Accessible Versions
Figure 1. Aggregate common equity capital ratio
Percent
| Date | Basel I (DF21) | Basel III (DF21) |
|---|---|---|
| 2009:Q1 | 5 | |
| 2009:Q2 | 6 | |
| 2009:Q3 | 8 | |
| 2009:Q4 | 8 | |
| 2010:Q1 | 8 | |
| 2010:Q2 | 9 | |
| 2010:Q3 | 9 | |
| 2010:Q4 | 9 | |
| 2011:Q1 | 10 | |
| 2011:Q2 | 10 | |
| 2011:Q3 | 10 | |
| 2011:Q4 | 10 | |
| 2012:Q1 | 11 | |
| 2012:Q2 | 11 | |
| 2012:Q3 | 11 | |
| 2012:Q4 | 11 | |
| 2013:Q1 | 11 | |
| 2013:Q2 | 11 | |
| 2013:Q3 | 11 | |
| 2013:Q4 | 11 | |
| 2014:Q1 | 12 | |
| 2014:Q2 | 12 | |
| 2014:Q3 | 12 | |
| 2014:Q4 | 13 | |
| 2015:Q1 | 12 | 12 |
| 2015:Q2 | 12 | |
| 2015:Q3 | 12 | |
| 2015:Q4 | 12 | |
| 2016:Q1 | 12 | |
| 2016:Q2 | 12 | |
| 2016:Q3 | 13 | |
| 2016:Q4 | 13 | |
| 2017:Q1 | 13 | |
| 2017:Q2 | 13 | |
| 2017:Q3 | 13 | |
| 2017:Q4 | 12 | |
| 2018:Q1 | 12 | |
| 2018:Q2 | 12 | |
| 2018:Q3 | 12 | |
| 2018:Q4 | 12 | |
| 2019:Q1 | 12 | |
| 2019:Q2 | 12 | |
| 2019:Q3 | 12 | |
| 2019:Q4 | 12 | |
| 2020:Q1 | 12 | |
| 2020:Q2 | 12 | |
| 2020:Q3 | 13 | |
| 2020:Q4 | 13 |
Note: The Federal Reserve’s evaluation of a firm’s common equity capital was initially measured using a tier 1 common capital ratio but now is evaluated using a common equity tier 1 capital ratio, which was introduced into the regulatory capital framework with the implementation of Basel III to replace Basel I. Not all of the 23 firms included in DFAST 2021 reported data for all periods since 2009.
Source: FR Y-9C.
Figure 2: Aggregate maximum decline in stressed common equity tier 1 ratio, severely adverse scenario
Percent
| Period | Severely Adverse |
|---|---|
| DFAST 2019 | -2.3 |
| DFAST 2020 | -2.1 |
| December 2020 | -2.5 |
| DFAST 2021 | -2.4 |
Note:The bar represents the aggregate maximum common equity tier 1 (CET1) ratio decline of the firms subject to each stress test. The value for DFAST 2019 is an estimate of the CET1 ratio decline had the stress capital buffer rule been in place at that time. For purposes of this figure, the DFAST 2019 value assumes:(1) a constant level of assets over the projection horizon, (2) no common dividend payments, (3) no issuances or repurchases of common or preferred stock (except those related to business plan changes), and (4) fully phased-in capital deductions.
Figure 3. Pre-provision net revenue as a percent of average total assets, severely adverse scenario
Percent
| Period | Severely Adverse |
|---|---|
| DFAST 2019 | 2.4 |
| DFAST 2020 | 2.6 |
| December 2020 | 2.0 |
| DFAST 2021 | 1.7 |
Note: Pre-provision net revenue as a percent of average total assets is calculated for all firms subject to the supervisory stress test in each exercise.
Figure 4. Loan loss rates, severely adverse scenario
Percent
| Period | Severely Adverse |
|---|---|
| DFAST 2019 | 5.7 |
| DFAST 2020 | 6.3 |
| December 2020 | 7.7 |
| DFAST 2021 | 6.2 |
Note: Loan loss rates as a percent of average total loan balances is calculated for all firms subject to the supervisory stress test in each exercise.
Figure 5. Unemployment rate in the severely adverse scenario, 2014:Q1–2024:Q1
Percent
| Period | Severely Adverse |
|---|---|
| 2014:Q1 | 6.7 |
| 2014:Q2 | 6.2 |
| 2014:Q3 | 6.1 |
| 2014:Q4 | 5.7 |
| 2015:Q1 | 5.5 |
| 2015:Q2 | 5.4 |
| 2015:Q3 | 5.1 |
| 2015:Q4 | 5.0 |
| 2016:Q1 | 4.9 |
| 2016:Q2 | 4.9 |
| 2016:Q3 | 4.9 |
| 2016:Q4 | 4.8 |
| 2017:Q1 | 4.6 |
| 2017:Q2 | 4.4 |
| 2017:Q3 | 4.3 |
| 2017:Q4 | 4.1 |
| 2018:Q1 | 4.0 |
| 2018:Q2 | 3.9 |
| 2018:Q3 | 3.8 |
| 2018:Q4 | 3.8 |
| 2019:Q1 | 3.9 |
| 2019:Q2 | 3.7 |
| 2019:Q3 | 3.6 |
| 2019:Q4 | 3.6 |
| 2020:Q1 | 3.8 |
| 2020:Q2 | 13.1 |
| 2020:Q3 | 8.8 |
| 2020:Q4 | 6.8 |
| 2021:Q1 | 7.8 |
| 2021:Q2 | 8.6 |
| 2021:Q3 | 9.3 |
| 2021:Q4 | 9.7 |
| 2022:Q1 | 10.1 |
| 2022:Q2 | 10.5 |
| 2022:Q3 | 10.8 |
| 2022:Q4 | 10.2 |
| 2023:Q1 | 9.6 |
| 2023:Q2 | 9.1 |
| 2023:Q3 | 8.5 |
| 2023:Q4 | 8.0 |
| 2024:Q1 | 7.4 |
Source: Bureau of Labor Statistics for historical data and Federal Reserve assumptions for the supervisory scenario.
Figure 6. Real GDP growth rate in the severely adverse scenario, 2014:Q1–2024:Q1
Percent
| Period | Severely Adverse |
|---|---|
| 2014:Q1 | -1.1 |
| 2014:Q2 | 5.5 |
| 2014:Q3 | 5.0 |
| 2014:Q4 | 2.3 |
| 2015:Q1 | 3.9 |
| 2015:Q2 | 2.7 |
| 2015:Q3 | 1.5 |
| 2015:Q4 | 0.6 |
| 2016:Q1 | 2.3 |
| 2016:Q2 | 1.3 |
| 2016:Q3 | 2.2 |
| 2016:Q4 | 2.5 |
| 2017:Q1 | 2.3 |
| 2017:Q2 | 1.7 |
| 2017:Q3 | 2.9 |
| 2017:Q4 | 3.9 |
| 2018:Q1 | 3.8 |
| 2018:Q2 | 2.7 |
| 2018:Q3 | 2.1 |
| 2018:Q4 | 1.3 |
| 2019:Q1 | 2.9 |
| 2019:Q2 | 1.5 |
| 2019:Q3 | 2.6 |
| 2019:Q4 | 2.4 |
| 2020:Q1 | -5.0 |
| 2020:Q2 | -31.4 |
| 2020:Q3 | 33.4 |
| 2020:Q4 | 3.7 |
| 2021:Q1 | -5.5 |
| 2021:Q2 | -4.0 |
| 2021:Q3 | -3.3 |
| 2021:Q4 | -1.0 |
| 2022:Q1 | -1.0 |
| 2022:Q2 | -1.0 |
| 2022:Q3 | -0.2 |
| 2022:Q4 | 6.7 |
| 2023:Q1 | 6.7 |
| 2023:Q2 | 6.7 |
| 2023:Q3 | 6.7 |
| 2023:Q4 | 6.7 |
| 2024:Q1 | 6.7 |
Source: Bureau of Economic Analysis for historical data and Federal Reserve assumptions for the supervisory scenario.
Figure 7. Dow Jones Total Stock Market Index, 2014:Q1–2024:Q1
Percent
| Period | Severely Adverse |
|---|---|
| 2014:Q1 | 19711.2 |
| 2014:Q2 | 20568.7 |
| 2014:Q3 | 20458.8 |
| 2014:Q4 | 21424.6 |
| 2015:Q1 | 21707.6 |
| 2015:Q2 | 21630.9 |
| 2015:Q3 | 19959.3 |
| 2015:Q4 | 21100.9 |
| 2016:Q1 | 21179.4 |
| 2016:Q2 | 21621.5 |
| 2016:Q3 | 22468.6 |
| 2016:Q4 | 23276.7 |
| 2017:Q1 | 24508.3 |
| 2017:Q2 | 25125.0 |
| 2017:Q3 | 26148.5 |
| 2017:Q4 | 27673.2 |
| 2018:Q1 | 27383.0 |
| 2018:Q2 | 28313.8 |
| 2018:Q3 | 30189.6 |
| 2018:Q4 | 25724.5 |
| 2019:Q1 | 29193.9 |
| 2019:Q2 | 30243.8 |
| 2019:Q3 | 30441.8 |
| 2019:Q4 | 33035.4 |
| 2020:Q1 | 25984.8 |
| 2020:Q2 | 31576.8 |
| 2020:Q3 | 34305.8 |
| 2020:Q4 | 39219.6 |
| 2021:Q1 | 23194.5 |
| 2021:Q2 | 19178.4 |
| 2021:Q3 | 17649.8 |
| 2021:Q4 | 17711.1 |
| 2022:Q1 | 18626.1 |
| 2022:Q2 | 20672.2 |
| 2022:Q3 | 22090.9 |
| 2022:Q4 | 24004.1 |
| 2023:Q1 | 25976.5 |
| 2023:Q2 | 28166.2 |
| 2023:Q3 | 30648.8 |
| 2023:Q4 | 33456.2 |
| 2024:Q1 | 36631.2 |
Source: Dow Jones for historical data and Federal Reserve assumptions for the supervisory scenario.
Figure 8. National House Price Index in the severely adverse scenario, 2014:Q1–2024:Q1
Percent
| Period | Severely Adverse |
|---|---|
| 2014:Q1 | 160.5 |
| 2014:Q2 | 161.6 |
| 2014:Q3 | 163.7 |
| 2014:Q4 | 166.2 |
| 2015:Q1 | 168.3 |
| 2015:Q2 | 170.3 |
| 2015:Q3 | 172.7 |
| 2015:Q4 | 175.1 |
| 2016:Q1 | 177.3 |
| 2016:Q2 | 179.3 |
| 2016:Q3 | 181.8 |
| 2016:Q4 | 184.7 |
| 2017:Q1 | 187.1 |
| 2017:Q2 | 189.7 |
| 2017:Q3 | 192.7 |
| 2017:Q4 | 195.8 |
| 2018:Q1 | 198.9 |
| 2018:Q2 | 201.2 |
| 2018:Q3 | 203.0 |
| 2018:Q4 | 204.7 |
| 2019:Q1 | 206.5 |
| 2019:Q2 | 208.5 |
| 2019:Q3 | 210.2 |
| 2019:Q4 | 212.5 |
| 2020:Q1 | 215.1 |
| 2020:Q2 | 218.3 |
| 2020:Q3 | 223.2 |
| 2020:Q4 | 225.0 |
| 2021:Q1 | 222.8 |
| 2021:Q2 | 213.3 |
| 2021:Q3 | 206.0 |
| 2021:Q4 | 197.9 |
| 2022:Q1 | 190.2 |
| 2022:Q2 | 182.4 |
| 2022:Q3 | 174.8 |
| 2022:Q4 | 171.9 |
| 2023:Q1 | 172.0 |
| 2023:Q2 | 174.7 |
| 2023:Q3 | 177.3 |
| 2023:Q4 | 179.8 |
| 2024:Q1 | 183.2 |
Source: CoreLogic for historical data (seasonally adjusted by Federal Reserve) and Federal Reserve assumptions for the supervisory scenario.
Figure 9. U.S. BBB corporate yield, 2014:Q1–2024:Q1
Percent
| Period | Severely Adverse |
|---|---|
| 2014:Q1 | 4.4 |
| 2014:Q2 | 4.0 |
| 2014:Q3 | 3.9 |
| 2014:Q4 | 4.0 |
| 2015:Q1 | 3.9 |
| 2015:Q2 | 3.9 |
| 2015:Q3 | 4.3 |
| 2015:Q4 | 4.4 |
| 2016:Q1 | 4.5 |
| 2016:Q2 | 3.9 |
| 2016:Q3 | 3.5 |
| 2016:Q4 | 3.9 |
| 2017:Q1 | 4.0 |
| 2017:Q2 | 3.8 |
| 2017:Q3 | 3.7 |
| 2017:Q4 | 3.7 |
| 2018:Q1 | 4.1 |
| 2018:Q2 | 4.5 |
| 2018:Q3 | 4.5 |
| 2018:Q4 | 4.8 |
| 2019:Q1 | 4.5 |
| 2019:Q2 | 4.0 |
| 2019:Q3 | 3.4 |
| 2019:Q4 | 3.3 |
| 2020:Q1 | 3.4 |
| 2020:Q2 | 3.4 |
| 2020:Q3 | 2.4 |
| 2020:Q4 | 2.3 |
| 2021:Q1 | 4.9 |
| 2021:Q2 | 5.7 |
| 2021:Q3 | 6.0 |
| 2021:Q4 | 6.0 |
| 2022:Q1 | 6.0 |
| 2022:Q2 | 5.7 |
| 2022:Q3 | 5.4 |
| 2022:Q4 | 5.1 |
| 2023:Q1 | 4.8 |
| 2023:Q2 | 4.5 |
| 2023:Q3 | 4.2 |
| 2023:Q4 | 3.9 |
| 2024:Q1 | 3.6 |
Source: ICE Data Indices, LLC, used with permission for historical data and Federal Reserve assumptions for the supervisory scenario.
Figure 10. U.S. Market Volatility Index (VIX) in the severely adverse scenario, 2014:Q1–2024:Q1
Percent
| Period | Severely Adverse |
|---|---|
| 2014:Q1 | 21.4 |
| 2014:Q2 | 17.0 |
| 2014:Q3 | 17.0 |
| 2014:Q4 | 26.3 |
| 2015:Q1 | 22.4 |
| 2015:Q2 | 18.9 |
| 2015:Q3 | 40.7 |
| 2015:Q4 | 24.4 |
| 2016:Q1 | 28.1 |
| 2016:Q2 | 25.8 |
| 2016:Q3 | 18.1 |
| 2016:Q4 | 22.5 |
| 2017:Q1 | 13.1 |
| 2017:Q2 | 16.0 |
| 2017:Q3 | 16.0 |
| 2017:Q4 | 13.1 |
| 2018:Q1 | 37.3 |
| 2018:Q2 | 23.6 |
| 2018:Q3 | 16.1 |
| 2018:Q4 | 36.1 |
| 2019:Q1 | 25.5 |
| 2019:Q2 | 20.6 |
| 2019:Q3 | 24.6 |
| 2019:Q4 | 20.6 |
| 2020:Q1 | 82.7 |
| 2020:Q2 | 57.1 |
| 2020:Q3 | 33.6 |
| 2020:Q4 | 40.3 |
| 2021:Q1 | 70.0 |
| 2021:Q2 | 65.8 |
| 2021:Q3 | 62.0 |
| 2021:Q4 | 57.6 |
| 2022:Q1 | 55.7 |
| 2022:Q2 | 48.6 |
| 2022:Q3 | 43.6 |
| 2022:Q4 | 39.4 |
| 2023:Q1 | 36.3 |
| 2023:Q2 | 33.3 |
| 2023:Q3 | 30.3 |
| 2023:Q4 | 28.3 |
| 2024:Q1 | 27.3 |
Source: Chicago Board Options Exchange for historical data (converted to quarterly by Federal Reserve using the maximum quarterly close-of-day value) and Federal Reserve assumptions for the supervisory scenario.
Figure 11. Projecting net income and regulatory capital
A flowchart with five steps, leading from one to the next.
- Net interest income + noninterest income – noninterest expense = pre-provision net revenue (PPNR) Note: Change in the allowances for credit losses + net charge-offs = provisions for credit losses
- PPNR + other revenue – provisions for credit losses* – Available-for-sale and Held-to-maturity securities losses1 – Held for sale and Fair-value option loan losses – trading and counterparty losses = pre-tax net income
Note: PPNR includes income from mortgage servicing rights and losses from operational-risk events and other real-estate owned (OREO) costs. - Pre-tax net income – taxes – income attributable to minority interest – change in the valuation allowance = after-tax net income
- After-tax net income – payments on non-common capital + other comprehensive income = change in equity capital
- Change in equity capital – change in adjustments and deductions from regulatory capital + other additions to regulatory capital = change in regulatory capital
1. For firms that have adopted ASU 2016-13, the Federal Reserve incorporated its projection of expected credit losses on securities in the allowance for credit losses, in accordance with FASB, Financial Instruments–Credit Losses (Topic 326), FASB ASU 2016-13 (Norwalk, Conn.: FASB, June 2016). Return to text
Figure 12. Projected losses in the severely adverse scenario
Billions of dollars
| Source of loss | Loss amount |
|---|---|
| First-lien mortgages, domestic, 17 | 17 |
| Junior liens and HELOCs, 5 | 5 |
| Commercial and industrial loans, 92 | 92 |
| Commercial real estate, domestic, 67 | 67 |
| Credit cards, 91 | 91 |
| Other consumer loans, 24 | 24 |
| Other loans, 57 | 57 |
| Securities losses, 4 | 4 |
| Trading and counterparty losses, 86 | 86 |
| Other losses, 31 | 31 |
Figure 13. Change from 2020:Q4 to minimum CET1 ratio in the severely adverse scenario
Percent
| Firm | Percent change |
|---|---|
| Bank of America | 2.1 |
| Bank of NY-Mellon | 0.9 |
| Barclays US | 1.7 |
| BMO | 3.0 |
| Capital One | 2.2 |
| Citigroup | 2.7 |
| Credit Suisse USA | 5.3 |
| DB USA | 4.5 |
| Goldman Sachs | 5.9 |
| HSBC | 7.5 |
| JPMorgan Chase | 2.4 |
| Morgan Stanley | 4.7 |
| MUFG Americas | 3.3 |
| Northern Trust | 0.6 |
| PNC | 1.4 |
| RBC USA | 3.4 |
| Regions | 1.0 |
| State Street | 0.9 |
| TD Group | 1.8 |
| Truist | 1.4 |
| UBS Americas | 2.4 |
| U.S. Bancorp | 0.5 |
| Wells Fargo | 2.8 |
| Median | 2.4 |
Note: Estimates are for the nine-quarter period from 2021:Q1–2023:Q1 as a percent of risk-weighted assets.
Figure 14. Total loan loss rates in the severely adverse scenario
Percent
| Firm | Loan loss rate |
|---|---|
| Bank of America | 5.3 |
| Bank of NY-Mellon | 2.8 |
| Barclays US | 8.0 |
| BMO | 7.0 |
| Capital One | 12.8 |
| Citigroup | 7.1 |
| Credit Suisse USA | 1.5 |
| DB USA | 5.8 |
| Goldman Sachs | 8.6 |
| HSBC | 10.7 |
| JPMorgan Chase | 5.7 |
| Morgan Stanley | 3.6 |
| MUFG Americas | 6.5 |
| Northern Trust | 5.6 |
| PNC | 6.0 |
| RBC USA | 6.0 |
| Regions | 6.5 |
| State Street | 4.8 |
| TD Group | 5.9 |
| Truist | 5.7 |
| UBS Americas | 1.7 |
| U.S. Bancorp | 6.2 |
| Wells Fargo | 5.8 |
| Median | 5.9 |
Note: Estimates are for the nine-quarter period from 2021:Q1-2023:Q1 as a percent of average loan balances.
Figure 15. PPNR rates in the severely adverse scenario
Percent
| Firm | PPNR rate |
|---|---|
| Bank of America | 1.1 |
| Bank of NY-Mellon | 2.0 |
| Barclays US | 3.5 |
| BMO | 1.5 |
| Capital One | 5.8 |
| Citigroup | 1.6 |
| Credit Suisse USA | 2.9 |
| DB USA | 1.3 |
| Goldman Sachs | 2.0 |
| HSBC | 0.0 |
| JPMorgan Chase | 1.7 |
| Morgan Stanley | 1.4 |
| MUFG Americas | 1.0 |
| Northern Trust | 1.7 |
| PNC | 1.9 |
| RBC USA | 1.2 |
| Regions | 2.8 |
| State Street | 1.4 |
| TD Group | 1.0 |
| Truist | 2.3 |
| UBS Americas | 1.5 |
| U.S. Bancorp | 2.9 |
| Wells Fargo | 1.4 |
| Median | 1.6 |
Note: Estimates are for the nine-quarter period from 2021:Q1-2023:Q1 as a percent of average assets.
Figure 16. Pre-tax net income rates in the severely adverse scenario
Percent
| Firm | Pre-tax net income rate |
|---|---|
| Bank of America | -0.9 |
| Bank of NY-Mellon | 1.4 |
| Barclays US | 1.2 |
| BMO | -1.7 |
| Capital One | -0.6 |
| Citigroup | -0.4 |
| Credit Suisse USA | -0.2 |
| DB USA | -0.2 |
| Goldman Sachs | -1.3 |
| HSBC | -3.0 |
| JPMorgan Chase | -0.4 |
| Morgan Stanley | -0.9 |
| MUFG Americas | -2.1 |
| Northern Trust | 0.4 |
| PNC | -0.7 |
| RBC USA | -1.8 |
| Regions | -0.3 |
| State Street | 0.6 |
| TD Group | -0.7 |
| Truist | -0.7 |
| UBS Americas | 0.7 |
| U.S. Bancorp | 0.3 |
| Wells Fargo | -1.4 |
| Median | -0.6 |
Note: Estimates are for the nine-quarter period from 2021:Q1-2023:Q1 as a percent of average assets.
Figure C.1. First-lien mortgages, domestic loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 1.1 |
| Bank of NY-Mellon | 0.8 |
| Barclays US | 0.0 |
| BMO | 0.9 |
| Capital One | 2.1 |
| Citigroup | 2.0 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.6 |
| Goldman Sachs | 2.1 |
| HSBC | 3.0 |
| JPMorgan Chase | 1.6 |
| Morgan Stanley | 1.3 |
| MUFG Americas | 2.8 |
| Northern Trust | 0.7 |
| PNC | 0.9 |
| RBC USA | 1.8 |
| Regions | 1.9 |
| State Street | 0.0 |
| TD Group | 2.0 |
| Truist | 1.7 |
| UBS Americas | 1.4 |
| U.S. Bancorp | 1.8 |
| Wells Fargo | 1.2 |
| Median | 1.7 |
Figure C.2. Junior liens and HELOCs, domestic loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 2.4 |
| Bank of NY-Mellon | 7.9 |
| Barclays US | 0.0 |
| BMO | 3.1 |
| Capital One | 5.6 |
| Citigroup | 10.2 |
| Credit Suisse USA | 0.0 |
| DB USA | 6.7 |
| Goldman Sachs | 4.2 |
| HSBC | 12.2 |
| JPMorgan Chase | 3.6 |
| Morgan Stanley | 4.2 |
| MUFG Americas | 5.7 |
| Northern Trust | 6.4 |
| PNC | 1.5 |
| RBC USA | 4.5 |
| Regions | 3.7 |
| State Street | 0.0 |
| TD Group | 5.8 |
| Truist | 2.4 |
| UBS Americas | 0.0 |
| U.S. Bancorp | 4.1 |
| Wells Fargo | 2.1 |
| Median | 4.2 |
Figure C.3. Commercial and industrial loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 6.4 |
| Bank of NY-Mellon | 4.2 |
| Barclays US | 15.7 |
| BMO | 7.5 |
| Capital One | 11.2 |
| Citigroup | 6.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.1 |
| Goldman Sachs | 18.9 |
| HSBC | 8.7 |
| JPMorgan Chase | 9.7 |
| Morgan Stanley | 9.8 |
| MUFG Americas | 11.6 |
| Northern Trust | 7.9 |
| PNC | 7.5 |
| RBC USA | 11.0 |
| Regions | 8.8 |
| State Street | 7.4 |
| TD Group | 7.1 |
| Truist | 7.0 |
| UBS Americas | 1.9 |
| U.S. Bancorp | 7.4 |
| Wells Fargo | 7.4 |
| Median | 7.5 |
Figure C.4. Commercial real estate, domestic loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 13.5 |
| Bank of NY-Mellon | 10.2 |
| Barclays US | 9.7 |
| BMO | 13.0 |
| Capital One | 6.3 |
| Citigroup | 10.3 |
| Credit Suisse USA | 41.1 |
| DB USA | 13.1 |
| Goldman Sachs | 28.6 |
| HSBC | 28.9 |
| JPMorgan Chase | 3.8 |
| Morgan Stanley | 19.3 |
| MUFG Americas | 7.1 |
| Northern Trust | 7.4 |
| PNC | 11.6 |
| RBC USA | 10.1 |
| Regions | 10.1 |
| State Street | 4.9 |
| TD Group | 7.8 |
| Truist | 8.8 |
| UBS Americas | 2.1 |
| U.S. Bancorp | 13.1 |
| Wells Fargo | 13.1 |
| Median | 10.2 |
Figure C.5. Credit card loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 15.7 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 15.7 |
| BMO | 14.3 |
| Capital One | 18.7 |
| Citigroup | 15.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Goldman Sachs | 19.0 |
| HSBC | 25.0 |
| JPMorgan Chase | 14.9 |
| Morgan Stanley | 0.0 |
| MUFG Americas | 16.0 |
| Northern Trust | 0.0 |
| PNC | 17.3 |
| RBC USA | 16.0 |
| Regions | 15.0 |
| State Street | 0.0 |
| TD Group | 19.7 |
| Truist | 14.8 |
| UBS Americas | 16.0 |
| U.S. Bancorp | 16.0 |
| Wells Fargo | 16.6 |
| Median | 16.0 |
Figure C.6. Other consumer loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 1.5 |
| Bank of NY-Mellon | 8.3 |
| Barclays US | 11.5 |
| BMO | 3.9 |
| Capital One | 9.9 |
| Citigroup | 10.4 |
| Credit Suisse USA | 11.5 |
| DB USA | 1.9 |
| Goldman Sachs | 7.9 |
| HSBC | 9.1 |
| JPMorgan Chase | 3.1 |
| Morgan Stanley | 0.8 |
| MUFG Americas | 14.8 |
| Northern Trust | 11.5 |
| PNC | 3.2 |
| RBC USA | 9.4 |
| Regions | 11.3 |
| State Street | 0.6 |
| TD Group | 2.7 |
| Truist | 5.7 |
| UBS Americas | 0.7 |
| U.S. Bancorp | 2.8 |
| Wells Fargo | 4.6 |
| Median | 5.7 |
Figure C.7. Other loans loss rates in the severely adverse scenario
Percent
| Firm | Loss rate |
|---|---|
| Bank of America | 3.2 |
| Bank of NY-Mellon | 1.7 |
| Barclays US | 0.7 |
| BMO | 6.1 |
| Capital One | 5.7 |
| Citigroup | 3.2 |
| Credit Suisse USA | 0.8 |
| DB USA | 2.7 |
| Goldman Sachs | 4.3 |
| HSBC | 8.3 |
| JPMorgan Chase | 4.0 |
| Morgan Stanley | 2.7 |
| MUFG Americas | 4.4 |
| Northern Trust | 6.0 |
| PNC | 3.3 |
| RBC USA | 3.8 |
| Regions | 3.5 |
| State Street | 4.3 |
| TD Group | 3.5 |
| Truist | 4.3 |
| UBS Americas | 5.7 |
| U.S. Bancorp | 4.8 |
| Wells Fargo | 5.0 |
| Median | 4.0 |