Accessible Version - December 2020 Stress Test Results
Figure 1. Net income and net common capital distributions
Billions of dollars
| 2019:Q1–2019:Q3 | 2020:Q1–2020:Q3 | |
|---|---|---|
| Net income | 139.8 | 78.2 |
| Net capital distributions | 127.3 | 59.5 |
Note: Sample consists of the firms included in the December 2020 stress test.
Source: FR Y-9C.
Figure 2. Aggregate common equity capital ratio
Percent
| Date | Under Basel I risk-weighted assets | Under Basel III risk-weighted assets |
|---|---|---|
| 2009:Q1 | 5 | |
| 2009:Q2 | 6 | |
| 2009:Q3 | 8 | |
| 2009:Q4 | 8 | |
| 2010:Q1 | 8 | |
| 2010:Q2 | 9 | |
| 2010:Q3 | 9 | |
| 2010:Q4 | 9 | |
| 2011:Q1 | 10 | |
| 2011:Q2 | 10 | |
| 2011:Q3 | 10 | |
| 2011:Q4 | 10 | |
| 2012:Q1 | 11 | |
| 2012:Q2 | 11 | |
| 2012:Q3 | 11 | |
| 2012:Q4 | 11 | |
| 2013:Q1 | 11 | |
| 2013:Q2 | 11 | |
| 2013:Q3 | 11 | |
| 2013:Q4 | 11 | |
| 2014:Q1 | 12 | |
| 2014:Q2 | 12 | |
| 2014:Q3 | 12 | |
| 2014:Q4 | 12 | |
| 2015:Q1 | 12 | 12 |
| 2015:Q2 | 12 | |
| 2015:Q3 | 12 | |
| 2015:Q4 | 12 | |
| 2016:Q1 | 12 | |
| 2016:Q2 | 12 | |
| 2016:Q3 | 12 | |
| 2016:Q4 | 13 | |
| 2017:Q1 | 13 | |
| 2017:Q2 | 13 | |
| 2017:Q3 | 13 | |
| 2017:Q4 | 12 | |
| 2018:Q1 | 12 | |
| 2018:Q2 | 12 | |
| 2018:Q3 | 12 | |
| 2018:Q4 | 12 | |
| 2019:Q1 | 12 | |
| 2019:Q2 | 12 | |
| 2019:Q3 | 12 | |
| 2019:Q4 | 12 | |
| 2020:Q1 | 12 | |
| 2020:Q2 | 12 | |
| 2020:Q3 | 13 |
Note: The Federal Reserve’s evaluation of a firm’s common equity capital was initially measured using a tier 1 common capital ratio but now is evaluated using a common equity tier 1 capital ratio, which was introduced into the regulatory capital framework with the implementation of Basel III to replace Basel I. Not all of the 33 firms included in the December 2020 stress test reported data for all periods since 2009.
Source: FR Y-9C.
Figure 3. Unemployment rate, 2014:Q1–2023:Q3
Percent
| Severely Adverse | Alternative Severe | |
|---|---|---|
| 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 | 3.9 | 3.9 |
| 2019:Q2 | 3.6 | 3.6 |
| 2019:Q3 | 3.6 | 3.6 |
| 2019:Q4 | 3.5 | 3.5 |
| 2020:Q1 | 3.8 | 3.8 |
| 2020:Q2 | 13.0 | 13.0 |
| 2020:Q3 | 9.5 | 9.5 |
| 2020:Q4 | 10.5 | 11.0 |
| 2021:Q1 | 11.3 | 11.0 |
| 2021:Q2 | 11.9 | 11.0 |
| 2021:Q3 | 12.2 | 11.0 |
| 2021:Q4 | 12.5 | 11.0 |
| 2022:Q1 | 12.0 | 10.8 |
| 2022:Q2 | 11.3 | 10.5 |
| 2022:Q3 | 10.2 | 10.3 |
| 2022:Q4 | 9.2 | 10.0 |
| 2023:Q1 | 8.4 | 9.7 |
| 2023:Q2 | 8.0 | 9.3 |
| 2023:Q3 | 7.6 | 9.0 |
Source: Bureau of Labor Statistics for historical data and Federal Reserve assumptions for the supervisory scenarios.
Figure 4. Real Gross Domestic Product (GDP) growth rate, 2014:Q1–2023:Q3
Percent
| Severely Adverse | Alternative Severe | |
|---|---|---|
| 2014:Q1 | -1.1 | -1.1 |
| 2014:Q2 | 5.5 | 5.5 |
| 2014:Q3 | 5.0 | 5.0 |
| 2014:Q4 | 2.3 | 2.3 |
| 2015:Q1 | 3.9 | 3.9 |
| 2015:Q2 | 2.7 | 2.7 |
| 2015:Q3 | 1.5 | 1.5 |
| 2015:Q4 | 0.6 | 0.6 |
| 2016:Q1 | 2.3 | 2.3 |
| 2016:Q2 | 1.3 | 1.3 |
| 2016:Q3 | 2.2 | 2.2 |
| 2016:Q4 | 2.5 | 2.5 |
| 2017:Q1 | 2.3 | 2.3 |
| 2017:Q2 | 1.7 | 1.7 |
| 2017:Q3 | 2.9 | 2.9 |
| 2017:Q4 | 3.9 | 3.9 |
| 2018:Q1 | 3.8 | 3.8 |
| 2018:Q2 | 2.7 | 2.7 |
| 2018:Q3 | 2.1 | 2.1 |
| 2018:Q4 | 1.3 | 1.3 |
| 2019:Q1 | 2.9 | 2.9 |
| 2019:Q2 | 1.5 | 1.5 |
| 2019:Q3 | 2.6 | 2.6 |
| 2019:Q4 | 2.4 | 2.4 |
| 2020:Q1 | -5.0 | -5.0 |
| 2020:Q2 | -31.7 | -31.7 |
| 2020:Q3 | 24.0 | 24.0 |
| 2020:Q4 | -5.9 | -9.1 |
| 2021:Q1 | -3.6 | 2.1 |
| 2021:Q2 | -2.5 | 2.1 |
| 2021:Q3 | -0.2 | 2.1 |
| 2021:Q4 | -0.2 | 2.1 |
| 2022:Q1 | 5.7 | 3.6 |
| 2022:Q2 | 8.2 | 4.2 |
| 2022:Q3 | 10.8 | 4.2 |
| 2022:Q4 | 10.8 | 4.2 |
| 2023:Q1 | 8.2 | 4.8 |
| 2023:Q2 | 5.7 | 4.8 |
| 2023:Q3 | 5.3 | 5.0 |
Source: Bureau of Economic Analysis for historical data and Federal Reserve assumptions for the supervisory scenarios.
Figure 5. Dow Jones total Stock Market Index, 2014:Q1–2023:Q3
Index Level
| Severely Adverse | Alternative Severe | |
|---|---|---|
| 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 | 29193.9 | 29193.9 |
| 2019:Q2 | 30243.8 | 30243.8 |
| 2019:Q3 | 30441.8 | 30441.8 |
| 2019:Q4 | 33035.4 | 33035.4 |
| 2020:Q1 | 25984.8 | 25984.8 |
| 2020:Q2 | 31576.8 | 31576.8 |
| 2020:Q3 | 35961.0 | 36529.8 |
| 2020:Q4 | 25123.5 | 30565.7 |
| 2021:Q1 | 19840.6 | 26680.7 |
| 2021:Q2 | 18009.4 | 23647.1 |
| 2021:Q3 | 18529.6 | 20081.9 |
| 2021:Q4 | 19274.8 | 18330.3 |
| 2022:Q1 | 20478.9 | 19414.7 |
| 2022:Q2 | 21952.0 | 20703.4 |
| 2022:Q3 | 23779.0 | 22247.4 |
| 2022:Q4 | 25918.1 | 24064.9 |
| 2023:Q1 | 28337.9 | 26221.0 |
| 2023:Q2 | 31069.3 | 28724.6 |
| 2023:Q3 | 34231.4 | 31631.6 |
Figure 6. National House Price Index, 2014:Q1–2023:Q3
Index level
| Severely Adverse | Alternative Severe | |
|---|---|---|
| 2014:Q1 | 160.3 | 160.3 |
| 2014:Q2 | 161.4 | 161.4 |
| 2014:Q3 | 163.6 | 163.6 |
| 2014:Q4 | 166.1 | 166.1 |
| 2015:Q1 | 168.2 | 168.2 |
| 2015:Q2 | 170.2 | 170.2 |
| 2015:Q3 | 172.6 | 172.6 |
| 2015:Q4 | 175.1 | 175.1 |
| 2016:Q1 | 177.2 | 177.2 |
| 2016:Q2 | 179.3 | 179.3 |
| 2016:Q3 | 181.8 | 181.8 |
| 2016:Q4 | 184.7 | 184.7 |
| 2017:Q1 | 187.1 | 187.1 |
| 2017:Q2 | 189.6 | 189.6 |
| 2017:Q3 | 192.8 | 192.8 |
| 2017:Q4 | 196.0 | 196.0 |
| 2018:Q1 | 199.1 | 199.1 |
| 2018:Q2 | 201.3 | 201.3 |
| 2018:Q3 | 203.2 | 203.2 |
| 2018:Q4 | 204.8 | 204.8 |
| 2019:Q1 | 206.4 | 206.4 |
| 2019:Q2 | 208.1 | 208.1 |
| 2019:Q3 | 210.0 | 210.0 |
| 2019:Q4 | 212.5 | 212.5 |
| 2020:Q1 | 213.4 | 213.4 |
| 2020:Q2 | 216.4 | 216.4 |
| 2020:Q3 | 219.7 | 219.7 |
| 2020:Q4 | 208.0 | 207.0 |
| 2021:Q1 | 197.7 | 198.4 |
| 2021:Q2 | 190.3 | 192.4 |
| 2021:Q3 | 181.8 | 184.8 |
| 2021:Q4 | 173.7 | 177.3 |
| 2022:Q1 | 168.4 | 171.5 |
| 2022:Q2 | 163.0 | 165.1 |
| 2022:Q3 | 160.7 | 161.3 |
| 2022:Q4 | 161.0 | 160.2 |
| 2023:Q1 | 163.5 | 161.8 |
| 2023:Q2 | 165.4 | 163.5 |
| 2023:Q3 | 168.1 | 166.2 |
Source: CoreLogic for historical data (seasonally adjusted by Federal Reserve) and Federal Reserve assumptions for the supervisory scenarios.
Figure 7. U.S. BBB corporate yield, 2014:Q1–2023:Q3
Percentage yield
| Severely Adverse | Alternative Severe | |
|---|---|---|
| 2014:Q1 | 4.4 | 4.4 |
| 2014:Q2 | 4.0 | 4.0 |
| 2014:Q3 | 3.9 | 3.9 |
| 2014:Q4 | 4.0 | 4.0 |
| 2015:Q1 | 3.9 | 3.9 |
| 2015:Q2 | 3.9 | 3.9 |
| 2015:Q3 | 4.3 | 4.3 |
| 2015:Q4 | 4.4 | 4.4 |
| 2016:Q1 | 4.5 | 4.5 |
| 2016:Q2 | 3.9 | 3.9 |
| 2016:Q3 | 3.5 | 3.5 |
| 2016:Q4 | 3.9 | 3.9 |
| 2017:Q1 | 4.0 | 4.0 |
| 2017:Q2 | 3.8 | 3.8 |
| 2017:Q3 | 3.7 | 3.7 |
| 2017:Q4 | 3.7 | 3.7 |
| 2018:Q1 | 4.1 | 4.1 |
| 2018:Q2 | 4.5 | 4.5 |
| 2018:Q3 | 4.5 | 4.5 |
| 2018:Q4 | 4.8 | 4.8 |
| 2019:Q1 | 4.5 | 4.5 |
| 2019:Q2 | 4.0 | 4.0 |
| 2019:Q3 | 3.4 | 3.4 |
| 2019:Q4 | 3.3 | 3.3 |
| 2020:Q1 | 3.4 | 3.4 |
| 2020:Q2 | 3.4 | 3.4 |
| 2020:Q3 | 2.1 | 2.0 |
| 2020:Q4 | 5.0 | 5.0 |
| 2021:Q1 | 5.7 | 5.5 |
| 2021:Q2 | 6.1 | 5.9 |
| 2021:Q3 | 5.7 | 6.2 |
| 2021:Q4 | 5.4 | 6.4 |
| 2022:Q1 | 5.1 | 6.0 |
| 2022:Q2 | 4.8 | 5.8 |
| 2022:Q3 | 4.5 | 5.5 |
| 2022:Q4 | 4.2 | 5.3 |
| 2023:Q1 | 3.9 | 5.0 |
| 2023:Q2 | 3.6 | 4.7 |
| 2023:Q3 | 3.3 | 4.4 |
Source: ICE Data Indices, LLC, used with permission for historical data and Federal Reserve assumptions for the supervisory scenarios.
Figure 8. U.S. Market Volatility Index (VIX), 2014:Q1 - 2023:Q3
Index level
| Severely Adverse | Alternative Severe | |
|---|---|---|
| 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 | 25.5 | 25.5 |
| 2019:Q2 | 20.6 | 20.6 |
| 2019:Q3 | 24.6 | 24.6 |
| 2019:Q4 | 20.6 | 20.6 |
| 2020:Q1 | 82.7 | 82.7 |
| 2020:Q2 | 57.1 | 57.1 |
| 2020:Q3 | 33.6 | 33.6 |
| 2020:Q4 | 70.0 | 70.0 |
| 2021:Q1 | 68.1 | 64.2 |
| 2021:Q2 | 64.3 | 62.6 |
| 2021:Q3 | 53.6 | 60.6 |
| 2021:Q4 | 46.8 | 57.6 |
| 2022:Q1 | 41.8 | 50.2 |
| 2022:Q2 | 37.8 | 45.1 |
| 2022:Q3 | 34.3 | 41.0 |
| 2022:Q4 | 32.1 | 37.4 |
| 2023:Q1 | 30.4 | 34.1 |
| 2023:Q2 | 28.1 | 31.0 |
| 2023:Q3 | 26.5 | 27.9 |
Source: Chicago Board Options Exchange for historical data (converted to quarterly by Federal Reserve using the maximum quarterly close-of-day value) and Federal Reserve assumptions for the supervisory scenarios.
Figure 9. 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 for credit losses* minus Available-for-sale (AFS) and Held-to-maturity (HTM) securities losses* minus Held for sale (HFS) and Fair-value option (FVO) loan losses minus trading and counterparty losses equals pre-tax net income.
(Note: Change in the allowance for credit losses plus net charge-offs equals provisions for credit losses.) - 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 payments on non-common capital plus other comprehensive income (OCI) 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.
*For firms that have adopted Accounting Standards Update (ASU) 2016-13, the Federal Reserve incorporated its projection of expected credit losses on securities in the allowance for credit losses, in accordance with Financial Accounting Standards Board (FASB), Financial Instruments–Credit Losses (Topic 326), FASB ASU 2016-13 (Norwalk, Conn.: FASB, June 2016).
Figure 10. Projected losses in the severely adverse scenario
Billions of Dollars
| First-lien mortgages, domestic, 26 | 26 | 25.8 |
|---|---|---|
| Junior liens and HELOCs, domestic 7 | 7 | 6.9 |
| Commercial and industrial loans, 121 | 121 | 120.7 |
| Commercial real estate, domestic, 98 | 98 | 98.3 |
| Credit cards, 158 | 158 | 158 |
| Other consumer loans, 48 | 48 | 47.6 |
| Other loans, 57 | 57 | 56.8 |
| Securities losses, 4 | 4 | 3.6 |
| Trading and counterparty losses, 95 | 95 | 95.1 |
| Other losses, 16 | 16 | 15.7 |
Figure 11. Change from 2020:Q2 to minimum CET1 ratio in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 2.7 |
| American Express | 0.1 |
| Bank of America | 2.3 |
| Bank of NY-Mellon | 0.8 |
| Barclays US | 2.6 |
| BMO | 5.1 |
| BNP Paribas USA | 4.6* |
| Capital One | 5.2 |
| Citigroup | 2.2 |
| Citizens | 3.3 |
| Credit Suisse USA | 4.4 |
| DB USA | 11.7 |
| Discover | 3.4 |
| Fifth Third | 2.2 |
| Goldman Sachs | 4.8 |
| HSBC | 8.2 |
| Huntington | 1.8 |
| JPMorgan Chase | 2.4 |
| KeyCorp | 1.3 |
| M&T | 4.5 |
| Morgan Stanley | 4.2 |
| MUFG Americas | 3.6 |
| Northern Trust | 0.8 |
| PNC | 1.7 |
| RBC USA | 3.5 |
| Regions | 1.8 |
| Santander | -0.1 |
| State Street | 1.0 |
| TD Group | 0.9 |
| Truist | 1.9 |
| UBS Americas | 4.4 |
| U.S. Bancorp | 1.4 |
| Wells Fargo | 2.7 |
| Median | 2.6 |
Note: Estimates are for the nine-quarter period from 2020:Q3–2022:Q3 as a percent of risk-weighted assets.
*Note: The Federal Reserve revised this report on June 24, 2021: BNP Paribas USA, Inc. changed from 4.3 to 4.6.
Figure 12. Total loan loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 6.9 |
| American Express | 13.8 |
| Bank of America | 6.1 |
| Bank of NY-Mellon | 3.0 |
| Barclays US | 13.8 |
| BMO | 7.6 |
| BNP Paribas USA | 7.6 |
| Capital One | 17.0 |
| Citigroup | 8.2 |
| Citizens | 7.0 |
| Credit Suisse USA | 1.7 |
| DB USA | 7.0 |
| Discover | 21.3 |
| Fifth Third | 8.4 |
| Goldman Sachs | 10.1 |
| HSBC | 10.6 |
| Huntington | 6.8 |
| JPMorgan Chase | 7.3 |
| KeyCorp | 5.9 |
| M&T | 10.1 |
| Morgan Stanley | 4.4 |
| MUFG Americas | 6.4 |
| Northern Trust | 5.9 |
| PNC | 6.5 |
| RBC USA | 6.8 |
| Regions | 6.9 |
| Santander | 10.0 |
| State Street | 4.9 |
| TD Group | 6.6 |
| Truist | 6.3 |
| UBS Americas | 2.0 |
| U.S. Bancorp | 7.6 |
| Wells Fargo | 6.5 |
| Median | 6.9 |
Note: Estimates are for the nine-quarter period from 2020:Q3–2022:Q3 as a percent of average loan balances.
Figure 13. PPNR rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 2.0 |
| American Express | 10.0 |
| Bank of America | 1.3 |
| Bank of NY-Mellon | 1.7 |
| Barclays US | 3.2 |
| BMO | 0.4 |
| BNP Paribas USA | 0.6* |
| Capital One | 5.5 |
| Citigroup | 2.2 |
| Citizens | 2.0 |
| Credit Suisse USA | 0.9 |
| DB USA | -0.6 |
| Discover | 12.0 |
| Fifth Third | 2.8 |
| Goldman Sachs | 1.5 |
| HSBC | -0.1 |
| Huntington | 2.6 |
| JPMorgan Chase | 1.9 |
| KeyCorp | 2.3 |
| M&T | 3.1 |
| Morgan Stanley | 0.6 |
| MUFG Americas | 0.8 |
| Northern Trust | 1.3 |
| PNC | 2.0 |
| RBC USA | 1.3 |
| Regions | 2.5 |
| Santander | 4.7 |
| State Street | 1.4 |
| TD Group | 2.0 |
| Truist | 2.4 |
| UBS Americas | 1.5 |
| U.S. Bancorp | 3.1 |
| Wells Fargo | 2.0 |
| Median | 2.0 |
Note: Estimates are for the nine-quarter period from 2020:Q3–2022:Q3 as a percent of average assets.
*Note: The Federal Reserve revised this report on June 24, 2021: BNP Paribas USA, Inc. changed from 0.8 to 0.6.
Figure 14. Pre-tax net income rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | -2.0 |
| American Express | 3.3 |
| Bank of America | -1.1 |
| Bank of NY-Mellon | 1.0 |
| Barclays US | -0.4 |
| BMO | -3.1 |
| BNP Paribas USA | -2.9* |
| Capital One | -3.0 |
| Citigroup | -0.1 |
| Citizens | -2.5 |
| Credit Suisse USA | -1.5 |
| DB USA | -2.2 |
| Discover | -1.3 |
| Fifth Third | -1.3 |
| Goldman Sachs | -1.6 |
| HSBC | -3.1 |
| Huntington | -0.9 |
| JPMorgan Chase | -0.6 |
| KeyCorp | -0.6 |
| M&T | -3.3 |
| Morgan Stanley | -1.5 |
| MUFG Americas | -2.2 |
| Northern Trust | -0.2 |
| PNC | -0.8 |
| RBC USA | -1.8 |
| Regions | -1.0 |
| Santander | 1.5 |
| State Street | 0.5 |
| TD Group | 0.0 |
| Truist | -1.1 |
| UBS Americas | -0.1 |
| U.S. Bancorp | -0.6 |
| Wells Fargo | -1.3 |
| Median | -1.1* |
Note: Estimates are for the nine-quarter period from 2020:Q3-2022:Q3 as a percent of average assets.
*Note: The Federal Reserve revised this report on June 24, 2021:
- BNP Paribas USA, Inc. changed from -2.8 to -2.9.
- Median changed from -1.2 to -1.1.
Figure 15. Projected losses in the alternative severe scenario
| Source of loss | Billions of Dollars |
|---|---|
| First-lien mortgages, domestic, 24 | 24.4 |
| Junior liens and HELOCs, domestic 7 | 6.6 |
| Commercial and industrial loans, 121 | 121.4 |
| Commercial real estate, domestic, 92 | 92.4 |
| Credit cards, 144 | 144.1 |
| Other consumer loans, 45 | 44.6 |
| Other loans, 58 | 57.7 |
| Securities losses, 4 | 3.7 |
| Trading and counterparty losses, 95 | 95.1 |
| Other losses, 22 | 22.4 |
Figure 16. Change from 2020:Q2 to minimum CET1 ratio in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 2.8 |
| American Express | -0.2 |
| Bank of America | 2.4 |
| Bank of NY-Mellon | 0.5 |
| Barclays US | 2.1 |
| BMO | 5.6 |
| BNP Paribas USA | 5.0* |
| Capital One | 4.9 |
| Citigroup | 1.9 |
| Citizens | 3.4 |
| Credit Suisse USA | 4.3 |
| DB USA | 12.0 |
| Discover | 2.1 |
| Fifth Third | 2.3 |
| Goldman Sachs | 5.0 |
| HSBC | 8.5 |
| Huntington | 1.8 |
| JPMorgan Chase | 2.4 |
| KeyCorp | 1.4 |
| M&T | 4.7 |
| Morgan Stanley | 4.6 |
| MUFG Americas | 3.8 |
| Northern Trust | 0.8 |
| PNC | 1.7 |
| RBC USA | 3.7 |
| Regions | 1.9 |
| Santander | -0.5 |
| State Street | 0.8 |
| TD Group | 0.7 |
| Truist | 2.0 |
| UBS Americas | 4.3 |
| U.S. Bancorp | 1.2 |
| Wells Fargo | 2.7 |
| Median | 2.4 |
Note: Estimates are for the nine-quarter period from 2020:Q3-2022:Q3 as a percent of risk-weighted assets.
*Note: The Federal Reserve revised this report on June 24, 2021: BNP Paribas USA, Inc. changed from 4.8 to 5.0.
Figure 17. Total loan loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 6.6 |
| American Express | 12.6 |
| Bank of America | 5.8 |
| Bank of NY-Mellon | 2.9 |
| Barclays US | 12.6 |
| BMO | 7.5 |
| BNP Paribas USA | 7.3 |
| Capital One | 15.9 |
| Citigroup | 7.7 |
| Citizens | 6.8 |
| Credit Suisse USA | 1.6 |
| DB USA | 6.8 |
| Discover | 19.5 |
| Fifth Third | 8.2 |
| Goldman Sachs | 10.0 |
| HSBC | 10.4 |
| Huntington | 6.5 |
| JPMorgan Chase | 7.0 |
| KeyCorp | 5.7 |
| M&T | 9.7 |
| Morgan Stanley | 4.4 |
| MUFG Americas | 6.2 |
| Northern Trust | 5.9 |
| PNC | 6.3 |
| RBC USA | 6.5 |
| Regions | 6.8 |
| Santander | 9.5 |
| State Street | 5.0 |
| TD Group | 6.3 |
| Truist | 6.1 |
| UBS Americas | 1.9 |
| U.S. Bancorp | 7.3 |
| Wells Fargo | 6.3 |
| Median | 6.8 |
Note: Estimates are for the nine-quarter period from 2020:Q3-2022:Q3 as a percent of average loan balances.
Figure 18. PPNR rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 2.0 |
| American Express | 10.0 |
| Bank of America | 1.2 |
| Bank of NY-Mellon | 1.7 |
| Barclays US | 3.1 |
| BMO | 0.4 |
| BNP Paribas USA | 0.6* |
| Capital One | 5.5 |
| Citigroup | 2.2 |
| Citizens | 2.0 |
| Credit Suisse USA | 0.8 |
| DB USA | -0.6 |
| Discover | 12.0 |
| Fifth Third | 2.8 |
| Goldman Sachs | 1.4 |
| HSBC | -0.1 |
| Huntington | 2.7 |
| JPMorgan Chase | 1.8 |
| KeyCorp | 2.3 |
| M&T | 3.1 |
| Morgan Stanley | 0.5 |
| MUFG Americas | 0.8 |
| Northern Trust | 1.4 |
| PNC | 2.0 |
| RBC USA | 1.3 |
| Regions | 2.5 |
| Santander | 4.7 |
| State Street | 1.4 |
| TD Group | 2.1 |
| Truist | 2.4 |
| UBS Americas | 1.5 |
| U.S. Bancorp | 3.1 |
| Wells Fargo | 2.0 |
| Median | 2.0 |
Note: Estimates are for the nine-quarter period from 2020:Q3-2022:Q3 as a percent of average assets.
*Note: The Federal Reserve revised this report on June 24, 2021: BNP Paribas USA, Inc. changed from 0.7 to 0.6.
Figure 19. Pre-tax net income rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | -2.1 |
| American Express | 3.5 |
| Bank of America | -1.3 |
| Bank of NY-Mellon | 1.0 |
| Barclays US | -0.3 |
| BMO | -3.5 |
| BNP Paribas USA | -3.2* |
| Capital One | -2.8 |
| Citigroup | -0.2 |
| Citizens | -2.8 |
| Credit Suisse USA | -1.6 |
| DB USA | -2.3 |
| Discover | -0.6 |
| Fifth Third | -1.5 |
| Goldman Sachs | -1.9 |
| HSBC | -3.3 |
| Huntington | -1.1 |
| JPMorgan Chase | -0.7 |
| KeyCorp | -0.9 |
| M&T | -3.5 |
| Morgan Stanley | -1.8 |
| MUFG Americas | -2.4 |
| Northern Trust | -0.2 |
| PNC | -1.0 |
| RBC USA | -2.0 |
| Regions | -1.2 |
| Santander | 1.4 |
| State Street | 0.4 |
| TD Group | -0.1 |
| Truist | -1.3 |
| UBS Americas | -0.1 |
| U.S. Bancorp | -0.7 |
| Wells Fargo | -1.4 |
| Median | -1.3 |
Note: Estimates are for the nine-quarter period from 2020:Q3-2022:Q3 as a percent of average assets.
*Note: The Federal Reserve revised this report on June 24, 2021: BNP Paribas USA, Inc. changed from -3.1 to -3.2.
Figure C.1. First-lien mortgages, domestic loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 1.4 |
| American Express | 0.0 |
| Bank of America | 2.0 |
| Bank of NY-Mellon | 1.3 |
| Barclays US | 0.0 |
| BMO | 1.9 |
| BNP Paribas USA | 2.3 |
| Capital One | 2.5 |
| Citigroup | 2.3 |
| Citizens | 2.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 2.5 |
| Discover | 2.5 |
| Fifth Third | 2.7 |
| Goldman Sachs | 2.5 |
| HSBC | 3.0 |
| Huntington | 3.8 |
| JPMorgan Chase | 2.1 |
| KeyCorp | 2.9 |
| M&T | 3.4 |
| Morgan Stanley | 1.7 |
| MUFG Americas | 2.9 |
| Northern Trust | 1.2 |
| PNC | 1.5 |
| RBC USA | 3.1 |
| Regions | 2.7 |
| Santander | 2.9 |
| State Street | 0.0 |
| TD Group | 2.1 |
| Truist | 2.0 |
| UBS Americas | 2.0 |
| U.S. Bancorp | 1.9 |
| Wells Fargo | 1.8 |
| Median | 2.3 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.2. Junior liens and HELOCs, domestic loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 3.8 |
| American Express | 0.0 |
| Bank of America | 2.4 |
| Bank of NY-Mellon | 7.5 |
| Barclays US | 0.0 |
| BMO | 3.7 |
| BNP Paribas USA | 3.4 |
| Capital One | 6.9 |
| Citigroup | 7.4 |
| Citizens | 4.2 |
| Credit Suisse USA | 0.0 |
| DB USA | 6.0 |
| Discover | 9.9 |
| Fifth Third | 3.8 |
| Goldman Sachs | 4.0 |
| HSBC | 8.1 |
| Huntington | 3.1 |
| JPMorgan Chase | 2.2 |
| KeyCorp | 3.9 |
| M&T | 3.6 |
| Morgan Stanley | 4.0 |
| MUFG Americas | 3.6 |
| Northern Trust | 7.9 |
| PNC | 1.9 |
| RBC USA | 3.5 |
| Regions | 4.3 |
| Santander | 3.8 |
| State Street | 0.0 |
| TD Group | 4.0 |
| Truist | 2.7 |
| UBS Americas | 0.0 |
| U.S. Bancorp | 4.0 |
| Wells Fargo | 2.0 |
| Median | 3.9 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.3. Commercial and industrial loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 8.2 |
| American Express | 14.7 |
| Bank of America | 5.8 |
| Bank of NY-Mellon | 2.9 |
| Barclays US | 22.8 |
| BMO | 8.0 |
| BNP Paribas USA | 10.3 |
| Capital One | 13.0 |
| Citigroup | 5.7 |
| Citizens | 6.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.2 |
| Discover | 27.0 |
| Fifth Third | 7.7 |
| Goldman Sachs | 12.6 |
| HSBC | 6.7 |
| Huntington | 7.2 |
| JPMorgan Chase | 10.3 |
| KeyCorp | 5.9 |
| M&T | 7.3 |
| Morgan Stanley | 8.4 |
| MUFG Americas | 10.2 |
| Northern Trust | 6.3 |
| PNC | 7.1 |
| RBC USA | 11.0 |
| Regions | 7.8 |
| Santander | 5.1 |
| State Street | 6.6 |
| TD Group | 6.5 |
| Truist | 6.1 |
| UBS Americas | 2.4 |
| U.S. Bancorp | 7.5 |
| Wells Fargo | 7.2 |
| Median | 7.3 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters. Commercial and industrial loans include small- and medium-enterprise loans and corporate cards.
Figure C.4. Commercial real estate, domestic loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 5.7 |
| American Express | 0.0 |
| Bank of America | 16.4 |
| Bank of NY-Mellon | 9.2 |
| Barclays US | 12.6 |
| BMO | 15.1 |
| BNP Paribas USA | 11.1 |
| Capital One | 6.6 |
| Citigroup | 11.7 |
| Citizens | 15.5 |
| Credit Suisse USA | 52.2 |
| DB USA | 16.5 |
| Discover | 22.3 |
| Fifth Third | 20.9 |
| Goldman Sachs | 44.8 |
| HSBC | 33.1 |
| Huntington | 16.4 |
| JPMorgan Chase | 4.2 |
| KeyCorp | 11.6 |
| M&T | 16.3 |
| Morgan Stanley | 18.3 |
| MUFG Americas | 8.1 |
| Northern Trust | 8.7 |
| PNC | 13.3 |
| RBC USA | 11.3 |
| Regions | 12.9 |
| Santander | 7.2 |
| State Street | 6.1 |
| TD Group | 8.2 |
| Truist | 11.8 |
| UBS Americas | 2.0 |
| U.S. Bancorp | 17.3 |
| Wells Fargo | 14.9 |
| Median | 12.8 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.5. Credit card loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 0.0 |
| American Express | 13.3 |
| Bank of America | 20.9 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 22.4 |
| BMO | 21.2 |
| BNP Paribas USA | 23.7 |
| Capital One | 27.7 |
| Citigroup | 21.4 |
| Citizens | 25.1 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Discover | 24.4 |
| Fifth Third | 29.3 |
| Goldman Sachs | 23.7 |
| HSBC | 35.8 |
| Huntington | 23.7 |
| JPMorgan Chase | 22.3 |
| KeyCorp | 23.7 |
| M&T | 23.7 |
| Morgan Stanley | 0.0 |
| MUFG Americas | 23.7 |
| Northern Trust | 0.0 |
| PNC | 26.2 |
| RBC USA | 23.7 |
| Regions | 19.3 |
| Santander | 23.7 |
| State Street | 0.0 |
| TD Group | 30.1 |
| Truist | 19.0 |
| UBS Americas | 23.7 |
| U.S. Bancorp | 23.7 |
| Wells Fargo | 22.8 |
| Median | 23.7 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.6. Other consumer loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 7.7 |
| American Express | 16.7 |
| Bank of America | 2.1 |
| Bank of NY-Mellon | 12.1 |
| Barclays US | 16.7 |
| BMO | 4.8 |
| BNP Paribas USA | 7.6 |
| Capital One | 11.4 |
| Citigroup | 8.2 |
| Citizens | 6.4 |
| Credit Suisse USA | 16.7 |
| DB USA | 8.0 |
| Discover | 9.6 |
| Fifth Third | 5.1 |
| Goldman Sachs | 11.1 |
| HSBC | 11.2 |
| Huntington | 4.8 |
| JPMorgan Chase | 3.8 |
| KeyCorp | 5.0 |
| M&T | 7.4 |
| Morgan Stanley | 0.9 |
| MUFG Americas | 17.0 |
| Northern Trust | 16.7 |
| PNC | 4.0 |
| RBC USA | 13.8 |
| Regions | 12.9 |
| Santander | 16.8 |
| State Street | 0.6 |
| TD Group | 3.4 |
| Truist | 7.1 |
| UBS Americas | 0.9 |
| U.S. Bancorp | 3.9 |
| Wells Fargo | 5.4 |
| Median | 7.6 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters. Other consumer loans include student loans and automobile loans.
Figure C.7. Other loans loss rates in the severely adverse scenario
| Firm | Percent |
|---|---|
| Ally | 14.1 |
| American Express | 5.6 |
| Bank of America | 3.3 |
| Bank of NY-Mellon | 1.7 |
| Barclays US | 0.7 |
| BMO | 6.0 |
| BNP Paribas USA | 3.5 |
| Capital One | 5.4 |
| Citigroup | 3.3 |
| Citizens | 6.2 |
| Credit Suisse USA | 0.6 |
| DB USA | 2.5 |
| Discover | 5.5 |
| Fifth Third | 4.3 |
| Goldman Sachs | 5.3 |
| HSBC | 7.3 |
| Huntington | 3.8 |
| JPMorgan Chase | 4.7 |
| KeyCorp | 2.9 |
| M&T | 5.0 |
| Morgan Stanley | 3.6 |
| MUFG Americas | 4.4 |
| Northern Trust | 6.4 |
| PNC | 3.1 |
| RBC USA | 3.7 |
| Regions | 3.0 |
| Santander | 2.5 |
| State Street | 4.5 |
| TD Group | 3.1 |
| Truist | 3.7 |
| UBS Americas | 6.9 |
| U.S. Bancorp | 4.6 |
| Wells Fargo | 5.0 |
| Median | 4.3 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters. Other loans include international real estate loans.
Figure C.8. First-lien mortgages, domestic loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 1.3 |
| American Express | 0.0 |
| Bank of America | 1.9 |
| Bank of NY-Mellon | 1.2 |
| Barclays US | 0.0 |
| BMO | 1.8 |
| BNP Paribas USA | 2.2 |
| Capital One | 2.4 |
| Citigroup | 2.1 |
| Citizens | 2.2 |
| Credit Suisse USA | 0.0 |
| DB USA | 2.4 |
| Discover | 2.4 |
| Fifth Third | 2.5 |
| Goldman Sachs | 2.4 |
| HSBC | 2.9 |
| Huntington | 3.6 |
| JPMorgan Chase | 1.9 |
| KeyCorp | 2.7 |
| M&T | 3.3 |
| Morgan Stanley | 1.6 |
| MUFG Americas | 2.7 |
| Northern Trust | 1.0 |
| PNC | 1.4 |
| RBC USA | 3.0 |
| Regions | 2.6 |
| Santander | 2.7 |
| State Street | 0.0 |
| TD Group | 2.0 |
| Truist | 1.9 |
| UBS Americas | 1.9 |
| U.S. Bancorp | 1.8 |
| Wells Fargo | 1.8 |
| Median | 2.2 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.9. Junior liens and HELOCs, domestic loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 3.7 |
| American Express | 0.0 |
| Bank of America | 2.3 |
| Bank of NY-Mellon | 7.2 |
| Barclays US | 0.0 |
| BMO | 3.5 |
| BNP Paribas USA | 3.2 |
| Capital One | 6.6 |
| Citigroup | 7.0 |
| Citizens | 4.1 |
| Credit Suisse USA | 0.0 |
| DB USA | 5.9 |
| Discover | 9.5 |
| Fifth Third | 3.7 |
| Goldman Sachs | 3.8 |
| HSBC | 7.9 |
| Huntington | 3.0 |
| JPMorgan Chase | 2.0 |
| KeyCorp | 3.8 |
| M&T | 3.5 |
| Morgan Stanley | 3.8 |
| MUFG Americas | 3.3 |
| Northern Trust | 7.6 |
| PNC | 1.8 |
| RBC USA | 3.3 |
| Regions | 4.2 |
| Santander | 3.7 |
| State Street | 0.0 |
| TD Group | 3.9 |
| Truist | 2.6 |
| UBS Americas | 0.0 |
| U.S. Bancorp | 3.9 |
| Wells Fargo | 1.9 |
| Median | 3.8 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.10. Commercial and industrial loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 8.0 |
| American Express | 13.8 |
| Bank of America | 5.9 |
| Bank of NY-Mellon | 3.0 |
| Barclays US | 21.5 |
| BMO | 8.0 |
| BNP Paribas USA | 10.2 |
| Capital One | 12.9 |
| Citigroup | 5.7 |
| Citizens | 6.3 |
| Credit Suisse USA | 0.0 |
| DB USA | 1.2 |
| Discover | 25.7 |
| Fifth Third | 7.8 |
| Goldman Sachs | 12.8 |
| HSBC | 6.8 |
| Huntington | 7.3 |
| JPMorgan Chase | 10.3 |
| KeyCorp | 6.0 |
| M&T | 7.3 |
| Morgan Stanley | 8.6 |
| MUFG Americas | 10.4 |
| Northern Trust | 6.4 |
| PNC | 7.1 |
| RBC USA | 11.2 |
| Regions | 7.9 |
| Santander | 5.0 |
| State Street | 6.8 |
| TD Group | 6.6 |
| Truist | 6.1 |
| UBS Americas | 2.5 |
| U.S. Bancorp | 7.5 |
| Wells Fargo | 7.3 |
| Median | 7.3 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters. Commercial and industrial loans include small- and medium-enterprise loans and corporate cards.
Figure C.11. Commercial real estate, domestic loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 5.4 |
| American Express | 0.0 |
| Bank of America | 15.5 |
| Bank of NY-Mellon | 8.4 |
| Barclays US | 11.7 |
| BMO | 14.3 |
| BNP Paribas USA | 10.6 |
| Capital One | 6.0 |
| Citigroup | 10.8 |
| Citizens | 14.5 |
| Credit Suisse USA | 45.2 |
| DB USA | 15.9 |
| Discover | 20.2 |
| Fifth Third | 19.7 |
| Goldman Sachs | 42.6 |
| HSBC | 31.9 |
| Huntington | 15.6 |
| JPMorgan Chase | 3.9 |
| KeyCorp | 10.8 |
| M&T | 15.5 |
| Morgan Stanley | 16.8 |
| MUFG Americas | 7.4 |
| Northern Trust | 7.9 |
| PNC | 12.4 |
| RBC USA | 10.2 |
| Regions | 12.0 |
| Santander | 6.6 |
| State Street | 5.8 |
| TD Group | 7.7 |
| Truist | 11.2 |
| UBS Americas | 1.8 |
| U.S. Bancorp | 16.3 |
| Wells Fargo | 14.0 |
| Median | 11.9 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.12. Credit card loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 0.0 |
| American Express | 11.9 |
| Bank of America | 19.0 |
| Bank of NY-Mellon | 0.0 |
| Barclays US | 20.4 |
| BMO | 19.4 |
| BNP Paribas USA | 21.7 |
| Capital One | 25.4 |
| Citigroup | 19.6 |
| Citizens | 22.6 |
| Credit Suisse USA | 0.0 |
| DB USA | 0.0 |
| Discover | 22.3 |
| Fifth Third | 26.3 |
| Goldman Sachs | 21.7 |
| HSBC | 33.0 |
| Huntington | 21.7 |
| JPMorgan Chase | 20.2 |
| KeyCorp | 21.7 |
| M&T | 21.7 |
| Morgan Stanley | 0.0 |
| MUFG Americas | 21.7 |
| Northern Trust | 0.0 |
| PNC | 23.8 |
| RBC USA | 21.7 |
| Regions | 17.7 |
| Santander | 21.7 |
| State Street | 0.0 |
| TD Group | 27.6 |
| Truist | 17.5 |
| UBS Americas | 21.7 |
| U.S. Bancorp | 21.7 |
| Wells Fargo | 21.0 |
| Median | 21.7 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters.
Figure C.13. Other consumer loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 7.2 |
| American Express | 15.8 |
| Bank of America | 1.9 |
| Bank of NY-Mellon | 11.4 |
| Barclays US | 15.8 |
| BMO | 4.5 |
| BNP Paribas USA | 6.8 |
| Capital One | 10.8 |
| Citigroup | 7.2 |
| Citizens | 6.1 |
| Credit Suisse USA | 15.8 |
| DB USA | 7.5 |
| Discover | 9.1 |
| Fifth Third | 4.7 |
| Goldman Sachs | 10.5 |
| HSBC | 10.7 |
| Huntington | 4.4 |
| JPMorgan Chase | 3.6 |
| KeyCorp | 4.7 |
| M&T | 6.7 |
| Morgan Stanley | 0.9 |
| MUFG Americas | 16.1 |
| Northern Trust | 15.8 |
| PNC | 3.8 |
| RBC USA | 12.9 |
| Regions | 12.2 |
| Santander | 15.9 |
| State Street | 0.6 |
| TD Group | 3.2 |
| Truist | 6.7 |
| UBS Americas | 0.9 |
| U.S. Bancorp | 3.5 |
| Wells Fargo | 5.1 |
| Median | 6.8 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters. Other consumer loans include student loans and automobile loans.
Figure C.14. Other loans loss rates in the alternative severe scenario
| Firm | Percent |
|---|---|
| Ally | 14.4 |
| American Express | 5.7 |
| Bank of America | 3.3 |
| Bank of NY-Mellon | 1.8 |
| Barclays US | 0.7 |
| BMO | 6.2 |
| BNP Paribas USA | 3.5 |
| Capital One | 5.6 |
| Citigroup | 3.3 |
| Citizens | 6.3 |
| Credit Suisse USA | 0.6 |
| DB USA | 2.6 |
| Discover | 5.6 |
| Fifth Third | 4.4 |
| Goldman Sachs | 5.3 |
| HSBC | 7.5 |
| Huntington | 3.9 |
| JPMorgan Chase | 4.8 |
| KeyCorp | 3 |
| M&T | 5.1 |
| Morgan Stanley | 3.7 |
| MUFG Americas | 4.5 |
| Northern Trust | 6.5 |
| PNC | 3.1 |
| RBC USA | 3.8 |
| Regions | 3.1 |
| Santander | 2.5 |
| State Street | 4.6 |
| TD Group | 3.2 |
| Truist | 3.8 |
| UBS Americas | 6.9 |
| U.S. Bancorp | 4.7 |
| Wells Fargo | 5 |
| Median | 4.4 |
Note: Average loan balances used to calculate portfolio loss rates exclude loans held for sale, loans held for investment under the fair-value option, and PPP loans and are calculated over nine quarters. Other loans include international real estate loans.