Board of Governors of the Federal Reserve System

Figure 1. Distributions of Shock Magnitudes Based on 2013–2019 DFAST Adverse Scenario Projections

This is a histogram chart titled “Figure 1: Distributions of Shock Magnitudes Based on 2013–2019 DFAST Adverse Scenario Projections.” The x-axis is labeled “Percentage drop in leverage ratio” and ranges from -10 to 36.66. The y-axis is labeled “Frequency” and ranges from 0 to 14. The histogram features two series, minimum shock and maximum shock. The minimum shock series, which is gray, begins on the leftmost side of the graph and features 5 bars. The first bar is gray and has a frequency of 2 and ranges from -10 to -3.33. The second bar is also gray and has a frequency of 8 and ranges from -3.33 to 3.33 on the x-axis. The third bar, which is a solid gray section on top of a gray and blue diagonal line section, has a frequency of 13 and ranges from 3.33 to 10 on the x-axis. The fourth bar, which is filled with gray and blue diagonal lines as it overlaps with the maximum shock series, has a frequency of 4 and ranges from 10 to 16.66 on the x-axis. The final bar, which is also gray and blue diagonal lines, has a frequency of 1 and ranges from 16.66 to 23.33.The maximum shock series, which is blue, has 5 bars. The first bar, which is gray and blue diagonal lines, goes from 3.33 to 10 and has a frequency of 5. The second bar, which is made a solid blue section on top of a gray and blue diagonal lines section, goes from 10 to 16.66 and has a frequency of 6. The third bar, which is solid blue, goes from 16.66 to 23.33 and has a frequency of 8. The fourth bar which is also solid blue goes from 23.66 to 30 and has a height of 6. The fifth bar is also blue and ranges from 30 to 36.66 and has a frequency of 3.

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Figure 2. Aggregate Fire-Sale Vulnerabilities using 2013–2019 Post-Stress Outcomes of DFAST Firms

This is a line chart titled Aggregate Fire Sale Vulnerabilities using 2013-2019 Post-Stress Outcomes of DFAST Firms. The x-axis is time and ranges from 2009 to 2019Q4. The y-axis is labeled “Percent of System Equity” and ranges from 0 to 60. The first line is labeled “Maximum % Drop in 2013-2019 DFASTs”. It starts around 50 percent in 2009 and increases to its maximum point of about 55 percent in 2010:Q1. The line then decreases steadily until 2016 to about 30 percent. It stays around this level until 2018:Q3. It then increases to around 31 percent in 2018:Q4 and then declines after that, ending at 28 percent in 2019:Q4. The second line a think gray line labeled “Minimum % Drop in 2013-2019 DFASTs”. It starts in 2009 at 13 percent. It increases slightly through 2010:Q1 to about 15 percent. From there, it decreases steadily until 2015:Q1 to 7 percent. It stays around this value until 2019:Q3 and then it decreases slightly to end at 6.5 percent in 2019:Q4. The third line is a dashed black line labeled “% Drop in 2019 DFAST” that starts in 2009 at about 13 percent, a little bit higher than the “Minimum % Drop in 2013-2019 DFASTs” line. It then increases slightly to about 15 percent in 2010:Q1 and then declines steadily until 2015:Q1 to 7 percent. It stays around this value until 2019:Q3 and then decreases to about 6.3 percent, which is just below the “Minimum % Drop in 2013-2019 DFASTs” line.

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Figure 3. Unused Credit Lines and Exposure at Default of Unused Credit Lines as a Share of Total Assets, 2019:Q4

This is a box-and-whisker chart titled “Unused Credit Lines and Exposure at Default of Unused Credit Lines as a Share of Total Assets, 2019 Q4. The y-axis is the share of total assets and ranges from 0 to 0.4. The red, leftmost box-and-whisker is labeled “Undrawn Lines”. Its 95th percentile value is 0.3267, the 75th percentile is 0.2461, the median is 0.1685, the 25th percentile is 0.1061, and the 5th percentile is 0.0642. The blue, leftmost box-and-whisker is labeled “Exposure at Default of Undrawn Lines”. Its 95th percentile value is 0.2327, the 75th percentile is 0.1753, the median is 0.1201, the 25th percentile is 0.0756, and the 5th percentile is 0.0457.

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Figure 4. Aggregate Fire-Sale Vulnerabilities Assuming Simultaneous Draws on Credit Lines

This is a line and bar chart titled “Aggregate Fire Sale Vulnerabilities Assuming Simultaneous Runs on Credit Lines.” The x-axis is time and is from 2013:Q1 to 2019:Q4. The left y-axis is the Percent of System Equity and ranges from 0 to 45. The right y-axis is the Percent of Total Assets and ranges from 6 to 13. The black line is labeled as “1% Asset Price Shock + Simultaneous Drawdowns” and its values correspond to the left axis. It begins at 34 percent and decreases steadily to about 25 percent in 2014:Q4. It stays around this level until 2017:Q3, then it increase to 28 percent 2018:Q4. It stays near that level until 2019:Q3 and decreases to 26 percent in 2019:Q4. The black dashed line is “1% Asset Price Shock” and corresponds to the left axis. It begins in 2013 at 20 percent and steadily declines until 2015:Q4, reaching about 12 percent. It remains near this level until 2017:Q4. It then gradually increases until 2019:Q3 to about 15 percent before declining slightly to 14 percent in 2019:Q4. The light gray bars represent the “Exposure at Default on Undrawn Credit Lines” and correspond to the right axis. The series begins in 2013 at about 8.5 percent and steadily increases until 2015:Q4 to 10.5 percent. It then declines the following two quarters, to about 10 percent before increasing the following two quarters to 11 percent in 2016:Q4. The series then declines mildly until 2017:Q3 before increasing again to 11.5 percent in 2018:Q3. It then declines to about 11 percent in Q4, where it remains for the next 3 quarters before increasing again to end at 11.5 percent in 2019:Q4.

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