Board of Governors of the Federal Reserve System

Figure 1. Historical and stressed tier 1 common ratio and common equity tier 1 ratio

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, 2012:Q1-2020:Q1

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, 2012:Q1-2020:Q1

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, 2012:Q1-2020:Q1

Source: Dow Jones and Federal Reserve assumptions in the supervisory scenarios.

Figure 5. National House Price Index in the severely adverse and adverse scenarios, 2012:Q1-2020:Q1

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, 2012:Q1-2020:Q1

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, 2012:Q1-2020:Q1

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 A. Hypothetical revenue projections from the original and enhanced PPNR models

Figure 9. Projected losses in the severely adverse scenario

Figure 10. Change from 2016:Q4 to minimum CET1 ratio in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of risk-weighted assets. Median = 2.8%

Figure 11. Total loan loss rates in the severely adverse scenario

Note: Estimates are for nine quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 5.4%

Figure 12. PPNR rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average assets. Median = 2.6%

Figure 13. Pre-tax net income rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average assets. Median = -0.9%

Figure 14. Projected losses in the adverse scenario

Figure 15. Change from 2016:Q4 to minimum CET1 ratio in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of risk-weighted assets. Median = 1.2%

Figure 16. Total loan loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 3.6%

Figure 17. PPNR Rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average assets. Median = 3.2%

Figure 18. Pre-tax net income in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average assets. Median = 1.2%

Figure D.1. First-lien mortgages domestic loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 2.2.%

Figure D.2. Junior liens and HELOCs domestic loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 4.5%

Figure D.3. Commercial and industrial loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 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. Median = 6.0%

Figure D.4. Commercial real estate domestic loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 7.4%

Figure D.5. Credit card loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 13.5%

Figure D.6. Other consumer loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 6.3%

Figure D.7. Other loans loss rates in the severely adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 3.5%

Figure D.8. First-lien mortgages domestic loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 1.4%

Figure D.9. Junior liens and HELOCs domestic loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 3.1%

Figure D.10. Commercial and industrial loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 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. Median = 3.8%

Figure D.11. Commercial real estate domestic loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 3.5%

Figure D.12. Credit card loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 10.5%

Figure D.13. Other consumer loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 4.4%

Figure D.14. Other loans loss rates in the adverse scenario

Note: Estimates are for the nine-quarter period from 2017:Q1-2019:Q1 as a percent of average balances. Median = 2.2%