Dodd-Frank Act Stress Test 2022: Supervisory Stress Test Results June - 2022
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Figure 1. Aggregate common equity capital ratio
Percent
| Date | Under Basel I risk-weighted assets | Under Basel III risk-weighted assets |
|---|---|---|
| 2009:Q1 | 5.2 | |
| 2009:Q2 | 6.4 | |
| 2009:Q3 | 7.5 | |
| 2009:Q4 | 7.8 | |
| 2010:Q1 | 8.3 | |
| 2010:Q2 | 8.7 | |
| 2010:Q3 | 9.1 | |
| 2010:Q4 | 9.5 | |
| 2011:Q1 | 9.7 | |
| 2011:Q2 | 9.9 | |
| 2011:Q3 | 9.9 | |
| 2011:Q4 | 10.2 | |
| 2012:Q1 | 10.8 | |
| 2012:Q2 | 10.9 | |
| 2012:Q3 | 11.1 | |
| 2012:Q4 | 11.2 | |
| 2013:Q1 | 10.8 | |
| 2013:Q2 | 11.1 | |
| 2013:Q3 | 11.3 | |
| 2013:Q4 | 11.4 | |
| 2014:Q1 | 12.1 | |
| 2014:Q2 | 12.2 | |
| 2014:Q3 | 12.3 | |
| 2014:Q4 | 12.4 | |
| 2015:Q1 | 11.6 | 11.6 |
| 2015:Q2 | 11.8 | |
| 2015:Q3 | 12.1 | |
| 2015:Q4 | 12.3 | |
| 2016:Q1 | 12.2 | |
| 2016:Q2 | 12.4 | |
| 2016:Q3 | 12.5 | |
| 2016:Q4 | 12.5 | |
| 2017:Q1 | 12.5 | |
| 2017:Q2 | 12.6 | |
| 2017:Q3 | 12.7 | |
| 2017:Q4 | 12.3 | |
| 2018:Q1 | 11.9 | |
| 2018:Q2 | 12.1 | |
| 2018:Q3 | 12.1 | |
| 2018:Q4 | 12.1 | |
| 2019:Q1 | 12.2 | |
| 2019:Q2 | 12.3 | |
| 2019:Q3 | 12.1 | |
| 2019:Q4 | 12.0 | |
| 2020:Q1 | 11.6 | |
| 2020:Q2 | 12.2 | |
| 2020:Q3 | 12.7 | |
| 2020:Q4 | 12.8 | |
| 2021:Q1 | 12.8 | |
| 2021:Q2 | 12.8 | |
| 2021:Q3 | 12.6 | |
| 2021:Q4 | 12.4 | |
| 2022:Q1 | 11.8 |
Note: The Federal Reserve's evaluation of a bank'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 banks included in the 2022 stress test reported data for all periods since 2009.
Source: FR Y-9C.
Figure A. Aggregate maximum decline in stressed common equity tier 1 capital ratio, severely adverse scenario
| Exercise name | Percentage points |
|---|---|
| 2018 stress test | -3.6 |
| 2019 stress test | -2.3 |
| June 2020 stress test | -2.1 |
| December 2020 stress test | -2.6 |
| 2021 stress test | -2.4 |
| 2022 stress test | -2.7 |
Note: The bar represents the aggregate maximum common equity tier 1 (CET1) capital ratio decline of the banks in each exercise. The values for the 2018 stress test and the 2019 stress test are estimates of the CET1 capital ratio decline had the stress capital buffer rule been in place at that time. For purposes of this figure, the 2018 and 2019 stress test values assume (1) a constant level of assets over the projection horizon, (2) no common dividend payments, (3) no issuances or repurchases of common or preferred stock (except those related to business plan changes), and (4) fully phased-in capital deductions.
Figure B. Historical starting allowances as a percent of starting risk-weighted assets
| Exercise name | Percent |
|---|---|
| 2018 stress test | 0.9% |
| 2019 stress test | 0.8% |
| June 2020 stress test | 0.8% |
| December 2020 stress test | 1.8% |
| 2021 stress test | 1.5% |
| 2022 stress test | 1.1% |
Note: Allowances as a percent of risk-weighted assets are calculated for the banks in each exercise.
Source: FR Y-9C.
Figure C. Unemployment rate from starting point to peak
Percent
| Exercise name | Starting Unemployment Rate | Peak Unemployment Rate | Change |
|---|---|---|---|
| 2018 stress test | 4.1% | 10.0% | 5.9% |
| 2019 stress test | 3.8% | 10.0% | 6.2% |
| June 2020 stress test | 3.5% | 10.0% | 6.5% |
| December 2020 stress test1 | 9.5% | 12.5% | 3.0% |
| 2021 stress test | 6.8% | 10.8% | 4.0% |
| 2022 stress test | 4.2% | 10.0% | 5.8% |
1The starting unemployment rate for the December 2020 stress test (9.5 percent) is the unemployment rate as of the first quarter of the scenario projection horizon, whereas the starting unemployment rate for all others is on the stress test as-of date (the fourth quarter of the year prior).
Source: Federal Reserve severely adverse scenarios.
Figure D. Loan loss rates, severely adverse scenario
| Exercise Name | Percent |
|---|---|
| 2018 stress test | 6.4% |
| 2019 stress test | 5.7% |
| June 2020 stress test | 6.3% |
| December 2020 stress test | 7.7% |
| 2021 stress test | 6.2% |
| 2022 stress test | 6.4% |
Note: Loan loss rates are calculated as a percent of average loan balances for the nine-quarter projection horizon for the banks in each exercise.
Figure 3. Change from 2021:Q4 to minimum common equity tier 1 capital ratio in the severely adverse scenario
| Bank | Percentage points |
|---|---|
| Ally | 1.5 |
| American Express | 0.6 |
| Bank of America | 3.0 |
| Bank of NY-Mellon | 1.6 |
| Barclays US | 3.3 |
| BMO | 3.4 |
| BNP Paribas USA | 4.3 |
| Capital One | 2.9 |
| Charles Schwab Corp | -0.5 |
| Citigroup | 3.7 |
| Citizens | 3.0 |
| Credit Suisse USA | 7.4 |
| DB USA | 4.0 |
| Discover | 1.0 |
| Fifth Third | 1.9 |
| Goldman Sachs | 5.8 |
| HSBC | 6.4 |
| Huntington | 2.5 |
| JPMorgan Chase | 3.3 |
| KeyCorp | 1.9 |
| M&T | 4.1 |
| Morgan Stanley | 4.6 |
| Northern Trust | 1.1 |
| PNC | 2.2 |
| RBC USA | 3.4 |
| Regions | 1.8 |
| Santander | 0.1 |
| State Street | 1.1 |
| TD Group | 1.9 |
| Truist | 1.8 |
| UBS Americas | 2.3 |
| US Bancorp | 0.7 |
| Wells Fargo | 2.8 |
| Median | 2.5 |
Estimates of minimum common equity tier 1 capital as a percent of risk-weighted assets are for the nine-quarter period from 2022:Q1 to 2024:Q1.
Figure 2. Projected losses in the severely adverse scenario
| Billions of dollars | Percent of total losses | |
|---|---|---|
| First-lien mortgages, domestic | 16.7 | 3 |
| Junior liens and home equity lines of credit, domestic | 6.7 | 1 |
| Credit cards | 118.7 | 19 |
| Other consumer loans | 48.9 | 8 |
| Commercial and industrial loans | 120.8 | 20 |
| Commercial real estate, domestic | 75.4 | 12 |
| Other loans | 76.2 | 12 |
| Securities losses | 6.1 | 1 |
| Trading and counterparty losses | 100 | 16 |
| Other losses | 42.7 | 7 |
Note: Percent of total losses may not sum to 100 due to rounding.
Figure 4. Pre-tax net income rates in the severely adverse scenario
| Bank | Percent |
|---|---|
| Ally | -1.0 |
| American Express | 2.7 |
| Bank of America | -1.4 |
| Bank of NY-Mellon | 1.0 |
| Barclays US | 0.2 |
| BMO | -2.1 |
| BNP Paribas USA | -2.7 |
| Capital One | -1.8 |
| Charles Schwab Corp | 1.1 |
| Citigroup | -1.2 |
| Citizens | -2.5 |
| Credit Suisse USA | 0.6 |
| DB USA | 0.2 |
| Discover | 1.8 |
| Fifth Third | -1.3 |
| Goldman Sachs | -0.9 |
| HSBC | -2.3 |
| Huntington | -1.8 |
| JPMorgan Chase | -1.1 |
| KeyCorp | -1.3 |
| M&T | -2.7 |
| Morgan Stanley | -0.5 |
| Northern Trust | 0.1 |
| PNC | -1.5 |
| RBC USA | -1.9 |
| Regions | -1.1 |
| Santander | 1.1 |
| State Street | 0.4 |
| TD Group | -0.7 |
| Truist | -1.2 |
| UBS Americas | 1.1 |
| US Bancorp | 0.1 |
| Wells Fargo | -1.5 |
| Median | -1.1 |
Note: Estimates are for the nine-quarter period from 2022:Q1 to 2024:Q1 as a percent of average assets.
Figure 5. Pre-provision net revenue rates in the severely adverse scenario
| Bank | Percent |
|---|---|
| Ally | 3.3 |
| American Express | 10.8 |
| Bank of America | 0.9 |
| Bank of NY-Mellon | 2.1 |
| Barclays US | 3.7 |
| BMO | 1.5 |
| BNP Paribas USA | 0.8 |
| Capital One | 6.7 |
| Charles Schwab Corp | 1.3 |
| Citigroup | 1.2 |
| Citizens | 2.7 |
| Credit Suisse USA | 4.8 |
| DB USA | 1.8 |
| Discover | 13.8 |
| Fifth Third | 2.6 |
| Goldman Sachs | 2.4 |
| HSBC | 0.0 |
| Huntington | 2.2 |
| JPMorgan Chase | 1.4 |
| KeyCorp | 2.7 |
| M&T | 2.4 |
| Morgan Stanley | 2.0 |
| Northern Trust | 2.0 |
| PNC | 1.8 |
| RBC USA | 1.4 |
| Regions | 2.8 |
| Santander | 4.6 |
| State Street | 1.6 |
| TD Group | 1.2 |
| Truist | 2.1 |
| UBS Americas | 2.2 |
| US Bancorp | 3.1 |
| Wells Fargo | 2.1 |
| Median | 2.2 |
Note: Estimates are for the nine-quarter period from 2022:Q1 to 2024:Q1 as a percent of average assets.