Comprehensive Capital Analysis and Review 2014: Summary Instructions and Guidance
Print- Supervisory Stress Testing and Capital Plan Assessments
- Federal Reserve Responses to Planned Capital Actions
- Appendix A: Templates for Dodd-Frank Act Stress Testing Results 2014
Appendix A: Templates for Dodd-Frank Act Stress Testing Results 2014
This appendix provides the format that the Federal Reserve will use to disclose the results of the supervisory stress test in accordance with the Dodd-Frank Act stress test rules.
- Table A.1. All bank holding companies Projected minimum tier 1 common ratio, Q4 2013 to Q4 2015Federal Reserve estimates: Severely adverse scenario
- Table A.2. All bank holding companies Projected minimum tier 1 common ratio, Q4 2013 to Q4 2015Federal Reserve estimates: Adverse scenario
- Table A.3. BHC XYZ, Inc.Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan lossesFederal Reserve estimates: Severely adverse scenario
- Table A.4. BHC XYZ, Inc.Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan lossesFederal Reserve estimates: Adverse scenario
Table A.1. All bank holding companies Projected minimum tier 1 common ratio, Q4 2013 to Q4 2015
Federal Reserve estimates: Severely adverse scenario
| Bank holding company | Stressed Ratios with DFA Stress Testing Capital Action Assumptions |
|---|---|
| Ally Financial Inc. | |
| American Express Company | |
| Bank of America Corporation | |
| The Bank of New York Mellon Corporation | |
| BB&T Corporation | |
| BBVA Compass Bancshares, Inc. | |
| BMO Financial Corp. | |
| Capital One Financial Corporation | |
| Citigroup Inc. | |
| Comerica Incorporated | |
| Discover Financial Services | |
| Fifth Third Bancorp | |
| The Goldman Sachs Group, Inc. | |
| HSBC North America Holdings Inc. | |
| Huntington Bancshares Incorporated | |
| JPMorgan Chase & Co. | |
| KeyCorp | |
| M&T Bank Corporation | |
| Morgan Stanley | |
| Northern Trust Corporation | |
| The PNC Financial Services Group, Inc. | |
| RBS Citizens Financial Group, Inc. | |
| Regions Financial Corporation | |
| Santander Holdings USA, Inc. | |
| State Street Corporation | |
| SunTrust Banks, Inc. | |
| U.S. Bancorp | |
| UnionBanCal Corporation | |
| Wells Fargo & Co. | |
| Zions Bancorporation |
Note: The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital ratios. The minimum stressed ratios (%) are the lowest quarterly ratios from Q4 2013 to Q4 2015 under the severely adverse scenario.
Source: Federal Reserve estimates in the severely adverse scenario. Stressed ratios with Dodd-Frank Act capital action assumptions through Q4 2015.
Table A.2. All bank holding companies Projected minimum tier 1 common ratio, Q4 2013 to Q4 2015
Federal Reserve estimates: Adverse scenario
| Bank holding company | Stressed Ratios with DFA Stress Testing Capital Action Assumptions |
|---|---|
| Ally Financial Inc. | |
| American Express Company | |
| Bank of America Corporation | |
| The Bank of New York Mellon Corporation | |
| BB&T Corporation | |
| BBVA Compass Bancshares, Inc. | |
| BMO Financial Corp. | |
| Capital One Financial Corporation | |
| Citigroup Inc. | |
| Comerica Incorporated | |
| Discover Financial Services | |
| Fifth Third Bancorp | |
| The Goldman Sachs Group, Inc. | |
| HSBC North America Holdings Inc. | |
| Huntington Bancshares Incorporated | |
| JPMorgan Chase & Co. | |
| KeyCorp | |
| M&T Bank Corporation | |
| Morgan Stanley | |
| Northern Trust Corporation | |
| The PNC Financial Services Group, Inc. | |
| RBS Citizens Financial Group, Inc. | |
| Regions Financial Corporation | |
| Santander Holdings USA, Inc. | |
| State Street Corporation | |
| SunTrust Banks, Inc. | |
| U.S. Bancorp | |
| UnionBanCal Corporation | |
| Wells Fargo & Co. | |
| Zions Bancorporation |
Note: The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital ratios. The minimum stressed ratios (%) are the lowest quarterly ratios from Q4 2013 to Q4 2015 under the adverse scenario.
Source: Federal Reserve estimates in the adverse scenario. Stressed ratios with Dodd-Frank Act capital action assumptions through Q4 2015.
Table A.3. BHC XYZ, Inc.Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates: Severely adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | |||
| Common equity tier 1 capital ratio (%) 2 | n.a. | ||
| Tier 1 risk-based capital ratio (%) | |||
| Total risk-based capital ratio (%) | |||
| Tier 1 leverage ratio (%) | |||
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | ||
| First-lien mortgages, domestic | ||
| Junior liens and HELOCs, domestic | ||
| Commercial and industrial 2 | ||
| Commercial real estate, domestic | ||
| Credit cards | ||
| Other consumer 3 | ||
| Other loans 4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
|||
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | ||
| Other revenue 3 | ||
| less | ||
| Provisions | ||
| Realized losses/gains on securities (AFS/HTM) | ||
| Trading and counterparty losses 4 | ||
| Other losses/gains 5 | ||
| equals | ||
| Net income before taxes | ||
| Memo items | ||
| Other comprehensive income 6 | ||
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option, and goodwill impairment losses. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
Table A.4. BHC XYZ, Inc.Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before taxes, and loan losses
Federal Reserve estimates: Adverse scenario
| Actual Q3 2013 | Stressed capital ratios 1 | ||
|---|---|---|---|
| Ending | Minimum | ||
| Tier 1 common ratio (%) | |||
| Common equity tier 1 capital ratio (%) 2 | n.a. | ||
| Tier 1 risk-based capital ratio (%) | |||
| Total risk-based capital ratio (%) | |||
| Tier 1 leverage ratio (%) | |||
1. The capital ratios are calculated using capital action assumptions provided within the Dodd-Frank Act stress testing rule. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes, or capital ratios. The minimum capital ratio presented is for the period Q4 2013 to Q4 2015. Return to table
2. Advanced approaches bank holding companies (BHCs) are subject to the common equity tier 1 ratio for each quarter of 2014. All bank holding companies are subject to the common equity tier 1 ratio for each quarter of 2015. For purposes of this stress test cycle, an advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total consolidated on-balance sheet foreign exposure of at least $10 billion as of December 31, 2013. See 12 CFR 217.100(b)(1); 12 CFR part 225, appendix G, section 1(b). Other BHCs include any BHC that is subject to 12 CFR 225.8 and is not an advanced approaches BHC. Return to table
n.a. Not applicable.
| Billions of dollars | Portfolio loss rates (%) 1 | |
|---|---|---|
| Loan losses | ||
| First-lien mortgages, domestic | ||
| Junior liens and HELOCs, domestic | ||
| Commercial and industrial 2 | ||
| Commercial real estate, domestic | ||
| Credit cards | ||
| Other consumer 3 | ||
| Other loans 4 |
1. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters. Return to table
2. Commercial and industrial loans include small- and medium- enterprise loans and corporate cards. Return to table
3. Other consumer loans include student loans and automobile loans. Return to table
4. Other loans include international real estate loans. Return to table
| Actual Q3 2013 |
Projected Q4 2015 | ||
|---|---|---|---|
| Current general approach | Basel III standardized approach | ||
| Risk-weighted assets (billions of dollars) 1 |
|||
1. For each quarter in 2014, risk-weighted assets are calculated using the current general risk-based capital approach. For each quarter in 2015, risk-weighted assets are calculated under the Basel III standardized capital risk-based approach, except for the tier 1 common ratio which uses the general risk-based capital approach for all quarters. Return to table
| Billions of dollars | Percent of average assets 1 | |
|---|---|---|
| Pre-provision net revenue 2 | ||
| Other revenue 3 | ||
| less | ||
| Provisions | ||
| Realized losses/gains on securities (AFS/HTM) | ||
| Trading and counterparty losses 4 | ||
| Other losses/gains 5 | ||
| equals | ||
| Net income before taxes | ||
| Memo items | ||
| Other comprehensive income 6 | ||
| Other effects on capital | Q4 2014 | Q4 2015 |
| AOCI included in capital (billions of dollars) 7 |
1. Average assets is the nine-quarter average of total assets. Return to table
2. Pre-provision net revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs. Return to table
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue. Return to table
4. Trading and counterparty losses include mark-to-market and credit valuation adjustments (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities. Return to table
5. Other losses/gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair-value option, and goodwill impairment losses. Return to table
6. Other comprehensive income is only calculated for advanced approaches BHCs, as only those BHCs include accumulated other comprehensive income (AOCI) in calculations of regulatory capital. Other comprehensive income includes incremental unrealized losses/gains on AFS securities and on any HTM securities that have experienced other than temporary impairment. Return to table
7. For advanced approaches BHCs, 20 percent of AOCI is included in capital calculations for 2014 and 40 percent of AOCI is included in capital calculations for 2015. For the purposes of this stress test cycle, non-advanced approaches BHCs are assumed to opt-out of including AOCI in their capital calculations. Return to table
