Board of Governors of the Federal Reserve System

Errata

The Federal Reserve revised this report on July 27, 2020, to reflect that the numbers published for actual 2019:Q4 “AOCI included in capital (billions of dollars)” in the "Projected losses, revenue, and net income before taxes through 2022:Q1" table for certain firms were incorrect. The data originally presented the 2022:Q1 projection of AOCI included in the capital, instead of the actual 2019:Q4 value for seven firms, leading to a corresponding error in the aggregate number for 2019:Q4 "AOCI included in capital." These errors did not affect the calculation or disclosure of any other number, including post-stress capital ratios. The revisions are listed below.

On p. 23, under Table 2:

• 33 Participating Firms, AOCI included in capital, Actual 2019:Q4 has been revised from -53.7 to -54.3.

On p. 48, under Table B.5:

• Barclays US LLC, AOCI included in capital, Actual 2019:Q4 has been revised from 0.0 to -0.1.

On p. 51, under Table B.8:

• Capital One Financial Corporation, AOCI included in capital, Actual 2019:Q4 has been revised from -0.1 to 0.8.

On p. 54, under Table B.11:

• Credit Suisse Holdings (USA), Inc., AOCI included in capital, Actual 2019:Q4 has been revised from 0.0 to -0.3.

On p. 59, under Table B.16:

• HSBC North America Holdings Inc., AOCI included in capital, Actual 2019:Q4 has been revised from -0.2 to -0.5.

On p. 67, under Table B.24:

• The PNC Financial Services Group, Inc., AOCI included in capital, Actual 2019:Q4 has been revised from -0.1 to 0.5.

On p. 72, under Table B.29:

• TD Group US Holdings LLC, AOCI included in capital, Actual 2019:Q4 has been revised from 0.0 to -0.3.

On p. 75, under Table B.32:

• U.S. Bancorp, AOCI included in capital, Actual 2019:Q4 has been revised from -0.1 to -1.3.

The Federal Reserve revised this report on September 4, 2020, to correct an error to five firms' projected trading losses on certain public welfare investments. The revision affected projected pre-tax net income and projected capital ratios. The revisions are listed below.

On p. 1, under Executive Summary, the sentence "Aggregate losses at the 33 firms under the severely adverse scenario are projected to be $552 billion" has been revised to "Aggregate losses at the 33 firms under the severely adverse scenario are projected to be $550 billion."

On p. 1, the sentence "For the 18 firms for which stress test results were disclosed both last year and this year, total losses under the severely adverse scenario are $433 billion in DFAST 2020, compared to $410 billion for the same 18 firms in DFAST 2019" has been revised to "For the 18 firms for which stress test results were disclosed both last year and this year, total losses under the severely adverse scenario are $431 billion in DFAST 2020, compared to $410 billion for the same 18 firms in DFAST 2019."

On p. 19, under "Supervisory Stress Test Results under the Severely Adverse Scenario," the sentence "In this scenario, losses are projected to be $552 billion ³⁹ for the 33 firms in the aggregate over the nine quarters of the projection horizon" has been revised to "In this scenario, losses are projected to be $550 billion ³⁹ for the 33 firms in the aggregate over the nine quarters of the projection horizon."

On p. 19, footnote 39 has been revised from "Projected losses in the subsequent list sum to $553 billion due to rounding" to "Projected losses in the subsequent list sum to $551 billion due to rounding."

On p. 19, the bullet "$85 billion in trading and/or counterparty losses at the 13 firms with substantial trading, processing, or custodial operations; and" has been revised to "$83 billion in trading and/or counterparty losses at the 13 firms with substantial trading, processing, or custodial operations; and."

On p. 19, the sentence "Losses on accrual loan portfolios account for 78 percent of the projected losses for the 33 firms, while trading and/or counterparty losses account for 15 percent (figure 12)" has been revised to "Losses on accrual loan portfolios account for 79 percent of the projected losses for the 33 firms, while trading and/or counterparty losses account for 15 percent (figure 12)."

On p. 20, under Figure 12, "Projected losses in the severely adverse scenario," trading and counterparty losses have been revised from 85 to 83.

On p. 20, the sentence "Consumer and commercial products represent 40 and 39 percent of total projected losses, respectively" has been revised to "Consumer and commercial products represent 40 and 38 percent of total projected losses, respectively."

On p. 20, the sentence "The severely adverse scenario results include $85 billion in trading losses from the global market shock at the 11 firms with large trading and private-equity exposures and losses from the largest counterparty default component at the 13 firms with substantial trading, processing, or custodial operations" has been revised to "The severely adverse scenario results include $83 billion in trading losses from the global market shock at the 11 firms with large trading and private-equity exposures and losses from the largest counterparty default component at the 13 firms with substantial trading, processing, or custodial operations."

On p. 21, the sentence "Projected net income before taxes (pre-tax net income) is an aggregate net loss of $179 billion over the projection horizon for the 33 firms" has been revised to "Projected net income before taxes (pre-tax net income) is an aggregate net loss of $177 billion over the projection horizon for the 33 firms."

On p. 22, the sentence "The ratio of pre-tax net income to average assets for each of the 33 firms ranges from −4.3 percent to 2.1 percent (see figure 16)" has been revised to "The ratio of pre-tax net income to average assets for each of the 33 firms ranges from −4.3 percent to 2.2 percent (see figure 16)."

On p. 23, under Table 2:

• 33 participating firms, Total capital ratio (%), Minimum has been revised from 14.0 to 14.1.
• 33 participating firms, Risk-weighted assets, Projected 2022:Q1 has been revised from 10,255.2 to 10,255.7.
• 33 participating firms, Trading and counterparty losses, Billions of dollars has been revised from 85.0 to 83.2.
• 33 participating firms, Net income before taxes, Billions of dollars has been revised from −178.5 to −176.7.

On p. 24, under Table 3:

• The Goldman Sachs Group, Inc., Stressed ratios with DFA stress testing capital action assumptions has been revised from 6.9 to 7.0.
• Morgan Stanley, Stressed ratios with DFA stress testing capital action assumptions has been revised from 11.1 to 11.3.

On p. 25, under Table 4.A:

• Citigroup, Tier 1 capital ratio (%), Ending has been revised from 13.3 to 13.4.
• Citigroup, Supplementary leverage ratio (%), Ending has been revised from 6.1 to 6.2.
• Goldman Sachs, CET1 capital ratio (%), Ending has been revised from 8.3 to 8.4.
• Goldman Sachs, CET1 capital ratio (%), Minimum has been revised from 6.9 to 7.0.
• Goldman Sachs, Tier 1 capital ratio (%), Ending has been revised from 10.2 to 10.3.
• Goldman Sachs, Tier 1 capital ratio (%), Minimum has been revised from 8.8 to 8.9.
• Goldman Sachs, Total capital ratio (%), Ending has been revised from 13.1 to 13.2.
• Goldman Sachs, Total capital ratio (%), Minimum has been revised from 11.8 to 11.9.
• Goldman Sachs, Tier 1 leverage ratio (%), Ending has been revised from 5.7 to 5.8.
• Goldman Sachs, Supplementary leverage ratio (%), Minimum has been revised from 3.5 to 3.6.
• HSBC, Tier 1 capital ratio (%), Ending has been revised from 9.1 to 9.2.
• HSBC, Tier 1 capital ratio (%), Minimum has been revised from 9.1 to 9.2.
• Morgan Stanley, CET1 capital ratio (%), Ending has been revised from 12.3 to 12.5.
• Morgan Stanley, CET1 capital ratio (%), Minimum has been revised from 11.1 to 11.3.
• Morgan Stanley, Tier 1 capital ratio (%), Ending has been revised from 14.5 to 14.7.
• Morgan Stanley, Tier 1 capital ratio (%), Minimum has been revised from 13.4 to 13.5.
• Morgan Stanley, Total capital ratio (%), Ending has been revised from 17.2 to 17.3.
• Morgan Stanley, Total capital ratio (%), Minimum has been revised from 16.1 to 16.2.
• Morgan Stanley, Tier 1 leverage ratio (%), Ending has been revised from 6.3 to 6.4.
• Morgan Stanley, Tier 1 leverage ratio (%), Minimum has been revised from 5.8 to 5.9.

On p. 26, under Table 4.C:

• 33 participating firms, Total capital ratio (%), Minimum has been revised from 14.0 to 14.1.

On p. 27, under Figure 13:

• Goldman Sachs changed from 6.4 to 6.3.
• Morgan Stanley changed from 5.3 to 5.1.
• Wells Fargo changed from 2.1 to 2.0.

On p. 29, under Table 5:

• Citigroup, Trading and counterparty losses, Billions of dollars has been revised from 6.0 to 5.7.
• Citigroup, Net income before taxes, Billions of dollars has been revised from 0.1 to 0.4.
• Goldman Sachs, Trading and counterparty losses, Billions of dollars has been revised from 18.4 to 17.8.
• Goldman Sachs, Net income before taxes, Billions of dollars has been revised from −27.5 to −27.0.
• HSBC, Trading and counterparty losses, Billions of dollars has been revised from 1.5 to 1.4.
• Morgan Stanley, Trading and counterparty losses, Billions of dollars has been revised from 10.1 to 9.5.
• Morgan Stanley, Net income before taxes, Billions of dollars has been revised from −17.1 to −16.5.
• Wells Fargo, Trading and counterparty losses, Billions of dollars has been revised from 9.0 to 8.7.
• Wells Fargo, Net income before taxes, Billions of dollars has been revised from −16.6 to −16.3.
• 33 participating firms, Trading and counterparty losses, Billions of dollars has been revised from 85.0 to 83.2.
• 33 participating firms, Net income before taxes, Billions of dollars has been revised from −178.5 to −176.7.

On p. 33, under Figure 16:

• Goldman Sachs changed from −2.8 to −2.7.
• Morgan Stanley changed from −1.9 to −1.8.
• Wells Fargo changed from −0.9 to −0.8.

On p. 52, under Table B.9:

• Citigroup, Tier 1 capital ratio (%), Ending has been revised from 13.3 to 13.4.
• Citigroup, Supplementary leverage ratio (%), Ending has been revised from 6.1 to 6.2.
• Citigroup, Risk-weighted assets, Projected 2022:Q1 has been revised from 1,151.6 to 1,151.7.
• Citigroup, Trading and counterparty losses, Billions of dollars has been revised from 6.0 to 5.7.
• Citigroup, Net income before taxes, Billions of dollars has been revised from 0.1 to 0.4.

On p. 58, under Table B.15:

• Goldman Sachs, CET1 capital ratio (%), Ending has been revised from 8.3 to 8.4.
• Goldman Sachs, CET1 capital ratio (%), Minimum has been revised from 6.9 to 7.0.
• Goldman Sachs, Tier 1 capital ratio (%), Ending has been revised from 10.2 to 10.3.
• Goldman Sachs, Tier 1 capital ratio (%), Minimum has been revised from 8.8 to 8.9.
• Goldman Sachs, Total capital ratio (%), Ending has been revised from 13.1 to 13.2.
• Goldman Sachs, Total capital ratio (%), Minimum has been revised from 11.8 to 11.9.
• Goldman Sachs, Tier 1 leverage ratio (%), Ending has been revised from 5.7 to 5.8.
• Goldman Sachs, Supplementary leverage ratio (%), Minimum has been revised from 3.5 to 3.6.
• Goldman Sachs, Risk-weighted assets, Projected 2022:Q1 has been revised from 550.4 to 550.6.
• Goldman Sachs, Trading and counterparty losses, Billions of dollars has been revised from 18.4 to 17.8.
• Goldman Sachs, Net income before taxes, Billions of dollars has been revised from −27.5 to −27.0.
• Goldman Sachs, Net income before taxes, Percent of average assets has been revised from −2.8 to −2.7.

On p. 59, under Table B.16:

• HSBC, Tier 1 capital ratio (%), Ending has been revised from 9.1 to 9.2.
• HSBC, Tier 1 capital ratio (%), Minimum has been revised from 9.1 to 9.2.
• HSBC, Trading and counterparty losses, Billions of dollars has been revised from 1.5 to 1.4.

On p. 64, under Table B.21:

• Morgan Stanley, CET1 capital ratio (%), Ending has been revised from 12.3 to 12.5.
• Morgan Stanley, CET1 capital ratio (%), Minimum has been revised from 11.1 to 11.3.
• Morgan Stanley, Tier 1 capital ratio (%), Ending has been revised from 14.5 to 14.7.
• Morgan Stanley, Tier 1 capital ratio (%), Minimum has been revised from 13.4 to 13.5.
• Morgan Stanley, Total capital ratio (%), Ending has been revised from 17.2 to 17.3.
• Morgan Stanley, Total capital ratio (%), Minimum has been revised from 16.1 to 16.2.
• Morgan Stanley, Tier 1 leverage ratio (%), Ending has been revised from 6.3 to 6.4.
• Morgan Stanley, Tier 1 leverage ratio (%), Minimum has been revised from 5.8 to 5.9.
• Morgan Stanley, Risk-weighted assets, Projected 2022:Q1 has been revised from 387.7 to 387.8.
• Morgan Stanley, Trading and counterparty losses, Billions of dollars has been revised from 10.1 to 9.5.
• Morgan Stanley, Net income before taxes, Billions of dollars has been revised from −17.1 to −16.5.
• Morgan Stanley, Net income before taxes, Percent of average assets has been revised from −1.9 to −1.8.

On p. 76, under Table B.33:

• Wells Fargo, Trading and counterparty losses, Billions of dollars has been revised from 9.0 to 8.7.
• Wells Fargo, Net income before taxes, Billions of dollars has been revised from −16.6 to −16.3.
• Wells Fargo, Net income before taxes rate, Percent of average assets has been revised from −0.9 to −0.8.

The Federal Reserve revised this report on June 24, 2021, to correct an error in the input data used to project BNP Paribas USA, Inc’s pre-provision net revenue. The revision reduced projected preprovision net revenue, projected pre-tax net income, and projected capital ratios for BNP Paribas USA, Inc. The revisions are listed below.

On p. 1, under the Executive Summary, the sentence “Aggregate projected pre-provision net revenue (PPNR) in DFAST 2020 for the 33 firms under the severely adverse scenario is projected to be $430 billion.” has been revised to “Aggregate projected preprovision net revenue (PPNR) in DFAST 2020 for the 33 firms under the severely adverse scenario is projected to be $429 billion.”

On p. 21, the sentence “In the aggregate, the 33 firms are projected to generate $430 billion in PPNR cumulatively over the nine quarters of the projection horizon, equal to 2.6 percent of their combined average assets (see table 2).” has been revised to “In the aggregate, the 33 firms are projected to generate $429 billion in PPNR cumulatively over the nine quarters of the projection horizon, equal to 2.6 percent of their combined average assets (see table 2).”

On p. 23, under Table 2:

• 33 participating firms, Risk-weighted assets, Projected 2022:Q1 has been revised from 10,255.7 to 10,255.5.
• 33 participating firms, Pre-provision net revenue, Billions of dollars has been revised from 429.7 to 429.3.
• 33 participating firms, Net interest income, Billions of dollars has been revised from 790.0 to 789.8.
• 33 participating firms, Noninterest income, Billions of dollars has been revised from 794.5 to 794.6.
• 33 participating firms, Noninterest expense, Billions of dollars has been revised from 1,154.7 to 1,155.1.
• 33 participating firms, Net income before taxes, Billions of dollars has been revised from -176.7 to -177.1.

On p. 24, under Table 3:

• BNP Paribas USA, Inc., Stressed ratios with DFA stress testing capital action assumptions has been revised from 10.8 to 10.4.

On p. 26, under Table 4.B:

• BNP Paribas USA, Inc., CET1 capital ratio (%), Ending has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., CET1 capital ratio (%), Minimum has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., Tier 1 capital ratio (%), Ending has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., Tier 1 capital ratio (%), Minimum has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., Total capital ratio (%), Ending has been revised from 13.6 to 13.1.
• BNP Paribas USA, Inc., Total capital ratio (%), Minimum has been revised from 13.6 to 13.1.
• BNP Paribas USA, Inc., Tier 1 leverage ratio (%), Ending has been revised from 7.1 to 6.8.
• BNP Paribas USA, Inc., Tier 1 leverage ratio (%), Minimum has been revised from 7.1 to 6.8.

On p. 27, under Figure 13:

• BNP Paribas USA, Inc. changed from 5.0 to 5.5.

On p. 29, under Table 5:

• BNP Paribas USA, Inc., Pre-provision net revenue, Billions of dollars has been revised from 1.3 to 0.9.
• BNP Paribas USA, Inc., Net income before taxes, Billions of dollars has been revised from -4.5 to -4.8.
• 33 participating firms, Pre-provision net revenue, Billions of dollars has been revised from 429.7 to 429.3.
• 33 participating firms, Net income before taxes, Billions of dollars has been revised from -176.7 to -177.1.

On p. 32, under Figure 15:

• BNP Paribas USA, Inc. changed from 1.0 to 0.7.

On p. 33, under Figure 16:

• BNP Paribas USA, Inc. changed from -3.6 to -3.9.
• Median changed from -1.45 to -1.1.

On p. 50, under Table B.7:

• BNP Paribas USA, Inc., CET1 capital ratio (%), Ending has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., CET1 capital ratio (%), Minimum has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., Tier 1 capital ratio (%), Ending has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., Tier 1 capital ratio (%), Minimum has been revised from 10.8 to 10.4.
• BNP Paribas USA, Inc., Total capital ratio (%), Ending has been revised from 13.6 to 13.1.
• BNP Paribas USA, Inc., Total capital ratio (%), Minimum has been revised from 13.6 to 13.1.
• BNP Paribas USA, Inc., Tier 1 leverage ratio (%), Ending has been revised from 7.1 to 6.8.
• BNP Paribas USA, Inc., Tier 1 leverage ratio (%), Minimum has been revised from 7.1 to 6.8.
• BNP Paribas USA, Inc., Risk-weighted assets, Projected 2022:Q1 has been revised from 87.0 to 86.8.
• BNP Paribas USA, Inc., Pre-provision net revenue, Billions of dollars has been revised from 1.3 to 0.9.
• BNP Paribas USA, Inc., Pre-provision net revenue, Percent of average assets has been revised from 1.0 to 0.7.
• BNP Paribas USA, Inc., Net interest income, Billions of dollars has been revised from 5.8 to 5.6.
• BNP Paribas USA, Inc., Net interest income, Percent of average assets has been revised from 4.6 to 4.5.
• BNP Paribas USA, Inc., Noninterest income Billions of dollars has been revised from 3.4 to 3.5.
• BNP Paribas USA, Inc., Noninterest income, Percent of average assets has been revised from 2.7 to 2.8.
• BNP Paribas USA, Inc., Noninterest expense, Billions of dollars has been revised from 7.8 to 8.2.
• BNP Paribas USA, Inc., Noninterest expense, Percent of average assets has been revised from 6.3 to 6.5.
• BNP Paribas USA, Inc., Net income before taxes, Billions of dollars has been revised from -4.5 to -4.8.
• BNP Paribas USA, Inc., Net income before taxes, Percent of average assets has been revised from -3.6 to -3.9.

This correction would result in an increase in the firm’s stress capital buffer (SCB). However, the most recent stress test for this firm, conducted in December 2020, suggests a lower SCB. In light of the most recent stress test, the firm’s SCB requirement is not being restated.

Preface

The Federal Reserve promotes a safe, sound, and efficient banking and financial system that supports the growth and stability of the U.S. economy through its supervision of bank holding companies (BHCs), U.S. intermediate holding company (IHC) subsidiaries of foreign banking organizations, savings and loan holding companies, and state member banks.

The Federal Reserve has established frameworks and programs for the supervision of the largest and most complex financial institutions to achieve its supervisory objectives, incorporating lessons learned from the 2007–09 financial crisis and in the period since. As part of these supervisory frameworks and programs, the Federal Reserve through its supervisory stress test assesses whether BHCs with $100 billion or more in total consolidated assets and U.S. IHCs (together, firms) are sufficiently capitalized to absorb losses during stressful conditions while meeting obligations to creditors and counterparties and continuing to be able to lend to households and businesses. The Board of Governors of the Federal Reserve System (Board) first adopted rules implementing these frameworks and programs in October 2012 and most recently modified these rules in March 2020.¹

Each year, the Federal Reserve publicly discloses the results of its supervisory stress test, as implemented pursuant to the Dodd-Frank Act. This document includes the results of the Federal Reserve's 2020 supervisory stress test, including revenues, expenses, losses, pre-tax net income, and capital ratios projected under adverse economic and financial conditions. These results are projected using a set of models developed or selected by the Federal Reserve that take as inputs the Federal Reserve's scenarios and firm-provided data on their financial conditions and risk characteristics. This year, the Federal Reserve is also publicly disclosing the aggregate results of a sensitivity analysis conducted under a range of plausible downside scenarios stemming from recent events related to the coronavirus outbreak and response, referred to as the "COVID event."² These disclosures are intended to give the public a greater understanding of how large firms would perform under hypothetical adverse economic and financial conditions.

References

 1. On October 10, 2019, the Board finalized a rule to amend its prudential standards to exempt firms with total consolidated assets of less than $100 billion from the supervisory stress test and to subject certain firms with total consolidated assets between $100 billion and $250 billion to the supervisory stress test requirements on a two-year cycle (84 Fed. Reg. 59032 (Nov. 1, 2019)). Firms with $250 billion or more in total consolidated assets or material levels of other risk factors remain subject to the supervisory stress test requirements on an annual basis.
On March 4, 2020, the Board approved a rule to simplify its capital rules for large banks through the establishment of the stress capital buffer, which integrates the Board's stress test results with its non-stress capital requirements (85 Fed. Reg. 15576 (Mar. 18, 2020)). Return to text

 2. See Board of Governors of the Federal Reserve System, Assessment of Bank Capital during the Recent Coronavirus Event (Washington: Board of Governors, June 2020), https://www.federalreserve.gov/publications/files/2020-sensitivity-analysis-20200625.pdf. Return to text