Accessible Version

Assessing the Resiliency of Non-DFAST Banks to a Financial Shock, Accessible Version

Figure 1: Balance Sheet Composition (September 30, 2019)

Percent

  DFAST Non-DFAST
Loans 0.41 0.69
Other Assets 0.59 0.31

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies; Consolidated Reports of Condition and Income, FFIEC 031/041.

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Figure 2: Loan Portfolio Composition (September 30, 2019)

Percent

  DFAST Non-DFAST
First lien mortgages 0.19 0.19
Jr. lien mrtg. and HELOC 0.04 0.03
C&I 0.24 0.18
CRE 0.11 0.42
Credit cards 0.11 0.01
Other consumer 0.11 0.05
Other 0.20 0.12

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies; Consolidated Reports of Condition and Income, FFIEC 031/041.

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Figure 3: Regulatory Capital

CET1 Ration
Percent

Year DFAST BHCs Non-DFAST BHCs
2001/03/31 9.467245323 7.09375882
2001/06/30 9.534842806 7.207334155
2001/09/30 9.535713435 6.838924903
2001/12/31 9.49329227 6.905788308
2002/03/31 9.762201226 7.06619552
2002/06/30 9.900042193 7.061633271
2002/09/30 9.817393992 7.124426002
2002/12/31 9.761886962 6.906262158
2003/03/31 9.92182617 6.927554514
2003/06/30 9.790971367 6.900492563
2003/09/30 9.963632141 7.117190408
2003/12/31 10.01199848 7.090794142
2004/03/31 10.1631561 6.961724286
2004/06/30 10.16505442 6.803219747
2004/09/30 10.34845714 6.971597731
2004/12/31 10.31684751 7.073140614
2005/03/31 10.27319968 7.005286601
2005/06/30 10.18270699 6.974414355
2005/09/30 9.815215381 7.036008473
2005/12/31 9.747861274 6.991836659
2006/03/31 9.569520872 7.076255951
2006/06/30 9.529752922 7.075569041
2006/09/30 9.593531699 7.18763794
2006/12/31 9.563082224 7.075170905
2007/03/31 9.491907549 6.90333645
2007/06/30 9.38112935 6.668848173
2007/09/30 9.470549441 6.429527077
2007/12/31 9.220231536 5.695324135
2008/03/31 9.108094063 5.406123478
2008/06/30 9.10519317 5.40882888
2008/09/30 9.183327029 5.204969672
2008/12/31 9.561348234 4.904932512
2009/03/31 9.565543793 5.179367502
2009/06/30 9.627568267 6.394862329
2009/09/30 9.825828372 7.577042562
2009/12/31 10.22756963 7.878353565
2010/03/31 10.71808776 8.291056326
2010/06/30 11.21205884 8.751798559
2010/09/30 11.58768921 9.098854272
2010/12/31 11.42954295 9.481442556
2011/03/31 11.8882544 9.729439128
2011/06/30 12.14915507 9.941836766
2011/09/30 12.54565713 9.936199874
2011/12/31 12.51151057 10.22428232
2012/03/31 12.70129824 10.79269425
2012/06/30 12.7928131 10.91989036
2012/09/30 12.85941076 11.10757479
2012/12/31 13.20627814 11.2536711
2013/03/31 13.42416397 10.85256877
2013/06/30 13.37791453 11.09023197
2013/09/30 13.48446222 11.30750012
2013/12/31 13.38203566 11.43923741
2014/03/31 13.54733704 12.11617931
2014/06/30 13.47459638 11.51713026
2014/09/30 13.24554823 11.62488548
2014/12/31 13.11952503 11.61823
2015/03/31 13.09138237 11.4361201
2015/06/30 13.16615465 11.66297252
2015/09/30 13.09139141 11.92706737
2015/12/31 12.98987366 11.84250762
2016/03/31 12.92972894 11.77053671
2016/06/30 12.72256918 11.93638266
2016/09/30 12.89944552 11.94450093
2016/12/31 12.9197384 12.08065291
2017/03/31 13.03382696 12.16766982
2017/06/30 13.05187539 12.30970243
2017/09/30 13.06007276 12.35817634
2017/12/31 12.96486712 12.06540837
2018/03/31 13.04549456 11.68451941
2018/06/30 13.05832596 11.84697715
2018/09/30 13.2041432 11.88691282
2018/12/31 13.12660933 11.90455024
2019/03/31 13.19056091 12.01614772
2019/06/30 13.10676403 12.07857421
2019/09/30 13.15854547 11.94560995

Note: DFAST group is defined as the 33 BHCs from the 2018 exercise. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, and December 2007–June 2009.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies; Consolidated Reports of Condition and Income, FFIEC 031/041.

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Figure 4: Payout Policies

Payout Rate
Percent of NIAC

Year DFAST BHCs Non-DFAST BHCs
2011 27.93076982 28.47212
2012 30.33630044 28.73302
2013 30.66187049 38.59396
2014 32.28793482 45.43331
2015 35.52629865 45.51833
2016 33.92734632 58.30631
2017 38.65457421 71.12424
2018 35.71599803 69.15535
2019 46.50949745 81.12247

Note: The DFAST group is defined as the 33 BHCs from the 2018 exercise. Payout rate is defined as treasury stock purchases plus dividends on common shares plus retirements of common stock, and is shown as a percent of net income available to common shareholders (NIAC).
Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies; Consolidated Reports of Condition and Income, FFIEC 031/041.

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Figure 5: Composition of Average Loan Losses DFAST 2017, 2018, and 2019

Percent

  DFAST AVG Non-DFAST AVG Non-DFAST OLS Non-DFAST QREG
First lien mortgages 0.08 0.07 0.07 0.07
Jr. lien mrtg. and HELOC 0.02 0.02 0.03 0.03
C&I 0.26 0.21 0.20 0.23
CRE 0.14 0.54 0.54 0.51
Credit cards 0.28 0.03 0.03 0.02
Other consumer 0.10 0.05 0.05 0.06
Other 0.13 0.08 0.08 0.08

This figure shows the composition of loan losses for DFAST BHCs and loan losses for non-DFAST BHCs using the three estimation methods described above. OLS is the loan composition method, and QREG is the quantile regression at the 75th percentile using the loan composition detail.
Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Bank Holding Companies; Consolidated Reports of Condition and Income, FFIEC 031/041; DFAST 2017 results, DFAST 2018 results, DFAST 2019 results.

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Last Update: June 12, 2020