Dodd-Frank Act Stress Test 2018: Supervisory Stress Test Methodology and Results - June 2018
Accessible Version
Figure 1. Historical and stressed tier 1 common ratio and common equity tier 1 ratio
| Period | Ratio | Percent |
|---|---|---|
| Actual, Q1 2011 | Actual tier 1 common | 9.98 |
| Actual, Q1 2012 | Actual tier 1 common | 10.94 |
| Actual, Q1 2013 | Actual tier 1 common | 10.97 |
| Actual, Q4 2013 | Actual tier 1 common | 11.6 |
| Actual, Q3 2014 | Actual tier 1 common | 11.86 |
| Actual, Q4 2015 | Actual tier 1 common | 12.3 |
| Actual, Q4 2016 | Actual CET1 | 12.5 |
| Actual, Q4 2017 | Actual CET1 | 12.3 |
| Stressed, Q1 2020 | Stressed CET1 | 8.7 |
Source: FR Y-9C, FR Y-14A, and supervisory estimates under the severely adverse scenario.
Figure 2. Unemployment rate in the severely adverse and adverse scenarios, 2013:Q1–2021:Q1
| Period | Severely Adverse | Adverse |
|---|---|---|
| 2013:Q1 | 7.7 | 7.7 |
| 2013:Q2 | 7.5 | 7.5 |
| 2013:Q3 | 7.2 | 7.2 |
| 2013:Q4 | 6.9 | 6.9 |
| 2014:Q1 | 6.7 | 6.7 |
| 2014:Q2 | 6.2 | 6.2 |
| 2014:Q3 | 6.1 | 6.1 |
| 2014:Q4 | 5.7 | 5.7 |
| 2015:Q1 | 5.6 | 5.6 |
| 2015:Q2 | 5.4 | 5.4 |
| 2015:Q3 | 5.1 | 5.1 |
| 2015:Q4 | 5.0 | 5.0 |
| 2016:Q1 | 4.9 | 4.9 |
| 2016:Q2 | 4.9 | 4.9 |
| 2016:Q3 | 4.9 | 4.9 |
| 2016:Q4 | 4.7 | 4.7 |
| 2017:Q1 | 4.7 | 4.7 |
| 2017:Q2 | 4.3 | 4.3 |
| 2017:Q3 | 4.3 | 4.3 |
| 2017:Q4 | 4.1 | 4.1 |
| 2018:Q1 | 5.0 | 4.5 |
| 2018:Q2 | 6.5 | 5.3 |
| 2018:Q3 | 7.6 | 5.8 |
| 2018:Q4 | 8.5 | 6.3 |
| 2019:Q1 | 9.3 | 6.6 |
| 2019:Q2 | 9.7 | 6.9 |
| 2019:Q3 | 10.0 | 7.0 |
| 2019:Q4 | 9.9 | 7.0 |
| 2020:Q1 | 9.7 | 6.9 |
| 2020:Q2 | 9.5 | 6.8 |
| 2020:Q3 | 9.2 | 6.6 |
| 2020:Q4 | 8.9 | 6.5 |
| 2021:Q1 | 8.6 | 6.3 |
Source: Bureau of Labor Statistics and Federal Reserve assumptions in the supervisory scenarios.
Figure 3. Real GDP growth rate in the severely adverse and adverse scenarios, 2013:Q1–2021:Q1
| Period | Severely Adverse | Adverse |
|---|---|---|
| 2013:Q1 | 2.8 | 2.8 |
| 2013:Q2 | 0.8 | 0.8 |
| 2013:Q3 | 3.1 | 3.1 |
| 2013:Q4 | 4.0 | 4.0 |
| 2014:Q1 | -0.9 | -0.9 |
| 2014:Q2 | 4.6 | 4.6 |
| 2014:Q3 | 5.2 | 5.2 |
| 2014:Q4 | 2.0 | 2.0 |
| 2015:Q1 | 3.2 | 3.2 |
| 2015:Q2 | 2.7 | 2.7 |
| 2015:Q3 | 1.6 | 1.6 |
| 2015:Q4 | 0.5 | 0.5 |
| 2016:Q1 | 0.6 | 0.6 |
| 2016:Q2 | 2.2 | 2.2 |
| 2016:Q3 | 2.8 | 2.8 |
| 2016:Q4 | 1.8 | 1.8 |
| 2017:Q1 | 1.2 | 1.2 |
| 2017:Q2 | 3.1 | 3.1 |
| 2017:Q3 | 3.2 | 3.2 |
| 2017:Q4 | 2.7 | 2.7 |
| 2018:Q1 | -4.7 | -1.3 |
| 2018:Q2 | -8.9 | -3.5 |
| 2018:Q3 | -6.8 | -2.4 |
| 2018:Q4 | -4.7 | -1.3 |
| 2019:Q1 | -3.6 | -0.7 |
| 2019:Q2 | -1.3 | 0.4 |
| 2019:Q3 | -0.2 | 1.0 |
| 2019:Q4 | 2.8 | 2.5 |
| 2020:Q1 | 3.5 | 2.8 |
| 2020:Q2 | 4.0 | 3.0 |
| 2020:Q3 | 4.2 | 3.2 |
| 2020:Q4 | 4.5 | 3.3 |
| 2021:Q1 | 4.5 | 3.3 |
Source: Bureau of Economic Analysis and Federal Reserve assumptions in the supervisory scenarios.
Figure 4. Dow Jones Total Stock Market Index, end of quarter, in the severely adverse and adverse scenarios, 2013:Q1–2021:Q1
| Period | Severely Adverse | Adverse |
|---|---|---|
| 2013:Q1 | 16396.2 | 16396.2 |
| 2013:Q2 | 16771.3 | 16771.3 |
| 2013:Q3 | 17718.3 | 17718.3 |
| 2013:Q4 | 19413.2 | 19413.2 |
| 2014:Q1 | 19711.2 | 19711.2 |
| 2014:Q2 | 20568.7 | 20568.7 |
| 2014:Q3 | 20458.8 | 20458.8 |
| 2014:Q4 | 21424.6 | 21424.6 |
| 2015:Q1 | 21707.6 | 21707.6 |
| 2015:Q2 | 21630.9 | 21630.9 |
| 2015:Q3 | 19959.3 | 19959.3 |
| 2015:Q4 | 21100.9 | 21100.9 |
| 2016:Q1 | 21179.4 | 21179.4 |
| 2016:Q2 | 21621.5 | 21621.5 |
| 2016:Q3 | 22468.6 | 22468.6 |
| 2016:Q4 | 23276.7 | 23276.7 |
| 2017:Q1 | 24508.3 | 24508.3 |
| 2017:Q2 | 25125 | 25125 |
| 2017:Q3 | 26148.5 | 26148.5 |
| 2017:Q4 | 27673.2 | 27673.2 |
| 2018:Q1 | 13465.6 | 24589 |
| 2018:Q2 | 11631.4 | 22884.3 |
| 2018:Q3 | 10575.2 | 21104.3 |
| 2018:Q4 | 10306.1 | 20857.6 |
| 2019:Q1 | 9689.4 | 19718.4 |
| 2019:Q2 | 10099.8 | 19997.9 |
| 2019:Q3 | 10948.6 | 20579.7 |
| 2019:Q4 | 12031.1 | 21349.8 |
| 2020:Q1 | 13234.4 | 22145.1 |
| 2020:Q2 | 14712.7 | 23212.5 |
| 2020:Q3 | 16323.1 | 24259.3 |
| 2020:Q4 | 18143.2 | 25405.5 |
| 2021:Q1 | 20168.3 | 26624.8 |
Source: Dow Jones and Federal Reserve assumptions in the supervisory scenarios.
Figure 5. National House Price Index in the severely adverse and adverse scenarios, 2013:Q1–2021:Q1
| Period | Severely Adverse | Adverse |
|---|---|---|
| 2013:Q1 | 147.0 | 147.0 |
| 2013:Q2 | 151.0 | 151.0 |
| 2013:Q3 | 154.7 | 154.7 |
| 2013:Q4 | 157.9 | 157.9 |
| 2014:Q1 | 159.9 | 159.9 |
| 2014:Q2 | 161.0 | 161.0 |
| 2014:Q3 | 163.1 | 163.1 |
| 2014:Q4 | 165.7 | 165.7 |
| 2015:Q1 | 168.0 | 168.0 |
| 2015:Q2 | 170.1 | 170.1 |
| 2015:Q3 | 172.4 | 172.4 |
| 2015:Q4 | 174.9 | 174.9 |
| 2016:Q1 | 177.2 | 177.2 |
| 2016:Q2 | 179.3 | 179.3 |
| 2016:Q3 | 181.6 | 181.6 |
| 2016:Q4 | 184.1 | 184.1 |
| 2017:Q1 | 187.1 | 187.1 |
| 2017:Q2 | 190.0 | 190.0 |
| 2017:Q3 | 193.2 | 193.2 |
| 2017:Q4 | 194.4 | 194.4 |
| 2018:Q1 | 185.7 | 190.9 |
| 2018:Q2 | 171.1 | 185.1 |
| 2018:Q3 | 159.4 | 180.4 |
| 2018:Q4 | 150.7 | 176.9 |
| 2019:Q1 | 143.4 | 174.0 |
| 2019:Q2 | 139.0 | 172.3 |
| 2019:Q3 | 136.1 | 171.1 |
| 2019:Q4 | 136.1 | 171.1 |
| 2020:Q1 | 136.2 | 171.1 |
| 2020:Q2 | 137.3 | 171.6 |
| 2020:Q3 | 138.8 | 172.2 |
| 2020:Q4 | 140.7 | 172.9 |
| 2021:Q1 | 143.0 | 173.9 |
Source: CoreLogic (seasonally adjusted by Federal Reserve) and Federal Reserve assumptions in the supervisory scenarios.
Figure 6. U.S. BBB corporate yield, quarterly average in the severely adverse and adverse scenarios, 2013:Q1–2021:Q1
| Period | Severely Adverse | Adverse |
|---|---|---|
| 2013:Q1 | 4.0 | 4.0 |
| 2013:Q2 | 4.1 | 4.1 |
| 2013:Q3 | 4.9 | 4.9 |
| 2013:Q4 | 4.8 | 4.8 |
| 2014:Q1 | 4.6 | 4.6 |
| 2014:Q2 | 4.3 | 4.3 |
| 2014:Q3 | 4.2 | 4.2 |
| 2014:Q4 | 4.2 | 4.2 |
| 2015:Q1 | 4.0 | 4.0 |
| 2015:Q2 | 4.2 | 4.2 |
| 2015:Q3 | 4.5 | 4.5 |
| 2015:Q4 | 4.6 | 4.6 |
| 2016:Q1 | 4.6 | 4.6 |
| 2016:Q2 | 4.1 | 4.1 |
| 2016:Q3 | 3.7 | 3.7 |
| 2016:Q4 | 4.1 | 4.1 |
| 2017:Q1 | 4.2 | 4.2 |
| 2017:Q2 | 4.0 | 4.0 |
| 2017:Q3 | 3.9 | 3.9 |
| 2017:Q4 | 4.0 | 4.0 |
| 2018:Q1 | 7.1 | 3.8 |
| 2018:Q2 | 7.7 | 4.2 |
| 2018:Q3 | 7.9 | 4.4 |
| 2018:Q4 | 8.0 | 4.6 |
| 2019:Q1 | 8.1 | 4.8 |
| 2019:Q2 | 7.9 | 4.8 |
| 2019:Q3 | 7.5 | 4.7 |
| 2019:Q4 | 7.1 | 4.6 |
| 2020:Q1 | 6.7 | 4.6 |
| 2020:Q2 | 6.3 | 4.4 |
| 2020:Q3 | 5.9 | 4.3 |
| 2020:Q4 | 5.5 | 4.2 |
| 2021:Q1 | 5.0 | 4.0 |
Source: Merrill Lynch (adjusted by Federal Reserve using a Nelson-Siegel smoothed yield curve model) and Federal Reserve assumptions in the supervisory scenarios.
Figure 7. U.S. Market Volatility Index (VIX) in the severely adverse and adverse scenarios, 2013:Q1–2021:Q1
| Period | Severely Adverse | Adverse |
|---|---|---|
| 2013:Q1 | 19.0 | 19.0 |
| 2013:Q2 | 20.5 | 20.5 |
| 2013:Q3 | 17.0 | 17.0 |
| 2013:Q4 | 20.3 | 20.3 |
| 2014:Q1 | 21.4 | 21.4 |
| 2014:Q2 | 17.0 | 17.0 |
| 2014:Q3 | 17.0 | 17.0 |
| 2014:Q4 | 26.3 | 26.3 |
| 2015:Q1 | 22.4 | 22.4 |
| 2015:Q2 | 18.9 | 18.9 |
| 2015:Q3 | 40.7 | 40.7 |
| 2015:Q4 | 24.4 | 24.4 |
| 2016:Q1 | 28.1 | 28.1 |
| 2016:Q2 | 25.8 | 25.8 |
| 2016:Q3 | 18.1 | 18.1 |
| 2016:Q4 | 22.5 | 22.5 |
| 2017:Q1 | 13.1 | 13.1 |
| 2017:Q2 | 16.0 | 16.0 |
| 2017:Q3 | 16.0 | 16.0 |
| 2017:Q4 | 13.1 | 13.1 |
| 2018:Q1 | 50.7 | 28.0 |
| 2018:Q2 | 62.4 | 33.1 |
| 2018:Q3 | 59.5 | 33.7 |
| 2018:Q4 | 52.8 | 32.8 |
| 2019:Q1 | 47.4 | 31.7 |
| 2019:Q2 | 37.9 | 28.8 |
| 2019:Q3 | 29.7 | 25.7 |
| 2019:Q4 | 23.5 | 23.1 |
| 2020:Q1 | 19.8 | 21.3 |
| 2020:Q2 | 17.5 | 20.1 |
| 2020:Q3 | 16.0 | 19.3 |
| 2020:Q4 | 15.0 | 18.7 |
| 2021:Q1 | 14.4 | 18.3 |
Source: Chicago Board Options Exchange (converted to quarterly by Federal Reserve using the maximum quarterly close-of-day value) and Federal Reserve assumptions in the supervisory scenarios.
Figure 8. Projecting net income and regulatory capital
A flowchart with five steps, leading from one to the next.
- Net interest income plus noninterest income, minus noninterest expense, equals pre-provision net revenue (PPNR).
(Note: PPNR includes income from mortgage servicing rights and losses from operational-risk events and OREO costs.) - PPNR plus other revenue, minus provisions, minus AFS/HTM securities losses, minus HFS/FVO loan losses, minus trading and counterparty losses, equals pre-tax net income.
(Note: Change in the allowance for loan and lease losses, plus net charge-offs, equals provisions.) - Pre-tax net income minus taxes, minus income attributable to minority interest, minus change in the valuation allowance, equals after-tax net income.
- After-tax net income minus net distributions to common and preferred shareholders and other net reductions to shareholder's equity from DFAST assumptions plus other comprehensive income, equals change in equity capital.
- Change in equity capital minus change in adjustments and deductions from regulatory capital, plus other additions to regulatory capital, equals change in regulatory capital.
Figure A. Hypothetical example of pre-tax and post-tax net income before and after the passage of TCJA
1. Firm with high taxes paid leading up to stress test
Path of pre-tax and after-tax net income
| Period | Pre-tax net income | After-tax net income (pre-TCJA) | After-tax net income (under TCJA) |
|---|---|---|---|
| T-2 | 75 | 48.75 | 59.25 |
| T-1 | 75 | 48.75 | 59.25 |
| T0 | 75 | 48.75 | 59.25 |
| T1 | -150 | -97.50 | -150.00 |
| T2 | -100 | -73.75 | -100.00 |
| T3 | -80 | -80.00 | -80.00 |
| T4 | -50 | -50.00 | -50.00 |
| T5 | 0 | 0.00 | 0.00 |
| T6 | 25 | 25.00 | 23.95 |
| T7 | 30 | 30.00 | 28.74 |
| T8 | 50 | 50.00 | 47.90 |
| T9 | 50 | 50.00 | 47.90 |
Cumulative after-tax net income
| Loss periods (T1 - T4) | Loss periods through recovery (T1 - T9) | All periods (T-2 - T9) | |
|---|---|---|---|
| Pre-TCJA | -301 | -146 | - |
| Under TCJA | -380 | -232 | -54 |
2. Firm with low taxes paid leading up to stress test
Path of pre-tax and after-tax net income
| Period | Pre-tax net income | After-tax net income (pre-TCJA) | After-tax net income (under TCJA) |
|---|---|---|---|
| T-2 | 25 | 16.25 | 19.75 |
| T-1 | 25 | 16.25 | 19.75 |
| T0 | 25 | 16.25 | 19.75 |
| T1 | -150 | -123.75 | -150.00 |
| T2 | -100 | -100.00 | -100.00 |
| T3 | -80 | -80.00 | -80.00 |
| T4 | -50 | -50.00 | -50.00 |
| T5 | 0 | 0.00 | 0.00 |
| T6 | 25 | 25.00 | 23.95 |
| T7 | 30 | 30.00 | 28.74 |
| T8 | 50 | 50.00 | 47.90 |
| T9 | 50 | 50.00 | 47.90 |
Cumulative after-tax net income
| Loss periods (T1 - T4) | Loss periods through recovery (T1 - T9) | All periods (T-2 - T9) | |
|---|---|---|---|
| Pre-TCJA | -354 | -199 | -150 |
| Under TCJA | -380 | -232 | -172 |
Figure 9. Pre-tax net income as a percent of average total assets, severely adverse scenario
| DFAST | Percent |
| 2013 | -1.7 |
|---|---|
| 2014 | -1.6 |
| 2015 | -1.5 |
| 2016 | -1.3 |
| 2017 | -0.7 |
| 2018 | -0.8 |
Note: Pre-tax net income as a percent of average total assets is calculated for all firms subject to the supervisory stress test in each exercise.
Figure 10. Projected losses in the severely adverse scenario
| Billions of dollars | |
|---|---|
| First-lien mortgages, domestic | 34 |
| Junior liens and HELOCs, domestic | 15 |
| Commercial and industrial loans | 111 |
| Commercial real estate, domestic | 63 |
| Credit cards | 113 |
| Other consumer loans | 39 |
| Other loans | 53 |
| Securities losses | 10 |
| Trading and counterparty losses | 113 |
| Other losses | 26 |
Figure 11. Change from 2017:Q4 to minimum CET1 ratio in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 2.8 |
| American Express | 1.3 |
| Bank of America | 4.0 |
| Bank of NY-Mellon | 2.9 |
| Barclays US | 3.4 |
| BB&T | 2.3 |
| BBVA | 4.2 |
| BMO | 3.8 |
| BNP Paribas USA | 4.4 |
| Capital One | 4.6 |
| Citigroup | 5.8 |
| Citizens | 4.4 |
| Credit Suisse USA | 7.0 |
| DB USA | 4.3 |
| Discover | 2.7 |
| Fifth Third | 3.1 |
| Goldman Sachs | 6.5 |
| HSBC | 7.4 |
| Huntington | 1.9 |
| JPMorgan Chase | 5.0 |
| KeyCorp | 3.4 |
| M&T | 3.4 |
| Morgan Stanley | 9.3 |
| MUFG Americas | 4.1 |
| Northern Trust | 0.9 |
| PNC | 4.0 |
| RBC USA | 4.3 |
| Regions | 2.9 |
| Santander | 1.2 |
| State Street | 6.6 |
| SunTrust | 3.1 |
| TD Group | 4.8 |
| U.S. Bancorp | 1.9 |
| UBS Americas | 5.5 |
| Wells Fargo | 3.7 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of risk-weighted assets. Median = 4.0%
Figure 12. Total loan loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 5.5 |
| American Express | 9.7 |
| Bank of America | 5.0 |
| Bank of NY-Mellon | 3.1 |
| Barclays US | 10.5 |
| BB&T | 5.8 |
| BBVA | 7.1 |
| BMO | 6.5 |
| BNP Paribas USA | 7.0 |
| Capital One | 13.4 |
| Citigroup | 7.0 |
| Citizens | 6.1 |
| Credit Suisse USA | 0.6 |
| DB USA | 3.1 |
| Discover | 14.2 |
| Fifth Third | 6.1 |
| Goldman Sachs | 9.7 |
| HSBC | 6.1 |
| Huntington | 5.3 |
| JPMorgan Chase | 6.4 |
| KeyCorp | 6.1 |
| M&T | 6.7 |
| Morgan Stanley | 3.6 |
| MUFG Americas | 5.9 |
| Northern Trust | 5.3 |
| PNC | 5.2 |
| RBC USA | 6.9 |
| Regions | 6.5 |
| Santander | 9.9 |
| State Street | 3.5 |
| SunTrust | 5.2 |
| TD Group | 6.3 |
| UBS Americas | 3.0 |
| US Bancorp | 6.4 |
| Wells Fargo | 5.5 |
Note:Estimates are for nine quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 6.1%
Figure 13. PPNR rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 3.3 |
| American Express | 11.4 |
| Bank of America | 2.2 |
| Bank of NY-Mellon | 3.0 |
| Barclays US | 3.3 |
| BB&T | 4.1 |
| BBVA | 2.8 |
| BMO | 1.9 |
| BNP Paribas USA | 1.8 |
| Capital One | 8.4 |
| Citigroup | 3.2 |
| Citizens | 2.2 |
| Credit Suisse USA | 1.1 |
| DB USA | 0.3 |
| Discover | 14.3 |
| Fifth Third | 2.9 |
| Goldman Sachs | 0.6 |
| HSBC | -0.2 |
| Huntington | 3.5 |
| JPMorgan Chase | 2.7 |
| KeyCorp | 2.6 |
| M&T | 4.4 |
| Morgan Stanley | 0.3 |
| MUFG Americas | 2.0 |
| Northern Trust | 2.8 |
| PNC | 3.5 |
| RBC USA | 1.6 |
| Regions | 3.3 |
| Santander | 6.0 |
| State Street | 2.4 |
| SunTrust | 2.8 |
| TD Group | 2.7 |
| UBS Americas | 2.1 |
| US Bancorp | 4.3 |
| Wells Fargo | 4.2 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average assets. Median = 2.8%
Figure 14. Pre-tax net income rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | -1.9 |
| American Express | 2.8 |
| Bank of America | -1.1 |
| Bank of NY-Mellon | 1.8 |
| Barclays US | -0.1 |
| BB&T | -0.1 |
| BBVA | -2.6 |
| BMO | -2.3 |
| BNP Paribas USA | -2.8 |
| Capital One | -2.0 |
| Citigroup | -0.7 |
| Citizens | -2.9 |
| Credit Suisse USA | -1.4 |
| DB USA | -0.6 |
| Discover | 0.3 |
| Fifth Third | -1.4 |
| Goldman Sachs | -2.6 |
| HSBC | -2.2 |
| Huntington | -0.5 |
| JPMorgan Chase | -1.1 |
| KeyCorp | -1.8 |
| M&T | -1.1 |
| Morgan Stanley | -2.4 |
| MUFG Americas | -1.7 |
| Northern Trust | 1.2 |
| PNC | 0.0 |
| RBC USA | -1.6 |
| Regions | -1.4 |
| Santander | 0.6 |
| State Street | 0.4 |
| SunTrust | -1.3 |
| TD Group | -0.2 |
| U.S. Bancorp | 0.2 |
| UBS Americas | 0.0 |
| Wells Fargo | 0.5 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average assets. Pre-tax net income rates of PNC Financial Services Group, Inc., and UBS Americas Holding LLC presented as zero because of rounding. Median = -1.1%
Figure 15. Projected losses in the adverse scenario
| Billions of dollars | |
| First-lien mortgages, domestic | 12 |
|---|---|
| Junior liens and HELOCs, domestic | 7 |
| Commercial and industrial loans | 71 |
| Commercial real estate, domestic | 25 |
| Credit cards | 86 |
| Other consumer loans | 31 |
| Other loans | 32 |
| Securities losses | 3 |
| Trading and counterparty losses | 48 |
| Other losses | 19 |
Figure 16. Change from 2017:Q4 to minimum CET1 ratio in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 1.8 |
| American Express | 0.2 |
| Bank of America | 1.0 |
| Bank of NY-Mellon | -0.6 |
| Barclays US | 1.9 |
| BB&T | 0.9 |
| BBVA | 1.7 |
| BMO | 2.2 |
| BNP Paribas USA | 2.3 |
| Capital One | 1.3 |
| Citigroup | 2.0 |
| Citizens | 2.8 |
| Credit Suisse USA | 4.9 |
| DB USA | 3.1 |
| Discover | 1.0 |
| Fifth Third | 1.4 |
| Goldman Sachs | 3.0 |
| HSBC | 4.6 |
| Huntington | 0.9 |
| JPMorgan Chase | 1.7 |
| KeyCorp | 1.7 |
| M&T | 1.2 |
| Morgan Stanley | 4.0 |
| MUFG Americas | 2.0 |
| Northern Trust | 0.0 |
| PNC | 1.1 |
| RBC USA | 2.2 |
| Regions | 1.3 |
| Santander | -0.3 |
| State Street | 1.2 |
| SunTrust | 1.4 |
| TD Group | 2.3 |
| U.S. Bancorp | 0.0 |
| UBS Americas | 4.2 |
| Wells Fargo | 0.6 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of risk-weighted assets. Median = 1.7%
Figure 17. Total loan loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 3.7 |
| American Express | 7.1 |
| Bank of America | 2.9 |
| Bank of NY-Mellon | 1.8 |
| Barclays US | 8.0 |
| BB&T | 3.2 |
| BBVA | 3.8 |
| BMO | 3.8 |
| BNP Paribas USA | 3.9 |
| Capital One | 9.8 |
| Citigroup | 4.8 |
| Citizens | 3.6 |
| Credit Suisse USA | 0.5 |
| DB USA | 1.4 |
| Discover | 10.7 |
| Fifth Third | 3.5 |
| Goldman Sachs | 6.2 |
| HSBC | 3.2 |
| Huntington | 3.0 |
| JPMorgan Chase | 3.8 |
| KeyCorp | 3.4 |
| M&T | 3.4 |
| Morgan Stanley | 1.9 |
| MUFG Americas | 2.5 |
| Northern Trust | 2.7 |
| PNC | 2.9 |
| RBC USA | 3.6 |
| Regions | 3.6 |
| Santander | 6.5 |
| State Street | 2.3 |
| SunTrust | 2.9 |
| TD Group | 3.9 |
| U.S. Bancorp | 3.7 |
| UBS Americas | 1.8 |
| Wells Fargo | 2.9 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 3.5%
Figure 18. PPNR rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 2.4 |
| American Express | 10.8 |
| Bank of America | 2.0 |
| Bank of NY-Mellon | 2.5 |
| Barclays US | 3.6 |
| BB&T | 3.6 |
| BBVA | 2.2 |
| BMO | 1.5 |
| BNP Paribas USA | 1.5 |
| Capital One | 7.7 |
| Citigroup | 3.0 |
| Citizens | 1.6 |
| Credit Suisse USA | 1.4 |
| DB USA | 0.4 |
| Discover | 13.5 |
| Fifth Third | 2.5 |
| Goldman Sachs | 1.7 |
| HSBC | -0.2 |
| Huntington | 2.6 |
| JPMorgan Chase | 2.7 |
| KeyCorp | 2.2 |
| M&T | 3.7 |
| Morgan Stanley | 0.9 |
| MUFG Americas | 1.4 |
| Northern Trust | 1.8 |
| PNC | 3.1 |
| RBC USA | 1.6 |
| Regions | 2.6 |
| Santander | 5.4 |
| State Street | 1.7 |
| SunTrust | 2.6 |
| TD Group | 1.7 |
| U.S. Bancorp | 3.8 |
| UBS Americas | 2.0 |
| Wells Fargo | 3.7 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average assets. Median = 2.4%
Figure 19. Pre-tax net income rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | -0.9 |
| American Express | 4.6 |
| Bank of America | 0.4 |
| Bank of NY-Mellon | 2.0 |
| Barclays US | 1.3 |
| BB&T | 1.4 |
| BBVA | -0.4 |
| BMO | -0.8 |
| BNP Paribas USA | -0.9 |
| Capital One | 0.5 |
| Citigroup | 0.8 |
| Citizens | -1.3 |
| Credit Suisse USA | 0.0 |
| DB USA | -0.1 |
| Discover | 3.4 |
| Fifth Third | 0.4 |
| Goldman Sachs | -0.3 |
| HSBC | -1.2 |
| Huntington | 0.5 |
| JPMorgan Chase | 0.8 |
| KeyCorp | -0.1 |
| M&T | 1.2 |
| Morgan Stanley | -0.4 |
| MUFG Americas | 0.0 |
| Northern Trust | 1.0 |
| PNC | 1.4 |
| RBC USA | -0.1 |
| Regions | 0.2 |
| Santander | 2.6 |
| State Street | 0.9 |
| SunTrust | 0.4 |
| TD Group | 0.2 |
| U.S. Bancorp | 1.6 |
| UBS Americas | 0.7 |
| Wells Fargo | 2.1 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average assets. Median = 0.4%
Figure D.1. First-lien mortgages domestic loss rates in the severely adverse scenario
| Bank Holding Company | Perccent |
|---|---|
| Ally | 2.6 |
| American Express | 0.0 |
| Bank of America | 2.3 |
| Bank of NY-Mellon | 2.5 |
| Barclays US | 0.0 |
| BB&T | 3.1 |
| BBVA | 4.8 |
| BMO | 3.3 |
| BNP Paribas USA | 2.7 |
| Capital One | 0.7 |
| Citigroup | 3.6 |
| Citizens | 2.5 |
| Credit Suisse USA | 0.0 |
| DB USA | 2.8 |
| Discover | 3.3 |
| Fifth Third | 3.3 |
| Goldman Sachs | 46.9 |
| HSBC | 3.0 |
| Huntington | 3.7 |
| JPMorgan Chase | 2.4 |
| KeyCorp | 3.9 |
| M&T | 4.3 |
| Morgan Stanley | 2.2 |
| MUFG Americas | 3.7 |
| Northern Trust | 2.4 |
| PNC | 1.8 |
| RBC USA | 2.5 |
| Regions | 3.7 |
| Santander | 3.4 |
| State Street | 0.0 |
| SunTrust | 3.6 |
| TD Group | 2.6 |
| UBS Americas | 2.4 |
| US Bancorp | 2.2 |
| Wells Fargo | 2.3 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 2.8%
Figure D.2. Junior liens and HELOCs domestic loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 8.7 |
| American Express | 0.0 |
| Bank of America | 4.7 |
| Bank of NY-Mellon | 5.4 |
| Barclays US | 0.0 |
| BB&T | 3.8 |
| BBVA | 5.4 |
| BMO | 9.6 |
| BNP Paribas USA | 5.8 |
| Capital One | 5.5 |
| Citigroup | 7.5 |
| Citizens | 4.8 |
| Credit Suisse USA | 0.0 |
| DB USA | 6.9 |
| Discover | 14.8 |
| Fifth Third | 4.7 |
| Goldman Sachs | 5.2 |
| HSBC | 5.1 |
| Huntington | 3.6 |
| JPMorgan Chase | 4.5 |
| KeyCorp | 4.3 |
| M&T | 4.3 |
| Morgan Stanley | 5.2 |
| MUFG Americas | 4.6 |
| Northern Trust | 9.6 |
| PNC | 2.0 |
| RBC USA | 5.7 |
| Regions | 5.1 |
| Santander | 4.6 |
| State Street | 0.0 |
| SunTrust | 6.7 |
| TD Group | 5.4 |
| UBS Americas | 0.0 |
| US Bancorp | 5.3 |
| Wells Fargo | 4.8 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 5.2%
Figure D.3. Commercial and industrial loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 5.4 |
| American Express | 10.6 |
| Bank of America | 5.6 |
| Bank of NY-Mellon | 3.1 |
| Barclays US | 24.4 |
| BB&T | 6.2 |
| BBVA | 8.1 |
| BMO | 7.3 |
| BNP Paribas USA | 10.4 |
| Capital One | 12.9 |
| Citigroup | 5.1 |
| Citizens | 7.2 |
| Credit Suisse USA | 0.0 |
| DB USA | 2.4 |
| Discover | 15.1 |
| Fifth Third | 5.9 |
| Goldman Sachs | 16.9 |
| HSBC | 7.5 |
| Huntington | 6.1 |
| JPMorgan Chase | 11.0 |
| KeyCorp | 6.7 |
| M&T | 5.8 |
| Morgan Stanley | 11.3 |
| MUFG Americas | 8.2 |
| Northern Trust | 5.5 |
| PNC | 7.0 |
| RBC USA | 12.8 |
| Regions | 7.5 |
| Santander | 5.8 |
| State Street | 7.3 |
| SunTrust | 5.5 |
| TD Group | 7.3 |
| UBS Americas | 10.2 |
| US Bancorp | 7.2 |
| Wells Fargo | 6.8 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Losses are calculated based on the exposure at default, which includes both outstanding balances and any additional drawdown of the credit line that occurs prior to default, while loss rates are calculated as a percent of outstanding balances. Median = 7.25%
Figure D.4. Commercial real estate domestic loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 3.1 |
| American Express | 0.0 |
| Bank of America | 8.1 |
| Bank of NY-Mellon | 10.8 |
| Barclays US | 7.1 |
| BB&T | 7.8 |
| BBVA | 10.4 |
| BMO | 8.9 |
| BNP Paribas USA | 9.0 |
| Capital One | 7.3 |
| Citigroup | 10.6 |
| Citizens | 9.8 |
| Credit Suisse USA | 0.0 |
| DB USA | 7.4 |
| Discover | 18.8 |
| Fifth Third | 12.8 |
| Goldman Sachs | 12.2 |
| HSBC | 8.8 |
| Huntington | 8.5 |
| JPMorgan Chase | 5.1 |
| KeyCorp | 9.3 |
| M&T | 9.3 |
| Morgan Stanley | 7.3 |
| MUFG Americas | 8.3 |
| Northern Trust | 7.7 |
| PNC | 7.5 |
| RBC USA | 8.2 |
| Regions | 11.1 |
| Santander | 7.4 |
| State Street | 6.3 |
| SunTrust | 7.3 |
| TD Group | 7.9 |
| UBS Americas | 5.4 |
| US Bancorp | 11.0 |
| Wells Fargo | 9.4 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 8.3%
Figure D.5. Credit card loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 0.0 |
| American Express | 9.1 |
| Bank of America | 13.1 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 14.7 |
| BB&T | 13.8 |
| BBVA | 16.0 |
| BMO | 12.5 |
| BNP Paribas USA | 14.7 |
| Capital One | 21.2 |
| Citigroup | 13.9 |
| Citizens | 12.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Discover | 15.0 |
| Fifth Third | 18.4 |
| Goldman Sachs | 0.0 |
| HSBC | 14.7 |
| Huntington | 14.7 |
| JPMorgan Chase | 12.3 |
| KeyCorp | 13.2 |
| M&T | 14.7 |
| Morgan Stanley | 0.0 |
| MUFG Americas | 14.7 |
| Northern Trust | 0.0 |
| PNC | 14.4 |
| RBC USA | 14.7 |
| Regions | 14.9 |
| Santander | 13.9 |
| State Street | 0.0 |
| SunTrust | 13.8 |
| TD Group | 19.2 |
| UBS Americas | 14.7 |
| US Bancorp | 15.6 |
| Wells Fargo | 15.5 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 14.7%
Figure D.6. Other consumer loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 6.3 |
| American Express | 12.9 |
| Bank of America | 2.0 |
| Bank of NY-Mellon | 9.6 |
| Barclays US | 12.9 |
| BB&T | 6.9 |
| BBVA | 7.9 |
| BMO | 2.6 |
| BNP Paribas USA | 5.6 |
| Capital One | 8.4 |
| Citigroup | 10.2 |
| Citizens | 5.6 |
| Credit Suisse USA | 12.9 |
| DB USA | 5.9 |
| Discover | 11.1 |
| Fifth Third | 3.9 |
| Goldman Sachs | 8.5 |
| HSBC | 7.1 |
| Huntington | 3.8 |
| JPMorgan Chase | 3.4 |
| KeyCorp | 5.8 |
| M&T | 5.8 |
| Morgan Stanley | 0.6 |
| MUFG Americas | 15.3 |
| Northern Trust | 12.9 |
| PNC | 3.3 |
| RBC USA | 11.0 |
| Regions | 7.9 |
| Santander | 18.0 |
| State Street | 0.6 |
| SunTrust | 5.2 |
| TD Group | 2.6 |
| UBS Americas | 0.6 |
| US Bancorp | 3.4 |
| Wells Fargo | 5.9 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 5.9%
Figure D.7. Other loans loss rates in the severely adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 7.8 |
| American Express | 6.6 |
| Bank of America | 3.3 |
| Bank of NY-Mellon | 2.1 |
| Barclays US | 0.9 |
| BB&T | 4.4 |
| BBVA | 2.0 |
| BMO | 5.6 |
| BNP Paribas USA | 5.1 |
| Capital One | 5.0 |
| Citigroup | 3.6 |
| Citizens | 4.3 |
| Credit Suisse USA | 0.6 |
| DB USA | 1.3 |
| Discover | 6.5 |
| Fifth Third | 4.3 |
| Goldman Sachs | 5.6 |
| HSBC | 4.6 |
| Huntington | 4.4 |
| JPMorgan Chase | 5.3 |
| KeyCorp | 3.2 |
| M&T | 5.6 |
| Morgan Stanley | 3.1 |
| MUFG Americas | 4.6 |
| Northern Trust | 5.4 |
| PNC | 2.6 |
| RBC USA | 4.6 |
| Regions | 3.0 |
| Santander | 6.6 |
| State Street | 2.8 |
| SunTrust | 2.5 |
| TD Group | 3.8 |
| UBS Americas | 4.1 |
| US Bancorp | 5.0 |
| Wells Fargo | 4.2 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 4.3%
Figure D.8. First-lien mortgages domestic loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 1.0 |
| American Express | 0.0 |
| Bank of America | 0.6 |
| Bank of NY-Mellon | 0.9 |
| Barclays US | 0.0 |
| BB&T | 1.4 |
| BBVA | 2.0 |
| BMO | 1.4 |
| BNP Paribas USA | 0.9 |
| Capital One | 0.3 |
| Citigroup | 1.2 |
| Citizens | 1.1 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.1 |
| Discover | 1.4 |
| Fifth Third | 2.0 |
| Goldman Sachs | 40.4 |
| HSBC | 0.8 |
| Huntington | 1.7 |
| JPMorgan Chase | 0.7 |
| KeyCorp | 2.2 |
| M&T | 2.1 |
| Morgan Stanley | 0.7 |
| MUFG Americas | 0.8 |
| Northern Trust | 0.6 |
| PNC | 0.7 |
| RBC USA | 0.7 |
| Regions | 1.7 |
| Santander | 1.4 |
| State Street | 0.0 |
| SunTrust | 1.6 |
| TD Group | 1.3 |
| UBS Americas | 0.8 |
| US Bancorp | 0.7 |
| Wells Fargo | 0.6 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 1.1%
Figure D.9. Junior liens and HELOCs domestic loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 4.8 |
| American Express | 0.0 |
| Bank of America | 1.6 |
| Bank of NY-Mellon | 3.0 |
| Barclays US | 0.0 |
| BB&T | 1.9 |
| BBVA | 2.7 |
| BMO | 7.0 |
| BNP Paribas USA | 2.6 |
| Capital One | 3.3 |
| Citigroup | 2.7 |
| Citizens | 2.7 |
| Credit Suisse USA | 0.0 |
| DB USA | 3.0 |
| Discover | 7.1 |
| Fifth Third | 2.9 |
| Goldman Sachs | 2.8 |
| HSBC | 2.5 |
| Huntington | 2.1 |
| JPMorgan Chase | 2.0 |
| KeyCorp | 2.6 |
| M&T | 2.6 |
| Morgan Stanley | 2.8 |
| MUFG Americas | 1.1 |
| Northern Trust | 4.4 |
| PNC | 0.8 |
| RBC USA | 1.9 |
| Regions | 2.8 |
| Santander | 2.7 |
| State Street | 0.0 |
| SunTrust | 3.4 |
| TD Group | 3.3 |
| UBS Americas | 0.0 |
| US Bancorp | 2.6 |
| Wells Fargo | 1.6 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 2.7%
Figure D.10. Commercial and industrial loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 3.3 |
| American Express | 7.7 |
| Bank of America | 3.4 |
| Bank of NY-Mellon | 1.9 |
| Barclays US | 20.3 |
| BB&T | 3.9 |
| BBVA | 5.1 |
| BMO | 4.7 |
| BNP Paribas USA | 6.5 |
| Capital One | 8.6 |
| Citigroup | 3.5 |
| Citizens | 4.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.4 |
| Discover | 11.2 |
| Fifth Third | 3.6 |
| Goldman Sachs | 10.3 |
| HSBC | 4.8 |
| Huntington | 3.8 |
| JPMorgan Chase | 7.0 |
| KeyCorp | 3.9 |
| M&T | 3.8 |
| Morgan Stanley | 6.8 |
| MUFG Americas | 4.8 |
| Northern Trust | 3.2 |
| PNC | 4.3 |
| RBC USA | 7.5 |
| Regions | 4.6 |
| Santander | 3.7 |
| State Street | 4.2 |
| SunTrust | 3.2 |
| TD Group | 4.4 |
| UBS Americas | 5.9 |
| US Bancorp | 4.6 |
| Wells Fargo | 4.2 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Losses are calculated based on the exposure at default, which includes both outstanding balances and any additional drawdown of the credit line that occurs prior to default, while loss rates are calculated as a percent of outstanding balances. Median = 4.35%
Figure D.11. Commercial real estate domestic loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 1.6 |
| American Express | 0.0 |
| Bank of America | 3.3 |
| Bank of NY-Mellon | 3.8 |
| Barclays US | 2.4 |
| BB&T | 3.4 |
| BBVA | 4.2 |
| BMO | 3.7 |
| BNP Paribas USA | 4.1 |
| Capital One | 2.7 |
| Citigroup | 3.6 |
| Citizens | 4.0 |
| Credit Suisse USA | 0.0 |
| DB USA | 2.3 |
| Discover | 6.7 |
| Fifth Third | 5.0 |
| Goldman Sachs | 4.1 |
| HSBC | 2.9 |
| Huntington | 3.9 |
| JPMorgan Chase | 2.1 |
| KeyCorp | 3.9 |
| M&T | 3.7 |
| Morgan Stanley | 2.3 |
| MUFG Americas | 3.1 |
| Northern Trust | 2.9 |
| PNC | 2.8 |
| RBC USA | 3.1 |
| Regions | 5.0 |
| Santander | 2.7 |
| State Street | 2.1 |
| SunTrust | 2.9 |
| TD Group | 3.2 |
| UBS Americas | 1.8 |
| US Bancorp | 4.4 |
| Wells Fargo | 3.5 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 3.3%
Figure D.12. Credit card loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 0.0 |
| American Express | 6.8 |
| Bank of America | 9.7 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 11.2 |
| BB&T | 10.0 |
| BBVA | 12.4 |
| BMO | 9.2 |
| BNP Paribas USA | 10.6 |
| Capital One | 16.5 |
| Citigroup | 10.7 |
| Citizens | 9.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Discover | 11.1 |
| Fifth Third | 12.8 |
| Goldman Sachs | 0.0 |
| HSBC | 10.6 |
| Huntington | 10.6 |
| JPMorgan Chase | 9.0 |
| KeyCorp | 9.7 |
| M&T | 10.6 |
| Morgan Stanley | 0.0 |
| MUFG Americas | 10.6 |
| Northern Trust | 0.0 |
| PNC | 10.4 |
| RBC USA | 10.6 |
| Regions | 10.9 |
| Santander | 10.8 |
| State Street | 0.0 |
| SunTrust | 9.8 |
| TD Group | 14.9 |
| UBS Americas | 10.6 |
| US Bancorp | 11.7 |
| Wells Fargo | 11.8 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 10.6%
Figure D.13. Other consumer loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 4.7 |
| American Express | 10.2 |
| Bank of America | 1.4 |
| Bank of NY-Mellon | 7.6 |
| Barclays US | 10.2 |
| BB&T | 4.9 |
| BBVA | 6.4 |
| BMO | 1.9 |
| BNP Paribas USA | 3.6 |
| Capital One | 6.4 |
| Citigroup | 9.1 |
| Citizens | 4.6 |
| Credit Suisse USA | 10.2 |
| DB USA | 4.7 |
| Discover | 9.4 |
| Fifth Third | 3.0 |
| Goldman Sachs | 6.9 |
| HSBC | 5.9 |
| Huntington | 2.7 |
| JPMorgan Chase | 2.5 |
| KeyCorp | 4.6 |
| M&T | 4.1 |
| Morgan Stanley | 0.6 |
| MUFG Americas | 12.6 |
| Northern Trust | 10.2 |
| PNC | 2.6 |
| RBC USA | 8.3 |
| Regions | 6.3 |
| Santander | 13.8 |
| State Street | 0.6 |
| SunTrust | 4.1 |
| TD Group | 1.9 |
| UBS Americas | 0.6 |
| US Bancorp | 2.4 |
| Wells Fargo | 4.7 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 4.7%
Figure D.14. Other loans loss rates in the adverse scenario
| Bank Holding Company | Percent |
|---|---|
| Ally | 4.6 |
| American Express | 3.7 |
| Bank of America | 2.0 |
| Bank of NY-Mellon | 1.4 |
| Barclays US | 0.6 |
| BB&T | 2.5 |
| BBVA | 1.2 |
| BMO | 3.4 |
| BNP Paribas USA | 3.3 |
| Capital One | 2.9 |
| Citigroup | 2.2 |
| Citizens | 2.4 |
| Credit Suisse USA | 0.5 |
| DB USA | 0.9 |
| Discover | 3.7 |
| Fifth Third | 2.5 |
| Goldman Sachs | 3.3 |
| HSBC | 2.7 |
| Huntington | 2.5 |
| JPMorgan Chase | 3.1 |
| KeyCorp | 1.9 |
| M&T | 3.1 |
| Morgan Stanley | 1.9 |
| MUFG Americas | 2.7 |
| Northern Trust | 3.1 |
| PNC | 1.6 |
| RBC USA | 2.8 |
| Regions | 1.8 |
| Santander | 3.9 |
| State Street | 1.9 |
| SunTrust | 1.5 |
| TD Group | 2.3 |
| UBS Americas | 2.5 |
| US Bancorp | 3.1 |
| Wells Fargo | 2.4 |
Note: Estimates are for the nine-quarter period from 2018:Q1–2020:Q1 as a percent of average balances. Median = 2.5%
Last Update:
July 16, 2018