Dodd-Frank Act Stress Test Publications
Accessible Version
Figure 1. Unemployment rate, actual and June 2020 Blue Chip Forecasts
Series: Actual, Pessimistic forecasters, Optimistic forecasters
The figures shows actual and forecasted unemployment rate in a line chart. The actual line peaks in late 2009 and then steadily declines. The line diverges into two forecast lines, an optimistic and pessimistic line that peak sharply in 2020, near 19 percent for pessimistic and 14 percent for optimistic, then declines steadily until the end of the horizon.
Source: Bureau of Labor Statistics for historical data and Wolters Kluwer Legal and Regulatory Solutions U.S., Blue Chip Economic Indicators for Blue Chip Forecasts.
Figure 2. Unemployment rate in the severely adverse and alternative downside scenarios, 2018:Q4–2023:Q1
Series: Actual, Severely adverse, V-shaped, U-shaped, W-shaped
The figures shows actual and forecasted unemployment rate in a line chart. The actual line is nearly constant around 4 percent. The line diverges into four forecast lines. The Severely adverse line increases steadily in 2021, peaking at 10 percent, and then declines slowly. The V-shaped increases sharply to a peak at about 19 percent and sharply declines before steadily decreasing. The W-shaped line increases sharply to a peak at around 16 percent, decreases sharply, then peaks again at around 14 percent before steadily declining. The U-shaped line increases to just below the W-shaped peak, remains flat for a couple quarters, then steadily declines.
Source: Bureau of Labor Statistics for historical data and Federal Reserve assumptions for assumptions for the severely adverse and alternative scenarios.
Figure 3. Real GDP growth in the severely adverse and alternative downside scenarios, 2018:Q4–2023:Q1
Series: Actual, Severely adverse, V-shaped, U-shaped, W-shaped
Figure three shows real GDP growth rates as a line graph. All four scenarios trough in 2019:Q2 with the U-shaped, V-shaped, and W-shaped growth rates negative thirty percent or worse. The W-shaped scenario has a second trough 2021:Q1 with near negative 10 percent growth. All four scenarios end the projection horizon with positive growth.
Source: Bureau of Economic Analysis for historical data and Federal Reserve assumptions for the severely adverse and alternative scenarios.
Figure 4. 10-year Treasury rate in the severely adverse and alternative downside scenarios, 2018:Q4–2023:Q1
Series: Actual, Severely adverse, V-shaped, U-shaped, W-shaped
Figure four shows the yield on ten year U.S. Treasury notes as a line graph. The severely adverse, V-shaped, U-shaped, and W-shaped scenarios all trough in 2020 to between 1/2 percent and 1 percent. The W-shaped scenario dips again in 2021:Q1 to near 1/2 percent. All scenarios end above the actual 2019:Q4 yield except the W-shaped scenario.
Source: Federal Reserve Board for historical data and Federal Reserve assumptions for the severely adverse and alternative scenarios.
Figure 5. Aggregate CET1 capital ratio, actual 2019:Q4 and projected 2022:Q1 post-stress
Percent
| Exercise name | Aggregate CET1 ratio |
|---|---|
| Q4 2019 | 12.0 |
| Severely Adverse | 10.3 |
| V-shaped | 9.9 |
| U-shaped | 8.2 |
| W-shaped | 7.7 |
Note: Sample consists of the 33 firms participating in DFAST 2020. These values may differ from the values in table 1 and figure 8, which represent aggregate minimum CET1 capital ratios over the projection horizon.
Figure 6. Historical and projected nine-quarter loan loss rates
Percent
| Exercise name | Total loan losses |
|---|---|
| U-shaped | 10.3 |
| Severely Adverse | 6.3 |
| V-shaped | 8.2 |
| W-shaped | 9.9 |
| SCAP Projection | 9.1 |
| Global Financial Crisis | 6.8 |
Note: The Global Financial Crisis bar and the SCAP projection bar show results for the 19 firms that participated in the SCAP in 2009. Global Financial Crisis bar shows actual loss rates over the period 2009:Q1 to 2011:Q1. The SCAP projection bar is over a two-year projection horizon from 2009:Q1 to 2010:Q4. The severely adverse and alternative downside scenario bars show results for the 33 firms participating in DFAST 2020 over the period from 2020:Q1 to 2022:Q1.
Figure 7. Distribution of firm-level nine-quarter loan loss rates, interquartile range and weighted average
Percent
| loan loss rates, interquartile range and weighted | Weighted average | 25th percentile | 75th percentile |
|---|---|---|---|
| Severely adverse | 6.3 | 5.1 | 6.7 |
| V-shaped | 8.2 | 6.3 | 8.7 |
| U-shaped | 10.3 | 7.9 | 10.9 |
| W-shaped | 9.9 | 7.7 | 10.3 |
Note: Bars show the distribution of nine-quarter loan loss rates in the 25th percentile to the 75th percentile firm range for the 33 firms participating in DFAST 2020. The weighted average loss rate is calculated as total projected loan losses over the nine quarters of the projection horizon divided by average loan balances over the horizon.
Figure 8. Distribution of firm-level minimum CET1 capital ratios, interquartile range and aggregate minimum
Percent
| Exercise name | Aggregate minimum | 25th percentile | 75th percentile |
|---|---|---|---|
| Severely Adverse | 9.9 | 8.0 | 12.3 |
| V-shaped | 9.5 | 7.5 | 11.3 |
| U-shaped | 8.1 | 5.5 | 10.8 |
| W-shaped | 7.7 | 4.8 | 10.5 |
Note: Bars show the distribution of minimum CET1 capital ratios in the 25th percentile to the 75th percentile firm range for the 33 firms participating in DFAST 2020. These values may differ from the values in figure 5, which represent aggregate CET1 capital ratios at the end of the projection horizon.