
| Citigroup | 3.27 |
| Citizens | 1.94 |
| Comerica | 1.81 |
| Deutsche Bank | 2.81 |
| Discover | 3.85 |
| Fifth Third | 3.68 |
| Goldman Sachs | 3.84 |
| HSBC | 9.96 |
| Huntington | 2.21 |
| JPMorgan Chase | 2.53 |
| KeyCorp | 3.35 |
| M&T | 2.84 |
| Morgan Stanley | 0.99 |
| MUFG Americas | 1.90 |
| Northern Trust | 2.57 |
| PNC | 1.01 |
| Regions | 3.96 |
| Santander | 3.63 |
| State Street | 0.00 |
| SunTrust | 3.27 |
| U.S. Bancorp | 1.75 |
| Wells Fargo | 1.81 |
| Zions | 0.44 |
Median = 2.5%
Estimates are for nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.9. Junior liens and HELOCs, domestic loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 5.28 |
| American Express | 0.00 |
| Bank of America | 5.94 |
| Bank of NY-Mellon | 6.27 |
| BB&T | 2.31 |
| BBVA | 5.20 |
| BMO | 3.02 |
| Capital One | 5.61 |
| Citigroup | 7.31 |
| Citizens | 5.45 |
| Comerica | 3.05 |
| Deutsche Bank | 5.95 |
| Discover | 12.91 |
| Fifth Third | 4.33 |
| Goldman Sachs | 5.60 |
| HSBC | 19.15 |
| Huntington | 3.40 |
| JPMorgan Chase | 6.02 |
| KeyCorp | 3.30 |
| M&T | 4.65 |
| Morgan Stanley | 5.60 |
| MUFG Americas | 1.80 |
| Northern Trust | 9.15 |
| PNC | 1.83 |
| Regions | 4.79 |
| Santander | 3.16 |
| State Street | 0.00 |
| SunTrust | 5.50 |
| U.S. Bancorp | 3.52 |
| Wells Fargo | 4.99 |
| Zions | 2.59 |
Median = 5.2%
Estimates are for nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.10. Commercial and industrial loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 2.76 |
| American Express | 6.53 |
| Bank of America | 2.27 |
| Bank of NY-Mellon | 1.95 |
| BB&T | 2.63 |
| BBVA | 2.78 |
| BMO | 2.84 |
| Capital One | 5.02 |
| Citigroup | 2.97 |
| Citizens | 2.32 |
| Comerica | 1.70 |
| Deutsche Bank | 5.63 |
| Discover | 10.62 |
| Fifth Third | 2.99 |
| Goldman Sachs | 5.48 |
| HSBC | 1.95 |
| Huntington | 2.54 |
| JPMorgan Chase | 4.57 |
| KeyCorp | 2.23 |
| M&T | 2.52 |
| Morgan Stanley | 4.44 |
| MUFG Americas | 2.66 |
| Northern Trust | 2.21 |
| PNC | 3.43 |
| Regions | 2.79 |
| Santander | 2.18 |
| State Street | 2.56 |
| SunTrust | 2.53 |
| U.S. Bancorp | 5.00 |
| Wells Fargo | 4.35 |
| Zions | 4.23 |
Median = 2.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances. 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 outstanding balances.
Figure D.11. Commercial real estate, domestic loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 2.80 |
| American Express | 0.00 |
| Bank of America | 4.72 |
| Bank of NY-Mellon | 5.90 |
| BB&T | 4.16 |
| BBVA | 7.19 |
| BMO | 4.91 |
| Capital One | 3.93 |
| Citigroup | 5.10 |
| Citizens | 6.59 |
| Comerica | 4.44 |
| Deutsche Bank | 4.47 |
| Discover | 18.35 |
| Fifth Third | 7.76 |
| Goldman Sachs | 3.45 |
| HSBC | 5.27 |
| Huntington | 4.49 |
| JPMorgan Chase | 3.63 |
| KeyCorp | 4.82 |
| M&T | 4.63 |
| Morgan Stanley | 10.82 |
| MUFG Americas | 4.88 |
| Northern Trust | 4.97 |
| PNC | 5.46 |
| Regions | 8.92 |
| Santander | 5.30 |
| State Street | 17.01 |
| SunTrust | 4.11 |
| U.S. Bancorp | 6.35 |
| Wells Fargo | 4.77 |
| Zions | 4.68 |
Median = 4.9%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.12. Credit card loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 0.00 |
| American Express | 7.18 |
| Bank of America | 9.04 |
| Bank of NY-Mellon | 0.00 |
| BB&T | 10.76 |
| BBVA | 11.92 |
| BMO | 8.48 |
| Capital One | 15.14 |
| Citigroup | 12.06 |
| Citizens | 10.28 |
| Comerica | 0.00 |
| Deutsche Bank | 0.00 |
| Discover | 10.08 |
| Fifth Third | 10.89 |
| Goldman Sachs | 0.00 |
| HSBC | 11.92 |
| Huntington | 11.92 |
| JPMorgan Chase | 8.66 |
| KeyCorp | 10.14 |
| M&T | 11.92 |
| Morgan Stanley | 0.00 |
| MUFG Americas | 0.00 |
| Northern Trust | 0.00 |
| PNC | 9.55 |
| Regions | 11.00 |
| Santander | 11.92 |
| State Street | 0.00 |
| SunTrust | 10.73 |
| U.S. Bancorp | 11.80 |
| Wells Fargo | 11.96 |
| Zions | 11.92 |
Median = 10.9%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.13. Other consumer loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 3.70 |
| American Express | 12.22 |
| Bank of America | 2.03 |
| Bank of NY-Mellon | 8.63 |
| BB&T | 4.17 |
| BBVA | 2.99 |
| BMO | 2.21 |
| Capital One | 6.51 |
| Citigroup | 10.32 |
| Citizens | 2.70 |
| Comerica | 6.37 |
| Deutsche Bank | 1.98 |
| Discover | 8.74 |
| Fifth Third | 1.98 |
| Goldman Sachs | 2.25 |
| HSBC | 6.44 |
| Huntington | 2.35 |
| JPMorgan Chase | 2.98 |
| KeyCorp | 7.10 |
| M&T | 4.32 |
| Morgan Stanley | 0.65 |
| MUFG Americas | 11.86 |
| Northern Trust | 10.35 |
| PNC | 2.60 |
| Regions | 4.38 |
| Santander | 13.19 |
| State Street | 0.56 |
| SunTrust | 2.47 |
| U.S. Bancorp | 2.46 |
| Wells Fargo | 5.10 |
| Zions | 9.29 |
Median = 4.2%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Figure D.14. Other loans loss rates in the adverse scenario
Percent
| Bank Holding Company | Total Loss Rates |
|---|---|
| Ally | 7.14 |
| American Express | 0.00 |
| Bank of America | 1.26 |
| Bank of NY-Mellon | 0.89 |
| BB&T | 1.18 |
| BBVA | 0.93 |
| BMO | 2.06 |
| Capital One | 1.99 |
| Citigroup | 2.43 |
| Citizens | 0.96 |
| Comerica | 3.43 |
| Deutsche Bank | 0.80 |
| Discover | 2.28 |
| Fifth Third | 2.17 |
| Goldman Sachs | 1.28 |
| HSBC | 1.46 |
| Huntington | 1.26 |
| JPMorgan Chase | 2.31 |
| KeyCorp | 1.49 |
| M&T | 1.46 |
| Morgan Stanley | 2.41 |
| MUFG Americas | 2.27 |
| Northern Trust | 1.98 |
| PNC | 0.88 |
| Regions | 1.80 |
| Santander | 2.17 |
| State Street | 1.72 |
| SunTrust | 0.90 |
| U.S. Bancorp | 2.35 |
| Wells Fargo | 2.02 |
| Zions | 2.95 |
Median = 1.8%
Note: Estimates are for the nine-quarter period from 2014:Q4-2016:Q4 as a percent of average balances.
Last update: March 31, 2015