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Comprehensive Capital Analysis and Review 2015:
Assessment Framework and Results, March 2015

Requirements in CCAR 2015

In November 2011, the Federal Reserve issued the capital plan rule and began requiring BHCs with consolidated assets of $50 billion or more to submit annual capital plans to the Federal Reserve for review.4 For the CCAR 2015 exercise, the Federal Reserve issued instructions on October 17, 2014,5 and received capital plans from 31 BHCs on January 5, 2015.6

The capital plan rule specifies four mandatory elements of a capital plan:7

  1. an assessment of the expected uses and sources of capital over the planning horizon that reflects the BHC's size, complexity, risk profile, and scope of operations, assuming both expected and stressful conditions, including
    1. estimates of projected revenues, losses, reserves, and pro forma capital levels and capital ratios (including the minimum regulatory capital ratios and the tier 1 common ratio) over the planning horizon under baseline conditions, supervisory stress scenarios, and at least one stress scenario developed by the BHC appropriate to its business model and portfolios;
    2. a discussion of how the company will maintain all minimum regulatory capital ratios and a pro forma tier 1 common ratio above 5 percent under expected conditions and the stressed scenarios;
    3. a discussion of the results of the stress tests required by law or regulation, and an explanation of how the capital plan takes these results into account; and
    4. a description of all planned capital actions over the planning horizon;
  2. a detailed description of the BHC's process for assessing capital adequacy;
  3. the BHC's capital policy; and
  4. a discussion of any baseline changes to the BHC's business plan that are likely to have a material impact on the BHC's capital adequacy or liquidity.

In CCAR 2015, BHCs were required to reflect the transition arrangements and minimum capital requirements of the revised regulatory capital framework that are applicable in each quarter of the nine-quarter planning horizon in their estimates of pro forma capital levels and capital ratios.8 (See box 2 for more on the incorporation of the regulatory capital framework into CCAR).

Box 2. Incorporation of Revised Regulatory Capital Framework into CCAR

The Board revised its regulatory capital framework in 2013 to address shortcomings in capital requirements that became apparent during the financial crisis.1 These revisions introduced a common equity tier 1 ratio and increased the quantity and quality of capital that banking organizations are required to hold. The revisions are being phased in from 2014 until 2019. In light of the transition arrangements, each BHC generally must meet the regulatory capital requirements for each projected quarter of the planning horizon in accordance with the capital requirements that will be in effect during that quarter.

The applicable transition arrangements vary depending on whether a BHC is an "advanced approaches BHC," which is defined as a BHC that has total consolidated assets greater than or equal to $250 billion, or total consolidated on-balance sheet foreign exposures of at least $10 billion (see table A). Specifically, advanced approaches BHCs became subject to the common equity tier 1 ratio and an increased tier 1 capital ratio in 2014, while all other BHCs became subject to these requirements beginning in 2015.2

Table A. CCAR 2015 BHCs and applicable minimum capital ratios
Advanced approaches BHCs in CCAR 2015
American Express Company Bank of America Corporation The Bank of New York Mellon Corporation Capital One Financial Corporation
Citigroup Inc. The Goldman Sachs Group, Inc. HSBC North America Holdings Inc. JPMorgan Chase & Co
Morgan Stanley Northern Trust Corporation The PNC Financial Services Group, Inc. State Street Corporation
U.S. Bancorp Wells Fargo & Co.    
Other BHCs for CCAR 2015
Ally Financial Inc. BB&T Corporation BBVA Compass Bancshares, Inc. BMO Financial Corp.
Citizens Financial Group, Inc. Comerica Incorporated Deutsche Bank Trust Corporation Discover Financial Services
Fifth Third Bancorp Huntington Bancshares Incorporated KeyCorp M&T Bank Corporation
MUFG Americas Holdings Corporation Regions Financial Corporation Santander Holdings USA, Inc. SunTrust Banks, Inc.
Zions Bancorporation      
Minimum capital ratios in CCAR 2015
  2014:Q4
Advanced approaches BHCs		 2014:Q4
Other BHCs		 2015-16
All BHCs
Tier 1 common ratio 5 percent 5 percent 5 percent
Common equity tier 1 ratio 4 percent Not applicable 4.5 percent
Tier 1 risk-based capital ratio 5.5 percent 4 percent 6 percent
Total risk-based capital ratio 8 percent 8 percent 8 percent
Tier 1 leverage ratio 4 percent 3 or 4 percent 4 percent

Note: For purposes of CCAR 2015, 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, 2014. See 12 CFR 217.100(b)(1). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC.
The tier 1 common ratio is calculated using the definitions of tier 1 capital and total risk-weighted assets in 12 CFR part 225, appendixes A and E. All other ratios are calculated in accordance with the transition arrangements provided in the Board's revised regulatory capital framework. See 12 CFR 217.

1. See 78 FR 62018 (October 11, 2013); 12 CFR part 217. Return to text

2. No BHCs used the advanced approaches to calculate risk-weighted assets in CCAR 2015. See 12 CFR 225.8(c)(3)(i). Return to text

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References

4. See 12 CFR 225.8. Asset size is measured over the previous four calendar quarters as reported on the FR Y-9C regulatory report. If a BHC has not filed the FR Y-9C for each of the four most recent consecutive quarters, average total consolidated assets means the average of the company's total consolidated assets, as reported on the company's FR Y-9C, for the most recent quarter or consecutive quarters. Return to text

5. See Board of Governors of the Federal Reserve System (2014), "Comprehensive Capital Analysis and Review 2015: Summary Instructions and Guidance" (Washington: Board of Governors, October), www.federalreserve.gov/newsevents/press/bcreg/bcreg20141017a1.pdf. Return to text

6. The BHCs that participated in CCAR 2015 are Ally Financial Inc.; American Express Company; Bank of America Corporation; The Bank of New York Mellon Corporation; BB&T Corporation; BBVA Compass Bancshares, Inc.; BMO Financial Corp.; Capital One Financial Corporation; Citigroup Inc.; Citizens Financial Group, Inc.; Comerica Incorporated; Deutsche Bank Trust Corporation; Discover Financial Services; Fifth Third Bancorp.; The Goldman Sachs Group, Inc.; HSBC North America Holdings Inc.; Huntington Bancshares Incorporated; JPMorgan Chase & Co.; KeyCorp; M&T Bank Corporation; Morgan Stanley; MUFG Americas Holdings Corporation; Northern Trust Corporation; The PNC Financial Services Group, Inc.; Regions Financial Corporation; Santander Holdings USA, Inc.; State Street Corporation; SunTrust Banks, Inc.; U.S. Bancorp.; Wells Fargo & Co.; and Zions Bancorporation. Return to text

7. See 12 CFR 225.8(e)(2). Return to text

8. As of the third quarter of 2014, MUFG Americas Holdings Corporation was an advanced approaches BHC because it had opted into the advanced approaches rule, even though it did not meet the rule's numerical thresholds. In December 2014, the Board approved the MUFG's request to no longer use the advanced approaches rule, and the BHC ceased to qualify as an advanced approaches BHC. Accordingly, for all projected quarters of CCAR 2015, the BHC was treated as a non-advanced approaches BHC for purposes of calculating capital levels and ratios. Return to text

Last update: March 18, 2015

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