Comprehensive Capital Analysis and Review 2016 Summary Instructions
PrintAppendix C: Templates for Dodd-Frank Act Stress Testing Results 2016
- Table C.1. Projected minimum common equity tier 1 ratio in the severely adverse scenario, 2016:Q1-2018:Q1: All bank holding companies
- Table C.2. Projected minimum common equity tier 1 ratio in the adverse scenario, 2016:Q1-2018:Q1: All bank holding companies
- Table C.3. BHC XYZ, Inc.Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan lossesFederal Reserve estimates: Severely adverse scenario
- Table C.4. BHC XYZ, Inc.Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan lossesFederal Reserve estimates: Adverse scenario
This appendix provides the format that the Federal Reserve will use to disclose the results of the supervisory stress test in accordance with the Dodd-Frank Act stress test rules.
| Bank holding company | Stressed ratios with DFA stress testing capital action assumptions |
|---|---|
| Ally Financial Inc. | |
| American Express Company | |
| BancWest Corporation | |
| 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. | |
| TD Group US Holdings LLC | |
| U.S. Bancorp | |
| Wells Fargo & Company | |
| Zions Bancorporation |
Note: The common equity tier 1 ratio is calculated using the definitions of capital and risk-weighted assets that are in effect during a particular planning horizon quarter. 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 2016:Q1 to 2018:Q1 under the severely adverse scenario.
Source: Federal Reserve estimates in the severely adverse scenario. Stressed ratios with Dodd-Frank Act capital action assumptions through 2018:Q1.
| Bank holding company | Stressed ratios with DFA stress testing capital action assumptions |
|---|---|
| Ally Financial Inc. | |
| American Express Company | |
| BancWest Corporation | |
| 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. | |
| TD Group US Holdings LLC | |
| U.S. Bancorp | |
| Wells Fargo & Company | |
| Zions Bancorporation |
Note: The common equity tier 1 ratio is calculated using the definitions of capital and risk-weighted assets that are in effect during a particular planning horizon quarter. 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 2016:Q1 to 2018:Q1 under the adverse scenario.
Source: Federal Reserve estimates in the adverse scenario. Stressed ratios with Dodd-Frank Act capital action assumptions through 2018:Q1.
Table C.3. BHC XYZ, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Regulatory ratio | Actual 2015:Q4 | Projected stressed capital ratios 1 | |
|---|---|---|---|
| Ending | Minimum | ||
| Common equity tier 1 capital ratio | |||
| Tier 1 risk-based capital ratio | |||
| Total risk-based capital ratio | |||
| Tier 1 leverage ratio | |||
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 2016:Q1 to 2018:Q1. Return to table
| Loan type | Billions of dollars | Portfolio loss rates (percent) 1 |
|---|---|---|
| First-lien mortgages, domestic | ||
| Junior liens and HELOCs, domestic | ||
| Commercial and industrial 2 | ||
| Commercial real estate, domestic | ||
| Credit cards | ||
| Other consumer 3 | ||
| Other loans 4 | ||
| Total projected 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
| Item | Actual 2015:Q4 | Projected 2018:Q1 |
|---|---|---|
| Risk-weighted assets 1 |
1. Risk-weighted assets are calculated under the Basel III standardized capital risk-based approach. Return to table
| Item | Billions of dollars | Percent of average assets 1 |
|---|---|---|
| Pre-provision net revenue 2 | ||
| Other revenue 3 | ||
| less | ||
| Provisions | ||
| Realized losses/gains on securities (AFS/HTM) | ||
| Trading and counterparty losses 4 | ||
| Other losses/gains 5 | ||
| equals | ||
| Net income before taxes | ||
| Memo items | ||
| Other comprehensive income 6 | ||
| Other effects on capital | Actual 2015:Q4 | 2018:Q1 |
| AOCI included in capital (billions of dollars) 7 | ||
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option, and goodwill impairment losses. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, and other BHCs that opt into advanced approaches treatment for AOCI. Return to table
7. Certain aspects of AOCI are subject to transition arrangements for inclusion in projected regulatory capital. The transition arrangements are 40 percent included in projected regulatory capital for 2015, 60 percent included in projected regulatory capital for 2016, 80 percent included in projected regulatory capital for 2017, and 100 percent included in projected regulatory capital for 2018. Return to table
Table C.4. BHC XYZ, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates in the adverse scenario
| Regulatory ratio | Actual 2015:Q4 | Projected stressed capital ratios 1 | |
|---|---|---|---|
| Ending | Minimum | ||
| Common equity tier 1 capital ratio | |||
| Tier 1 risk-based capital ratio | |||
| Total risk-based capital ratio | |||
| Tier 1 leverage ratio | |||
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 2016:Q1 to 2018:Q1. Return to table
| Loan type | Billions of dollars | Portfolio loss rates (percent) 1 |
|---|---|---|
| First-lien mortgages, domestic | ||
| Junior liens and HELOCs, domestic | ||
| Commercial and industrial 2 | ||
| Commercial real estate, domestic | ||
| Credit cards | ||
| Other consumer 3 | ||
| Other loans 4 | ||
| Total projected 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
| Item | Actual 2015:Q4 | Projected 2018:Q1 |
|---|---|---|
| Risk-weighted assets 1 |
1. Risk-weighted assets are calculated under the Basel III standardized capital risk-based approach. Return to table
| Item | Billions of dollars | Percent of average assets 1 |
|---|---|---|
| Pre-provision net revenue 2 | ||
| Other revenue 3 | ||
| less | ||
| Provisions | ||
| Realized losses/gains on securities (AFS/HTM) | ||
| Trading and counterparty losses 4 | ||
| Other losses/gains 5 | ||
| equals | ||
| Net income before taxes | ||
| Memo items | ||
| Other comprehensive income 6 | ||
| Other effects on capital | Actual 2015:Q4 | 2018:Q1 |
| AOCI included in capital (billions of dollars) 7 | ||
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option, and goodwill impairment losses. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, and other BHCs that opt into advanced approaches treatment for AOCI. Return to table
7. Certain aspects of AOCI are subject to transition arrangements for inclusion in projected regulatory capital. The transition arrangements are 40 percent included in projected regulatory capital for 2015, 60 percent included in projected regulatory capital for 2016, 80 percent included in projected regulatory capital for 2017, and 100 percent included in projected regulatory capital for 2018. Return to table
