Accessible Version - Dodd-Frank Act Stress Test 2019: Supervisory Stress Test Results - June 2019
Figure 1. Historical and stressed tier 1 common ratio and common equity tier 1 ratio
| Period | Ratio | Percent |
|---|---|---|
| Q3 2012 | Actual tier 1 common | 11.1 |
| Q3 2013 | Actual tier 1 common | 11.5 |
| Q3 2014 | Actual tier 1 common | 11.9 |
| Q4 2015 | Actual tier 1 common | 12.3 |
| Q4 2016 | Actual CET 1 | 12.5 |
| Q4 2017 | Actual CET 1 | 12.3 |
| Q4 2018 | Actual CET 1 | 12.3 |
| Q1 2021 | Stressed CET 1 | 9.7 |
Source: FR Y-9C, FR Y-14A, and supervisory estimates under the severely adverse scenario.
Figure 2. Loan loss rates, severely adverse scenario
| Period | Percent |
|---|---|
| DFAST 2013 | 7.5 |
| DFAST 2014 | 6.9 |
| DFAST 2015 | 6.1 |
| DFAST 2016 | 6.1 |
| DFAST 2017 | 5.8 |
| DFAST 2018 | 6.4 |
| DFAST 2019 | 5.7 |
Note: Loan Loss rates as a percent of average total loan balances is calculated for all firms subject to the supervisory stress test in each exercise.
Figure 3. PPNR as a percent of average total assets, severely adverse scenario
| Period | Percent |
|---|---|
| DFAST 2013 | 2.4 |
| DFAST 2014 | 2.3 |
| DFAST 2015 | 2.1 |
| DFAST 2016 | 2.5 |
| DFAST 2017 | 2.6 |
| DFAST 2018 | 3.0 |
| DFAST 2019 | 2.4 |
Note: PPNR as a percent of average total assets is calculated for all firms subject to the supervisory stress test in each exercise.
Figure 4. Pre-tax net income as a percent of average total assets, severely adverse scenario
| Period | Percent |
|---|---|
| DFAST 2013 | -1.7 |
| DFAST 2014 | -1.6 |
| DFAST 2015 | -1.5 |
| DFAST 2016 | -1.3 |
| DFAST 2017 | -0.7 |
| DFAST 2018 | -0.8 |
| DFAST 2019 | -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 5. Unemployment rate in the severely adverse and adverse scenarios, 2014:Q1–2022:Q1
| Severely adverse | Adverse | |
|---|---|---|
| 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 | 5.5 | 5.5 |
| 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 | 4.8 | 4.8 |
| 2017:Q1 | 4.6 | 4.6 |
| 2017:Q2 | 4.4 | 4.4 |
| 2017:Q3 | 4.3 | 4.3 |
| 2017:Q4 | 4.1 | 4.1 |
| 2018:Q1 | 4.1 | 4.1 |
| 2018:Q2 | 3.9 | 3.9 |
| 2018:Q3 | 3.8 | 3.8 |
| 2018:Q4 | 3.8 | 3.8 |
| 2019:Q1 | 4.7 | 4.3 |
| 2019:Q2 | 6.3 | 5.1 |
| 2019:Q3 | 7.5 | 5.7 |
| 2019:Q4 | 8.4 | 6.2 |
| 2020:Q1 | 9.2 | 6.6 |
| 2020:Q2 | 9.7 | 6.8 |
| 2020:Q3 | 10.0 | 7.0 |
| 2020:Q4 | 9.9 | 7.0 |
| 2021:Q1 | 9.7 | 6.9 |
| 2021:Q2 | 9.5 | 6.7 |
| 2021:Q3 | 9.2 | 6.6 |
| 2021:Q4 | 8.9 | 6.4 |
| 2022:Q1 | 8.6 | 6.3 |
Source: Bureau of Labor Statistics and Federal Reserve assumptions in the supervisory scenarios.
Figure 6. Real GDP growth rate in the severely adverse and adverse scenarios, 2014:Q1–2022:Q1
| Severely adverse | Adverse | |
|---|---|---|
| 2014:Q1 | -1.0 | -1.0 |
| 2014:Q2 | 5.1 | 5.1 |
| 2014:Q3 | 4.9 | 4.9 |
| 2014:Q4 | 1.9 | 1.9 |
| 2015:Q1 | 3.3 | 3.3 |
| 2015:Q2 | 3.3 | 3.3 |
| 2015:Q3 | 1.0 | 1.0 |
| 2015:Q4 | 0.4 | 0.4 |
| 2016:Q1 | 1.5 | 1.5 |
| 2016:Q2 | 2.3 | 2.3 |
| 2016:Q3 | 1.9 | 1.9 |
| 2016:Q4 | 1.8 | 1.8 |
| 2017:Q1 | 1.8 | 1.8 |
| 2017:Q2 | 3.0 | 3.0 |
| 2017:Q3 | 2.8 | 2.8 |
| 2017:Q4 | 2.3 | 2.3 |
| 2018:Q1 | 2.2 | 2.2 |
| 2018:Q2 | 4.2 | 4.2 |
| 2018:Q3 | 3.4 | 3.4 |
| 2018:Q4 | 2.7 | 2.7 |
| 2019:Q1 | -5.0 | -1.6 |
| 2019:Q2 | -9.4 | -4.0 |
| 2019:Q3 | -7.2 | -2.8 |
| 2019:Q4 | -5.0 | -1.6 |
| 2020:Q1 | -3.8 | -1.0 |
| 2020:Q2 | -1.5 | 0.2 |
| 2020:Q3 | -0.3 | 0.9 |
| 2020:Q4 | 2.9 | 2.5 |
| 2021:Q1 | 3.6 | 2.9 |
| 2021:Q2 | 4.1 | 3.1 |
| 2021:Q3 | 4.4 | 3.3 |
| 2021:Q4 | 4.6 | 3.4 |
| 2022:Q1 | 4.6 | 3.4 |
Bureau of Economic Analysis and Federal Reserve assumptions in the supervisory scenarios.
Figure 7. Dow Jones Total Stock Market Index in the severely adverse and adverse scenarios, 2014:Q1–2022:Q1
| Severely adverse | Adverse | |
|---|---|---|
| 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 | 25125.0 | 25125.0 |
| 2017:Q3 | 26148.5 | 26148.5 |
| 2017:Q4 | 27673.2 | 27673.2 |
| 2018:Q1 | 27383.0 | 27383.0 |
| 2018:Q2 | 28313.8 | 28313.8 |
| 2018:Q3 | 30189.6 | 30189.6 |
| 2018:Q4 | 25724.5 | 25724.5 |
| 2019:Q1 | 17836.0 | 24068.1 |
| 2019:Q2 | 14694.1 | 21695.0 |
| 2019:Q3 | 13317.2 | 20526.9 |
| 2019:Q4 | 12862.3 | 20044.8 |
| 2020:Q1 | 13461.8 | 20200.1 |
| 2020:Q2 | 14421.0 | 20609.0 |
| 2020:Q3 | 15479.0 | 21023.5 |
| 2020:Q4 | 16846.6 | 21633.3 |
| 2021:Q1 | 17788.4 | 22247.8 |
| 2021:Q2 | 19352.4 | 23032.8 |
| 2021:Q3 | 21038.8 | 23792.1 |
| 2021:Q4 | 22940.3 | 24621.4 |
| 2022:Q1 | 25136.9 | 25537.2 |
Dow Jones and Federal Reserve assumptions in the supervisory scenarios.
Figure 8. National House Price Index in the severely adverse and adverse scenarios, 2014:Q1–2022:Q1
| Severely adverse | Adverse | |
|---|---|---|
| 2014:Q1 | 160.2 | 160.2 |
| 2014:Q2 | 161.3 | 161.3 |
| 2014:Q3 | 163.5 | 163.5 |
| 2014:Q4 | 166.0 | 166.0 |
| 2015:Q1 | 168.1 | 168.1 |
| 2015:Q2 | 170.2 | 170.2 |
| 2015:Q3 | 172.6 | 172.6 |
| 2015:Q4 | 175.1 | 175.1 |
| 2016:Q1 | 177.3 | 177.3 |
| 2016:Q2 | 179.4 | 179.4 |
| 2016:Q3 | 182.0 | 182.0 |
| 2016:Q4 | 184.9 | 184.9 |
| 2017:Q1 | 187.3 | 187.3 |
| 2017:Q2 | 189.9 | 189.9 |
| 2017:Q3 | 193.2 | 193.2 |
| 2017:Q4 | 196.2 | 196.2 |
| 2018:Q1 | 199.3 | 199.3 |
| 2018:Q2 | 201.7 | 201.7 |
| 2018:Q3 | 203.9 | 203.9 |
| 2018:Q4 | 205.2 | 205.2 |
| 2019:Q1 | 199.2 | 201.4 |
| 2019:Q2 | 192.5 | 197.7 |
| 2019:Q3 | 185.9 | 194.2 |
| 2019:Q4 | 177.7 | 189.6 |
| 2020:Q1 | 170.0 | 185.4 |
| 2020:Q2 | 162.8 | 181.3 |
| 2020:Q3 | 155.8 | 177.5 |
| 2020:Q4 | 152.0 | 175.7 |
| 2021:Q1 | 151.1 | 175.8 |
| 2021:Q2 | 152.7 | 177.5 |
| 2021:Q3 | 154.3 | 179.3 |
| 2021:Q4 | 157.0 | 181.7 |
| 2022:Q1 | 159.9 | 184.2 |
Source: CoreLogic (seasonally adjusted by Federal Reserve) and Federal Reserve assumptions in the supervisory scenarios.
Figure 9. U.S. BBB corporate yield in the severely adverse and adverse scenarios, 2014:Q1–2022:Q1
| Severely adverse | Adverse | |
|---|---|---|
| 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 | 3.9 | 3.9 |
| 2018:Q1 | 4.2 | 4.2 |
| 2018:Q2 | 4.6 | 4.6 |
| 2018:Q3 | 4.6 | 4.6 |
| 2018:Q4 | 5.0 | 5.0 |
| 2019:Q1 | 5.3 | 4.1 |
| 2019:Q2 | 6.1 | 4.6 |
| 2019:Q3 | 6.5 | 4.8 |
| 2019:Q4 | 6.5 | 4.9 |
| 2020:Q1 | 6.2 | 4.7 |
| 2020:Q2 | 5.8 | 4.6 |
| 2020:Q3 | 5.5 | 4.4 |
| 2020:Q4 | 5.1 | 4.3 |
| 2021:Q1 | 5.0 | 4.3 |
| 2021:Q2 | 4.7 | 4.2 |
| 2021:Q3 | 4.4 | 4.1 |
| 2021:Q4 | 4.0 | 4.0 |
| 2022:Q1 | 3.7 | 3.8 |
Source: Merrill Lynch (adjusted by Federal Reserve using a Nelson-Siegel smoothed yield curve model) and Federal Reserve assumptions in the supervisory scenarios.
Figure 10. U.S. Market Volatility Index (VIX) in the severely adverse and adverse scenarios, 2014:Q1–2022:Q1
| Severely adverse | Adverse | |
|---|---|---|
| 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 | 37.3 | 37.3 |
| 2018:Q2 | 23.6 | 23.6 |
| 2018:Q3 | 16.1 | 16.1 |
| 2018:Q4 | 36.1 | 36.1 |
| 2019:Q1 | 67.8 | 44.4 |
| 2019:Q2 | 70.0 | 43.1 |
| 2019:Q3 | 61.3 | 39.2 |
| 2019:Q4 | 49.9 | 34.9 |
| 2020:Q1 | 38.4 | 30.5 |
| 2020:Q2 | 31.2 | 27.3 |
| 2020:Q3 | 26.9 | 25.3 |
| 2020:Q4 | 23.3 | 23.5 |
| 2021:Q1 | 22.5 | 22.5 |
| 2021:Q2 | 21.4 | 21.4 |
| 2021:Q3 | 20.8 | 20.8 |
| 2021:Q4 | 20.3 | 20.3 |
| 2022:Q1 | 20.1 | 20.1 |
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 11. 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 12. Projected losses in the severely adverse scenario
| Source of loss | Billions of dollars |
|---|---|
| First-lien mortgages, domestic, 14 | 14.1 |
| Junior liens and HELOCs, 5 | 5.1 |
| Commercial and industrial loans, 73 | 72.7 |
| Commercial real estate, domestic, 33 | 32.9 |
| Credit cards, 107 | 107.2 |
| Other consumer loans, 21 | 21.1 |
| Other loans, 43 | 42.7 |
| Securities losses, 5 | 4.9 |
| Trading and counterparty losses, 90 | 90.2 |
| Other losses, 19 | 19.1 |
Figure 13. Change from 2018:Q4 to minimum CET1 ratio in the severely adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 2.0 |
| Bank of NY-Mellon | 0.4 |
| Barclays US | 2.9 |
| Capital One | 5.2 |
| Citigroup | 3.7 |
| Credit Suisse USA | 7.4 |
| DB USA | 8.1 |
| Goldman Sachs | 5.7 |
| HSBC | 4.2 |
| JPMorgan Chase | 3.9 |
| Morgan Stanley | 8.0 |
| Northern Trust | 2.2 |
| PNC | 1.2 |
| State Street | 0.8 |
| TD Group | 3.3 |
| UBS Americas | 5.8 |
| U.S. Bancorp | 1.0 |
| Wells Fargo | 2.2 |
| Median | 3.5 |
Note: Estimates are for the nine-quarter period from 2019:Q1–2021:Q1 as a percent of risk-weighted assets.
Figure 14. Total loan loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 4.4 |
| Bank of NY-Mellon | 2.5 |
| Barclays US | 10.3 |
| Capital One | 15.1 |
| Citigroup | 6.6 |
| Credit Suisse USA | 0.6 |
| DB USA | 3.6 |
| Goldman Sachs | 8.9 |
| HSBC | 5.1 |
| JPMorgan Chase | 5.9 |
| Morgan Stanley | 3.2 |
| Northern Trust | 4.7 |
| PNC | 4.7 |
| State Street | 3.8 |
| TD Group | 5.5 |
| UBS Americas | 2.2 |
| U.S. Bancorp | 5.6 |
| Wells Fargo | 4.5 |
| Median | 4.7 |
Note: Estimates are for the nine-quarter period from 2019:Q1–2021:Q1 as a percent of average balances.
Figure 15. PPNR rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 1.8 |
| Bank of NY-Mellon | 2.0 |
| Barclays US | 3.0 |
| Capital One | 8.2 |
| Citigroup | 2.9 |
| Credit Suisse USA | 1.9 |
| DB USA | -0.3 |
| Goldman Sachs | 1.4 |
| HSBC | -0.3 |
| JPMorgan Chase | 2.3 |
| Morgan Stanley | 0.4 |
| Northern Trust | 2.2 |
| PNC | 3.1 |
| State Street | 1.4 |
| TD Group | 1.7 |
| UBS Americas | 1.6 |
| U.S. Bancorp | 3.9 |
| Wells Fargo | 3.3 |
| Median | 1.95 |
Note: Estimates are for the nine-quarter period from 2019:Q1–2021:Q1 as a percent of average assets.
Figure 16. Pre-tax net income rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | -0.7 |
| Bank of NY-Mellon | 1.2 |
| Barclays US | -0.4 |
| Capital One | -3.6 |
| Citigroup | -0.6 |
| Credit Suisse USA | -2.1 |
| DB USA | -1.7 |
| Goldman Sachs | -1.9 |
| HSBC | -2.4 |
| JPMorgan Chase | -1.1 |
| Morgan Stanley | -2.0 |
| Northern Trust | 0.7 |
| PNC | 0.0 |
| State Street | 0.4 |
| TD Group | -0.7 |
| UBS Americas | -0.6 |
| U.S. Bancorp | 0.1 |
| Wells Fargo | 0.1 |
| Median | -0.7 |
Note: Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average assets.
Figure 17. Projected losses in the adverse scenario
| Source of loss | Percent |
|---|---|
| First-lien mortgages, domestic, 6 | 6.3 |
| Junior liens and HELOCs, 3 | 2.8 |
| Commercial and industrial loans, 48 | 47.7 |
| Commercial real estate, domestic, 14 | 14.1 |
| Credit cards, 79 | 79.3 |
| Other consumer loans, 17 | 17.0 |
| Other loans, 26 | 26.4 |
| Securities losses, 2 | 2.4 |
| Trading and counterparty losses, 46 | 46.0 |
| Other losses, 13 | 13.3 |
Note: The projected losses are not comparable to DFAST 2018. There were 35 participating firms in DFAST 2018 and 18 participating firms in DFAST 2019.
Figure 18. Change from 2018:Q4 to minimum CET1 ratio in the adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 0.2 |
| Bank of NY-Mellon | -0.5 |
| Barclays US | 1.1 |
| Capital One | 1.3 |
| Citigroup | 1.1 |
| Credit Suisse USA | 4.9 |
| DB USA | 5.3 |
| Goldman Sachs | 2.0 |
| HSBC | 1.8 |
| JPMorgan Chase | 1.4 |
| Morgan Stanley | 3.8 |
| Northern Trust | 1.6 |
| PNC | -0.2 |
| State Street | -0.4 |
| TD Group | 1.3 |
| UBS Americas | 3.1 |
| U.S. Bancorp | -0.5 |
| Wells Fargo | 0.3 |
| Median | 1.3 |
Note: Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of risk-weighted assets.
Figure 19. Total loan loss rates in the adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 2.8 |
| Bank of NY-Mellon | 1.6 |
| Barclays US | 7.5 |
| Capital One | 11.0 |
| Citigroup | 4.7 |
| Credit Suisse USA | 0.6 |
| DB USA | 1.8 |
| Goldman Sachs | 5.7 |
| HSBC | 2.7 |
| JPMorgan Chase | 3.8 |
| Morgan Stanley | 1.8 |
| Northern Trust | 2.7 |
| PNC | 2.8 |
| State Street | 2.5 |
| TD Group | 3.5 |
| UBS Americas | 1.4 |
| U.S. Bancorp | 3.5 |
| Wells Fargo | 2.6 |
| Median | 2.75 |
Note: Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure 20. PPNR rates in the adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 2.3 |
| Bank of NY-Mellon | 2.2 |
| Barclays US | 3.3 |
| Capital One | 8.3 |
| Citigroup | 3.3 |
| Credit Suisse USA | 2.2 |
| DB USA | 0.1 |
| Goldman Sachs | 2.2 |
| HSBC | 0.0 |
| JPMorgan Chase | 2.7 |
| Morgan Stanley | 1.0 |
| Northern Trust | 2.1 |
| PNC | 3.5 |
| State Street | 1.4 |
| TD Group | 1.7 |
| UBS Americas | 1.9 |
| U.S. Bancorp | 4.1 |
| Wells Fargo | 3.6 |
| Median | 2.2 |
Note: Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average assets.
Figure 21. Pre-tax net income rates in the adverse scenario
| Firm | Percent |
|---|---|
| Bank of America | 0.8 |
| Bank of NY-Mellon | 1.6 |
| Barclays US | 1.2 |
| Capital One | 0.1 |
| Citigroup | 1.2 |
| Credit Suisse USA | -0.4 |
| DB USA | -0.7 |
| Goldman Sachs | 0.4 |
| HSBC | -1.0 |
| JPMorgan Chase | 0.7 |
| Morgan Stanley | -0.3 |
| Northern Trust | 1.2 |
| PNC | 1.8 |
| State Street | 0.8 |
| TD Group | 0.3 |
| UBS Americas | 0.8 |
| U.S. Bancorp | 2.0 |
| Wells Fargo | 1.9 |
| Median | 0.8 |
Note: Estimates are for the nine-quarter period from 2019:Q1–2021:Q1 as a percent of average assets.
Figure C.1. First-lien mortgages, domestic loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 1.2 |
| Bank of NY-Mellon | 1.7 |
| Barclays US | 0.0 |
| Capital One | 2.2 |
| Citigroup | 2.1 |
| Credit Suisse USA | 0.0 |
| DB USA | 2.3 |
| Goldman Sachs | 22.9 |
| HSBC | 1.8 |
| JPMorgan Chase | 1.3 |
| Morgan Stanley | 1.4 |
| Northern Trust | 1.5 |
| PNC | 1.2 |
| State Street | 0.0 |
| TD Group | 1.6 |
| UBS Americas | 1.7 |
| U.S. Bancorp | 1.4 |
| Wells Fargo | 1.1 |
| Median | 1.6 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.2. Junior liens and HELOCs, domestic loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 1.9 |
| Bank of NY-Mellon | 8.7 |
| Barclays US | 0.0 |
| Capital One | 5.1 |
| Citigroup | 4.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 5.4 |
| Goldman Sachs | 3.6 |
| HSBC | 3.0 |
| JPMorgan Chase | 2.4 |
| Morgan Stanley | 3.6 |
| Northern Trust | 6.1 |
| PNC | 1.5 |
| State Street | 0.0 |
| TD Group | 3.9 |
| UBS Americas | 0.0 |
| U.S. Bancorp | 3.9 |
| Wells Fargo | 2.8 |
| Median | 3.75 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.3. Commercial and industrial loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 4.8 |
| Bank of NY-Mellon | 3.2 |
| Barclays US | 22.6 |
| Capital One | 11.8 |
| Citigroup | 4.4 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.0 |
| Goldman Sachs | 13.1 |
| HSBC | 5.4 |
| JPMorgan Chase | 9.6 |
| Morgan Stanley | 8.6 |
| Northern Trust | 5.5 |
| PNC | 6.0 |
| State Street | 6.9 |
| TD Group | 6.0 |
| UBS Americas | 8.5 |
| U.S. Bancorp | 6.3 |
| Wells Fargo | 5.6 |
| Median | 6.0 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.4. Commercial real estate, domestic loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 6.7 |
| Bank of NY-Mellon | 7.0 |
| Barclays US | 6.3 |
| Capital One | 5.3 |
| Citigroup | 8.5 |
| Credit Suisse USA | 0.0 |
| DB USA | 9.5 |
| Goldman Sachs | 14.2 |
| HSBC | 8.3 |
| JPMorgan Chase | 3.4 |
| Morgan Stanley | 7.6 |
| Northern Trust | 6.1 |
| PNC | 7.0 |
| State Street | 6.2 |
| TD Group | 5.3 |
| UBS Americas | 5.5 |
| U.S. Bancorp | 8.2 |
| Wells Fargo | 7.7 |
| Median | 7.0 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.5. Credit card loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 14.7 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 15.1 |
| Capital One | 23.0 |
| Citigroup | 15.2 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Goldman Sachs | 5.6 |
| HSBC | 16.4 |
| JPMorgan Chase | 15.0 |
| Morgan Stanley | 0.0 |
| Northern Trust | 0.0 |
| PNC | 16.3 |
| State Street | 0.0 |
| TD Group | 20.2 |
| UBS Americas | 16.4 |
| U.S. Bancorp | 16.4 |
| Wells Fargo | 17.2 |
| Median | 16.35 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.6. Other consumer loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 2.0 |
| Bank of NY-Mellon | 9.9 |
| Barclays US | 13.7 |
| Capital One | 9.1 |
| Citigroup | 10.5 |
| Credit Suisse USA | 13.7 |
| DB USA | 7.1 |
| Goldman Sachs | 14.0 |
| HSBC | 9.2 |
| JPMorgan Chase | 3.4 |
| Morgan Stanley | 0.6 |
| Northern Trust | 13.7 |
| PNC | 3.7 |
| State Street | 0.6 |
| TD Group | 2.9 |
| UBS Americas | 0.7 |
| U.S. Bancorp | 3.6 |
| Wells Fargo | 5.8 |
| Median | 6.45 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.7. Other loans loss rates in the severely adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 3.0 |
| Bank of NY-Mellon | 1.6 |
| Barclays US | 0.7 |
| Capital One | 6.3 |
| Citigroup | 3.0 |
| Credit Suisse USA | 0.6 |
| DB USA | 1.9 |
| Goldman Sachs | 5.8 |
| HSBC | 5.5 |
| JPMorgan Chase | 4.8 |
| Morgan Stanley | 3.1 |
| Northern Trust | 4.9 |
| PNC | 2.3 |
| State Street | 3.0 |
| TD Group | 3.2 |
| UBS Americas | 3.1 |
| U.S. Bancorp | 4.6 |
| Wells Fargo | 3.4 |
| Median | 3.1 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.8. First-lien mortgages, domestic loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 0.5 |
| Bank of NY-Mellon | 0.9 |
| Barclays US | 0.0 |
| Capital One | 1.1 |
| Citigroup | 1.0 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.4 |
| Goldman Sachs | 19.0 |
| HSBC | 0.7 |
| JPMorgan Chase | 0.5 |
| Morgan Stanley | 0.7 |
| Northern Trust | 0.6 |
| PNC | 0.7 |
| State Street | 0.0 |
| TD Group | 1.0 |
| UBS Americas | 0.8 |
| U.S. Bancorp | 0.6 |
| Wells Fargo | 0.4 |
| Median | 0.7 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.9. Junior liens and HELOCs, domestic loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 0.8 |
| Bank of NY-Mellon | 5.2 |
| Barclays US | 0.0 |
| Capital One | 3.4 |
| Citigroup | 2.4 |
| Credit Suisse USA | 0.0 |
| DB USA | 4.1 |
| Goldman Sachs | 2.7 |
| HSBC | 1.9 |
| JPMorgan Chase | 1.5 |
| Morgan Stanley | 2.7 |
| Northern Trust | 4.2 |
| PNC | 0.6 |
| State Street | 0.0 |
| TD Group | 2.8 |
| UBS Americas | 0.0 |
| U.S. Bancorp | 2.6 |
| Wells Fargo | 1.4 |
| Median | 2.65 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.10. Commercial and industrial loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 3.0 |
| Bank of NY-Mellon | 2.0 |
| Barclays US | 18.5 |
| Capital One | 7.9 |
| Citigroup | 3.1 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.6 |
| Goldman Sachs | 8.3 |
| HSBC | 3.4 |
| JPMorgan Chase | 6.3 |
| Morgan Stanley | 5.3 |
| Northern Trust | 3.3 |
| PNC | 3.8 |
| State Street | 4.1 |
| TD Group | 3.7 |
| UBS Americas | 5.2 |
| U.S. Bancorp | 4.2 |
| Wells Fargo | 3.6 |
| Median | 3.8 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.11. Commercial real estate, domestic loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 2.9 |
| Bank of NY-Mellon | 2.6 |
| Barclays US | 2.4 |
| Capital One | 2.2 |
| Citigroup | 3.5 |
| Credit Suisse USA | 0.0 |
| DB USA | 3.4 |
| Goldman Sachs | 5.7 |
| HSBC | 3.1 |
| JPMorgan Chase | 1.6 |
| Morgan Stanley | 2.8 |
| Northern Trust | 2.5 |
| PNC | 2.9 |
| State Street | 2.3 |
| TD Group | 2.3 |
| UBS Americas | 2.2 |
| U.S. Bancorp | 3.7 |
| Wells Fargo | 3.2 |
| Median | 2.8 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.12. Credit card loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 10.6 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 11.0 |
| Capital One | 17.2 |
| Citigroup | 11.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Goldman Sachs | 4.0 |
| HSBC | 11.3 |
| JPMorgan Chase | 10.7 |
| Morgan Stanley | 0.0 |
| Northern Trust | 0.0 |
| PNC | 11.3 |
| State Street | 0.0 |
| TD Group | 15.2 |
| UBS Americas | 11.3 |
| U.S. Bancorp | 12.0 |
| Wells Fargo | 12.6 |
| Median | 11.3 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.13. Other consumer loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 1.4 |
| Bank of NY-Mellon | 8.0 |
| Barclays US | 11.0 |
| Capital One | 7.2 |
| Citigroup | 8.9 |
| Credit Suisse USA | 11.0 |
| DB USA | 5.8 |
| Goldman Sachs | 12.0 |
| HSBC | 7.6 |
| JPMorgan Chase | 2.6 |
| Morgan Stanley | 0.6 |
| Northern Trust | 11.0 |
| PNC | 3.0 |
| State Street | 0.6 |
| TD Group | 2.2 |
| UBS Americas | 0.6 |
| U.S. Bancorp | 2.6 |
| Wells Fargo | 4.7 |
| Median | 5.25 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.
Figure C.14. Other loans loss rates in the adverse scenario
Percent
| Firm | Percent |
|---|---|
| Bank of America | 1.8 |
| Bank of NY-Mellon | 1.0 |
| Barclays US | 0.5 |
| Capital One | 3.6 |
| Citigroup | 1.9 |
| Credit Suisse USA | 0.5 |
| DB USA | 1.2 |
| Goldman Sachs | 3.6 |
| HSBC | 3.3 |
| JPMorgan Chase | 2.9 |
| Morgan Stanley | 1.9 |
| Northern Trust | 3.0 |
| PNC | 1.4 |
| State Street | 2.1 |
| TD Group | 1.9 |
| UBS Americas | 2.0 |
| U.S. Bancorp | 3.0 |
| Wells Fargo | 2.0 |
| Median | 1.95 |
Estimates are for the nine-quarter period from 2019:Q1-2021:Q1 as a percent of average balances.