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Supervisory Stress Test Framework and Model Methodology, Dodd-Frank Act Stress Test 2020: Supervisory Stress Test Results June-2020

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Supervisory Stress Test Framework and Model Methodology

Overview of Modeling Framework

The Federal Reserve estimates the effect of supervisory scenarios on the regulatory capital ratios of firms participating in the supervisory stress test by projecting net income and other components of regulatory capital for each firm over a nine-quarter projection horizon. Projected net income, adjusted for the effect of taxes, is combined with non-common capital action assumptions and other components of regulatory capital to produce post-stress capital ratios. The Federal Reserve's approach to modeling post-stress capital ratios generally follows U.S. generally accepted accounting principles (GAAP) and the regulatory capital framework.20 Figure 11 illustrates the framework used to calculate changes in net income and regulatory capital.

Figure 11. Projecting net income and regulatory capital
Figure 11. Projecting net income and regulatory capital
Accessible Version | Return to text

*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 Financial Accounting Standards Board (FASB), Financial Instruments–Credit Losses (Topic 326), FASB Accounting Standards Update (ASU) 2016-13 (Norwalk, Conn.: FASB, June 2016).

Projecting Pre-tax Net Income

The Federal Reserve calculates projected pre-tax net income for the firms subject to the supervisory stress test by combining projections of revenue, expenses, provisions for credit losses, and other losses, including

  • PPNR;
  • provisions for credit losses;
  • losses on loans held for sale (HFS) or for investment and measured under the fair-value option (FVO);
  • credit losses on investment securities in the available-for-sale (AFS) and held-to-maturity (HTM) portfolios;21
  • losses on market risk exposures, credit valuation adjustment (CVA), and incremental default risk (IDR) for firms subject to the global market shock; and
  • losses from a default of the largest counterparty for firms with substantial trading, processing, or custodial operations.

The Federal Reserve projects these components of pre-tax net income using supervisory models that take the Board's scenarios and firm-provided data as inputs. The projections are based on the assumption that firms' balance sheets remain unchanged throughout the projection period. Macroeconomic variables used in select supervisory models vary across geographic locations (e.g., by state or by county). The Federal Reserve projects the paths of these variables as a function of aggregate macroeconomic variables included in the Board's scenarios.

Pre-provision Net Revenue

PPNR is defined as net interest income (interest income minus interest expense) plus noninterest income minus noninterest expense. Consistent with U.S. GAAP, the projection of PPNR includes projected losses due to operational-risk events and expenses related to the disposition of real-estate-owned properties.22

The Federal Reserve models most components of PPNR using a suite of models that generally relate specific revenue and non-provision-related expenses to the characteristics of firms and to macroeconomic variables. These include eight components of interest income, seven components of interest expense, six components of noninterest income, and three components of noninterest expense.

The Federal Reserve separately models losses from operational risk and other real-estate-owned (OREO) expenses. Operational risk is defined as "the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events."23 OREO expenses are those expenses related to the disposition of real-estate-owned properties and stem from losses on first-lien mortgages.

Loan Losses and Provisions on the Accrual Loan Portfolio

The Federal Reserve projects 13 quarters of losses on loans in the accrual loan portfolio using one of two modeling approaches: the expected-loss framework or the net charge-off approach.

For certain loans, expected losses under the macroeconomic scenario are estimated by projecting the probability of default (PD), loss given default (LGD), and exposure at default (EAD) for each quarter of the projection horizon. Expected losses in each quarter are the product of these three components.

Losses are modeled under the expected-loss framework for the following loan categories:

  • corporate loans, including graded commercial and industrial (C&I) loans, agricultural loans, domestic farm loans, international farm loans, loans to foreign governments, loans for purchasing and carrying securities, other non-consumer loans, and other leases
  • commercial real estate (CRE) loans, including domestic and international non-owner-occupied multifamily or nonfarm, nonresidential property loans and construction and land development (C&LD) loans
  • domestic first-lien residential mortgages
  • domestic home equity loans (HELs) and home equity lines of credit (HELOCs)
  • domestic credit cards
  • domestic auto loans

The net charge-off approach projects losses over the projection horizon using models that capture the historical behavior of net charge-offs as a function of macroeconomic and financial market conditions and loan portfolio characteristics. The Federal Reserve models losses under the net charge-off approach for other consumer loans, business and corporate credit card loans, small-business loans, student loans, and international retail loans.

Losses on the accrual loan portfolio flow into net income through provisions for loan and lease losses. Generally, provisions for loan and lease losses for each quarter equal projected loan losses for the quarter plus the change in the allowance needed to cover the subsequent four quarters of expected loan losses, taking into account the allowance established by the firm as of the effective date of the stress test exercise.24

The Federal Reserve assumes that the allowance at the end of each quarter covers projected loan losses for four quarters into the future. The supervisory estimate of the allowance at the start of the projection horizon, which is based on projected losses under the severely adverse scenario, may differ from a firm's established allowance at the beginning of the projection horizon, which is based on the firm's estimate of losses on the effective date of the stress test. Any difference between the supervisory calculation of the allowance and the firm's reported allowance at the beginning of the projection horizon is linearly smoothed into the Federal Reserve's provisions projection over the nine quarters.

Losses on Loans Measured on a Fair-Value Basis

Certain loans are accounted for on a fair-value basis instead of on an accrual basis. For example, if a loan is accounted for using the FVO, it is marked to market, and the accounting value of the loan changes as market risk factors and fundamentals change. Similarly, loans that are held for sale are accounted for at the lower of cost or market value.

The models for these asset classes project gains and losses on the banks' FVO/HFS loan portfolios over the nine-quarter projection horizon, net of any hedges, by applying the scenario-specific path of interest rates and credit spreads to loan yields.

Losses are modeled under this approach for the following loan categories:

  • FVO/HFS C&I loans
  • FVO/HFS CRE loans
  • FVO/HFS residential mortgages, student loans, auto loans, and credit cards

Gains and losses on HFS C&I and CRE loans are estimated using a model specific to those asset classes. Gains and losses on FVO/HFS retail loans are modeled separately.

Losses on Securities in the Available-for-Sale and Held-to-Maturity Portfolios

The Federal Reserve estimates two types of losses on AFS or HTM securities related to investment activities.25 First, for securities classified as AFS, projected changes in the fair value of the securities due to changes in interest rates and other factors will result in unrealized gains or losses that are recognized in capital for some firms through other comprehensive income (OCI).26 Second, credit losses on the security may be recorded. With the exception of certain government-backed obligations, both AFS and HTM securities are at risk of incurring credit losses.27 The models project security-level credit losses, using as an input the projected fair value for each security over the nine-quarter projection horizon under the macroeconomic scenarios.

Securities at risk of credit losses include the following securitizations and direct debt obligations:

  • corporate debt securities
  • sovereign debt securities (other than U.S. government obligations)
  • municipal debt securities
  • mortgage-backed, asset-backed, collateralized loan obligation (CLO), and collateralized debt obligation (CDO) securities
Gains or Losses on the Fair Value of Available-for-Sale Securities

The fair value of securities in the AFS portfolio may change in response to the macroeconomic scenarios. Under U.S. GAAP, unrealized gains and losses on AFS securities are reflected in accumulated OCI (AOCI) but do not flow through net income.28 Under the regulatory capital rule, AOCI must be incorporated into common equity tier 1 capital for certain firms.29 The incorporation of AOCI in regulatory capital is described in "Calculation of Regulatory Capital Ratios" below.

Unrealized gains and losses are calculated as the difference between each security's fair value and its amortized cost. The amortized cost of each AFS security is equivalent to the purchase price of a debt security, which is periodically adjusted if the debt security was purchased at a price other than par or face value, has a principal repayment, or has an impairment recognized in earnings.30

OCI losses from AFS securities are computed directly from the projected change in fair value, taking into account credit losses and applicable interest-rate hedges on securities. All debt securities held in the AFS portfolio are subject to OCI losses, including

  • U.S. Treasuries;
  • U.S. agency securities;
  • corporate debt securities;
  • sovereign debt securities;
  • municipal debt securities; and
  • mortgage-backed, asset-backed, CLO, and CDO securities.
Losses on Trading and Private Equity Exposures and Credit Valuation Adjustment

The trading and private equity model generates loss estimates related to trading and private equity positions under the global market shock. In addition, the global market shock is applied to firm counterparty exposures to generate losses due to changes in CVA.

The trading and private equity model covers a wide range of firms' exposures to asset classes such as public equity, foreign exchange, interest rates, commodities, securitized products, traded credit (e.g., municipals, auction rate securities, corporate credit, and sovereign credit), private equity, and other fair-value assets. Loss projections are constructed by applying movements specified in the global market shock to market values of firm-provided positions and risk factor sensitivities.31

Incremental Default Risk

The Federal Reserve separately estimates the risk of losses arising from a jump-to-default of issuers of debt securities in the trading book, in excess of mark-to-market losses calculated by the trading model. Trading losses associated with IDR account for concentration risk in agencies, trading book securitization positions, and corporate, sovereign, and municipal bonds. These losses are applied in each of the nine quarters of the projection horizon.

Largest Counterparty Default Losses

The largest counterparty default scenario component is applied to firms with substantial trading or custodial operations. The LCPD captures the risk of losses due to an unexpected default of the counterparty whose default on all derivatives and SFTs would generate the largest stressed losses for a firm.

Consistent with the Federal Reserve's modeling principles, losses associated with the LCPD component are recognized in the first quarter of the projection horizon.

Balance Projections and the Calculation of Regulatory Capital Ratios
Balance Sheet Items and Risk-Weighted Assets

The Federal Reserve generally projects that a firm takes actions to maintain its current level of assets, including its securities, trading assets, and loans, over the projection horizon. The Federal Reserve assumes that a firm's risk-weighted assets (RWAs) and leverage ratio denominators remain unchanged over the projection horizon except for changes primarily related to items subject to deduction from regulatory capital or due to changes to the Board's regulations.32

Calculation of Regulatory Capital Ratios

The five regulatory capital measures that are included in the supervisory stress test are the (1) CET1, (2) tier 1 risk-based capital, (3) total risk-based capital, (4) tier 1 leverage, and (5) supplementary leverage ratios (see table 1). A firm's regulatory capital ratios are calculated in accordance with the Board's regulatory capital rules using Federal Reserve projections of pre-tax net income and other scenario-dependent components of the regulatory capital ratios.

Pre-tax net income and the other scenario-dependent components of the regulatory capital ratios are combined with additional information, including assumptions about taxes and capital distributions, to calculate post-stress regulatory capital. In that calculation, the Federal Reserve first adjusts pre-tax net income to account for taxes and other components of net income, such as income attributable to minority interests, to arrive at after-tax net income.33

The Federal Reserve calculates the change in equity capital over the projection horizon by combining projected after-tax net income with changes in OCI, assumed capital distributions, and other components of equity capital. The path of regulatory capital over the projection horizon is calculated by combining the projected change in equity capital with the firm's starting capital position and accounting for other adjustments to regulatory capital specified in the Board's regulatory capital framework.34

The denominator of each firm's regulatory capital ratios, other than the leverage ratios, is calculated using the standardized approach for calculating RWAs for each quarter of the projection horizon, in accordance with the transition arrangements in the Board's capital rules.35

Capital Action Assumptions

To project post-stress capital ratios for the Dodd-Frank Act supervisory stress test, the Federal Reserve uses a standardized set of capital action assumptions that are specified in the Dodd-Frank Act stress test rules. As previously noted, in March 2020 the Board amended the capital action assumptions in its stress testing requirements.36 According to these amended requirements, common stock dividend payments are assumed to be zero over the projection horizon. Scheduled dividend, interest, or principal payments that qualify as additional tier 1 capital or tier 2 capital are assumed to be paid, and repurchases of such capital instruments are assumed to be zero. The capital action assumptions do not include issuances of new common stock or preferred stock. The projection of post-stress capital ratios do not include capital actions or other changes in the balance sheet associated with any business plan changes.

Data Inputs

Most of the data used in the Federal Reserve's stress test projections are collected through the Capital Assessments and Stress Testing (FR Y-14A/Q/M) information collection, which includes a set of annual, quarterly, or monthly schedules.37 These reports collect detailed data on PPNR, loans, securities, trading and counterparty risk, losses related to operational-risk events, and business plan changes. Each of the 33 firms participating in DFAST 2020 submitted data as of December 31, 2019, through the FR Y-14M and FR Y-14Q reports in February, March, and April 2020. The same firms submitted the FR Y-14A reports, which also include projected data, on April 6, 2020.

Consistent with the Board's Stress Testing Policy Statement, the Federal Reserve makes certain assumptions about missing data or data with deficiencies significant enough to preclude the use of supervisory models. Given a reasonable set of assumptions or approaches, all else equal, the Federal Reserve will opt to use those that result in larger losses or lower revenue.

The conservative assumptions applied depend on the nature of the data deficiency.38 Where possible and appropriate, conservative values are assigned to specific deficient data items reported in the FR Y-14 information collection. For example, if certain observations in the first-lien mortgage portfolio were missing credit scores, the Federal Reserve would apply to those observations the 90th percentile credit score across all FR Y-14M submissions for that portfolio.

In other cases in which the data deficiency is severe enough that a modeled estimate cannot be produced for a portfolio segment or portfolio, the Federal Reserve may assign a conservative rate (e.g., the 10th percentile PPNR rate or the 90th percentile loss rate) to that segment or portfolio. In general, conservative portfolio loss rates are calculated at the most granular definition of a portfolio possible. For example, home equity losses are comprised of losses on HELOCs and HELs. If a given firm reported deficient data for its HELOC portfolio only, then the overall home equity losses for that firm would be based on a conservative loss rate applied to the HELOC portfolio, but HEL projected losses would be modeled using the supervisory model.

Firms are required to submit detailed loan and securities information for all material portfolios, where portfolios categories are defined in the FR Y-14M and FR Y-14Q instructions. The definition of a portfolio's materiality varies and depends primarily on the firm's complexity. Each firm has the option to either submit or not submit the relevant data schedule for a given portfolio that does not meet the materiality threshold. If the firm does not submit data on its immaterial portfolio(s), the Federal Reserve will assign the median loss rate estimated across the set of firms with material portfolios.

Box 1. Model Changes for the 2020 Supervisory Stress Test

Each year, the Federal Reserve has refined both the substance and process of the supervisory stress test, including its development and enhancement of independent supervisory models. The supervisory stress test models may be enhanced to reflect advances in modeling techniques; enhancements in response to model validation findings; incorporation of richer and more detailed data; and identification of more stable models or models with improved performance, particularly under stressful economic conditions.

For the 2020 supervisory stress test, the Federal Reserve aligned the calculation of regulatory capital ratios and balances with recent changes in regulations; enhanced the models that project certain components of pre-provision net revenue (PPNR), credit card losses, and corporate loan losses; completed a phase-in for the auto loan model; and modified the trading and private equity model. In addition to these model changes, the Federal Reserve made less material enhancements to simplify models and account for changes in the historical data used to estimate the models.1

Alignments to Changes in Regulatory Capital Rules

The Federal Reserve modified the capital calculation to align the computations with the capital simplification, tailoring, and stress capital buffer rules. To conform the calculations to the simplifications rule, the Federal Reserve increased in its capital calculation the threshold for deducting mortgage servicing assets, certain deferred tax assets (DTAs) arising from temporary differences, and investments in the capital of unconsolidated financial institutions from regulatory capital. Similarly, to align with the tailoring rule, the Federal Reserve no longer includes accumulated other comprehensive income in the calculation of certain firms' regulatory capital. Consistent with the stress capital buffer rule, the Federal Reserve no longer includes certain capital actions or the impacts of material business plan changes in its regulatory capital calculation and assumes that a firm's balances, RWAs, and leverage ratio denominators generally remain unchanged over the projection horizon. 2 In addition, to maintain a consistent capital calculation methodology across all firms, the Federal Reserve limited the use of firms' projections in the capital calculation.

Refinements to Supervisory Models

PPNR Models

The Federal Reserve made two enhancements to the PPNR autoregressive models, which are the models used to project most PPNR components. In prior versions of the models, the Federal Reserve estimated firm fixed effects using the full set of data available since the financial crisis and included in each model one or more lags of the quarterly observations of the respective PPNR component. The enhanced versions estimate firm fixed effects using data from the more recent past (a trailing multiyear fixed effect) and include the lag of the respective PPNR component measured as the average of that component over the prior year. These enhancements increase the importance of firm performance in more recent years and diminish the degree to which quarterly volatility in historical PPNR affects projections over the horizon.

In addition, the Federal Reserve re-estimated its full suite of PPNR models on an expanded sample, re-specifying models based on performance testing. While those re-specifications have a small effect on overall PPNR, they result in larger offsetting effects on the projections of individual components. For example, the effect of model enhancements on projections of noninterest income is offset, in part, by the effect on the projections of noninterest expenses. Overall, the changes improve model performance for total PPNR.

These refinements have material effects on projections for certain firms.3 Consistent with the Federal Reserve's stated policy for material model changes, the PPNR estimates for the 2020 supervisory stress test are the average of the model used in 2019 and the updated model.4 PPNR estimates for the 2021 supervisory stress test will only reflect the updated model.

Credit Card Model

The Federal Reserve refined the credit card model by applying an adjustment to card losses for firms with credit card revenue and loss sharing agreements (RLSAs). In these agreements, a portion of the revenues and losses generated by a specified credit card portfolio may be shared with a private entity. The previous version of the credit card model did not fully account for RLSAs. These agreements were reflected only in supervisory projections of the firm's PPNR to the extent that firms reported historical PPNR net of these agreements. In cases for which revenues but not losses on RLSAs are reported in historical PPNR, the updated credit card model adjusts losses to reflect the portion shared with the private entity. This update increases consistency in the treatment across firms with RLSAs. The Federal Reserve also re-estimated the credit card model using additional data to better capture recent trends. The collective impact resulted in a slight increase in overall losses projected by the domestic credit card model, with larger increases for firms with material bank card exposures.5

Corporate Loan Model

The Federal Reserve modified the corporate model to separately calibrate financial and nonfinancial obligors. This modification reflects updated expected default frequency (EDF) data that has broader coverage and an extended sample period. The Federal Reserve also re-estimated the corporate model using this extended sample to better capture the effects of the financial crisis. The collective impact resulted in a slight decrease in overall losses projected by the corporate model, mainly due to lower loss rates on financial obligors, with no material impacts on any firm. 6

Other Model Changes

Phase-in of the Auto Loan Model

The Federal Reserve began a two-year transition to an updated auto loan model in the 2019 supervisory stress test, with the updated model fully in effect for 2020. The two-year phase-in policy was employed because the auto model refinements materially affected the forecast auto loan losses for a number of firms.7 The 2019 changes to the auto loan model are described in the 2019 document on the supervisory stress test methodology.8 Collectively, the enhancements resulted in a small increase in overall projected auto loan losses; however, for firms with large domestic auto loan portfolios, the changes resulted in materially higher projected losses.9

Trading and Private Equity Model

The Federal Reserve modified the estimate of losses on private equity investments in affordable housing that qualify as Public Welfare Investments (PWI) under Regulation Y. These investments were separately identified and losses were calculated using the market shock that was applied to Section 42 Housing Credits. The Federal Reserve collected additional information to refine its approach to identifying these investments and estimating their losses.

Minor Refinements and Re-estimation

Each year, the Federal Reserve makes a number of relatively minor refinements to models that may include re-estimation with new data, re-specification based on performance testing, and other refinements to the code used to produce supervisory projections. In 2019, the Federal Reserve made such refinements to the models for commercial real estate, counterparty, fair value for debt and equity securities, first- and second-lien mortgages, and operational risk. The refinements collectively resulted in a minimal change in post-stress capital ratios with no material impacts on any disclosed firm.10

1. Portfolios with material model changes are defined as those in which the change in revenue or losses exceeds 50 basis points for any firm individually under the severely adverse scenario, expressed as a percentage of risk-weighted assets (RWAs), based on data and scenarios from the 2019 supervisory stress test. In cases in which a portfolio contains more than one change, materiality is defined by the net change. Return to text

2. In projecting a firm's RWAs and leverage ratio denominators, the Federal Reserve accounts for the effect of changes associated with the calculation of regulatory capital or changes to the Board's regulations. Return to text

3. Analysis was conducted using data and scenarios from the 2019 and 2020 supervisory stress test. The effect on projections for future tests is uncertain and will depend on changes in firm portfolios, data, and scenarios. Return to text

4. Starting in DFAST 2017, the Federal Reserve began to adhere to a policy of phasing in the most material model enhancements over two stress test cycles to smooth the effect on post-stress capital ratios. See Stress Testing Policy Statement, 82 Fed. Reg. 59528 (Dec. 15, 2017). Return to text

5. See note 3 in this box. Return to text

6. See note 3 in this box. Return to text

7. See note 4 in this box. Return to text

8. See Board of Governors of the Federal Reserve System, Dodd-Frank Act Stress Test 2019: Supervisory Stress Test Methodology (Washington: Board of Governors, March 2019); https://www.federalreserve.gov/publications/files/2019-march-supervisory-stress-test-methodology.pdf. Return to text

9. See note 3 in this box. Return to text

10. See note 3 in this box. Return to text

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References

 20. See 12 C.F.R. pt. 217. Return to text

 21. 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 Financial Accounting Standards Board (FASB), Financial Instruments–Credit Losses (Topic 326), FASB Accounting Standards Update (ASU) 2016-13 (Norwalk, Conn.: FASB, June 2016). Return to text

 22. PPNR projections do not include debt valuation adjustment, which is not included in regulatory capital. Return to text

 23. See Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards (Basel, Switzerland: BCBS, June 2004), 149, https://www.bis.org/publ/bcbs107.pdf. Return to text

 24. To reduce uncertainty, allow for better capital planning at affected firms, and gather additional information on the impact of the current expected credit loss methodology (CECL), the Federal Reserve maintained the framework used prior to the adoption of CECL for calculating allowances on loans in the 2020 supervisory stress test, and plans to do so for 2021. See Board of Governors of the Federal Reserve System, "Statement on the Current Expected Credit Loss Methodology (CECL) and Stress Testing," press release, December 21, 2018, https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20181221b1.pdf. Return to text

 25. This portfolio does not include securities held for trading. Losses on these securities are projected by the model that projects gains and losses on trading exposures. Return to text

 26. Other comprehensive income is accounted for outside of net income. Under regulatory capital rules, accumulated OCI (AOCI) that arises from unrealized changes in the value of available-for-sale (AFS) securities must be incorporated into common equity tier 1 capital for firms subject to the advanced approaches and other firms that do not opt out of including AOCI in regulatory capital. Return to text

 27. Certain government-backed securities, such as U.S. Treasuries, U.S. government agency obligations, U.S. government agency or government-sponsored enterprise (GSE) mortgage-backed securities, Federal Family Education Loan Program student loan asset-backed securities, and pre-refunded municipal bonds, are assumed not to be subject to credit losses. Return to text

 28. Unrealized gains and losses on equity securities are recognized in net income and affect regulatory capital for all firms. See Financial Accounting Standards Board (FASB), Financial Instruments—Overall(Subtopic 825-10), FASB Accounting Standards Update (ASU) 2016-01 (Norwalk, Conn.: FASB, January 2016). Return to text

 29. The Board amended its prudential standards to allow firms with total consolidated assets of less than $700 billion and cross-jurisdictional activity of less than $75 billion to opt out of including AOCI in regulatory capital (84 Fed. Reg. 59230 (Nov. 1, 2019)). Return to text

 30. The fair value of each AFS security is projected over the nine-quarter projection horizon using either a present-value calculation, a full revaluation using a security-specific discounted cash flow model, or a duration-based approach, depending on the asset class. Return to text

 31. The trading model is also used to calculate gains or losses on firms' portfolios of hedges on credit valuation adjustment exposures (CVA hedges). Return to text

 32. See 12 C.F.R. pt. 252, appendix B. Return to text

 33. The Federal Reserve applies a consistent tax rate of 21 percent to pre-tax net income and accounts for deferred tax assets. Return to text

 34. The regulatory capital framework specifies that regulatory capital ratios account for items subject to adjustment or deduction in regulatory capital, limits the recognition of certain assets that are less loss-absorbing, and imposes other restrictions. Return to text

 35. 12 C.F.R. pt. 217, subpt. G. Return to text

 36. 85 Fed. Reg. 15576 (Mar. 18, 2020). Return to text

 37. The FR Y-14 reports are available on the Federal Reserve website at https://www.federalreserve.gov/apps/reportforms/default.aspx. Return to text

 38. The Federal Reserve has established conservative approaches for missing or insufficient data for its core PPNR, operational-risk loss, retail loan loss, wholesale loan loss, securities loss, fair value loan loss, and CVA models. The methodology the Federal Reserve uses to implement these assumptions may vary somewhat across supervisory models. Return to text

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Last Update: August 29, 2022