Dodd-Frank Act Stress Test 2013: Supervisory Stress Test
Methodology and Results
Print- Federal Reserve Supervisory Stress Test Framework and Model Methodology
- Federal Reserve Supervisory Stress Test Results
- Appendix A: Severely Adverse Scenario
- Appendix B: Models to Project Net Income and Stressed Capital
- Appendix C: BHC-Specific Results
Appendix C: BHC-Specific Results
- Table C.1. Ally Financial Inc.
- Table C.2. American Express Company
- Table C.3. Bank of America Corporation
- Table C.4. The Bank of New York Mellon Corporation
- Table C.5. BB&T Corporation
- Table C.6. Capital One Financial Corporation
- Table C.7. Citigroup Inc.
- Table C.8. Fifth Third Bancorp
- Table C.9. The Goldman Sachs Group, Inc.
- Table C.10. JPMorgan Chase & Co.
- Table C.11. KeyCorp
- Table C.12. Morgan Stanley
- Table C.13. The PNC Financial Services Group, Inc.
- Table C.14. Regions Financial Corporation
- Table C.15. State Street Corporation
- Table C.16. SunTrust Banks, Inc.
- Table C.17. U.S. Bancorp
- Table C.18. Wells Fargo & Company
Table C.1. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Ally Financial Inc.
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 7.3 | 1.5 | 1.5 |
| Tier 1 capital ratio (%) | 13.6 | 11.0 | 11.0 |
| Total risk-based capital ratio (%) | 14.6 | 12.6 | 12.6 |
| Tier 1 leverage ratio (%) | 11.3 | 9.4 | 9.4 |
Note: The post-stress capital ratios presented in the table are based on an assumption that Ally remains subject to contingent liabilities associated with Residential Capital, LLC ("ResCap"). On May 14, 2012, ResCap and certain of its subsidiaries filed for relief under Chapter 11 of the Bankruptcy Code in the United States Bankruptcy Court for the Southern District of New York. As of March 6, 2013, the outcome of the ResCap bankruptcy remained pending.
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | -3.7 | -2.8 |
| Other revenue 3 | 0.3 | |
| less | ||
| Provisions | 5.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.7 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -9.3 | -7.1 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 4.5 | 5.2 |
| First-lien mortgages, domestic | 0.3 | 6.0 |
| Junior liens and HELOCs, domestic | 0.2 | 9.3 |
| Commercial and industrial | 1.4 | 5.2 |
| Commercial real estate, domestic | 0.1 | 6.5 |
| Credit cards | 0.0 | 0.0 |
| Other consumer | 2.4 | 4.9 |
| Other loans | 0.0 | 1.8 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.2. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario American Express Company
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 12.7 | 11.3 | 11.1 |
| Tier 1 capital ratio (%) | 12.7 | 11.3 | 11.1 |
| Total risk-based capital ratio (%) | 14.7 | 13.4 | 13.2 |
| Tier 1 leverage ratio (%) | 10.7 | 9.5 | 8.9 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 15.4 | 11.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 14.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.4 | |
| equals | ||
| Net income before taxes | 0.8 | 0.6 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 10.7 | 11.2 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 0.0 |
| Commercial and industrial | 2.6 | 9.4 |
| Commercial real estate, domestic | 0.0 | 0.0 |
| Credit cards | 8.0 | 12.0 |
| Other consumer | 0.0 | 0.0 |
| Other loans | 0.0 | 4.5 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.3. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Bank of America Corporation
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 11.4 | 6.9 | 6.8 |
| Tier 1 capital ratio (%) | 13.6 | 8.5 | 8.5 |
| Total risk-based capital ratio (%) | 17.2 | 11.6 | 11.6 |
| Tier 1 leverage ratio (%) | 7.8 | 5.4 | 5.4 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 24.1 | 1.3 |
| Other revenue 3 | 1.0 | |
| less | ||
| Provisions | 49.7 | |
| Realized losses/gains on securities (AFS/HTM) | 0.5 | |
| Trading and counterparty losses 4 | 14.1 | |
| Other losses/gains 5 | 12.5 | |
| equals | ||
| Net income before taxes | -51.8 | -2.7 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 57.5 | 6.9 |
| First-lien mortgages, domestic | 15.3 | 5.9 |
| Junior liens and HELOCs, domestic | 9.4 | 10.0 |
| Commercial and industrial | 8.5 | 5.1 |
| Commercial real estate, domestic | 4.7 | 8.6 |
| Credit cards | 15.3 | 16.2 |
| Other consumer | 3.0 | 4.3 |
| Other loans | 1.3 | 1.3 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.4. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario The Bank of New York Mellon Corporation
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 13.3 | 15.9 | 13.2 |
| Tier 1 capital ratio (%) | 15.3 | 17.1 | 14.8 |
| Total risk-based capital ratio (%) | 16.9 | 17.9 | 16.0 |
| Tier 1 leverage ratio (%) | 5.6 | 5.9 | 5.1 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 6.8 | 2.1 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 1.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.2 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | 5.5 | 1.6 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 1.2 | 2.7 |
| First-lien mortgages, domestic | 0.4 | 6.7 |
| Junior liens and HELOCs, domestic | 0.0 | 12.8 |
| Commercial and industrial | 0.1 | 3.5 |
| Commercial real estate, domestic | 0.1 | 7.7 |
| Credit cards | 0.0 | 0.0 |
| Other consumer | 0.0 | 0.5 |
| Other loans | 0.5 | 1.7 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.5. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario BB&T Corporation
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 9.5 | 9.4 | 9.4 |
| Tier 1 capital ratio (%) | 10.9 | 11.2 | 11.2 |
| Total risk-based capital ratio (%) | 14.0 | 13.4 | 13.4 |
| Tier 1 leverage ratio (%) | 7.9 | 8.3 | 7.9 |
Note: The actual and post-stress capital ratios presented in the table are based on information that BB&T provided to the Federal Reserve in regulatory reports on or before February 6, 2013. The information that BB&T provided to the Federal Reserve includes information regarding BB&T's risk-weighted assets. On March 4, 2013, BB&T disclosed publicly that it had reevaluated its process related to calculating risk-weighted assets and determined that certain adjustments, primarily related to the presentation of certain unfunded lending commitments, were required in order to conform to regulatory guidance. These adjustments resulted in an increase to risk-weighted assets and a decrease in BB&T's risk-based capital ratios and are not reflected in this table.
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 7.1 | 4.1 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 6.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.1 | |
| equals | ||
| Net income before taxes | 0.6 | 0.3 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 5.9 | 5.5 |
| First-lien mortgages, domestic | 0.9 | 2.8 |
| Junior liens and HELOCs, domestic | 0.4 | 6.1 |
| Commercial and industrial | 1.1 | 7.2 |
| Commercial real estate, domestic | 2.1 | 7.1 |
| Credit cards | 0.3 | 16.6 |
| Other consumer | 0.9 | 7.0 |
| Other loans | 0.3 | 3.0 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.6. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Capital One Financial Corporation
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 10.7 | 7.4 | 7.4 |
| Tier 1 capital ratio (%) | 12.7 | 7.8 | 7.8 |
| Total risk-based capital ratio (%) | 15.0 | 10.1 | 10.1 |
| Tier 1 leverage ratio (%) | 9.9 | 5.7 | 5.7 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 18.7 | 6.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 26.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.3 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -8.0 | -2.9 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 23.6 | 13.2 |
| First-lien mortgages, domestic | 1.4 | 3.8 |
| Junior liens and HELOCs, domestic | 0.5 | 21.1 |
| Commercial and industrial | 1.5 | 8.9 |
| Commercial real estate, domestic | 0.9 | 4.8 |
| Credit cards | 16.4 | 22.2 |
| Other consumer | 2.7 | 11.8 |
| Other loans | 0.1 | 1.8 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.7. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Citigroup Inc.
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 12.7 | 8.9 | 8.3 |
| Tier 1 capital ratio (%) | 13.9 | 9.8 | 9.3 |
| Total risk-based capital ratio (%) | 17.1 | 12.9 | 12.5 |
| Tier 1 leverage ratio (%) | 7.4 | 5.6 | 5.3 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 44.0 | 2.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 49.4 | |
| Realized losses/gains on securities (AFS/HTM) | 4.4 | |
| Trading and counterparty losses 4 | 15.9 | |
| Other losses/gains 5 | 2.7 | |
| equals | ||
| Net income before taxes | -28.6 | -1.6 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 54.6 | 9.2 |
| First-lien mortgages, domestic | 8.8 | 9.4 |
| Junior liens and HELOCs, domestic | 4.5 | 13.4 |
| Commercial and industrial | 7.8 | 6.0 |
| Commercial real estate, domestic | 0.8 | 11.3 |
| Credit cards | 23.3 | 17.9 |
| Other consumer | 6.5 | 16.5 |
| Other loans | 2.9 | 1.8 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.8. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Fifth Third Bancorp
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 9.7 | 8.6 | 8.6 |
| Tier 1 capital ratio (%) | 10.8 | 9.3 | 9.3 |
| Total risk-based capital ratio (%) | 14.8 | 12.4 | 12.4 |
| Tier 1 leverage ratio (%) | 10.1 | 8.8 | 8.8 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.9 | 4.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.1 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -0.3 | -0.2 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 5.3 | 6.3 |
| First-lien mortgages, domestic | 0.7 | 5.4 |
| Junior liens and HELOCs, domestic | 0.9 | 10.4 |
| Commercial and industrial | 1.9 | 6.3 |
| Commercial real estate, domestic | 0.8 | 7.7 |
| Credit cards | 0.4 | 21.6 |
| Other consumer | 0.5 | 3.6 |
| Other loans | 0.2 | 2.4 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.9. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario The Goldman Sachs Group, Inc.
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 13.1 | 8.2 | 5.8 |
| Tier 1 capital ratio (%) | 15.0 | 9.8 | 7.5 |
| Total risk-based capital ratio (%) | 18.1 | 12.8 | 10.4 |
| Tier 1 leverage ratio (%) | 7.2 | 5.6 | 3.9 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 14.4 | 1.7 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.6 | |
| Realized losses/gains on securities (AFS/HTM) | 0.2 | |
| Trading and counterparty losses 4 | 24.9 | |
| Other losses/gains 5 | 7.1 | |
| equals | ||
| Net income before taxes | -20.5 | -2.4 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 2.0 | 5.2 |
| First-lien mortgages, domestic | 0.0 | 7.7 |
| Junior liens and HELOCs, domestic | 0.0 | 9.8 |
| Commercial and industrial | 1.4 | 49.8 |
| Commercial real estate, domestic | 0.1 | 8.2 |
| Credit cards | 0.0 | 0.0 |
| Other consumer | 0.0 | 2.8 |
| Other loans | 0.6 | 1.6 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.10. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario JPMorgan Chase & Co.
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 10.4 | 6.8 | 6.3 |
| Tier 1 capital ratio (%) | 11.9 | 7.9 | 7.4 |
| Total risk-based capital ratio (%) | 14.7 | 10.3 | 9.9 |
| Tier 1 leverage ratio (%) | 7.1 | 4.7 | 4.7 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 45.0 | 2.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 51.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.9 | |
| Trading and counterparty losses 4 | 23.5 | |
| Other losses/gains 5 | 1.6 | |
| equals | ||
| Net income before taxes | -32.3 | -1.4 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 53.9 | 7.7 |
| First-lien mortgages, domestic | 11.3 | 8.8 |
| Junior liens and HELOCs, domestic | 6.7 | 8.8 |
| Commercial and industrial | 11.1 | 8.5 |
| Commercial real estate, domestic | 5.2 | 7.3 |
| Credit cards | 14.8 | 14.4 |
| Other consumer | 2.3 | 3.9 |
| Other loans | 2.6 | 1.9 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.11. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario KeyCorp
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 11.3 | 8.0 | 8.0 |
| Tier 1 capital ratio (%) | 12.1 | 8.6 | 8.6 |
| Total risk-based capital ratio (%) | 15.2 | 11.2 | 11.2 |
| Tier 1 leverage ratio (%) | 11.4 | 8.1 | 8.1 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 2.5 | 3.0 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 4.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.6 | |
| equals | ||
| Net income before taxes | -2.4 | -2.8 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 3.9 | 7.3 |
| First-lien mortgages, domestic | 0.4 | 10.3 |
| Junior liens and HELOCs, domestic | 1.1 | 12.6 |
| Commercial and industrial | 1.0 | 5.8 |
| Commercial real estate, domestic | 0.6 | 7.2 |
| Credit cards | 0.1 | 19.1 |
| Other consumer | 0.4 | 8.8 |
| Other loans | 0.3 | 2.8 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.12. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Morgan Stanley
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 13.9 | 6.4 | 5.7 |
| Tier 1 capital ratio (%) | 16.9 | 8.2 | 7.5 |
| Total risk-based capital ratio (%) | 17.0 | 9.4 | 8.7 |
| Tier 1 leverage ratio (%) | 7.2 | 5.1 | 4.5 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 1.2 | 0.2 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 2.3 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 11.7 | |
| Other losses/gains 5 | 6.7 | |
| equals | ||
| Net income before taxes | -19.4 | -2.9 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 1.6 | 3.1 |
| First-lien mortgages, domestic | 0.1 | 0.6 |
| Junior liens and HELOCs, domestic | 0.0 | 9.5 |
| Commercial and industrial | 1.2 | 7.8 |
| Commercial real estate, domestic | 0.0 | 10.2 |
| Credit cards | 0.0 | 0.0 |
| Other consumer | 0.1 | 1.4 |
| Other loans | 0.1 | 0.8 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.13. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario The PNC Financial Services Group, Inc.
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 9.5 | 8.7 | 8.7 |
| Tier 1 capital ratio (%) | 11.7 | 10.8 | 10.8 |
| Total risk-based capital ratio (%) | 14.5 | 13.4 | 13.4 |
| Tier 1 leverage ratio (%) | 10.4 | 8.7 | 8.7 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 9.8 | 3.2 |
| Other revenue 3 | -0.1 | |
| less | ||
| Provisions | 9.8 | |
| Realized losses/gains on securities (AFS/HTM) | 0.8 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.4 | |
| equals | ||
| Net income before taxes | -1.4 | -0.5 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 10.0 | 5.8 |
| First-lien mortgages, domestic | 1.4 | 6.1 |
| Junior liens and HELOCs, domestic | 1.6 | 6.3 |
| Commercial and industrial | 3.4 | 6.4 |
| Commercial real estate, domestic | 2.0 | 7.3 |
| Credit cards | 0.6 | 15.5 |
| Other consumer | 0.7 | 3.5 |
| Other loans | 0.3 | 1.6 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.14. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Regions Financial Corporation
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 10.5 | 7.5 | 7.5 |
| Tier 1 capital ratio (%) | 11.5 | 8.5 | 8.5 |
| Total risk-based capital ratio (%) | 15.0 | 11.7 | 11.7 |
| Tier 1 leverage ratio (%) | 9.1 | 6.8 | 6.8 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.1 | 2.6 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 5.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.1 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.0 | |
| equals | ||
| Net income before taxes | -2.2 | -1.9 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 5.4 | 7.6 |
| First-lien mortgages, domestic | 1.1 | 8.2 |
| Junior liens and HELOCs, domestic | 0.8 | 8.5 |
| Commercial and industrial | 1.2 | 6.7 |
| Commercial real estate, domestic | 1.7 | 9.7 |
| Credit cards | 0.2 | 18.0 |
| Other consumer | 0.3 | 6.8 |
| Other loans | 0.2 | 2.2 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.15. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario State Street Corporation
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 17.8 | 13.0 | 12.8 |
| Tier 1 capital ratio (%) | 19.8 | 14.5 | 14.4 |
| Total risk-based capital ratio (%) | 21.3 | 16.6 | 16.2 |
| Tier 1 leverage ratio (%) | 7.6 | 7.1 | 6.6 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 3.0 | 1.5 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 0.4 | |
| Realized losses/gains on securities (AFS/HTM) | 0.4 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.7 | |
| equals | ||
| Net income before taxes | 1.5 | 0.8 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 0.3 | 2.0 |
| First-lien mortgages, domestic | 0.0 | 0.0 |
| Junior liens and HELOCs, domestic | 0.0 | 0.0 |
| Commercial and industrial | 0.0 | 0.0 |
| Commercial real estate, domestic | 0.1 | 18.3 |
| Credit cards | 0.0 | 0.0 |
| Other consumer | 0.0 | 0.0 |
| Other loans | 0.2 | 1.5 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.16. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario SunTrust Banks, Inc.
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 9.8 | 7.3 | 7.3 |
| Tier 1 capital ratio (%) | 10.6 | 8.2 | 8.2 |
| Total risk-based capital ratio (%) | 13.0 | 10.4 | 10.4 |
| Tier 1 leverage ratio (%) | 8.5 | 6.5 | 6.5 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 4.6 | 2.8 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 7.9 | |
| Realized losses/gains on securities (AFS/HTM) | 0.0 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.7 | |
| equals | ||
| Net income before taxes | -4.1 | -2.5 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 7.4 | 6.4 |
| First-lien mortgages, domestic | 1.7 | 6.5 |
| Junior liens and HELOCs, domestic | 1.7 | 11.4 |
| Commercial and industrial | 2.1 | 6.2 |
| Commercial real estate, domestic | 1.1 | 9.7 |
| Credit cards | 0.1 | 15.0 |
| Other consumer | 0.5 | 2.6 |
| Other loans | 0.2 | 2.2 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.17. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario U.S. Bancorp
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 9.0 | 8.3 | 8.3 |
| Tier 1 capital ratio (%) | 10.9 | 10.3 | 10.3 |
| Total risk-based capital ratio (%) | 13.3 | 12.3 | 12.3 |
| Tier 1 leverage ratio (%) | 9.2 | 8.7 | 8.7 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 21.2 | 6.2 |
| Other revenue 3 | 0.1 | |
| less | ||
| Provisions | 17.2 | |
| Realized losses/gains on securities (AFS/HTM) | 0.2 | |
| Trading and counterparty losses 4 | 0.0 | |
| Other losses/gains 5 | 0.3 | |
| equals | ||
| Net income before taxes | 3.6 | 1.1 |
1. Average assets are nine-quarter average assets.Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 15.1 | 7.1 |
| First-lien mortgages, domestic | 1.3 | 2.8 |
| Junior liens and HELOCs, domestic | 1.0 | 6.1 |
| Commercial and industrial | 4.3 | 9.5 |
| Commercial real estate, domestic | 3.0 | 8.0 |
| Credit cards | 3.2 | 17.3 |
| Other consumer | 1.6 | 5.4 |
| Other loans | 0.7 | 3.8 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
Table C.18. Dodd-Frank Act stress testing 2013
Projected stressed capital ratios, losses, revenues, net income before taxes, and loan losses, by type of loan
Federal Reserve estimates in the severely adverse scenario Wells Fargo & Company
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 2012 to Q4 2014.
| Actual | Stressed capital ratios | ||
|---|---|---|---|
| Q3 2012 | Q4 2014 | Minimum | |
| Tier 1 common ratio (%) | 9.9 | 7.0 | 7.0 |
| Tier 1 capital ratio (%) | 11.5 | 8.7 | 8.7 |
| Total risk-based capital ratio (%) | 14.5 | 11.4 | 11.2 |
| Tier 1 leverage ratio (%) | 9.4 | 7.0 | 7.0 |
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | 45.9 | 3.3 |
| Other revenue 3 | 0.0 | |
| less | ||
| Provisions | 58.8 | |
| Realized losses/gains on securities (AFS/HTM) | 3.9 | |
| Trading and counterparty losses 4 | 6.9 | |
| Other losses/gains 5 | 2.0 | |
| equals | ||
| Net income before taxes | -25.7 | -1.9 |
1. Average assets are nine-quarter average assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage put-back expenses, and 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 includes mark-to-market losses, changes in credit valuation adjustments, and incremental default losses. 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
| Billions of dollars | Portfolio loss rates (%) | |
|---|---|---|
| Loan losses 1 | 53.8 | 7.1 |
| First-lien mortgages, domestic | 15.3 | 7.1 |
| Junior liens and HELOCs, domestic | 8.4 | 9.3 |
| Commercial and industrial | 9.9 | 6.6 |
| Commercial real estate, domestic | 9.6 | 8.6 |
| Credit cards | 4.4 | 17.7 |
| Other consumer | 5.0 | 5.9 |
| Other loans | 1.2 | 1.6 |
1. Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. 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
