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Dodd-Frank Act Stress Test 2013: Supervisory Stress Test
Methodology and Results

Federal Reserve Supervisory Stress Test Framework and Model Methodology


Appendix A: Severely Adverse Scenario

This appendix includes the severely adverse scenario provided by the Federal Reserve.

It is important to note that the severely adverse scenario is not a forecast but rather a hypothetical scenario to be used to assess the strength and resilience of BHC capital in a severely adverse economic environment. The severely adverse scenario, while unlikely, represents an outcome in which the U.S. economy experiences a significant recession and financial market distress, and economic activity in other major economies also contracts significantly.

Table A.1. Supervisory severely adverse scenario: Domestic

Date Real GDP growth Nominal GDP growth Real disposable income growth Nominal disposable income growth Unemploy-ment rate CPI inflation rate 3-month Treasury yield 10-year Treasury yield BBB corporate yield Mortgage rate Dow Jones Total Stock Market Index House Price Index Commercial Real Estate Price Index Market Volatility Index (VIX)
Q1 2001 -1.3 1.4 3.0 6.0 4.2 3.9 4.8 5.3 7.4 7.0 10645.9 112.3 140.8 32.8
Q2 2001 2.6 5.5 -1.1 0.8 4.4 2.8 3.7 5.5 7.5 7.2 11407.2 114.5 140.0 34.7
Q3 2001 -1.1 0.2 10.6 10.7 4.8 1.1 3.2 5.3 7.3 6.9 9563.0 116.7 143.7 43.7
Q4 2001 1.4 2.7 -4.6 -4.4 5.5 -0.3 1.9 5.1 7.2 6.8 10707.7 119.1 137.9 35.3
Q1 2002 3.5 4.9 11.2 12.3 5.7 1.3 1.7 5.4 7.6 7.0 10775.7 121.4 139.7 26.1
Q2 2002 2.1 4.0 2.2 5.4 5.8 3.2 1.7 5.4 7.6 6.7 9384.0 124.3 137.4 28.4
Q3 2002 2.0 3.8 -1.4 0.6 5.7 2.2 1.6 4.5 7.3 6.2 7773.6 127.8 140.9 45.1
Q4 2002 0.1 2.5 1.0 2.9 5.9 2.4 1.3 4.3 7.0 6.1 8343.2 130.4 144.2 42.6
Q1 2003 1.7 4.5 1.5 4.4 5.9 4.2 1.2 4.2 6.5 5.8 8051.9 133.4 148.7 34.7
Q2 2003 3.4 4.6 6.2 6.5 6.1 -0.7 1.0 3.8 5.7 5.5 9342.4 136.2 151.2 29.1
Q3 2003 6.7 9.1 5.7 8.5 6.1 3.0 0.9 4.4 6.0 6.1 9649.7 139.8 152.2 22.7
Q4 2003 3.7 5.8 2.3 4.2 5.8 1.5 0.9 4.4 5.8 5.9 10799.6 144.3 150.1 21.1
Q1 2004 2.7 6.3 1.8 5.2 5.7 3.4 0.9 4.1 5.5 5.6 11039.4 150.2 155.8 21.6
Q2 2004 2.6 6.1 4.0 7.1 5.6 3.2 1.1 4.7 6.1 6.2 11138.9 156.4 162.6 20.0
Q3 2004 3.0 6.0 2.7 5.3 5.4 2.6 1.5 4.4 5.8 5.8 10895.5 162.2 173.9 19.3
Q4 2004 3.3 6.4 5.7 9.2 5.4 4.4 2.0 4.3 5.4 5.7 11971.1 167.8 178.4 16.6
Q1 2005 4.2 8.1 -4.8 -2.5 5.3 2.0 2.5 4.4 5.4 5.8 11638.3 176.1 179.6 14.6
Q2 2005 1.8 4.5 2.8 5.4 5.1 2.7 2.9 4.2 5.5 5.7 11876.7 183.8 186.5 17.7
Q3 2005 3.2 7.5 2.4 7.1 5.0 6.2 3.4 4.3 5.5 5.8 12289.3 189.9 190.8 14.2
Q4 2005 2.1 5.5 2.2 5.8 5.0 3.8 3.8 4.6 5.9 6.3 12517.7 194.9 199.6 16.5
Q1 2006 5.1 8.3 7.7 9.5 4.7 2.1 4.4 4.7 6.0 6.3 13155.4 199.7 203.0 14.6
Q2 2006 1.6 5.2 3.6 6.7 4.6 3.7 4.7 5.2 6.5 6.6 12849.3 199.7 211.9 23.8
Q3 2006 0.1 3.1 1.9 4.9 4.6 3.8 4.9 5.0 6.4 6.5 13346.0 197.5 224.2 18.6
Q4 2006 2.7 4.6 5.3 5.3 4.4 -1.6 4.9 4.7 6.1 6.2 14257.6 198.0 221.1 12.7
Q1 2007 0.5 5.2 1.8 5.8 4.5 4.0 5.0 4.8 6.1 6.2 14409.3 196.4 233.3 19.6
Q2 2007 3.6 6.5 0.6 4.1 4.5 4.6 4.7 4.9 6.3 6.4 15210.7 192.1 241.5 18.9
Q3 2007 3.0 4.3 1.6 3.9 4.7 2.6 4.3 4.8 6.5 6.5 15362.0 186.4 257.8 30.8
Q4 2007 1.7 3.6 2.2 6.5 4.8 5.0 3.4 4.4 6.4 6.2 14819.6 180.7 260.2 31.1
Q1 2008 -1.8 0.6 5.9 10.0 5.0 4.4 2.1 3.9 6.5 5.9 13332.0 174.5 253.6 32.2
Q2 2008 1.3 4.0 8.2 13.1 5.3 5.4 1.6 4.1 6.8 6.2 13073.5 166.7 242.1 31.0
Q3 2008 -3.7 -0.6 -8.8 -4.9 6.0 6.4 1.5 4.1 7.2 6.3 11875.4 159.8 246.8 46.7
Q4 2008 -8.9 -8.4 -0.2 -5.8 6.9 -9.0 0.3 3.7 9.4 5.8 9087.2 152.0 231.9 80.9
Q1 2009 -5.3 -4.4 -4.7 -6.8 8.3 -2.5 0.2 3.2 9.0 5.0 8113.1 144.1 211.2 56.7
Q2 2009 -0.3 -1.1 -0.5 1.1 9.3 1.9 0.2 3.7 8.2 5.1 9424.9 142.3 175.4 42.3
Q3 2009 1.4 1.9 -6.1 -3.3 9.6 3.6 0.2 3.8 6.8 5.1 10911.7 144.0 158.7 31.3
Q4 2009 4.0 5.3 -0.6 2.5 9.9 3.0 0.1 3.7 6.1 4.9 11497.4 144.8 158.0 30.7
Q1 2010 2.3 3.9 5.7 7.6 9.8 0.9 0.1 3.9 5.8 5.0 12161.0 145.5 153.5 27.3
Q2 2010 2.2 4.1 6.3 6.9 9.6 -0.3 0.1 3.6 5.6 4.8 10750.0 145.7 169.3 45.8
Q3 2010 2.6 4.6 1.2 2.5 9.5 1.4 0.2 2.9 5.1 4.4 11947.1 142.5 171.1 32.9
Q4 2010 2.4 4.5 1.0 3.1 9.6 3.0 0.1 3.0 5.0 4.5 13290.0 140.2 179.8 23.5
Q1 2011 0.1 2.2 4.4 7.7 9.0 4.5 0.1 3.5 5.4 4.9 14036.4 138.8 186.4 29.4
Q2 2011 2.5 5.2 -1.5 2.0 9.0 4.4 0.0 3.3 5.1 4.6 13968.1 137.7 184.4 22.7
Q3 2011 1.3 4.3 -1.3 1.1 9.1 3.1 0.0 2.5 4.9 4.2 11771.9 137.2 184.6 48.0
Q4 2011 4.1 4.2 -0.2 0.9 8.7 1.3 0.0 2.1 5.0 4.0 13109.6 135.9 194.1 45.5
Q1 2012 2.0 4.2 3.7 6.3 8.3 2.5 0.1 2.1 4.7 3.9 14753.1 137.9 195.2 23.0
Q2 2012 1.3 2.8 3.1 3.8 8.2 0.8 0.1 1.8 4.5 3.7 14208.6 141.3 196.8 26.7
Q3 2012 2.0 5.0 0.8 2.6 8.1 2.3 0.1 1.6 4.2 3.5 14997.8 143.4 198.6 20.5
Q4 2012 -3.5 0.0 -3.8 -2.3 8.9 1.8 0.1 1.4 5.6 4.1 12105.2 141.6 195.8 72.1
Q1 2013 -6.1 -4.7 -6.7 -5.9 10.0 1.4 0.1 1.2 6.4 4.5 9652.6 137.9 185.8 76.6
Q2 2013 -4.4 -3.3 -4.6 -4.0 10.7 1.1 0.1 1.2 6.7 4.7 9032.8 133.6 178.2 76.4
Q3 2013 -4.2 -3.6 -3.2 -2.8 11.5 1.0 0.1 1.2 6.8 4.8 7269.1 129.0 171.8 79.4
Q4 2013 -1.2 -1.2 -1.5 -1.8 11.9 0.3 0.1 1.2 6.5 4.7 7221.7 124.7 163.1 71.7
Q1 2014 0.0 0.3 0.8 1.2 12.0 1.0 0.1 1.2 6.2 4.7 7749.3 120.6 160.4 70.6
Q2 2014 2.2 2.2 0.9 1.3 12.1 0.9 0.1 1.5 6.2 4.7 8133.9 117.2 158.8 64.5
Q3 2014 2.6 2.4 2.5 2.7 12.0 0.7 0.1 1.7 6.0 4.6 9026.1 115.0 156.3 58.6
Q4 2014 3.8 3.5 2.8 2.9 11.9 0.6 0.1 1.9 5.9 4.5 9706.7 113.6 157.6 53.0
Q1 2015 4.2 3.8 3.6 3.6 11.7 0.5 0.1 2.0 5.8 4.5 10211.0 113.2 157.1 50.1
Q2 2015 4.1 3.7 3.7 3.6 11.5 0.5 0.1 2.1 5.8 4.5 12645.7 113.6 157.4 40.9
Q3 2015 4.6 4.1 3.4 3.1 11.4 0.3 0.1 2.2 5.6 4.4 13854.4 114.4 162.7 26.3
Q4 2015 4.6 4.0 3.1 2.8 11.1 0.3 0.1 2.2 5.4 4.3 15294.9 115.5 166.0 17.1

Note: Refer to "Data Notes" for more information on variables.

Table A.2. Supervisory severely adverse scenario: International

Date Euro area real GDP growth Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) Japan real GDP growth Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound)
Q1 2001 3.7 1.1 0.9 3.9 1.6 105.9 2.9 0.6 125.5 5.4 0.1 1.4
Q2 2001 0.4 4.1 0.8 6.0 2.0 106.0 -1.0 -2.0 124.7 2.7 3.1 1.4
Q3 2001 0.3 1.4 0.9 4.6 1.2 106.3 -4.2 -0.6 119.2 2.2 1.0 1.5
Q4 2001 0.6 1.7 0.9 6.9 -0.2 106.7 -0.7 -1.8 131.0 1.5 0.0 1.5
Q1 2002 0.6 3.0 0.9 7.4 0.3 107.2 -0.6 -1.1 132.7 1.7 1.9 1.4
Q2 2002 2.3 2.0 1.0 9.2 0.7 104.7 4.1 0.1 119.9 3.4 0.9 1.5
Q3 2002 1.2 1.6 1.0 4.9 1.5 105.4 2.6 -0.4 121.7 3.4 1.4 1.6
Q4 2002 0.1 2.4 1.0 6.3 0.7 104.4 1.5 -0.6 118.8 3.8 1.9 1.6
Q1 2003 -0.2 3.3 1.1 6.9 3.2 105.4 -2.1 0.0 118.1 2.4 1.6 1.6
Q2 2003 0.3 0.3 1.2 2.8 1.2 103.9 5.1 0.3 119.9 4.9 0.3 1.7
Q3 2003 1.8 2.2 1.2 13.5 0.0 102.6 1.5 -0.6 111.4 5.0 1.7 1.7
Q4 2003 2.9 2.2 1.3 11.8 5.6 103.3 4.4 -0.7 107.1 4.9 1.7 1.8
Q1 2004 2.1 2.3 1.2 4.6 4.2 101.4 4.1 0.6 104.2 3.0 1.3 1.8
Q2 2004 2.2 2.4 1.2 6.3 4.0 102.7 -0.1 -0.3 109.4 1.0 1.0 1.8
Q3 2004 1.5 2.0 1.2 8.8 3.9 102.7 0.4 0.0 110.2 0.0 1.1 1.8
Q4 2004 1.4 2.5 1.4 8.0 0.7 99.0 -0.9 1.8 102.7 2.5 2.4 1.9
Q1 2005 0.8 1.5 1.3 7.9 2.8 98.7 0.8 -0.9 107.2 2.5 2.6 1.9
Q2 2005 3.0 2.2 1.2 7.3 1.7 99.0 5.4 -1.2 110.9 5.1 1.8 1.8
Q3 2005 2.4 3.2 1.2 9.8 2.5 98.6 1.3 -1.3 113.3 3.3 2.7 1.8
Q4 2005 2.6 2.5 1.2 10.7 1.8 98.1 0.9 0.7 117.9 4.4 1.4 1.7
Q1 2006 3.8 1.6 1.2 12.1 2.4 96.8 1.7 1.3 117.5 2.0 1.9 1.7
Q2 2006 4.3 2.5 1.3 8.0 3.1 96.8 1.6 -0.1 114.5 1.2 3.0 1.8
Q3 2006 2.8 2.0 1.3 8.7 1.8 96.4 -0.4 0.5 118.0 0.8 3.3 1.9
Q4 2006 4.2 1.0 1.3 10.8 4.0 94.6 5.4 -0.4 119.0 3.8 2.6 2.0
Q1 2007 3.3 2.2 1.3 14.7 3.8 94.0 4.1 -0.3 117.6 4.6 2.6 2.0
Q2 2007 1.8 2.3 1.4 10.3 4.8 92.0 0.2 0.0 123.4 5.0 1.6 2.0
Q3 2007 2.5 2.1 1.4 8.9 7.6 90.7 -1.4 0.1 115.0 4.8 0.3 2.0
Q4 2007 1.7 5.0 1.5 10.3 6.3 89.4 3.7 2.3 111.7 0.7 4.0 2.0
Q1 2008 2.1 4.2 1.6 8.6 7.9 88.0 2.7 1.3 99.9 0.3 3.7 2.0
Q2 2008 -1.4 3.1 1.6 8.1 6.4 88.6 -5.2 1.7 106.2 -3.6 5.5 2.0
Q3 2008 -2.4 3.2 1.4 3.8 2.8 91.3 -3.7 3.4 105.9 -6.9 5.9 1.8
Q4 2008 -6.6 -1.3 1.4 -0.1 -1.3 92.0 -12.4 -2.2 90.8 -8.1 0.6 1.5
Q1 2009 -10.7 -1.2 1.3 3.4 -1.2 94.0 -15.0 -3.5 99.2 -5.9 0.0 1.4
Q2 2009 -1.1 -0.1 1.4 16.1 2.5 92.1 6.3 -1.7 96.4 -0.7 1.9 1.6
Q3 2009 1.5 1.3 1.5 12.9 4.6 91.1 1.0 -1.4 89.5 1.6 3.7 1.6
Q4 2009 1.6 1.7 1.4 8.0 5.3 90.5 7.1 -1.5 93.1 1.7 3.2 1.6
Q1 2010 1.9 1.6 1.4 9.4 5.0 89.7 5.1 1.1 93.4 2.4 4.1 1.5
Q2 2010 4.2 1.7 1.2 8.7 3.5 90.8 5.1 -1.2 88.5 2.9 2.7 1.5
Q3 2010 1.5 2.0 1.4 8.8 3.8 88.2 4.7 -2.2 83.5 2.5 2.6 1.6
Q4 2010 1.4 2.7 1.3 8.2 7.9 87.2 -1.1 1.2 81.7 -1.7 4.3 1.5
Q1 2011 2.6 3.4 1.4 9.6 6.4 86.3 -8.0 0.0 82.8 2.0 6.6 1.6
Q2 2011 0.9 2.9 1.5 6.7 5.6 85.2 -2.1 -0.7 80.6 0.3 4.0 1.6
Q3 2011 0.3 1.9 1.3 6.8 5.5 87.2 9.5 0.1 77.0 2.1 4.2 1.6
Q4 2011 -1.3 3.6 1.3 6.7 2.6 87.0 -1.2 -0.7 77.0 -1.4 3.9 1.6
Q1 2012 0.0 2.4 1.3 6.1 2.9 86.1 5.2 2.3 82.4 -1.2 1.8 1.6
Q2 2012 -0.7 2.0 1.3 5.7 4.6 87.9 0.3 -0.9 79.8 -1.5 1.1 1.6
Q3 2012 -0.5 2.3 1.3 7.0 2.1 86.1 -3.5 -2.0 77.9 4.1 3.0 1.6
Q4 2012 -8.7 1.6 1.2 0.3 2.5 97.2 -1.4 -4.4 75.7 -6.5 1.6 1.6
Q1 2013 -6.8 1.0 1.1 3.9 1.8 97.9 -4.5 -4.1 77.8 -6.6 0.7 1.6
Q2 2013 -4.3 0.4 1.1 5.9 0.5 96.9 -6.5 -5.0 78.7 -3.7 -0.6 1.6
Q3 2013 -2.3 0.2 1.1 6.9 0.0 95.1 -6.8 -4.7 78.7 -1.4 -1.0 1.6
Q4 2013 -0.8 0.2 1.1 7.5 0.1 93.0 -5.5 -3.6 78.4 0.1 -0.7 1.6
Q1 2014 0.4 0.4 1.1 7.9 0.6 91.2 -3.1 -1.9 78.2 0.9 0.0 1.6
Q2 2014 1.2 0.6 1.1 8.1 1.1 89.7 -1.1 -0.5 78.1 1.6 0.6 1.6
Q3 2014 1.7 0.8 1.1 8.3 1.4 88.5 0.3 0.3 78.2 2.1 1.0 1.6
Q4 2014 2.0 0.9 1.1 8.4 1.7 87.5 1.1 0.5 78.5 2.7 1.3 1.5
Q1 2015 2.0 1.1 1.1 8.5 1.8 86.6 1.4 0.4 79.0 3.2 1.4 1.5
Q2 2015 2.0 1.2 1.2 8.5 1.9 86.0 1.5 0.2 79.6 3.5 1.5 1.5
Q3 2015 2.0 1.3 1.2 8.6 2.0 85.5 1.6 0.1 80.3 3.6 1.6 1.5
Q4 2015 2.0 1.4 1.2 8.6 2.1 85.2 1.6 0.1 80.9 3.7 1.6 1.5

Note: Refer to "Data Notes" for more information on variables.


Data Notes

Sources for data through 2012:Q3 (as released through 11/13/2012).

U.S. real GDP growth: Percent change in real Gross Domestic Product at an annualized rate, Bureau of Economic Analysis.

U.S. nominal GDP growth: Percent change in nominal Gross Domestic Product at an annualized rate, Bureau of Economic Analysis.

U.S. real disposable income growth: Percent change in nominal disposable personal income divided by the price index for personal consumption expenditures at an annualized rate, Bureau of Economic Analysis.

U.S. nominal disposable income growth: Percent change in nominal disposable personal income at an annualized rate, Bureau of Economic Analysis.

U.S. unemployment rate: Quarterly average of monthly data, Bureau of Labor Statistics.

U.S. CPI inflation: Percent change in the Consumer Price Index at an annualized rate, Bureau of Labor Statistics.

U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary market rate discount basis, Federal Reserve Board.

U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury bonds, constructed for FRB/U.S. model by Federal Reserve staff based on the Svensson smoothed term structure model; see Lars E. O. Svensson (1995), "Estimating Forward Interest Rates with the Extended Nelson-Siegel Method," Quarterly Review, no. 3, Sveriges Riksbank, pp. 13-26.

U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate bonds, constructed for FRB/U.S. model by Federal Reserve staff using a Nelson-Siegel smoothed yield curve model; see Charles R. Nelson and Andrew F. Siegel (1987), "Parsimonious Modeling of Yield Curves," Journal of Business, vol. 60, pp. 473-89. Data prior to 1997 is based on the WARGA database. Data after 1997 is based on the Merrill Lynch database.

U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data.

U.S. Dow Jones Total Stock Market Index: End of quarter value, Dow Jones.

U.S. House Price Index: CoreLogic, index level, seasonally adjusted by Federal Reserve staff.

U.S. Commercial Real Estate Price Index: From Flow of Funds Accounts of the United States, Federal Reserve Board (Z.1 release); the series corresponds to the data for price indexes: Commercial Real Estate Price Index (series FL075035503.Q), divided by 1,000.

U.S. Market Volatility Index (VIX): Chicago Board Options Exchange, converted to quarterly by using the maximum value in any quarter.

Euro area real GDP growth: Staff calculations based on Statistical Office of the European Communities via Haver, extended back using ECB Area Wide Model dataset (ECB Working Paper series no. 42).

Euro area inflation: Staff calculations based on Statistical Office of the European Communities via Haver.

Developing Asia real GDP growth: Staff calculations based on Bank of Korea via Haver; Chinese National Bureau of Statistics via CEIC; Indian Central Statistical Organization via CEIC; Census and Statistics Department of Hong Kong via CEIC; and Taiwan Directorate-General of Budget, Accounting, and Statistics via CEIC.

Developing Asia inflation: Staff calculations based on Bank of Korea via CEIC; Chinese Statistical Information and Consultancy Service via CEIC and IMF Recent Economic Developments; Labour Bureau of India via CEIC and IMF; Census and Statistics Department of Hong Kong via CEIC; and Taiwan Directorate-General of Budget, Accounting, and Statistics via CEIC.

Japan real GDP growth: Cabinet Office via Haver.

Japan inflation: Ministry of Internal Affairs and Communications via Haver.

U.K. real GDP growth: Office of National Statistics via Haver.

U.K. inflation: Office of National Statistics (uses Retail Price Index to extend series back to 1960) via Haver.

Exchange rates: Bloomberg.

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Last update: March 28, 2013

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