Board of Governors of the Federal Reserve System

Figure 5. Unemployment rate in the severely adverse and adverse scenarios, 2014:Q1 - 2023:Q1

Figure 6. Real GDP growth rate in the severely adverse and adverse scenario, 2014:Q1 - 2023:Q1

Figure 7. Dow Jones Total Stock Market Index in the severely adverse scenario, 2014:Q1–2023:Q1

Figure 8. National House Price Index in the severely adverse and adverse scenarios, 2014:Q1 - 2023:Q1

Figure 9. U.S. BBB corporate yield in the severely adverse scenario, 2014:Q1–2023:Q1

Figure 10. U.S. Market Volatility Index (VIX) in the severely adverse scenario, 2014:Q1 - 2023:Q1

Figure 11. Projecting net income and regulatory capital

The flow chart starts with a box stating, Net interest income + noninterest income – noninterest expense = pre-provision net revenue (PPNR) Note: PPNR includes income from mortgage servicing rights and losses from operational-risk events and other real-estate owned (OREO) costs. There is an arrow pointing downwards leading to the next box, PPNR + other revenue – provisions for credit losses* – Available-for-sale (AFS) and Held-to-maturity (HTM) securities losses* – Held for sale (HFS) and Fair-value option (FVO) loan losses – trading and counterparty losses = pre-tax net income. Note: Change in the allowances for credit losses + net charge-offs = provisions for credit losses. *For firms that have adopted 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 Accounting Standards Update (ASU) 2016-13 (Norwalk, Conn.: FASB, June 2016). There is an arrow pointing downwards leading to the next box, Pre-tax net income – taxes – income attributable to minority interest – change in the valuation allowance = after-tax net income. There is an arrow pointing downwards leading to the next box, After-tax net income – payments on non-common capital + other comprehensive income = change in equity capital. There is an arrow pointing downwards leading to the last box, Change in equity capital – change in adjustments and deductions from regulatory capital + other additions to regulatory capital = change in regulatory capital.

Figure 12. Projected losses in the severely adverse scenario

Figure 13. Change from 2019:Q4 to minimum common equity tier 1 ratio in the severely adverse scenario

Figure 14. Total loan loss rates in the severely adverse scenario

Figure 15. PPNR rates in the severely adverse scenario

Figure 16. Pre-tax net income rates in the severely adverse scenario

Figure C.1. First-lien mortgages, domestic loss rates in the severely adverse scenario

Figure C.2. Junior liens and HELOCs, domestic loss rates in the severely adverse scenario

Figure C.3. Commercial and industrial loss rates in the severely adverse scenario

Figure C.4. Commercial real estate, domestic loss rates in the severely adverse scenario

Figure C.5. Credit card loss rates in the severely adverse scenario

Figure C.6. Other consumer loss rates in the severely adverse scenario

Figure C.7. Other loans loss rates in the severely adverse scenario