CCAR Results 3-2012

Comprehensive Capital Analysis
and Review 2012:

Methodology and Results
for Stress Scenario Projections
March 13, 2012
BOARD OF GOVE RNORS OF T HE FE DE RAL RE S E RVE S YS T E M
Comprehensive Capital Analysis
and Review 2012:
Methodology and Results
for Stress Scenario Projections
March 13, 2012
BOARD OF GOVE RNORS OF T HE FE DE RAL RE S E RVE S YS T E M
I. IntroductionandExecutiveSummary
TheFederalReserveexpectslarge,complexbankholdingcompaniestoholdsufficientcapitalin
ordertomaintainaccesstofunding,tocontinuetoserveascreditintermediaries,tomeettheir
obligationstocreditorsandcounterparties,andtocontinueoperations,evenunderadverseeconomic
conditions.TheComprehensiveCapitalAnalysisandReview(CCAR)isasupervisoryassessmentbythe
FederalReserveofthecapitalplanningprocessesandcapitaladequacyoftheselarge,complexbank
holdingcompanies(BHCs).TheCCARistheFederalReservescentralmechanismfordeveloping
supervisoryassessmentsofcapitaladequacyatthesefirms.
NineteenBHCswererequiredtoparticipateinthisyearsCCAR(CCAR2012).
1
InearlyJanuary,
theseBHCssubmittedcomprehensivecapitalplanstotheFederalReserve,describingtheirstrategiesfor
managingtheircapitaloveraninequarterplanninghorizon.ThepurposeofrequiringBHCstodevelop
andmaintainthesecapitalplansistoensurethattheinstitutionshaverobust,forwardlookingcapital
planningprocessesthataccountfortheiruniquerisksandthattheinstitutionshavesufficientcapitalto
continueoperationsthroughouttimesofeconomicandfinancialmarketstress.Aspartofits
assessmentoftheplans,theFederalReserveprojectedlosses,revenues,expenses,andcapitalratiosfor
eachofthe19BHCsunderaseverelyadversemacroeconomicscenariospecifiedbytheFederalReserve.
Thispaperdescribesthisscenario,providesanoverviewoftheanalyticalframeworkandempirical
methodsusedbytheFederalReservetogeneratethesestressscenarioprojections,andpresentsthe
results.
Theprojectionsprovideauniqueperspectiveontherobustnessofthecapitalpositionsofthese
firmsbecausetheyincorporatedetailedinformationabouttheriskcharacteristicsandbusinessactivities
ofeachBHCandbecausetheyareestimatedusingaconsistentapproachacrossalloftheBHCs.The
FederalReserveisdisclosingthestressscenarioprojectionstoenhancetransparencyaboutthecapital
ofthe19BHCsparticipatingintheCCARexercise.TheFederalReservealsobelievesthatproviding
informationaboutboththeresultsofthestressscenarioprojectionsandthemethodologywillprovide
usefulcontextformarketparticipants,analysts,academics,andotherstointerprettheresults.
ThestressscenarioprojectionswerecalculatedbyFederalReserveanalystsusinginputdata
providedbythe19BHCsandasetofmodelsdevelopedorselectedbytheFederalReserve.The
1
TheBHCsthatparticipatedinCCAR2012areAllyFinancialInc.,AmericanExpressCompany,BankofAmerica
Corporation,TheBankofNewYorkMellonCorporation,BB&TCorporation,CapitalOneFinancialCorporation,
CitigroupInc.,FifthThirdBancorp,TheGoldmanSachsGroup,Inc.,JPMorganChase&Co.,Keycorp,MetLife,Inc.,
MorganStanley,ThePNCFinancialServicesGroup,Inc.,RegionsFinancialCorporation,StateStreetCorporation,
SunTrustBanks,Inc.,U.S.Bancorp,andWellsFargo&Company.
projectionsarebasedonahypothetical,severelyadversemacroeconomicandfinancialmarketscenario
developedbytheFederalReserve,featuringadeeprecessionintheUnitedStates,significantdeclinesin
assetpricesandincreasesinriskpremia,andaslowdowninglobaleconomicactivity(theSupervisory
StressScenario).SixBHCswithlargetrading,privateequity,andderivativesactivitiesarealsosubject
toaglobalfinancialmarketshockonthosepositions.
2
TheFederalReservesprojectionsforthe19BHCsundertheSupervisoryStressScenarioshould
notbeinterpretedasexpectedorlikelyoutcomesforthesefirms,butratheraspossibleresultsunder
hypothetical,highlyadverseconditions.Theprojectionsincorporateanumberofconservativemodeling
assumptions.Theprojectionsembedthecapitalactionsissuanceofcapitalinstruments,dividend
payments,andsharerepurchasesthateachBHCincludedinitscapitalplanunderabaselinescenario
reflectingexpectedeconomicconditions.Thatis,BHCsareassumedtomaketheirplanneddividends
andothercapitaldistributionsevenundertheadverseconditionsoftheSupervisoryStressScenario.
ThisconservativeapproachasksifaBHCwouldbeabletomeetsupervisoryexpectationsforcapital
ratiosshouldadverseeconomicconditionsemergeandtheBHCmaintaineditsplannedbaseline
distributions.Toillustratetheimpactofthestressscenarioalone,theFederalReservealsocalculated
stressedregulatorycapitalratiosexcludingplannedcapitalactionsafterQ12012.
3
Finally,itis
importanttonotethatthestressscenarioprojectionsestimatetheimpactofadverseeconomicand
financialmarketconditionsoneachinstitutionscapitalresources.Thestressscenarioprojectionsdo
notmakeexplicitbehavioralassumptionsaboutthepossibleactionsofaBHCscreditorsand
counterpartiesinthescenario,exceptthroughtheSupervisoryStressScenarioscharacterizationsof
financialassetpricesandeconomicactivity.
Theresultsofthestressscenarioprojectionssuggestthatthe19BHCsasagroupwould
experiencesignificantlossesundertheassumptionsoftheSupervisoryStressScenario.Lossesatthe19
BHCsareprojectedtototal$534billionovertheninequartersofthescenario,includinglossesacross
theloanportfolios,tradingandcounterpartycreditlossesfromtheglobalfinancialmarketshock,and
lossesonsecuritiesheldintheBHCsinvestmentportfolios.Lossesrelatedtooperationalriskevents
suchasfraud,computersystemsfailure,andemployeelawsuits,andlossesrelatedtomortgage
repurchases,whichareincludedinpreprovisionnetrevenue(PPNR),addanother$115billiontothis
total.ProjectedPPNRatthe19BHCsis$294billionovertheninequartersofthescenario.Together,
2
TheseBHCsareBankofAmericaCorporation,CitigroupInc.,TheGoldmanSachsGroup,Inc.,JPMorganChase&
Co.,MorganStanley,andWellsFargo&Company.
3
TheratiosassumeplannedcapitalactionsthroughQ12012,butnomaterialcapitalissuancesfromMarch16
throughMarch31,2012.
thehighprojectedlossesandlowprojectedPPNRresultinprojectednetincomebeforetaxesof$222
billionforthe19BHCs.Thisisanextremelylowlevelofnetincomerelativetohistoricalexperiencein
theU.S.bankingindustry,eveninperiodsofconsiderableeconomicandfinancialmarketstress.
Thesenetincomeprojectionsresultinsubstantialprojecteddeclinesinregulatorycapitalratios
fornearlyalltheBHCsundertheassumptionsoftheSupervisoryStressScenarioandtheFederal
Reservesconservativepolicyassumptions.AsillustratedinFigure1,theaggregatepoststresstier1
commonratioincludingplannedcapitalactionsforthe19BHCsfallsfrom10.1percentinQ32011to6.3
percentinQ42013.Thispoststresslevelexceedstheaggregatetier1commonratiofortheseBHCsat
thestartofthe2009SupervisoryCapitalAssessmentProgram(SCAP),reflectingthemorethan$300
billionincreaseintier1commonequityattheseBHCssincethattime.
Despitethesometimessignificantprojecteddecreasesformanyofthefirms,mostoftheBHCs
maintainstressedregulatorycapitalratiosincludingallplannedcapitalactionsaboveregulatory
minimumlevelsoverthecourseofthestressscenariohorizon.Overall,4ofthe19BHCshaveoneor
moreprojectedregulatorycapitalratiosthatfallbelowregulatoryminimumlevelsatsomepointover
thestressscenariohorizon,including3BHCswithastressedratiooftier1commonequitytorisk
weightedassets(thetier1commonratio)thatfallsbelowthe5percentbenchmark.Ininterpreting
theseresults,itisimportanttorecallthattheFederalReservesstressscenarioprojectionsare
deliberatelystringentandconservativeunderhypothetical,adverseeconomicconditionsandtheresults
arenotforecastsorthemostlikelyoutcomesfortheseBHCs.
II. ComprehensiveCapitalAnalysisandReview
TheCCARisthecentralelementoftheFederalReservesapproachtoensuringthatlargeBHCs
havethoroughandrobustprocessesformanagingtheircapitalresources,supportedbyeffectiverisk
measurementandriskmanagementpractices.InthefirstCCAR,conductedinearly2011,19large,
complexBHCssubmittedcomprehensivecapitalplanstotheFederalReserve,describingtheirstrategies
formanagingtheircapitaloveraninequarterplanninghorizon,andtheFederalReserveevaluated
thesesubmissions.
4
These19BHCsarethesameinstitutionsthatparticipatedinthe2009Supervisory
CapitalAssessmentProgram(SCAP).
5
InNovember2011,theFederalReserveissuedafinalrulerequiringallU.S.domiciled,toptier
BHCswithconsolidatedassetsof$50billionormoretodevelopandsubmitcapitalplanstotheFederal
4
SeeBoardofGovernorsoftheFederalReserveSystem,ComprehensiveCapitalAnalysisandReview:Objectives
andOverview(March18,2011)forafulldescriptionofthe2011CCAR.Thispaperisavailableat
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20110318a1.pdf.
5
Seehttp://www.federalreserve.gov/bankinforeg/scap.htmforadescriptionoftheSupervisoryCapital
AssessmentProgram(SCAP).
0
2
4
6
8
10
12
Actual,4Q08 Stressed,4Q10 Actual,3Q11 Stressed,4Q13
%
Figure1:InitialandStressedTier1CommonCapitalRatios
TargetRatios
SCAP
CCAR2012
Note:Aggregateratios for19participatingbank holdingcompanies.Poststressestimatesaresupervisory estimates.
Source:FederalReserve."TheSupervisory CapitalAssessmentProgram:OverviewofResults,"May7,2009.
4%
Target
5%
Target
Reserveonanannualbasis(thecapitalplansrule).
6
Thisruleappliescurrentlyto30BHCs.CCAR2012
focusedonevaluationandassessmentofthecapitalplanssubmittedbythe19BHCsthatparticipatedin
the2011CCAR,whilethecapitalplansoftheadditional11BHCssubjecttothecapitalplansrulewere
evaluatedinaseparateprocess(seetheboxonpage7).
Consistentwiththecapitalplansrule,theFederalReservesanalysisoftheseplansfocusedon
fourkeyareas:
thecomprehensivenessofthecapitalplan,includingtheextenttowhichtheanalysisunderlying
theplancapturedandappropriatelyaddressedpotentialrisksstemmingfromallactivities
acrosstheBHCunderbaselineandstressedeconomicconditions;
thereasonablenessoftheBHCsassumptionsandanalysisunderlyingthecapitalplanandthe
robustnessofitscapitalplanningprocess;
theBHCscapitalpolicygoverningdistributionsandothercapitalactions;and
theBHCsabilitytomaintaincapitalabovespecifiedminimumregulatorycapitalratiosand
abovearatiooftier1commoncapitaltoriskweightedassetsof5percent
7
underboth
expectedconditionsandstressfulconditionsthroughouttheplanninghorizon.
ThislastassessmentwasbasedonprojectionsofeachBHCslosses,revenue,expenses,and
capitalratiosmadebytheBHCsand,separately,bytheFederalReserve.EachBHCmadefoursetsof
projectionsunderonebaselineandonestressscenariodevelopedbyeachfirm(BHCscenarios)and
onebaselineandonestressscenariodevelopedbytheFederalReserve(supervisoryscenarios).
8
Aspartofitsreviewofthecapitalplans,theFederalReservegenerateditsownprojectionsof
theBHCslosses,revenues,expenses,andcapitalratiosunderseverelyadverseeconomicandfinancial
marketconditions.ThesestressscenarioprojectionsarebasedondataprovidedbytheBHCsin
regulatoryreportsandmodelsdevelopedorselectedbyFederalReservestaff,appliedinaconsistent
manneracrossallBHCs.Byexaminingall19BHCssimultaneously,theFederalReservewasableto
enhanceitsinstitutionspecificanalysiswithinformationaboutpeers,applyingconsistentassumptions
6
76Fed.Reg.74631(Dec.1,2011),tobecodifiedat12CFR225.8;see
http://www.federalreserve.gov/newsevents/press/bcreg/20111122a.htmforadescriptionofthecapitalplans
rule.UntilJuly21,2015,thecapitalplansrulewillnotapplytoanyBHCsubsidiaryofaforeignbanking
organizationthatiscurrentlyrelyingonSupervisionandRegulationLetterSR0101issuedbytheBoard(asin
effectonMay19,2010).
7
The5percentminimumforthetier1commonratioisasupervisoryassessment(derivedfromananalysisof
historicaldataforlargeU.S.BHCs)ofhowmuchcommonequitytheseBHCsneedtoprovideahighdegreeof
confidencethattheycouldwithstandunexpectedfuturelosses.
8
SomeBHCsoptedtousetheSupervisoryBaselineScenarioastheirownbaselinescenario,andthusmadeonly
threesetsofprojections.
andbringingacrossfirmperspective.Forthesereasons,theFederalReservesprojectionswouldbe
expectedtodifferfromtheBHCsprojectionsoftheirownperformanceunderthesamesetof
hypotheticaladverseconditionsandwithprojectionsmadebyoutsideanalysts.
TheFederalReservewillnotifyeachBHCofwhetherornottheFederalReservehasany
objectiontoitscapitalplanortotheplannedcapitaldistributionsintheplan.
9
BHCsarerequiredto
updateandresubmittheircapitalplanswithin30daysiftheFederalReserveobjectstotheplanorat
anytimebeforethenextCCARexerciseiftheBHCortheFederalReservedeterminesthattherehas
beenamaterialchangeinthefirmsriskprofile,financialcondition,orcorporatestructure.Ifthe
FederalReserveobjectstoacapitalplan,aBHCmaynotmakeanycapitaldistributionsunlessthe
FederalReservespecificallyindicatesitdoesnotobjecttothedistribution.
10
TheFederalReservemay
objecttoalldistributionsdescribedintheplan,orjusttosome.
ThedecisiontoobjectornotobjecttoaBHCscapitalplanrestsonthefullrangeofcapitalplan
elementsevaluatedbytheFederalReserve.OneormoreofaBHCscapitalplanelementscouldbe
strong,buttheFederalReservemightstillobjecttothefirmsplanbasedonunacceptableperformance
ononeormoreoftheotherelements.TheFederalReserveassessedeachBHCscapitalplanning
processes,thegovernancestructureguidingthoseprocesses,theriskmeasurementandmanagement
systemssupportingtheseprocesses,aswellasassessmentsofwhethereachBHCismakingsteady
progresstomeetregulatorycapitalstandardsagreedtobytheBaselCommitteeonBankingSupervision
(BaselIII)astheywouldcomeintoeffectintheUnitedStatesovertime.TheBHCsandFederal
Reservesprojectionsoflosses,revenue,expenses,andcapitalunderstressedeconomicconditions
thestressscenarioprojectionsareacriticalpartofthisdecision,butnottheonlyconsiderationand
notinallcasesthemostimportantconsideration.ABHCcouldhavestressedcapitalratiosthatremain
aboveregulatoryminimumlevelsandtheFederalReservecouldstillobjectonothergroundstoits
capitalplanandtheplanneddistributionsintheplan.
AsintheSCAP,theFederalReserveisdisclosingtheresultsofitsstressscenarioprojections,
includingfirmspecificresultsbasedontheprojectionsmadebytheFederalReserveofeachBHCs
losses,revenues,expenses,andcapitalratiosovertheplanninghorizon.Thestressscenarioresults
provideadistinctperspectiveonthecapitalstrengthofthesefirmsunderahypotheticalstressed
environmentbecausetheyincorporatedetailedinformationabouttheriskcharacteristics,business
activities,andcurrentandhistoricalperformanceoftheBHCs.Together,theaggregateandBHCspecific
9
InCCAR2012,BHCsreceivedthisnotificationbyMarch15,
2012.
10
12CFR225.8(d)(4).
resultsillustratethescaleoftheoverallprojectedoutcomesunderthestressscenarioaswellasthe
degreeofdifferentiationofoutcomesacrossBHCs.Thedisclosuresarealsointendedtoprovide
sufficientinformationtogeneratefeedbackanddiscussionabouttheapproachesusedtogeneratethe
results,withthegoalofimprovingandrefiningtheapproachesovertime.

CapitalPlanReview(CapPR)
The2012CapitalPlanReview(CapPR)isanassessmentofthecapitalplansandproposedcapital
actionsof11bankholdingcompanies(BHCs)withtotalassetsofgreaterthan$50billionthatwerenot
includedintheCCAR.
1
Inordertoprovideaconsistentsupervisoryapproach,CapPRattemptedtoleverage
theCCARprocesswhereverpossible.TheFederalReserveaskedeachBHCtosubmitacomprehensivecapital
plan,withinternalstresstestsandforwardlookingcapitalprojectionsunderfourscenarios:BHCbaseline,
BHCstress,supervisorybaseline,andsupervisorystress.
2
DatasubmissionsrequestedfromtheCapPRBHCswerenotasextensivecomparedwiththeCCAR
submissions.Thisreflectedarecognitionthatthefirmshadnotbeenthroughsuchacoordinatedexercise
beforeandthattimemightbeneededtobuildandimplementtheinternalsystemsnecessarytosatisfythe
rigorousdatacollectionrequirementsneededforaseparatesupervisorystresstest.TheFederalReserve
evaluatedeachCapPRBHCscapitalplansubmission,focusingonthecomprehensivenessoftheplanandthe
strengthoftheBHCscapitalplanningprocesses.Supervisorsconductedquantitativeassessmentstoevaluate
theframework,approachandconsistencyofeachBHCsstresstestresults,comparingresultstohistorical
performanceandpeerinstitutions.
TheFederalReservedeliveredasupervisoryresponsetoeachCapPRBHCbasedonanassessmentof
thecomprehensivenessandqualityoftheBHCscapitalplanandtheproforma,poststresscapitalratiosfrom
theBHCsinternalstresstests.TheresultsoftheCapPRprocesswillnotbepubliclydisclosedlargelybecause
theFederalReservedidnotconductanindependentsupervisorystresstestfortheCapPRBHCs.
________________________________________________________________________________
1
TheBHCsparticipatinginthe2012CapPRare:BBVAUSABancsharesInc.,BMOFinancialCorp.,CitizensFinancialGroup
Inc.,ComericaInc.,DiscoverFinancialServices,HSBCNorthAmericaHoldingsInc.,HuntingtonBancsharesInc.,M&TBank
Corporation,NorthernTrustCorporation,UnionBanCalCorporation,andZionsBancorporation.RBCUSAHoldcoCorp.
wasacquiredbyanotherinstitutionduringtheCapPRprocess.
2
ThesupervisoryscenariosarethesameasthoseusedintheCCARexercise.
III. SupervisoryStressScenario
TheSupervisoryStressScenariowasdevelopedbytheFederalReserveandprovidedtothe19
BHCstouseintheprojectionsincludedintheirCCAR2012capitalplans.
11
Thescenariowasalso
releasedpublicly.Givencontinuedgeneraleconomicuncertaintyatthetimethatthescenariowas
designedinNovember2011,includingtheongoingsituationinEuropeandcontinuedstressin
mortgagemarkets,theFederalReservebelieveditwasprudenttoprovideanadversescenariothatwas
sufficientlyseveretoensurearigorousassessmentoftheBHCs'abilitytowithstandunexpectedlosses.
TheSupervisoryStressScenariofeaturesadeeprecessionintheUnitedStatesthatbeginsinthefourth
quarterof2011inwhichtheunemploymentrateincreasesbyanamountsimilartothatexperienced,on
average,insevererecessionssuchasthosein19731975,19811982,and20072009,accompaniedbya
notabledeclineinglobaleconomicactivity.Thescenarioalsoassumessevereassetpricedeclineson
domesticandglobalfinancialassets.
Figures2to6illustratethehypotheticaltrajectoriesforsomeofthekeyvariablesdescribing
U.S.economicactivityandassetpricesandglobaleconomicgrowthundertheSupervisoryStress
Scenario.Asthefiguresshow,realGDPisassumedtocontractsharplythroughlate2012,withthe
unemploymentratereachingapeakofjustover13percentinmid2013.Thescenarioassumesthat
U.S.equitypricesfallby50percentfromtheirQ32011valuesthroughlate2012andthatU.S.house
pricesfallbymorethan20percentthroughtheendof2013.ForeignrealGDPgrowthisalsoassumed
tocontract,withgrowthslowdownsinEuropeandAsiain2012.
ItisimportanttonotethattheSupervisoryStressScenarioisnotaforecast,butrathera
hypotheticalscenariotobeusedtoassessthestrengthandresilienceofBHCcapitalinaseverely
adverseeconomicenvironment.TheSupervisoryStressScenario,whileunlikely,representsan
outcomeinwhichtheU.S.economyexperiencesasignificantrecessionandeconomicactivityinother
majoreconomiesalsocontractssignificantly.
Overall,theSupervisoryStressScenarioincludestrajectoriesfor25variables,including13
variablescapturingeconomicactivity,assetprices,andinterestratesintheU.S.economyandfinancial
11
InadditiontotheSupervisoryStressScenario,theFederalReservealsodevelopedaSupervisoryBaseline
ScenariothatbroadlyfollowstheconsensusoutlookfromtheBlueChipEconomicIndicatorsandothersourcesas
ofmidNovember2011.TheBHCsparticipatingintheCCAR2012wereinstructedtomakeprojectionsbasedon
boththeSupervisoryStressandSupervisoryBaselinesscenarios,aswellasonstressandbaselinescenariosthat
eachfirmdevelopedindependently(theBHCStressandBHCBaselinescenarios,respectively).SeeFederal
ReserveSystem,ComprehensiveCapitalAnalysisandReview:SummaryInstructionsandGuidance(November
26,2011)availableathttp://www.federalreserve.gov/newsevents/press/bcreg/bcreg20111122d1.pdffor
additionalinformationandforthedetailsoftheSupervisoryBaselineScenario.
markets,andthreevariables(realGDPgrowth,inflation,andtheU.S./foreigncurrencyexchangerate)in
eachoffourcounties/countryblocks(theeuroarea,theUnitedKingdom,developingAsia,andJapan).
ThescenariostartsintheQ42011andextendsthroughtheQ42014,whichpermitscalculationofthe
ALLLattheendof2013.AppendixAcontainsadescriptionofthevariablesincludedintheSupervisory
StressScenario,aswellasthetrajectoriesforthosevariablesbetweenQ42011andQ42014.
10.0
8.0
6.0
4.0
2.0
0.0
2.0
4.0
6.0
8.0
10.0
8.0
6.0
4.0
2.0
0.0
2.0
4.0
6.0
8.0
Q
1
2
0
0
9
Q
3
2
0
0
9
Q
1
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0
1
3
Q
3
2
0
1
3
Q
1
2
0
1
4
Q
3
2
0
1
4
Figure2:RealGDPGrowthRateintheSupervisoryStressScenario
(Q/Qseasonallyadjustedgrowthratesannualized,Percent)
Q12009 Q42014
% %
Source:BureauofEconomicAnalysisandFederalReserveassumptionsintheSupervisoryStressScenario
6.0
9.0
12.0
15.0
6.0
9.0
12.0
15.0
Q
1
2
0
0
9
Q
3
2
0
0
9
Q
1
2
0
1
0
Q
3
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1
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1
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3
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1
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2
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3
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1
2
Q
1
2
0
1
3
Q
3
2
0
1
3
Q
1
2
0
1
4
Q
3
2
0
1
4
Figure3:UnemploymentRateintheSupervisoryStressScenario
(Percent)
Q12009 Q42014
%
Source:BureauofLaborStatisticsandFederalReserveassumptionsintheSupervisoryStressScenario
%
10
5,000
7,500
10,000
12,500
15,000
5,000
7,500
10,000
12,500
15,000
Q
1
2
0
0
9
Q
3
2
0
0
9
Q
1
2
0
1
0
Q
3
2
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1
0
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1
2
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1
1
Q
3
2
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1
1
Q
1
2
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1
2
Q
3
2
0
1
2
Q
1
2
0
1
3
Q
3
2
0
1
3
Q
1
2
0
1
4
Q
3
2
0
1
4
Figure4:DowJonesTotalStockMarketIndex,EndofQuarter
Q12009 Q42014
Source:DowJonesandFederalReserveassumptionsintheSupervisoryStressScenario
100
110
120
130
140
150
100
110
120
130
140
150
Q
1
2
0
0
9
Q
3
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9
Q
1
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3
Q
3
2
0
1
3
Q
1
2
0
1
4
Q
3
2
0
1
4
Figure5:NationalHousePriceIndexintheSupervisoryStressScenario
Q12009 Q42014
Source: CoreLogic(seasonallyadjustedbyFederalReserve)andFederalReserveassumptionsintheSupervisoryStressScenario
11
IV. FederalReserveStressScenarioProjections
ThissectiondescribestheapproachusedtogeneratetheFederalReservesstressscenario
projectionsoflosses,revenue,expenses,andcapitalpositionsforthe19BHCsparticipatinginCCAR
2012.TheseprojectionsweremadebyFederalReserveanalystsusinginputdataprovidedbythe19
BHCsandmodelsdevelopedorselectedbyFederalReservestaff.Theprojectionsarebasedonthe
SupervisoryStressScenariodevelopedbytheFederalReserve.Thisscenarioisnotaforecast,butrather
ahypotheticalscenariodevelopedtoassessthestrengthandresilienceofBHCcapitalinaparticularly
adverseeconomicandfinancialmarketenvironment.Assuch,theFederalReservesstressscenario
projectionsforthe19BHCsshouldnotbeinterpretedasexpectedorlikelyoutcomesforthesefirms,
butaspossibleresultsunderspecific,hypothetical,severelyadverseconditions.Othertypesofstressful
scenarioswouldbeexpectedtogeneratedifferentsetsofstressresults.Further,becausethe
projectionsarebasedonasetofstandardizedmodelsappliedtoall19BHCs,theywilldifferfrom
projectionsthattheindividualBHCswillmakeoftheirownperformanceunderthesamesetof
hypotheticaladverseconditions.
Theoutputofthestressscenarioprojectionsareestimatesofregulatorycapitalratiosforeach
ofthe19BHCsovertheninequarterforwardlookingstressscenariohorizon.Thecapitalratiosinclude
theratiooftier1capitaltoriskweightedassets(thetier1ratio),theratiooftotalregulatorycapitalto
riskweightedassets(thetotalcapitalratio),theratiooftier1capitaltoaverageassets(thetier1
leverageratio),
12
andtheratioofthecommonequitycomponentoftier1capitaltoriskweightedassets
12
Tier1capital,asdefinedintheBoardsRiskBasedCapitalAdequacyGuidelines,iscomposedofcommonand
20
15
10
5
0
5
10
15
20
20
15
10
5
0
5
10
15
20
Q
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3
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1
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4
Q
3
2
0
1
4
Figure6:RealGDPGrowthinFourCountry/CountryBlockAreas
intheSupervisoryStressScenario
(Q/Qseasonallyadjustedgrowthratesannualized,percent)
Q12009 Q42014
EuroArea
Japan
UnitedKingdom
DevelopingAsia
% %
Source: FederalReservecalculationsbasedon officialsectorsourcesandFederalReserveassumptions intheSupervisoryStress
Scenario.3Q11data basedonFederalReservecalculationsusing available data as ofNovember8,2011
12
(thetier1commonratio).Asnoted,thestressscenarioprojectionsaremadeundertheSupervisory
StressScenario,whichincludesquarterlytrajectoriesforU.S.andinternationalmacroeconomicand
financialmarketvariables.ThelasthistoricalperiodintheanalysisisQ32011andcapitalratiosare
projectedquarterlythroughQ42013.Thatis,thestressscenariohorizonistheninequarterperiod
fromQ42011toQ42013.
TheFederalReservesprojectionsassumetheplannedcapitalactionsincludedineachBHCs
capitalplanunderitsownbaselinescenario(BHCBaselineScenario).
13
Asaresult,theFederal
Reservesprojectionsdonotincorporateanychangesindividends,sharerepurchases,orissuancesthat
BHCsmightundertakeinreactiontostressedfinancialconditions.Thisconservativeassumptionispart
ofthissupervisoryexerciseandinpracticetheFederalReserveexpectsBHCstofollowthecapital
conservationpoliciesthatarepartoftheircapitalplans.Forexample,thecapitalpoliciesofsomeofthe
BHCscontaintriggersorguidelinesforreducingcapitaldistributionssuchasdividendsandshare
repurchasesinconditionswhereprofitabilityisreducedand/orcapitalratiosfallbelowcertaininternal
targetlevels.
14
TheprojectedstressedcapitalratiosevaluatedinCCAR2012reflectthecombinedimpactofthe
stressscenarioandeachBHCsplannedcapitaldistributions.Toillustratetheimpactofthestress
scenarioalone,theFederalReservealsocalculatedstressedcapitalratiosexcludingcapitalactions
plannedforafterQ12012.
15
Theresultingstressedcapitalratioscouldbehigherorlowerthanthose
includingalltheplannedcapitalactions,dependingonwhenthetwominimumvaluesoccur(theycould
comeindifferentpointsofthestressscenariohorizon),potentialdifferencesinriskweightedassetsat
thosepoints,andwhetherthoseplannedactionsrepresentnetadditionsorreductionsinregulatory
capital.
Asapolicymatter,theFederalReservesstressscenarioprojectionsembedanumberof
conservativeassumptionsthat,onnet,arelikelytofurtherreducetheprojectedlevelsofregulatory
noncommonequityelements,someofwhicharesubjecttolimitsontheirinclusionintier1capital.See12CFR
part225,AppendixA,II.A.1.Theseelementsincludecommonstockholdersequity,qualifyingperpetual
preferredstock,certainminorityinterests,andtrustpreferredsecurities.Certainintangibleassets,including
goodwillanddeferredtaxassets,aredeductedfromtier1capitalorareincludedsubjecttolimits.See12CFRpart
225,AppendixA,II.B.Totalcapitalconsistsoftier1capitalpluscertainsubordinateddebtinstrumentsandthe
allowanceforloanandleaselosses,subjecttocertainlimits.
13
Thesecapitalactionsincludebothactionsthataffectcommonequityandactionsthataffectnoncommonequity
capitalelements,suchascertainformsofpreferredstock.
14
Seehttp://www.federalreserve.gov/newsevents/press/bcreg/bcreg20111122d1.pdfforamoredetailed
descriptionoftheFederalReservesassessmentofplannedcapitalactionsinCCAR2012.
15
13
capitalundertheSupervisoryStressScenario.Theseassumptionsofteninvolvesituationsinwhichthere
isconsiderableuncertaintyabouttheimpactofthehypotheticaladverseeconomicandfinancialmarket
conditionsintheSupervisoryStressScenarioonparticularaspectsoftheBHCsperformance.Insome
cases,thisuncertaintyarisesbecausehistoricaldataprovidelimitedguidanceaboutthelossesor
revenuebeingprojected,whileinothercases,thecurrentstateofmodelingtechniqueandpractice
resultsinlimitationsontheprecisionofindependentsupervisorymodels.Inthesecases,asapolicy
matter,theFederalReserveoptedtoincorporatesimplifying,conservativemodelingassumptionsthat
tendtogeneratehigherprojectionsoflossandlowerprojectionsofrevenue.
TheFederalReservesstressscenarioprojectionsaddresstheongoingsituationinEurope
throughseveralchannels.TheSupervisoryStressScenarioincorporatesahypotheticalsharpdownturn
ineconomicactivityintheEuroarea,andtheglobalfinancialmarketshockappliedtotrading,private
equity,andderivativespositionsofthelargestBHCsincludesverysignificantwideningofcreditdefault
swapspreadsforbothEuropeansovereignsandfinancialinstitutionsandsharpincreasesinspreads
acrosstheyieldcurveforEuropeansovereignbonds.Thesestressesaffectmanyaspectsofthestress
scenarioprojections,includingprojectedlossesoninternationallendingportfolios,onsovereignand
financialinstitutionbondsheldintheBHCsinvestmentportfolios,andontrading,privateequity,and
derivativespositions.
IV.AAnalyticalFramework
ThissectiondescribestheanalyticalframeworkunderlyingtheFederalReservesstressscenario
projections.Thebasicapproachistoprojecttheimpactoftheadverseeconomicenvironmentinthe
SupervisoryStressScenarioonthequarterlynetincomeofeachBHC,andthentocarryforwardthe
impactofnetincomeandeachBHCsplannedcapitalactionsonregulatorycapitalmeasuresinevery
quarterofthestressscenariohorizon.ThisapproachprovidesaperspectiveonthecapitaloftheBHCs
thatisconsistentwithU.S.accounting(GAAP)andregulatorycapitalrulesandontheprimarydriversof
theprojectedchangesincapitalthroughearningsandcapitalactions.
Togenerateprojectionsofnetincomeforthe19BHCs,projectionsaremadeforrevenue,
expenses,andvarioustypesoflossesandprovisionsthatflowintopretaxnetincome,includinglosses
onloansandinvestmentsecurities,lossesgeneratedbyoperationalriskevents,expensesrelatedto
demandsbymortgageinvestorstorepurchaseloansdeemedtohavebreachedrepresentationsand
14
warrantiesorrelatedtolitigation(mortgagerepurchase/putbacklosses)
16
,changesintheincome
frommortgageservicingrights(MSRs),and,forBHCswithlargetradingoperations,lossesontrading
andcounterpartypositionsunderasevereshocktoglobalfinancialmarketratesandprices.Projected
netincomeinturnflowsintoacalculationofregulatorycapitalmeasures,takingaccountoftaxesand
deductionsthatlimittherecognitionofcertainintangibleassetsandimposeotherrestrictions,as
specifiedincurrentU.S.regulatorycapitalguidelines.
17
Asnotedabove,theprojectedcapitalmeasures
alsoincorporateeachBHCsplannedcapitalactionsunderitsownbaselinescenario.TheBoxonpage
15illustrateshowthevariouselementsofthesecalculationsleadtoprojectednetincomeandthento
projectedchangesinregulatorycapital.
Sincethestressscenarioprojectionsareintendedtoproduceestimatesofregulatorycapital
ratios,thelossandrevenueprojectionsfollowU.S.GAAPandregulatoryguidelines.Thisapproach
capturesdifferencesinthewaythatincomeandlossesarerecognizedbasedonwhereassetsareheld
ontheBHCsbalancesheets,generatingsometimesgreatlydifferentlossprojectionsforsimilaror
identicalassetsheldindifferentportfolios.Specifically,lossesonloansheldinaccrualportfoliosare
calculatedascreditlossesduetofailuretopayobligations(cashflowlossesresultinginnetchargeoffs),
ratherthandiscountsrelatedtomarktomarketvalues.Insomecases,BHCsmayhaveloansthatare
beingheldforsaleorthataresubjecttopurchaseaccountingadjustments.Inthesecases,loss
projectionsanticipatethechangeinvalueoftheunderlyingasset,applytheappropriateaccounting
treatment,anddeterminetheincrementalloss.Separatelossprojectionsaremadefordifferent
categoriesofloansbasedonthetypeofobligor(e.g.,consumerorcommercialandindustrial),collateral
(e.g.,residentialrealestate,commercialrealestate),orloanstructure(e.g.,revolvingcreditlines).
Thesecategoriesgenerallyfollowthemajorregulatoryreportclassifications,thoughsomeloss
projectionsaremadeformoregranularloancategoriesthanthoseincludedonBHCregulatoryreports.
18
Lossesonsecuritiesheldintheavailableforsale(AFS)orheldtomaturity(HTM)accounts
includeotherthantemporaryimpairments(OTTI)forthesepositionsplusestimatesofrealizedgainsor
lossesoncertainsecuritiessales.FollowingU.S.GAAP,OTTIprojectionsincorporateotherthan
temporarydifferencesbetweenbookvalueandfairvalueduetocreditimpairment,butnotdifferences
reflectingchangesinliquidityormarketconditions.Aswiththeaccrualloanportfolio,lossprojections
aremadefordifferentcategoriesofsecuritiesbasedonobligor,collateralorunderlyingcashflow,and
16
Theseestimatesareconditionalonthehypotheticaladversemacroeconomicscenarioandonconservative
assumptions.TheyarenotasupervisoryestimateofthecurrentlegalliabilitythatBHCsmightactuallyface.
17
Seegenerally,12CFRpart225,AppendixA.
18
SeeConsolidatedFinancialStatementsforBankHoldingCompanies(FRY9C).
15
securitystructure.Thesecategoriesincludevarioustypesofsecuritizedobligations(e.g.,commercial
andresidentialmortgagebackedsecurities),corporatebonds,municipalbonds,andsovereignbonds.
Estimatesofrealizedgainsorlossesonsecuritiessalesarederivedfrominformationprovidedbythe
BHCsonthesaleofsecuritiesundercontractsinplacepriortoSeptember30,2011.
ProjectingNetIncomeandRegulatoryCapital
ChangeinEquityCapitalDeductionsfromRegulatoryCapital+Other
AdditionstoRegulatoryCapital
=ChangeinRegulatoryCapital
PPNR+OtherRevenueProvisionsAFS/HTMSecuritiesLosses
TradingandCounterpartyLossesOtherLosses(Gains)
=PretaxNetIncome
Note:ChangeintheAllowanceforLoanandLeaseLosses+NetChargeoffs
=Provisions
NetInterestIncome+NoninterestIncomeNoninterestExpense
=PreprovisionNetRevenue(PPNR)
Note:PPNRincludesLossesfromOperationalRiskEvents,MortgagePutbackLosses,and
OREOCosts
PretaxNetIncomeTaxes+ExtraordinaryItemsNetofTaxes
= AftertaxNetIncome
AftertaxNetIncomeNetDistributionstoCommonandPreferred
ShareholdersandOtherNetReductionstoShareholdersEquity
=ChangeinEquityCapital
16
ForthesixBHCswithlargetradingoperations,lossesontrading,derivatives,andprivateequity
positionsareprojectedassuminganinstantaneousrepricingunderaglobalfinancialmarketshock.
TheglobalfinancialmarketshockwasdevelopedbytheFederalReserveandreflectsaperiodof
significantstressacrossaverybroadrangeofmarketsandassetclassessimilartothatwhichoccurred
duringthesecondhalfof2008,aswellasadditionalstressesrelatedtotheongoingsituationinEurope.
TheglobalfinancialmarketshockisdistinctandseparatefromtheSupervisoryStressScenariointhatit
presumesasetofsevere,instantaneouschangesinmarketrates,prices,andvolatilitiesthatarein
effectlayeredoverthefinancialmarketvariablescontainedintheSupervisoryStressScenario.Losses
relatedtotheglobalfinancialmarketshockareassumedtooccurinthefirstquarterofthestress
scenarioprojections(Q42011).Theselossesincludemarktomarketandincrementaldefaultrelated
lossesoneachofthesixBHCstradingandprivateequitypositions,aswellaschangesincreditvaluation
adjustments(CVA)forcounterpartyexposures.Itisimportanttocapturetheimpactofcounterparty
creditriskbecauseprojectedmarktomarketlossesonthetradingaccountcanbereducediftrading
positionsarehedged,buttheeffectivenessofthesehedgesdependsoncounterpartyperformanceon
theobligations.Thisimpactiscapturedthroughthestressappliedtocounterpartycreditexposures.
Preprovisionnetrevenue(PPNR)iscalculatedasprojectednetinterestincomeplusnon
interestincomeminusnoninterestexpense.ConsistentwithU.S.GAAP,PPNRprojectionsofnon
interestexpenseincorporateprojectedlossesrelatedtooperationalriskeventssuchasfraud,computer
systemorotheroperatingdisruptions,oremployeelawsuits;repurchaseandlitigationexpensesrelated
toresidentialmortgages;projectedchangesinincomefrommortgageservicingrights;andexpenses
relatedtothedispositionofforeclosedproperties(otherrealestateowned(OREO)expenses).
Projectednetincomeincorporatesprovisionsintotheallowanceforloanandleaselosses
(ALLL).ProvisionsaredeterminedsothattheALLLisatanappropriatelevelattheendofeachquarter
givenprojectedloanlossesinthatquarter,wheretheappropriateleveloftheALLLisafunctionof
projectedfutureloanlosses.ThiscalculationcouldleadeithertoadrawdownoftheALLL(anALLL
release,increasingnetincome)ortheneedtobuildtheALLL(anadditionalprovision,decreasingnet
income)duringthequarter.TotalprovisionsintotheALLLarecalculatedasprojectedloanlossesforthe
quarterplusorminustheamountneededfortheALLLtobeatanappropriatelevelattheendofthe
quarter.
TheFederalReservesforwardlookingprojectionsofincomeandlossesmayincludetheeffects
ofplannedmergersoracquisitionsortheinitiationofnewbusinesslinesoractivitiesthatwereincluded
intheBHCscapitalplansandaresubjecttopriorapprovalornoticebytheFederalReserveorother
17
supervisors.Theinclusionoftheeffectsofsuchplannedactionsdoesnot,andisnotintendedto,
expressaviewonthemeritsofsuchproposalsandisnotanapprovalornonobjectiontothem.
ThefinalprojectionofpretaxnetincomeequalstheprojectionofPPNRminusprovisionsminus
projectedlossesonsecuritiesandlossesfromtheglobalfinancialmarketshock(forthesixBHCswith
largetradingoperations)minuslossesonloansheldforsaleandmeasuredunderthefairvalueoption.
Pretaxnetincomeprojectionsalsoincorporateonetimerevenuesandexpensesandgoodwill
impairmentcharges,asprojectedbytheBHCsintheircapitalplans.Aftertaxnetincomeiscalculated
byapplyingaconsistenttaxratetopretaxnetincomeforallBHCs.AlongwitheachBHCsplanned
capitalactions(dividendpayments,repurchasesorredemptions,andissuanceofcommonequityor
othercapitalinstruments),aftertaxnetincomeistheprimarydriverofprojectedchangesinequity
capital,whichinturndrivesprojectedchangesintheregulatorycapitalmeasuresthatarethefinal
outputoftheFederalReservesstressscenarioprojections.Capitalratiosarecalculatedusingaverage
totalassetsandriskweightedassetsthatarebasedonprojectionsmadebytheBHCsaspartoftheir
CCAR2012capitalplansubmissionsundertheSupervisoryStressScenario.

IV.BModelingDesignandImplementation
TheFederalReservesstressscenarioprojectionsarebasedoninputdataprovidedbythe19
BHCsparticipatinginCCAR2012andonmodelsdevelopedorselectedbyFederalReservestaffand
reviewedbyanindependentgroupofFederalReserveeconomistsandanalysts.Themodelsare
intendedtocapturetheimpactofthemacroeconomicandfinancialmarketfactorsincludedinthe
SupervisoryStressScenarioandcharacteristicsoftheBHCsloansandsecuritiesportfolios;trading,
privateequity,andderivativespositions;businessactivities;andotherfactorsaffectinglosses,revenue,
andexpenses.ThissectiondescribestheinputdataprovidedbytheBHCsandtheapproachtheFederal
Reservetookindesigningandimplementingthesemodels.
BHCInputData
The19BHCsparticipatinginCCAR2012wererequiredtosubmitextensivedatatotheFederal
Reserveonaseriesofregulatoryreports.
19
ThereportscaptureinformationontheBHCsloanand
securitiesportfoliosasofSeptember30,2011,includingborrowercharacteristics,collateral
19
ThesereportformsaretheFRY14QandFRY14Areports,whichcanbefoundat
http://www.federalreserve.gov/reportforms/formsreview/FRY14Q_20111216_f.pdfand
http://www.federalreserve.gov/reportforms/formsreview/FRY14A_20120118_f.pdf.
18
characteristics,characteristicsoftheloansorcreditfacilities,amountsoutstandingandyettobedrawn
down(forcreditlines),andpaymenthistoryandcurrentstatus.Insomecases(primarilyretailcredit
portfolios),aggregatedinformationisreportedbasedonsegmentsoftheloanportfolios(e.g.,segments
definedbyloantovalue(LTV)ratio,geographiclocation,andborrowercreditscore),whileinother
cases,informationiscollectedonindividualloansorcreditfacilities.ForsecuritiesheldintheAFSand
HTMportfolios,informationiscollectedattheindividualsecurity(CUSIP)level,includingtheamortized
cost,marketvalue,andanyOTTItakenonthesecuritytodate.
Additionalreportscollectinformationontradingandderivativespositions,privateequity
holdings,andcertainotherassetssubjecttofairvalueaccountingheldbyBHCswithlargetrading
operations.ThesereportscollectBHCestimatedsensitivitiesofthesepositionstothesetofriskfactors
specifiedbytheFederalReserve,includingchangesinawiderangeofU.S.andglobalfinancialmarket
ratesandassetprices,andvolatilitiesandcorrelationsofthoseratesandprices.Thespecificriskfactors
arethosejudgedtobemostrelevanttothepositionsheldbytheBHCs.Thereportsalsocollect
informationontheestimatedsensitivityoftheBHCscounterpartyrelatedprofitorlosstotheserisk
factors,bothforsegmentsoftheportfolioandforindividuallargecounterparties.Thesedataareused
inprojectinglossesrelatedtotheglobalfinancialmarketshock,includinglossesrelatedtoderivatives
andothercounterpartyexposures.Thesedatawerecollectedforpositionsinthetradingandprivate
equityportfoliosheldbytheBHCsasofmarketcloseonNovember17,2011.
20
Afinalsetofreportscollectsinformationonhistoricalandprojectedrevenuesandoperating
andothernoncreditrelatedexpensesforeachBHC.Thisinformationincludesdataonnetinterest
income,noninterestincome,andexpensesbybusinessline,aswellasaseriesofmetrics(balances,
volumesoftradesandtransactions,assetsundermanagement,feeschedules,compensationexpenses)
relatedtoarangeofbusinessactivitiesconductedbytheBHCs.DataarealsocollectedontheBHCs
historicallossesrelatedtooperationalriskevents.Thesedata,bothhistoricalandtheBHCsprojections
oftheseamountsoverthestressscenariohorizon,wereusedindevelopingtheFederalReserves
projectionsofPPNRforthe19BHCs.Finally,thereportscollectinformationontheBHCsprojectionsof
riskweightedassets,balancesheetcomposition,andcapitaloverthestressscenariohorizon.
All19BHCsparticipatinginCCAR2012wererequiredtosubmittheseregulatoryreportstothe
FederalReservebyeitherlateDecember(forformscontainingdetailedloanandsecuritiesportfolio
20
TheBHCswereinformedoftheportfoliodatefortheglobalmarketriskanalysiswhentheCCAR2012
instructionswerereleasedonNovember22,2011.
19
information)orearlyJanuary(forformscontainingBHCderivedestimates).
21
BHCswererequiredto
submitdetailedloanandsecuritiesportfolioinformationforallmaterialportfolios,wherematerial
wasdefinedasthoseportfoliosexceedingeither5percentoftier1capitalor$5billionandtheportfolio
categoriesweredefinedontheregulatoryreports.Forportfoliosfallingbelowthesethresholds,the
BHCshadtheoptiontosubmitornotsubmitthedetaileddata.PortfoliosforwhichtheFederalReserve
didnotreceivedetaileddatawereassignedalossrateequaltoahighpercentileofthelossrates
projectedforBHCsthatdidsubmitdataforthatcategoryofloanorsecurity.Forinstanceswhere
certaindataelementswerereportedasmissingvalues,thesemissingdatawerefilledinwith
conservativevalues(e.g.,highLTVvaluesorlowcreditscores)basedontheremainderoftheportfolio.
Thestressscenarioprojectionsmayincludetheeffectsofplannedmergersoracquisitionsorthe
initiationofnewbusinesslines,asreportedbyBHCsintheirCCAR2012capitalplans.BHCswith
significantplannedmergersoracquisitionsprovidedavailableinformationonthecharacteristicsofthe
institutionsorportfoliostobeacquired.Asnotedabove,theinclusionoftheeffectsofsuchplanned
actionsdoesnotandisnotintendedtoexpressaviewonthemeritsofsuchproposalsandisnotan
approvalornonobjectiontothem.
Loss,Revenue,andExpenseModels
ThedatacollectedfromtheBHCs,alongwiththevariablesdefiningtheSupervisoryStress
Scenario,areinputsintoaseriesofmodelsusedtoprojectlosses,revenues,andexpensesforeachBHC
overthestressscenariohorizon.Inmostcases,thesemodelswereeitherdevelopedbyFederalReserve
analystsandeconomistsorarevendordevelopedmodelsusedbyFederalReservestaff.Insomecases,
however,thestressscenarioprojectionsofcertaintypesoflossesorrevenuemadebytheFederal
ReserverelyonsensitivitiesgeneratedbytheBHCsusingtheirinternalriskmeasurementmodelsoron
modeledestimatesprovidedbytheBHCs,alongwithsupportingdocumentation,andassessedand
adjustedbyFederalReserveanalysts.Thesearecasesinwhichindependentsupervisorymodelsare
eithernotyetsufficientlyrobusttogeneratereliableestimatesoraretechnicallyandlogistically
extremelydifficulttoimplement.
22
21
Specifically,theBHCswererequiredtosubmittheFRY14Qreports(containing,amongotheritems,detailed
loanandsecuritiesportfolioinformation)byDecember15,2011.TheBHCswererequiredtosubmittheFRY14A
reports(containing,amongotheritems,theBHCderivedestimates)byJanuary9,2012.
22
Theprimaryexamplesaremodelsdesignedtocapturetheimpactofchangestoglobalfinancialmarketratesand
pricesontrading,privateequity,andderivativespositions,wheredevelopingfullyindependentrevaluationmodels
thatcancapturetherangeofcomplexinstrumentsandpositionsheldbytheBHCsisanextremelydifficult
undertaking,andmodelsthatcancapturetheBHCspecificfactorsdeterminingthevariouselementsofPPNR.
20
Ingeneral,themodelsweredevelopedusingpooledhistoricaldatafrommanyfinancial
institutions,eithersupervisorydatacollectedbytheFederalReserveordatapurchasedfromindustry
dataaggregators.Themodelsarethusindustrymodelsinthesensethattheestimatedparameters
reflectthetypicalorindustryaverageresponsetovariationinthemacroeconomicandfinancialmarket
variablesandportfoliospecificandinstrumentspecificcharacteristics,ratherthanbeingtailoredtothe
waythateachindividualBHCslosses,revenues,orexpensesmightrespondtothesefactors.This
approachreflectsnotonlythedifficultyofestimatingseparate,statisticallyrobustmodelsforeachof
the19BHCs,butalsothedesirenottoassumethathistoricalBHCspecificresultswillprevailinthe
futurewhenthoseresultscannotbeexplainedbyconsistentlyobservablevariablesincorporatedintoa
robuststatisticalmodel.Thus,BHCspecificfactorsareincorporatedthroughthedetailedportfolioand
businessactivitydatathatareinputstothemodels,butthereactionfunctionstothesevariablesandto
themacroeconomicandfinancialmarketfactorsdefinedintheSupervisoryStressScenarioarethesame
forallBHCs.ThismeansthatthestressscenarioprojectionsmadebytheFederalReservewillnot
necessarilymatchormirrorsimilarprojectionsmadebyindividualBHCs,whichwillincorporatediverse
approachestocapturingtheimpactofportfoliocharacteristicsandeconomicfactors.
ThemodelsdevelopedinternallybytheFederalReservedrawonacademicliteratureand
industrypracticeinmodelingtheimpactofborrower,instrument,andcollateralcharacteristicsand
macroeconomicfactorsonlosses,revenue,andexpenses.Theapproachesbuildonworkdonebythe
FederalReserveintheSCAPandthe2011CCAR,butinmanycasesrepresentsignificantrefinementand
advancementofthatwork,reflectingadvancesinmodelingtechnique,richerandmoredetaileddata
overwhichtoestimatethemodels,andlongerhistoriesofperformanceinbothadverseandmore
benigneconomicsettings.Themodelswerereviewedbyanindependentmodelreviewteamcomposed
ofeconomistsandanalystsfromacrosstheFederalReserveSystem,withafocusonthedesignand
estimationofthemodels.Inaddition,FederalReserveanalystsdevelopedindustrywidelossandPPNR
projectionscapturingthepotentiallossandrevenuegeneratingratesofthebankingindustryasawhole
inastressedmacroeconomicenvironment,foruseasreferencepointsinassessingmodeloutputs
acrossthe19BHCs.
ThemodelsusedinthestressscenarioprojectionsaredescribedingreaterdetailinAppendixB.
21
V. StressScenarioProjections
ThissectionpresentstheFederalReservesstressscenarioprojections.Asdescribedabove,
theseresultsarebasedonprojectionsoflosses,revenues,expenses,andcapitalmadebyFederal
ReserveanalystsusinginputdatasuppliedbytheBHCsandasetofmodelsdevelopedorselectedbythe
FederalReserve.TheprojectionsofBHCperformancearebasedonanunlikely,hypotheticaladverse
economicscenario(theSupervisoryStressScenario),whichassumesadeeprecessionintheUnited
States,asignificantslowdowninglobaleconomicactivity,andsharpfallsinassetpricesandincreasesin
riskpremia.TheprojectedstressedcapitalratiosevaluatedinCCAR2012embedtheplannedcapital
actionsfromeachBHCsCCAR2012capitalplan.Theseratiosaretheresultsofaconservativepolicy
assessmentoftheBHCsabilitytomaintaintheirplannedbaselinecapitaldistributionsevenifeconomic
conditionsweretodeterioratesignificantly.Toillustratetheimpactofthestressscenarioalone,the
FederalReservealsocalculatedstressedregulatorycapitalratiosexcludingplannedcapitalactionsafter
Q12012.
23
Thesectionbeginsbypresentingthestressedcapitalratiosthetier1common,tier1capital,
totalcapital,andtier1leverageratiosoverthestressscenariohorizon.Thesectionthendescribesthe
projectionsoflossesonloans,securities,andtrading,privateequity,andderivativesexposures,bothin
theaggregateandforindividualBHCs.Thefinalpartofthesectionthenreportsprojectionsofpre
provisionnetrevenueandnetincome.
Theseresultsarepresentedbothintheaggregateforthe19BHCsandforindividualBHCs.The
aggregateresultsprovideasenseofthestringencyofthestressscenarioprojectionsandthesensitivity
oftheseBHCsasagrouptoadverseeconomicconditionsassumedintheSupervisoryStressScenario.
TherangeofresultsacrossindividualBHCsreflectsdifferencesinbusinessfocus,assetcomposition,
revenueandexpensesources,aswellasdifferencesinportfolioriskcharacteristics,leadingto
differencesinoverallperformanceunderthehypotheticaladverseeconomicscenario.Inaddition,the
stressedcapitalratioprojectionsreflectdifferencesinplannedcapitalactionsacrosstheBHCs.The
comprehensiveresultsforindividualBHCsarereportedinAppendixC.
V.AStressedRegulatoryCapitalRatios
Thestressscenarioprojectionssuggestsignificantdeclinesinregulatorycapitalratiosfornearly
alltheBHCsundertheassumptionsoftheSupervisoryStressScenarioandtheFederalReserves
23
22
conservativeassumptions,includingthoseaboutplannedcapitalactions.Overall,thetotalamountof
tier1commoncapitalheldbythe19BHCsisestimatedtofallbymorethan$300billion,orabout40
percent,fromQ32011toyearend2013undertheSupervisoryStressScenarioandincludingallplanned
capitalactionsoverthisperiod.AsshowninTable1,theweightedaveragevaluesofallfourregulatory
capitalratiosdeclineoverthecourseofthestressscenariohorizon,withyearend2013levelsranging
from2.7percentagepointsto4.5percentagepointslowerthanatthestartofthestressscenario
horizon.Thethreeratiosbasedonriskweightedassets(thetier1commonratio,tier1ratio,andtotal
capitalratio)declinemoreonaveragethanthetier1leverageratio.Table2presentstheseratiosfor
eachof19BHCs.
Table3showstwoestimatesoftheminimumtier1commonequityratioduringtheSupervisory
StressScenarioforeachofthe19BHCs.Theleftcolumnshowstheminimumratioassumingnocapital
actionsafterQ12012.TherightcolumnshowstheminimumratioswithallproposedcapitalthroughQ4
2013,asinthesubmittedcapitalplanthatisbeingevaluatedbytheFederalReserveinCCAR2012.
NotethattheseminimumratiosmayoccurindifferentquartersacrosstheBHCsandindifferent
quartersforaparticularBHCacrossthetwocolumns,soonecannotmakeaccurateinferencesaboutthe
sizeortimingofthenetcapitalactionsbycomparingthesecolumns.

23
Actual
Stressedratiosassumingno
capitalactions
afterQ12012(1)
Q32011 Q42013 Minimum Minimum
10.1 6.3 6.2 6.8
12.3 7.8 7.6 8.4
15.5 11.2 11.0 11.7
7.4 4.7 4.6 5.1
741 438
907 540
1,139 770
7,356 6,904
12,188 11,482
PreProvisionNetRevenue(2)
OtherRevenue(3)
less
Provisions
RealizedLosses/GainsonSecurities(AFS/HTM)
TradingandCounterpartyLosses(4)
OtherLosses/Gains(5)
equals
NetIncomebeforeTaxes
LoanLosses(6)
FirstLienMortgages
JuniorLiensandHELOCs
CommercialandIndustrial
CommercialRealEstate
CreditCards
OtherConsumer
OtherLoans
ProjectedCapitalRatiosthroughQ42013
UndertheHypotheticalSupervisoryStressScenario
ComprehensiveCapitalAnalysisandReview2012
Table1:FederalReserveEstimatesintheSupervisoryStressScenario
19ParticipatingBankHoldingCompanies
Theseprojectionsrepresenthypotheticalestimatesthatinvolveaneconomicoutcomethatismoreadversethanexpected.These
estimatesarenotforecastsofexpectedlosses,revenues,netincomebeforetaxesorcapitalratios.Thetwominimumcapitalratios
presentedbelowarefortheperiodQ42011throughQ42013anddonotnecessarilyoccurinthesamequarter.
Stressedratioswithall
proposedcapitalactions
throughQ42013
Tier1CommonCapitalRatio(%)
Tier1CapitalRatio(%)
TotalRiskBasedCapitalRatio(%)
Tier1LeverageRatio(%)
ProjectedLosses,RevenueandNetIncomebeforeTaxesforQ42011throughQ42013
Billionsof
Dollars
Percentof
AverageAssets
294 2.5
2
ProjectedLoanLossesbyTypeofLoansforQ42011throughQ42013
324
31
116
45
222 1.9
Billionsof
Dollars
PortfolioLoss
Rates(%)
341 8.1
62 7.4
26 5.9
15 2.5
56 13.2
67 8.2
24 5.2
(1)AssumesplannedcapitalactionsthroughQ12012,butassumingnomaterialcapitalissuancesfromMarch16throughMarch31,
2012.
(6)Commercialandindustrialloansincludesmallandmediumenterpriseloansandcorporatecards.Averageloanbalancesusedto
calculateportfoliolossratesexcludeloansheldforsaleandloansheldforinvestmentunderthefairvalueoption.
Source:FederalReserveestimatesintheSupervisoryStressscenario.
Tier1CommonCapital($B)
Tier1Capital($B)
TotalRiskBasedCapital($B)
RiskWeightedAssets($B)
AverageTotalAssets($B)
(2)PreProvisionNetRevenueincludeslossesfromoperationalriskevents,mortgageputbackexpenses,andOREOcosts.
(3)OtherRevenueincludesonetimeincomeand(expense)itemsnotincludedinPreProvisionNetRevenue.
(4)TradingandCounterpartyincludesmarktomarketlosses,changesincreditvaluationadjustments(CVA)andincrementaldefault
(5)OtherLosses/Gainsincludesprojectedchangeinfairvalueofloansheldforsaleandloansheldforinvestmentmeasuredunderthe
fairvalueoption,andgoodwillimpairmentcharges.
Notes:ThetwominimumcapitalratiospresentedherearefortheperiodQ42011throughQ42013anddonotnecessarilyoccurinthe
samequarter.Capitalactionsincludecommondividends,commonsharerepurchases,andcommonshareissuance.Averagebalances
usedforprofitablityratiosandportfoliolossratesareaveragesovertheninequarterperiod.Estimatesmaynotsumpreciselydueto
rounding.Aggregateratiosareweightedaverages.
92 17.2
24
AllyFinancial
Inc.
American
Express
Company
Bankof
America
Corporation
TheBankof
NewYork
Mellon
Corporation
BB&T
Corporation
CapitalOne
Financial
Corporation CitigroupInc.
FifthThird
Bancorp
TheGoldman
SachsGroup,
Inc.
JPMorgan
Chase&Co. Keycorp MetLife,Inc.
Morgan
Stanley
ThePNC
Financial
Services
Group,Inc.
Regions
Financial
Corporation
StateStreet
Corporation
SunTrust
Banks,Inc. U.S.Bancorp
Wells Fargo&
Company
19
Participating
BankHolding
Companies
ActualQ32011
Tier 1CommonCapitalRatio(%) 8.0 12.3 8.7 12.5 9.8 10.0 11.7 9.3 12.1 9.9 11.3 9.3 12.0 10.5 8.2 16.0 9.3 8.5 9.3 10.1
Tier 1CapitalRatio(%) 14.3 12.3 11.5 14.0 12.6 12.4 13.4 12.0 13.8 12.1 13.5 9.9 15.2 13.1 12.8 17.9 11.1 10.8 11.3 12.3
TotalRiskBasedCapitalRatio(%) 15.5 14.3 15.9 16.1 16.1 15.4 16.9 16.2 16.9 15.3 17.0 10.2 16.4 16.5 16.5 19.5 13.9 13.5 14.9 15.5
Tier 1LeverageRatio(%) 11.6 9.8 7.1 5.1 9.2 9.9 7.0 11.1 6.7 6.8 11.9 5.4 6.4 11.4 9.7 7.8 8.9 9.0 9.0 7.4
Q42013UndertheHypotheticalSupervisoryStressScenarioStressedratioswithallproposedcapitalactionsthroughQ42013
MinimumCapitalRatiosUndertheHypotheticalSupervisoryStressScenarioStressedratioswithallproposedcapitalactionsthroughQ42013
MinimumCapitalRatiosUndertheHypotheticalSupervisoryStressScenarioStressedratiosassumingnocapitalactionsafterQ12012(1)
(1)Assumes plannedcapitalactionsthroughQ12012,butassumingnomaterialcapitalissuancesfromMarch16throughMarch31,2012.
Table2:ProjectedCapitalRatiosfor19ParticipatingBankHoldingCompaniesintheSupervisoryStressScenario
Source: FederalReserveestimatesintheSupervisoryStressscenario.
Notes: Thetwominimumcapitalratios presentedherearefortheperiodQ42011throughQ42013anddonotnecessarilyoccurinthesamequarter.Capitalactionsincludecommondividends,commonsharerepurchases,andcommonshareissuance.Estimates maynotsumpreciselyduetorounding.
These projectionsrepresenthypotheticalestimatesthatinvolveaneconomicoutcome thatismore adverse than expected.These estimatesare notforecastsof expectedlosses,revenues,netincomebefore taxesorcapitalratios.
Thetwominimumcapitalratiospresented beloware forthe periodQ42011throughQ42013anddonotnecessarilyoccurinthe same quarter.
25

BankHoldingCompany
Minimumstressedratios
assumingnocapitalactions
afterQ12012(1)
Minimumstressedratios
withallproposedcapital
actionsthroughQ42013
AllyFinancialInc. 2.5 2.5
AmericanExpressCompany 12.4 10.8
BankofAmericaCorporation 5.7 5.9
TheBankofNewYorkMellonCorporation 13.3 13.0
BB&TCorporation 7.3 6.4
CapitalOneFinancialCorporation 7.2 7.8
CitigroupInc. 5.9 4.9
FifthThirdBancorp 7.7 6.3
TheGoldmanSachsGroup,Inc. 5.8 5.7
JPMorganChase&Co. 6.3 5.4
Keycorp 6.3 5.3
MetLife,Inc. 5.4 5.1
MorganStanley 5.4 5.4
ThePNCFinancialServicesGroup,Inc. 6.6 5.9
RegionsFinancialCorporation 5.7 6.6
StateStreetCorporation 15.1 12.5
SunTrustBanks,Inc. 5.5 4.8
U.S.Bancorp 7.7 5.4
WellsFargo&Company 6.6 6.0
Table3:EstimatesofMinimumTier1CommonRatios,Q42011throughQ42013
Theminimumstressedratios(%)arethelowestquarterlyratiosfromQ42011toQ42013intheSupervisory
Stressscenario.TheleftcolumnshowsminimumratiosassumingnocapitalactionsafterQ12012.Theright
columnshowsminimumratioswithallproposedcapitalactionsthroughQ42013.Minimumratiosmayoccur
indifferentquartersacrosstheBHCs,andindifferentquartersforeachBHCacrossthetwocolumns.
Notes:Capitalactionsincludecommondividends,commonsharerepurchases,andcommonshareissuance.
(1)AssumesplannedcapitalactionsthroughQ12012,butnomaterialcapitalissuancesfromMarch16through
March31,2012.
26
ThechangesinstressedregulatorycapitalratiosvaryconsiderablyacrossBHCs(seeFigures7
and8).Overall,stressedregulatorycapitalratiosincludingallplannedcapitalactionsdeclinedoverthe
courseofthestressscenariohorizonforallbutoneoftheBHCs.
Despitesometimessignificantprojecteddecreases,mostoftheBHCsmaintainstressed
regulatorycapitalratiosincludingallplannedcapitaldistributionsaboveregulatoryminimumlevelsover
thecourseofthestressscenariohorizon.
24
Overall,4ofthe19BHCshaveoneormoreprojected
regulatorycapitalratios(includingcapitaldistributions)thatfallbelowregulatoryminimumlevelsat
somepointoverthestressscenariohorizon,including3BHCswithastressedratiooftier1common
ratiobelowthe5percentbenchmarkestablishedinthecapitalplansrule.Ininterpretingtheseresults,
itisimportanttorecallthattheFederalReservesstressscenarioprojectionsaredeliberatelystringent
andconservativeassessmentsunderhypothetical,adverseeconomicconditionsandtheresultsarenot
forecastsorthemostlikelyoutcomesfortheseBHCs.
Thestressedcapitalratiosincorporateprojectedlevelsoftotalaverageassetsandriskweighted
assetsoverthestressscenariohorizon,basedonprojectionsprovidedbytheBHCsintheircapitalplans.
Projectedriskweightedassetsfallbyabout$450billion,or6.1percent,fromthebeginningtotheend
ofthestressscenariohorizon(seeTable1).TheFederalReservesprojectionsoflossesandPPNRreflect
theprojectedgrowthorshrinkageofriskweightedassetsforeachBHC.Thismeansthatprojected
changesinriskweightedassetsandtotalassetsdonotalwayshaveastraightforwardimpacton
projectedstressedcapitalratios.

24
TheminimumlevelsforBHCstobeconsideredadequatelycapitalizedare4percentforthetier1ratio,8percent
forthetotalcapitalratio,and3or4percentforthetier1leverageratio.BasedontheU.S.capitaladequacy
guidelines,thetier1leverageminimumis3percentforBHCswithacompositeBOPECratingof"1"andforBHCs
thathaveimplementedtheBoardsriskbasedcapitalmeasureformarketrisk.Thetier1leverageminimumis4
percentforallotherBHCs.Thetier1leverageratiominimumis4percentforAllyFinancialInc.,AmericanExpress
Company,CapitalOneFinancialCorporation,andMetLife,Inc.,and3percentfortherestofthe19BHCs
participatinginCCAR2012.ThecapitalplansrulefurtherstipulatesthattheBHCsmustdemonstratetheirability
tomaintaintier1commonratiosabove5percent.
27
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Figure7:MinimumTier1CommonRatiointheSupervisoryStressScenario(%)
%
%
Median=5.9%
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Figure8:Changefrom3Q11toMinimumTier1CommonRatio
intheSupervisoryStressScenario(%)
Changefrom3Q11
toMinimum
MinimumRatio
%
%
28
V.BProjectedLosses
TheFederalReservesstressscenarioprojectionssuggestthatthe19BHCsasagroupwould
experiencesignificantlossesundertheassumptionsoftheSupervisoryStressScenario.Thestress
scenarioresultsinclude$534billioninprojectedlossesforthe19BHCsintheaggregateoverthenine
quartersofthestressscenariohorizon.Theselossesinclude$341billioninaccrualloanportfoliolosses,
$31billioninOTTIandotherrealizedsecuritieslosses,$116billionintradingandcounterpartylossesat
thesixBHCswithlargetradingportfolios,and$45billioninadditionallossesfromitemssuchasloans
measuredunderthefairvalueoption(lossesontheseloanswerecalculatedbasedontheglobal
financialmarketshock,consistentwiththetreatmentoffairvaluedpositionsinthetradingportfolio)
andgoodwillimpairmentcharges.Table1presentstheseresultsintheaggregate,whileTable4
presentsthemindividuallyforeachofthe19BHCs.
Thebiggestsourcesoflossarelossesontheaccrualloanportfoliosandtradingand
counterpartylossesfromtheglobalfinancialmarketshock.Together,thesetwoaccountfor85percent
ofthe$534billioninprojectedlossesforthe19BHCsundertheSupervisoryStressScenario.
29
AllyFinancial
Inc.
American
Express
Company
Bankof
America
Corporation
TheBankof
NewYork
Mellon
Corporation
BB&T
Corporation
CapitalOne
Financial
Corporation CitigroupInc.
FifthThird
Bancorp
The
Goldman
SachsGroup,
Inc.
JPMorgan
Chase&Co. Keycorp MetLife,Inc.
Morgan
Stanley
ThePNC
Financial
Services
Group,Inc.
Regions
Financial
Corporation
StateStreet
Corporation
SunTrust
Banks,Inc. U.S.Bancorp
Wells Fargo
&Company
19
Participating
BankHolding
Companies
ProjectedLosses,RevenueandNet IncomebeforeTaxesforQ42011 throughQ42013 UndertheHypotheticalSupervisory StressScenario
PreProvisionNetRevenue(1) 5.1 16.0 40.1 6.5 5.4 18.6 41.2 4.1 14.2 59.3 1.7 9.6 1.0 4.2 3.7 2.4 2.7 14.7 53.3 293.5
OtherRevenue(2) 0.2 0.0 4.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.8 0.4 0.3 0.0 0.0 0.3 0.1 1.9
less
Provisions 3.1 9.6 59.7 1.1 6.0 22.3 61.6 4.8 0.5 48.9 4.0 1.0 0.9 11.1 5.6 0.4 8.5 15.2 60.2 324.4
RealizedLosses/GainsonSecurities(AFS/HTM) 0.9 0.0 1.2 0.3 0.2 0.3 6.1 0.1 0.2 3.8 0.0 11.5 0.0 1.2 0.0 0.4 0.0 0.7 3.9 31.0
Trading andCounterpartyLosses(3) 0.0 0.0 21.1 0.0 0.0 0.0 20.9 0.0 27.1 27.7 0.0 0.0 12.8 0.0 0.0 0.0 0.0 0.0 6.9 116.5
OtherLosses/Gains(4) 0.9 0.0 13.4 0.0 0.0 0.0 2.9 0.0 8.0 1.7 0.6 7.9 8.1 0.3 0.1 0.0 0.1 0.0 1.7 45.5
equals
NetIncomebeforeTaxes 9.8 6.3 51.3 5.1 0.9 4.0 50.3 0.9 21.5 22.9 2.9 10.8 22.5 8.9 2.4 1.5 5.7 0.9 19.6 222.0
ProjectedLoanLossesby TypeofLoansforQ42011 throughQ42013 UndertheHypotheticalSupervisory StressScenario
LoanLosses(5) 3.6 8.1 70.1 1.2 6.0 19.0 67.0 6.4 0.3 55.8 3.9 0.9 0.7 11.1 6.0 0.3 8.0 14.6 58.3 341.3
FirstLienMortgages 0.4 0.0 17.7 0.4 1.6 1.3 9.3 0.9 0.0 7.0 0.2 0.0 0.1 1.6 1.3 0.0 1.8 2.0 15.9 61.5
JuniorLiensandHELOCs 0.7 0.0 16.0 0.0 0.6 0.2 6.0 1.1 0.0 9.1 0.7 0.0 0.0 3.0 1.3 0.0 2.2 1.7 13.7 56.4
CommercialandIndustrial 0.5 2.4 12.3 0.2 0.9 1.3 11.8 2.2 0.0 11.4 1.6 0.0 0.3 3.4 1.0 0.0 2.3 4.2 11.0 66.7
CommercialRealEstate 0.1 0.0 3.9 0.1 1.8 0.4 0.5 1.4 0.0 1.8 0.4 0.4 0.0 1.5 1.9 0.1 0.8 1.8 6.7 23.6
CreditCards 0.0 5.4 14.5 0.0 0.3 13.9 27.0 0.4 0.0 21.3 0.1 0.0 0.0 0.6 0.1 0.0 0.1 3.2 5.0 92.1
Other Consumer 2.0 0.2 4.0 0.0 0.7 1.6 8.1 0.2 0.0 2.1 0.3 0.0 0.1 0.6 0.2 0.0 0.5 0.9 4.2 25.7
Other Loans 0.0 0.0 1.7 0.5 0.2 0.2 4.4 0.2 0.3 3.0 0.5 0.5 0.1 0.5 0.3 0.2 0.3 0.8 1.7 15.3
PortfolioLossRatesbyTypeofLoansforQ42011throughQ42013UndertheHypotheticalSupervisoryStressScenario(%ofAverageBalances)
LoanLosses(5) 3.3 9.3 8.3 2.6 5.7 11.4 11.2 8.0 0.9 8.1 6.9 1.6 1.6 7.1 8.1 2.0 6.8 7.4 8.2 8.1
FirstLienMortgages 6.1 0.0 6.7 7.7 5.4 3.7 9.7 7.7 0.0 6.3 7.5 0.0 0.7 9.0 8.8 0.0 7.4 4.7 9.5 7.4
JuniorLiensandHELOCs 21.1 0.0 15.0 12.6 8.5 11.1 18.5 12.1 12.1 10.5 7.8 0.0 12.5 11.5 11.4 0.0 12.6 9.9 13.8 13.2
CommercialandIndustrial 1.6 8.0 7.7 6.5 5.9 8.2 10.9 8.2 0.0 9.0 8.7 0.0 3.5 6.7 6.2 0.0 7.0 10.8 8.1 8.2
CommercialRealEstate 2.3 0.0 6.4 9.8 5.6 2.1 5.9 11.3 4.1 3.0 4.1 1.3 4.0 6.0 9.2 20.1 6.9 5.0 5.5 5.2
CreditCards 0.0 10.0 15.5 0.0 18.9 19.4 18.5 22.3 0.0 18.0 20.0 0.0 0.0 15.0 14.1 0.0 18.9 16.9 22.4 17.2
Other Consumer 3.0 10.1 5.6 1.2 5.6 9.8 23.4 1.8 3.7 3.6 7.3 0.0 1.2 3.4 5.3 0.0 2.4 3.3 5.1 5.9
Other Loans 3.0 0.0 2.1 1.3 2.0 3.5 3.8 2.9 0.9 2.4 4.7 2.0 0.9 3.0 3.2 1.2 3.1 4.7 2.2 2.5
Profitability RatesforQ42011 throughQ42013 UndertheHypotheticalSupervisory StressScenario(%ofAverageAssets)
PPNR 2.7 12.2 2.0 2.0 3.1 7.5 2.3 3.6 1.7 2.7 1.9 1.4 0.1 1.5 3.1 1.2 1.5 4.6 4.1 2.5
NetIncomebeforeTaxes 5.2 4.8 2.6 1.6 0.5 1.6 2.8 0.7 2.5 1.0 3.3 1.5 3.2 3.2 2.0 0.8 3.3 0.3 1.5 1.9
(3)Trading andCounterpartyincludesmarktomarketlosses,changesincreditvaluationadjustments (CVA)andincrementaldefaultlosses.
(4)OtherLosses/Gainsincludesprojectedchangeinfairvalueofloansheldfor saleandloansheldfor investmentmeasuredunderthefair valueoption,andgoodwillimpairmentcharges.
(5)Commercialandindustrialloans includesmallandmediumenterpriseloansandcorporatecards.Averageloanbalancesusedtocalculateportfoliolossrates excludeloans heldforsaleandloansheldfor investmentunderthefair valueoption.
(2)OtherRevenueincludesonetimeincomeand(expense)itemsnotincludedinPreProvisionNetRevenue.
Notes: Averagebalancesusedfor profitabilityratiosandportfoliolossrates areaveragesover theninequarter period. Estimates maynotsumpreciselyduetorounding.
Table4:Projectionsfor19ParticipatingBankHolding Companies
BillionsofDollars
(1)PreProvisionNetRevenueincludeslosses fromoperationalriskevents,mortgageputbackexpenses,andOREOcosts.
These projectionsrepresenthypotheticalestimatesthatinvolve aneconomicoutcome thatismoreadverse than expected. These estimates arenotforecastsofexpected losses,revenues,netincome beforetaxesorcapitalratios.
30
LoanLosses
Projectedlossesonconsumerrelatedlendingresidentialmortgages,creditcards,andother
consumerloansrepresent69percentofprojectedloanlossesand44percentoftotalprojectedlosses
forthe19BHCs(seeFigure9andTable1).Thisisconsistentwithboththeshareofthesetypesofloans
intheBHCsloanportfoliostheseloansrepresent55percentoftheaccrualloanportfolioatthese
firmsasofQ32011andwiththeassumptionsoftheSupervisoryStressScenario,whichfeaturesvery
highunemploymentratesandsignificantfurtherdeclinesinhousingprices.Lossesonresidential
mortgageloans,includingbothfirstliensandjuniorliens/homeequity,arethesinglelargestcategory,at
$118billion,representingnearly35percentoftotalprojectedloanlosses.Projectedlossesoncredit
cardlendingat$92billionisthesecondlargestsegment,representingmorethan25percent.
Projectedlossesoncommercialandindustrialloans,at$67billion,isthenextlargestcategory.
Forthe19BHCsasagroup,theninequartercumulativelossrateontheaccrualloanportfoliois
8.1percent,wherethelossrateiscalculatedastotalprojectedloanlossesovertheninequartersofthe
stressscenariohorizondividedbyaverageloanbalancesoverthehorizon.Thisrateisveryhighby
historicalstandards,moreseverethananyU.S.recessionsincethe1930s.AsillustratedinFigure10,
FirstLien
Mortgages,62
TradingandCounterparty
Losses,116
CreditCards,92 Commercialand
IndustrialLoans,
67
SecuritiesLosses
(AFS/HTM),31
JuniorLiensandHELOCs,
56
CommercialRealEstate
Loans,24
OtherConsumerLoans,26
OtherLoans,15
OtherLosses,
45
Figure9:ProjectedLossesintheSupervisoryStressScenario($B)
31
totalloanlossratesvarysignificantlyacrossBHCs,rangingbetween0.9and11.4percentacrossthese
institutions.
ThedifferencesintotalloanlossratesacrosstheBHCsreflectdifferencesinloanportfolio
compositionanddifferencesinriskcharacteristicsforeachtypeoflendingacrossthesefirms.Loan
portfoliocompositionmattersbecauseprojectedlossratesvarysignificantlybyloantype.
25
Nine
quartercumulativelossratesrangebetween2.5percentonotherloansand17.2percentoncredit
cards,reflectingbothdifferencesintypicalperformanceoftheseloanssomeloantypestendto
generatehigherlosses,thoughgenerallyalsohigherrevenueanddifferencesinthesensitivityof
lendingtotheassumptionsoftheSupervisoryStressScenario.Inparticular,lendingcategorieswhose
performanceissensitivetounemploymentratesorhousingpricesmayexperiencehighstressedloss
ratesduetotheconsiderablestressassumedforthesefactorsintheSupervisoryStressScenario.
Figures11to17presenttheninequartercumulativelossratesonsevendifferentcategoriesof
loansforeachofthe19BHCs.TherearesignificantdifferencesacrossBHCsinprojectedloanlossrates
forsimilartypesofloans.Forexample,whilethemedianprojectedlossrateonfirstlienresidential
mortgagesis6.3percent,theratesvariedfromalowof0.7percenttoahighof9.7percent.Similarly,
25
TheloancategoriesaredefinedtobegenerallyconsistentwithcategoriesontheFRY9Creports.
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Figure10:TotalLoanLossRatesintheSupervisoryStressScenario(%)
%
%
Estimatesareforninequarterperiodfrom4Q11to4Q13asapercentofaveragebalances.
Median=7.1%
32
forcommercialandindustrialloans,therangeofprojectedlossrateswasfrom1.6to10.9percent,with
amedianof7.0percent.Projectedlossratesonmostloancategoriesshowsimilardispersionacross
BHCs.
DifferencesinprojectedlossratesacrossBHCsprimarilyreflectdifferencesinloan
characteristics,suchasloantovalueratioordebtservicecoverageratio,andborrowercharacteristics,
suchascreditratingorFICOscore.Inaddition,someBHCshavetakenwritedownsonportfoliosof
impairedloanseitherpurchasedoracquiredthroughmergers.Projectedlossesontheseloansare
madeusingthesamelossmodelsusedforotherloansofthattype,andtheresultinglossprojectionsare
thenreducedbytheamountofsuchwritedowns.FortheseBHCs,projectedlossrateswillbelower
thanforBHCsthatholdsimilarloansthathavenotbeensubjecttopurchaserelatedwritedowns.
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Figure11:FirstLienMortgagesLossRatesintheSupervisoryStressScenario(%)
%
%
Median=6.3%
33
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Figure13:CommercialandIndustrialLossRatesintheSupervisoryStressScenario(%)
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34
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%
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36
LossesonTrading,PrivateEquity,andDerivativesPositions
Thestressscenarioresultsinclude$116billionintradingandcounterpartycreditlossesfrom
theglobalfinancialmarketshockatthesixBHCswithlargetrading,privateequity,andderivatives
activity.Tradingandcounterpartycreditlossesrangebetween$7billionand$28billionacrossthesix
BHCs(seeTable4),withthelargestlossesatthoseBHCswiththemostsignificanttradingactivities.
Evenso,therelativesizeoflossesacrossfirmsdependsnotonnominalportfoliosize,butratheronthe
specificriskcharacteristicsofeachBHCstradingpositions,inclusiveofhedges.Itisalsoimportantto
notethatprojectedlossesrelatedtotheglobalfinancialmarketshockarebasedonthetradingpositions
heldbythesefirmsonasingleday(generally,November17,2011),andthatprojectedlossescouldhave
differed,perhapssignificantly,basedontradingpositionsfromadifferentdate.
Someportionoftradingandcounterpartycreditlossesweredrivenbytheaspectsoftheglobal
financialmarketshockdesignedtocapturetheongoingsituationinEurope.Theseaspectsinclude
significantassumedhypotheticalincreasesincreditspreadsonEuropeansovereignandfinancial
institutionobligors,resultinginpricelevelsthatwouldbesignificantlybelowanyobservedinthe
historicaldata.Itisdifficulttoisolatetheimpactoftheseaspectsoftheglobalfinancialmarketshock
ontradingandcounterpartylosses,giventhecorrelationbetweenthesechangesinEuropeanrelated
riskfactorsandotherelementsoftheassumedglobalfinancialmarketshock,aswellastheoften
complexnatureoftheriskexposuresandrelatedhedgesintheseBHCstrading,privateequity,and
derivativesportfolios.Still,focusingnarrowlyonshockstoEuropeanrelatedriskfactors,thelargest
impactisoncounterpartycreditrisklosses.Directmarktomarketlossesontradingpositionsrelatedto
theseshockswererelativelysmallduetohedgingofthesepositions.

V.CProjectedPPNRandNetIncome
Intheaggregate,the19BHCsareprojectedtogenerate$294billioninpreprovisionnet
revenuecumulativelyovertheninequartersofthestressscenariohorizon,equalto2.5percentof
averageassetsforthesefirms(seeTable1).Theserelativelysevereresultsreflectlowlevelsofnet
interestincomeduetotheimpactoftheSupervisoryStressScenarioslowinterestrate,flatyieldcurve
environmentgiventheBHCs'currentandprojectedbalancesheetcomposition.Theresultsalsoreflect
lowlevelsofnoninterestincome,consistentwiththefallingassetpricesandsharplycontracting
economicactivityassumedinthescenario.Inaddition,thePPNRprojectionsincorporateelevated
levelsoflossesfromoperationalriskeventssuchasfraud,employeelawsuits,orcomputersystemor
otheroperatingdisruptionsandexpensesrelatedtoputbacksofmortgages,nettedagainstreserves
37
alreadytakenbytheBHCs.
26
PPNRprojectionsalsoincorporatetheincrementalimpactoftherecent
mortgagerelatedsettlementbetweenseveraloftheCCARBHCsandstateandfederalauthorities;
foregoneinterestexpenseswereestimatedforotherBHCsengagedinmortgageservicingthatwerenot
partofthesettlement.
TheratioofprojectedcumulativePPNRtoaverageassetsvariesacrossBHCs(seeFigure18and
Table4).Asignificantportionofthisvariationreflectsdifferencesinbusinessfocusacrossthe
institutions.Forinstance,theratioofPPNRtoassetstendstobehigheratBHCsfocusingoncreditcard
lending,reflectingthehighernetinterestincomethatcreditcardsgenerallyproducerelativetoother
formsoflending.
27
TheratiotendstobeloweratBHCsactiveinareasotherthanlendinganddeposit
taking,suchascapitalmarket,insurance,andsecuritiesprocessingactivities.Someportionofthe
variationalsoreflectsmoregranularBHCspecificfactorsaboutthecompositionandnatureoftheir
businessactivities,suchasthesensitivityofcertainformsoffeeincomeorlikelyvolumeofmarketwide
activityundertheconditionsassumedintheSupervisoryStressScenario.LowerPPNRratesdonot
necessarilyimplylowernetincome,however,sincethesamebusinessfocusandrevenuerisk
characteristicsdrivingdifferencesinPPNRacrossfirmscouldalsoresultinoffsettingdifferencesin
projectedlosses.
ProjectedPPNRandlossesaretheprimarydriversofprojectednetincome.Table1presents
aggregateprojectionsofthecomponentsofpretaxnetincome,includingprovisionsintotheALLLand
onetimeincomeandexpenseandextraordinaryitems,undertheSupervisoryStressScenario.Thetop
panelofTable4presentstheseprojectionsforeachofthe19BHCs.Theprojectionsarecumulativefor
theninequartersofthestressscenariohorizon.
26
Theseestimatesareconditionalonthehypotheticaladversemacroeconomicscenarioandonconservative
assumptions.TheyarenotasupervisoryestimateofthecurrentlegalliabilitythatBHCsmightactuallyface.
27
Asnoted,creditcardlendingalsotendstogeneraterelativelyhighlossrates,sothehigherPPNRratesatthese
BHCsdonotnecessarilyindicatehigherprofitability.
38
Ofnote,followingU.S.GAAP,thenetincomeprojectionsincorporateloanlossesindirectly
throughprovisions,whicharecalculatedasprojectedloanlossesplusanyadditionalprovisionorminus
anyALLLreleaseneededfortheALLLtobeatanadequatelevelattheendofeachquarter.The$324
billionintotalprovisionsreportedinTable1istheresultof$341billioninnetchargeoffsand$17
billioninnetreservereleasesfromtheALLL.Thesereleasesoccurbecause,intheaggregate,thelevel
oftheALLLsuggestedbytheFederalReservesALLLalgorithmislowerattheendofthestressscenario
horizonthanatthebeginning.Thelowerlevelreflectsboththemorepositiveeconomicenvironment
for2014assumedintheSupervisoryStressScenario,whichgenerateslowerlevelsofprojectedfuture
netchargeoffs,andthehighlevelofloanlossesprojectedtooccurduringtheninequarterhorizon,
whichinpartreflectsacceleratedrecognitionoflossesinherentintheloanportfolio.
TheFederalReservesprojectionsofpretaxnetincomeundertheSupervisoryStressScenario
implynegativenetincomeatmanyofthe19BHCsindividually,andfortheBHCsasagroup,overthe
ninequarterstressscenariohorizon.AsTable1shows,projectednetincomebeforetaxes(pretaxnet
income)is$222billionoverthestressscenariohorizonforthe19BHCs,equalto1.9percentof
averageassetsforthegroup.
Figure19illustratestheratioofpretaxnetincometoaverageassetsforeachofthe19BHCs.
Theratiorangesbetween5.2percentand4.8percent.Projectedcumulativenetincomeformostof
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Figure18:PPNRRatesintheSupervisoryStressScenario(%)
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39
theBHCs(16of19)isnegativeoverthestressscenariohorizon.Differencesacrossthefirmsreflect
differencesinthesensitivityofthevariouscomponentsofnetincometotheeconomicandfinancial
marketconditionsassumedintheSupervisoryStressScenario.ProjectednetincomeforthesixBHCs
withlargetradingoperationsisalsoaffectedbytheimpactoftheglobalfinancialmarketshockontheir
trading,privateequity,andderivativespositions,introducingsomeadditionalvariationinprojectednet
incomebetweenthesesixBHCsandtheotherfirmsparticipatinginCCAR2012.

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AppendixA
SupervisoryStressScenario
ThisAppendixprovidesadescriptionoftheSupervisoryStressScenarioprovidedbytheFederalReserve.
ItisimportanttonotethattheSupervisoryStressScenarioisnotaforecastbutrathera
hypotheticalscenariotobeusedtoassessthestrengthandresilienceofBHCcapitalinaseverely
adverseeconomicenvironment.TheSupervisoryStressScenario,whileunlikely,representsan
outcomeinwhichtheU.S.economyexperiencesasignificantrecessionandeconomicactivityinother
majoreconomiesalsocontractssignificantly.
Thescenariostartsinthefourthquarterof2011andextendsthroughthefourthquarterof
2014,whichpermitsthecalculationofloanlossreservesattheendof2013.Thescenarioisdefined
over25variables.ForthedomesticU.S.variables,thescenarioincludes:
Fivemeasuresofeconomicactivityandprices:RealandnominalGrossDomesticProduct(GDP),the
unemploymentrateoftheciviliannoninstitutionalpopulationaged16andover,nominal
disposablepersonalincome,andtheConsumerPriceIndex(CPI);
Fouraggregatemeasuresofassetpricesorfinancialconditions:TheCoreLogicNationalHousePrice
Index,theNationalCouncilforRealEstateInvestmentFiduciariesCommercialRealEstatePrice
Index,theDowJonesTotalStockMarketIndex,andtheChicagoBoardOptionsExchangeMarket
VolatilityIndex;and,
Fourmeasuresofinterestrates:therateonthethreemonthTreasurybill,theyieldonthe10year
Treasurybond,theyieldona10yearBBBcorporatesecurity,andtheinterestrateassociatedwitha
conforming,conventional,fixedrate,30yearmortgage.
Fortheinternationalvariables,thescenarioincludesthreevariablesinfourcountries/countryblocks.
Thethreevariablesforeachcountry/countryblockarethepercentchangeinrealGDP,thepercent
changeintheConsumerPriceIndexorlocalequivalent,andtheU.S./foreigncurrencyexchange
rate.
Thefourcountries/countryblocksincludedaretheeuroarea,theUnitedKingdom,developingAsia,
andJapan.Theeuroareaisdefinedasthe17EuropeanUnionmemberstatesthathaveadopted
theeuroastheircommoncurrencyanddevelopingAsiaisdefinedastheaggregateofChina,India,
HongKong,andTaiwan.
41
TheprecedingdiscussiondescribesthebroadcontoursoftheSupervisoryStressScenarioover
theperiodfrom2012to2014.Thespecificvaluesforallthevariablesincludedinthescenarioare
shownonthefollowingpages.
42
SupervisoryStress Scenario
OBS
RealGDP
growth
Nominal
GDP growth
Real
disposable
income
growth
Nominal
disposable
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Unemploy
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CPIinflation
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Treasury
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10year
Treasury
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BBB
corporate
yield
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DowJones
Total Stock
Market
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Market
Volatility
Index(VIX)
HousePrice
Index
Commercial
Real Estate
PriceIndex
Q12001 1.31 1.40 3.05 5.96 4.23 3.88 4.82 5.30 7.44 7.24 10,645.85 32.84 113.46 130.98
Q22001 2.65 5.47 1.08 0.82 4.41 2.86 3.66 5.50 7.49 7.37 11,407.15 34.72 115.20 130.12
Q32001 1.10 0.15 10.58 10.66 4.81 1.08 3.19 5.26 7.26 7.19 9,562.95 43.74 117.58 129.20
Q42001 1.41 2.66 4.59 4.38 5.53 0.25 1.91 5.06 7.19 7.00 10,707.68 35.31 119.99 127.36
Q12002 3.46 4.93 11.23 12.25 5.70 1.25 1.72 5.39 7.58 7.20 10,775.74 26.09 122.44 129.05
Q22002 2.14 3.99 2.21 5.44 5.84 3.20 1.72 5.35 7.61 7.03 9,384.03 28.42 125.74 129.24
Q32002 2.04 3.82 1.37 0.64 5.72 2.15 1.64 4.55 7.28 6.48 7,773.63 45.08 129.10 130.49
Q42002 0.14 2.46 0.95 2.86 5.84 2.40 1.34 4.29 7.04 6.25 8,343.19 42.64 131.56 131.77
Q12003 1.68 4.55 1.48 4.43 5.87 4.13 1.16 4.16 6.47 5.99 8,051.86 34.69 134.59 134.63
Q22003 3.43 4.64 6.19 6.50 6.15 0.59 1.04 3.80 5.65 5.65 9,342.42 29.13 137.48 135.93
Q32003 6.75 9.14 5.71 8.47 6.10 2.99 0.93 4.40 6.02 6.18 9,649.68 22.72 141.68 137.10
Q42003 3.67 5.80 2.32 4.22 5.81 1.57 0.92 4.44 5.84 6.09 10,799.63 21.07 146.32 139.04
Q12004 2.66 6.28 1.79 5.19 5.68 3.43 0.92 4.14 5.45 5.75 11,039.42 21.58 152.67 141.22
Q22004 2.60 6.11 4.01 7.11 5.58 3.16 1.08 4.75 6.08 6.31 11,138.91 19.96 159.10 143.52
Q32004 3.01 6.03 2.70 5.25 5.43 2.58 1.49 4.45 5.77 6.06 10,895.48 19.34 164.33 146.53
Q42004 3.31 6.43 5.71 9.15 5.38 4.39 2.01 4.30 5.44 5.89 11,971.14 16.58 170.25 147.61
Q12005 4.19 8.09 4.79 2.51 5.27 2.05 2.54 4.39 5.43 5.91 11,638.27 14.65 180.11 148.12
Q22005 1.79 4.55 2.85 5.40 5.10 2.68 2.86 4.24 5.46 5.87 11,876.74 17.74 186.45 174.64
Q32005 3.21 7.52 2.41 7.10 4.95 6.24 3.36 4.29 5.48 5.92 12,289.26 14.17 192.51 175.76
Q42005 2.07 5.54 2.21 5.84 4.94 3.72 3.83 4.60 5.88 6.40 12,517.69 16.47 197.07 186.38
Q12006 5.15 8.31 7.71 9.52 4.71 2.13 4.39 4.67 5.97 6.42 13,155.44 14.56 201.82 195.50
Q22006 1.63 5.24 3.60 6.70 4.64 3.68 4.71 5.15 6.48 6.80 12,849.29 23.81 199.55 198.00
Q32006 0.05 3.11 1.94 4.90 4.63 3.83 4.91 4.96 6.43 6.77 13,345.97 18.64 198.29 199.43
Q42006 2.75 4.59 5.35 5.26 4.44 1.69 4.90 4.70 6.12 6.43 14,257.55 12.67 198.93 215.76
Q12007 0.54 5.23 1.82 5.83 4.49 3.92 4.98 4.76 6.11 6.40 14,409.27 19.63 196.43 222.91
Q22007 3.65 6.50 0.60 4.08 4.47 4.76 4.74 4.92 6.30 6.55 15,210.65 18.89 191.35 229.81
Q32007 2.96 4.34 1.59 3.85 4.65 2.44 4.31 4.84 6.54 6.75 15,362.02 30.83 185.77 221.46
Q42007 1.70 3.64 2.23 6.52 4.80 4.92 3.40 4.41 6.37 6.41 14,819.58 31.09 179.99 222.88
Q12008 1.76 0.58 5.90 10.00 4.95 4.51 2.07 3.87 6.54 6.04 13,332.01 32.24 173.04 223.71
Q22008 1.32 4.03 8.22 13.11 5.31 5.31 1.62 4.09 6.84 6.26 13,073.54 31.01 165.31 217.79
Q32008 3.66 0.57 8.82 4.86 6.03 6.46 1.49 4.05 7.19 6.50 11,875.41 46.72 158.25 217.11
Q42008 8.89 8.43 0.23 5.79 6.91 9.07 0.30 3.72 9.39 6.03 9,087.17 80.86 149.51 189.54
Q12009 6.67 5.23 3.81 5.42 8.22 2.50 0.21 3.23 8.96 5.18 8,113.14 56.65 142.77 186.93
Q22009 0.69 1.14 0.25 2.15 9.29 1.97 0.17 3.65 8.15 5.14 9,424.92 42.28 143.51 154.64
Q32009 1.70 1.93 5.42 2.57 9.69 3.67 0.16 3.81 6.76 5.28 10,911.69 31.30 144.81 157.50
Q42009 3.80 4.88 0.58 2.18 10.01 2.72 0.06 3.69 6.13 5.03 11,497.41 30.69 145.34 152.24
Q12010 3.94 5.52 4.86 6.81 9.70 1.28 0.11 3.87 5.78 5.11 12,160.97 27.31 146.66 157.50
Q22010 3.79 5.43 5.57 5.91 9.66 0.51 0.15 3.62 5.55 5.02 10,750.01 45.79 146.10 171.27
Q32010 2.51 3.86 2.27 3.27 9.59 1.42 0.16 2.90 5.07 4.54 11,947.14 32.86 141.78 160.45
Q42010 2.35 4.16 1.50 3.47 9.63 2.68 0.14 2.97 5.04 4.50 13,290.03 23.54 139.61 178.95
Q12011 0.36 3.09 1.24 5.19 8.93 5.25 0.13 3.53 5.40 4.95 14,036.43 29.40 137.93 177.17
Q22011 1.34 3.96 0.59 3.91 9.06 4.02 0.05 3.28 5.15 4.76 13,968.11 22.73 137.56 173.82
Q32011 2.46 5.04 1.73 0.59 9.09 3.09 0.02 2.48 4.87 4.40 11,771.86 48.00 136.86 174.08
Q42011 4.84 1.70 6.02 3.37 9.68 2.21 0.10 2.07 5.65 4.65 9,501.48 75.86 135.13 168.40
Q12012 7.98 5.39 6.81 5.30 10.58 1.78 0.10 1.94 6.83 5.12 7,576.38 90.50 131.61 161.04
Q22012 4.23 2.54 4.29 3.46 11.40 1.02 0.10 1.76 6.81 5.16 7,089.87 80.00 127.50 153.42
Q32012 3.51 2.24 3.16 2.44 12.16 0.89 0.10 1.67 6.75 5.17 5,705.55 81.23 123.12 146.53
Q42012 0.00 0.09 0.57 0.36 12.76 0.35 0.10 1.76 6.45 5.08 5,668.34 69.82 119.08 139.36
Q12013 0.72 0.58 0.74 0.84 13.00 0.23 0.10 1.74 6.07 4.93 6,082.47 62.75 115.15 136.75
Q22013 2.21 2.01 1.66 1.74 13.05 0.21 0.10 1.84 5.83 4.82 6,384.32 57.76 111.92 135.20
Q32013 2.32 2.14 2.69 2.88 12.96 0.30 0.10 1.98 5.74 4.77 7,084.65 53.82 109.77 134.02
Q42013 3.45 3.26 2.27 2.48 12.76 0.32 0.10 1.98 5.51 4.66 7,618.89 49.84 108.48 134.36
Q12014 3.36 2.94 2.77 2.62 12.61 0.03 0.10 1.97 5.28 4.54 8,014.71 45.87 108.08 134.45
Q22014 3.71 3.18 3.53 3.25 12.36 0.16 0.10 1.88 4.94 4.38 9,925.73 34.96 108.40 135.91
Q32014 4.64 4.09 2.82 2.53 12.04 0.17 0.10 1.86 4.72 4.26 10,874.38 24.22 109.24 139.53
Q42014 4.64 4.00 4.48 4.01 11.66 0.34 0.10 1.89 4.58 4.17 12,005.11 17.51 110.29 143.35
Notes:
Sources for datathrough2011:Q3(as releasedthrough11/08/2010). 2011:Q3internationalGDPdatabasedonstaff calculations.
Values after thatdate equalassumptions for the supervisorystress scenario.
Variablesreportedas growthrates are expressedaspercentchanges atanannualrate.
Real GDPgrowth:Gross DomesticProduct, billions of chainweighted2005dollars, BureauofEconomicAnalysis
Nominal GDP growth:GrossDomesticProduct,billions of dollars,Bureauof EconomicAnalysis
CPIinflation rate:Bureauof Labor Statistics
Unemployment Rate:Bureauof Labor Statistics(quarterlyaverage ofmonthlydata)
3MonthTBillRate:Quarterlyaverage of 3monthTreasurybillsecondarymarketrate discountbasis,FederalReserve Board
10yr TreasuryBondRate:Quarterlyaverage of yieldon10yr U.S. Treasurybond,constructedfor FRB/USmodelbyFederalReserve staff
BBBCorporateBond Rate:Yieldon10yr BBBratedcorporate bond, constructedfor FRB/USmodelbyFederalReserve staff
MortgageRate:Freddie Mac
DowJones Total StockMarketIndex:Endof quarter value, DowJones
National HousePriceIndex:CoreLogic(seasonallyadjustedbyFederalReserve staff)
CREPriceIndex:Composite indexcreatedbyFederalReserve staff usingthe office,retail, andindustrialNCREIFTransactionBasedIndexes.
VIX:Chicago BoardOptions Exchange
UK Inflation:Office of NationalStatistics (uses RetailPrice Indextoextendseriesbackto1960) viaHaver
ExchangeRates:Bloomberg
EuroArea Real GDP Growth:staff calculations basedonStatisticalOffice of the EuropeanCommunitiesviaHaver
EuroArea Inflation:staffcalculationsbasedonStatisticalOffice ofthe EuropeanCommunityvia Haver
Real DisposablePersonal Incomegrowth:Billionsof chainweighted2002dollars, equalsnominaldisposable personalincome dividedbythe price
indexfor personalconsumptionexpenditures, Bureauof EconomicAnalysis
Nominal DisposablePersonalIncomegrowth:Billionsof dollars,Bureauof EconomicAnalysis
DevelopingAsia RealGDPGrowth:staff calculations basedonBankof KoreaviaHaver,Chinese NationalBureauof StatisticsviaCEIC,
IndianCentralStatisticalOrganizationviaCEIC, Census andStatisticsDepartmentof HongKongviaCEIC, andTaiwanDirectorate
GeneralofBudget, AccountingandStatistics viaCEIC.
DevelopingAsia Inflation:staff calculations basedonBankofKoreaviaCEIC, Chinese StatisticalInformationandConsultancyService
viaCEIC,andIMFRecentEconomicDevelopments, Labour Bureauof IndiaviaCEIC andIMF, CensusandStatisticDepartment ofHong
KongviaCEIC, Census andStatisticsDepartment of HongKongvia CEIC,andTaiwanDirectorateGeneralof Budget, Accountingand
Statistics viaCEIC.
JapanReal GDP Growth:CabinetOffice viaHaver
JapanInflation:Ministryof InternalAffairs andCommunicationsviaHaver
UK RealGDPGrowth:Office ofNationalStatistics viaHaver
43
SupervisoryStress Scenario
OBS
Euro Area
RealGDP
Growth
EuroArea
Inflation
EuroArea
Bilateral
Dollar
Exchange
Rate
($/Euro)
Developing
Asia Real
GDPGrowth
Developing
Asia
Inflation
Developing
Asia
Bilateral
Dollar
Exchange
Rate
(F/USD,
Index, Base
= 2000Q1)
JapanReal
GDPGrowth
Japan
Inflation
Japan
Bilateral
Dollar
Exchange
Rate
(Yen/USD)
UK Real
GDPGrowth
UK Inflation
UK Bilateral
Dollar
Exchange
Rate
(USD/Pound)
Q12001 3.70 1.06 0.88 3.82 1.59 105.90 1.79 0.55 125.54 5.38 0.09 1.43
Q22001 0.32 4.03 0.85 5.69 1.98 105.99 2.36 2.00 124.73 1.68 3.02 1.41
Q32001 0.16 1.44 0.91 4.45 1.20 106.29 4.63 0.59 119.23 2.66 1.02 1.47
Q42001 0.50 1.69 0.89 6.50 0.25 106.74 1.75 1.85 131.04 1.60 0.04 1.45
Q12002 0.91 2.97 0.87 7.16 0.32 107.20 1.19 1.11 132.70 3.31 1.90 1.43
Q22002 2.01 2.01 0.99 8.73 0.65 104.67 3.24 0.08 119.85 2.60 0.88 1.52
Q32002 1.34 1.62 0.99 4.71 1.44 105.41 3.09 0.44 121.74 3.17 1.34 1.56
Q42002 0.20 2.38 1.05 6.06 0.71 104.39 0.36 0.59 118.75 2.75 1.92 1.61
Q12003 0.11 3.24 1.09 6.63 3.14 105.40 1.57 0.04 118.07 2.73 1.58 1.59
Q22003 0.06 0.34 1.15 2.59 1.16 103.93 2.54 0.24 119.87 4.77 0.29 1.67
Q32003 2.03 2.17 1.16 12.51 0.01 102.59 2.95 0.64 111.43 4.07 1.70 1.67
Q42003 2.48 2.16 1.27 11.00 5.38 103.31 5.47 0.72 107.13 4.79 1.65 1.79
Q12004 2.27 2.32 1.23 4.57 4.11 101.39 4.55 0.60 104.18 3.06 1.31 1.85
Q22004 2.12 2.34 1.22 5.98 3.92 102.73 1.05 0.36 109.43 1.40 0.98 1.82
Q32004 1.65 2.00 1.23 8.32 3.84 102.67 2.47 0.04 110.20 0.53 1.02 1.82
Q42004 1.30 2.40 1.35 7.44 0.71 98.97 1.79 1.75 102.68 1.92 2.36 1.92
Q12005 0.67 1.50 1.30 7.81 2.80 98.66 2.92 0.91 107.22 1.27 2.55 1.89
Q22005 3.02 2.13 1.20 6.90 1.68 99.00 4.55 1.19 110.91 3.19 1.85 1.79
Q32005 2.41 3.12 1.20 9.31 2.44 98.55 2.79 1.36 113.29 3.38 2.68 1.75
Q42005 2.38 2.46 1.19 9.92 1.77 98.12 1.15 0.68 117.88 3.32 1.35 1.72
Q12006 3.86 1.62 1.22 11.60 2.37 96.84 0.01 1.31 117.48 3.08 1.90 1.75
Q22006 4.27 2.44 1.28 7.53 2.96 96.73 4.51 0.00 114.51 1.50 2.95 1.85
Q32006 2.67 1.99 1.27 8.36 1.77 96.32 1.30 0.40 117.99 0.90 3.21 1.89
Q42006 3.95 0.94 1.32 9.89 3.96 94.58 2.50 0.40 119.02 2.72 2.60 1.96
Q12007 3.53 2.21 1.33 13.97 3.75 93.97 4.60 0.24 117.56 4.23 2.70 1.96
Q22007 1.91 2.24 1.35 9.72 4.63 91.93 1.10 0.00 123.39 4.65 1.53 2.00
Q32007 2.42 2.07 1.43 8.50 7.22 90.62 1.18 0.12 114.97 4.79 0.19 2.04
Q42007 1.51 4.87 1.47 9.25 6.17 89.38 2.50 2.26 111.71 2.56 3.92 2.00
Q12008 2.36 4.14 1.59 8.73 7.65 87.94 2.79 1.30 99.85 0.10 3.81 2.00
Q22008 1.54 3.10 1.56 6.50 5.99 88.55 4.66 1.69 106.17 5.09 5.33 2.00
Q32008 2.10 3.04 1.41 4.21 2.72 91.24 5.38 3.28 105.94 7.92 5.59 1.79
Q42008 7.21 1.26 1.39 0.53 1.27 91.95 11.81 2.34 90.79 9.12 0.51 1.47
Q12009 10.81 1.07 1.33 5.33 1.25 94.02 19.91 3.14 99.15 6.32 0.33 1.43
Q22009 0.85 0.11 1.41 12.71 2.16 92.05 7.79 1.74 96.42 0.81 1.82 1.64
Q32009 1.77 0.96 1.47 12.11 4.46 91.12 1.75 1.83 89.49 0.93 3.29 1.61
Q42009 1.54 1.92 1.43 7.26 5.25 90.55 6.54 1.36 93.08 2.94 3.08 1.61
Q12010 1.32 1.76 1.35 10.74 4.71 89.79 8.91 1.36 93.40 0.64 4.58 1.52
Q22010 3.69 1.68 1.23 7.10 3.09 90.89 0.66 1.20 88.49 4.20 2.57 1.49
Q32010 1.62 1.53 1.35 8.78 3.97 88.27 3.96 2.68 83.53 2.47 1.96 1.56
Q42010 1.07 3.01 1.33 6.36 7.98 87.19 2.41 1.32 81.67 2.05 4.27 1.54
Q12011 3.10 3.59 1.41 9.05 6.18 86.44 3.77 0.40 82.76 1.58 7.22 1.61
Q22011 0.65 2.75 1.45 7.54 4.75 85.25 2.17 0.80 80.64 0.41 3.68 1.61
Q32011 1.33 1.24 1.35 7.52 5.38 87.66 1.01 0.08 77.04 0.70 3.28 1.56
Q42011 1.03 2.53 1.32 5.76 6.12 89.53 1.63 0.76 77.20 0.29 2.64 1.56
Q12012 3.49 1.69 1.30 4.93 4.75 91.49 0.48 1.53 77.94 1.60 1.50 1.56
Q22012 5.40 0.29 1.25 4.69 3.18 94.91 1.29 2.43 78.25 2.93 0.26 1.55
Q32012 6.91 0.99 1.19 4.67 2.07 100.27 3.94 3.85 78.95 4.25 0.90 1.53
Q42012 4.92 0.92 1.18 6.86 1.22 98.96 4.23 3.44 79.14 3.61 0.70 1.54
Q12013 2.64 0.49 1.18 7.91 1.08 97.48 3.51 3.19 79.25 2.41 0.35 1.53
Q22013 0.88 0.02 1.18 8.23 1.12 95.89 2.66 2.78 79.32 1.19 0.12 1.53
Q32013 0.35 0.43 1.19 8.25 1.21 94.26 1.77 2.34 79.38 0.10 0.57 1.53
Q42013 1.11 0.71 1.19 8.18 1.32 92.66 0.92 1.93 79.43 0.76 0.95 1.52
Q12014 1.50 0.87 1.20 8.15 1.44 91.15 0.14 1.56 79.51 1.39 1.25 1.52
Q22014 1.68 0.99 1.20 8.16 1.57 89.75 0.44 1.25 79.58 1.83 1.49 1.52
Q32014 1.74 1.11 1.20 8.21 1.73 88.45 0.83 0.99 79.63 2.12 1.69 1.52
Q42014 1.72 1.23 1.21 8.28 1.89 87.25 1.05 0.76 79.62 2.30 1.84 1.52
Notes:
Sources for datathrough2011:Q3(as releasedthrough11/08/2010).2011:Q3internationalGDPdatabasedonstaff calculations.
Values after thatdate equalassumptionsfor the supervisorystress scenario.
Variablesreported as growthratesare expressedas percent changesatanannualrate.
RealGDPgrowth:GrossDomesticProduct,billions of chainweighted2005dollars, Bureauof EconomicAnalysis
Nominal GDPgrowth:GrossDomesticProduct,billionsofdollars,Bureauof EconomicAnalysis
CPIinflationrate:Bureauof Labor Statistics
Unemployment Rate:BureauofLabor Statistics(quarterlyaverage of monthlydata)
3MonthTBill Rate:Quarterlyaverage of 3monthTreasurybillsecondarymarketrate discountbasis, FederalReserve Board
10yr TreasuryBond Rate:Quarterlyaverage of yieldon10yr U.S. Treasurybond, constructedfor FRB/USmodelbyFederalReserve staff
BBBCorporateBond Rate:Yieldon10yr BBBrated corporate bond, constructedfor FRB/USmodelbyFederalReserve staff
MortgageRate:Freddie Mac
DowJones Total StockMarket Index:Endof quarter value,DowJones
National HousePriceIndex:CoreLogic(seasonallyadjustedbyFederalReserve staff)
CRE PriceIndex:Composite indexcreatedbyFederalReserve staff usingthe office, retail, andindustrialNCREIFTransactionBasedIndexes.
VIX:ChicagoBoardOptionsExchange
Japan RealGDPGrowth:CabinetOffice viaHaver
Japan Inflation:Ministryof InternalAffairsandCommunicationsviaHaver
UK RealGDPGrowth:Office of NationalStatisticsviaHaver
UK Inflation:Office ofNationalStatistics(uses RetailPrice Indextoextendseries backto1960) viaHaver
ExchangeRates:Bloomberg
DevelopingAsia Inflation:staff calculationsbasedonBankof KoreaviaCEIC, Chinese StatisticalInformationandConsultancyService
viaCEIC,andIMFRecentEconomicDevelopments,Labour Bureauof IndiaviaCEICandIMF, Census andStatisticDepartmentof Hong
KongviaCEIC,CensusandStatisticsDepartmentof HongKongviaCEIC, andTaiwanDirectorateGeneralof Budget, Accountingand
Statistics viaCEIC.
RealDisposablePersonal Incomegrowth:Billionsofchainweighted2002dollars,equalsnominaldisposable personalincome dividedbythe price
indexfor personalconsumptionexpenditures, Bureauof EconomicAnalysis
Nominal DisposablePersonalIncomegrowth:Billionsof dollars, BureauofEconomicAnalysis
Euro Area RealGDP Growth:staff calculationsbasedonStatisticalOffice of the EuropeanCommunities viaHaver
Euro Area Inflation:staff calculationsbasedonStatisticalOffice ofthe EuropeanCommunityviaHaver
DevelopingAsia RealGDP Growth:staff calculationsbasedonBankof KoreaviaHaver, Chinese NationalBureauof StatisticsviaCEIC,
IndianCentralStatisticalOrganizationviaCEIC, Census andStatistics DepartmentofHongKongviaCEIC,andTaiwanDirectorate
Generalof Budget,AccountingandStatisticsviaCEIC.
44
AppendixB
ModelstoProjectNetIncomeandStressedCapital
Thisappendixcontainsdescriptionsofthemodelsusedtoprojectpretaxnetincomeand
stressedcapitalratiosforthe19BHCsparticipatinginCCAR2012.Themodelsfallintofourbroad
categories:
Modelstoprojectlossesonloansintheaccrualloanportfolio;
Modelstoprojectothertypesoflosses,includingonsecurities,tradingandcounterparty
exposures,lossesrelatedtooperationalriskevents,changesinfairvalueonloansheldforsale
ormeasuredunderthefairvalueoption,andmortgagerepurchase/putbacklosses;
ModelstoprojecttheelementsofPPNR(revenuesandnoncreditrelatedexpenses);and
Themodelthatprojectscapitalratios,givenprojectionsofpretaxnetincome,assumptionsfor
determiningprovisionsintotheALLL,andtheBHCsplannedcapitalactions.
B1.LossesontheAccrualLoanPortfolio
Morethanadozenindividualmodelswereusedtoprojectlossesonloansheldintheaccrual
loanportfolio,spanningarangeofindividualloantypes.Theseloantypescanbroadlybedividedinto
wholesalelending,suchascommercialandindustrial(C&I)loansandcommercialrealestate(CRE)loans,
andretaillending,includingvarioustypesofresidentialmortgages,creditcards,studentloans,auto
loans,smallbusinessloans,andotherconsumerlending.Themodeldescriptionsinthissectioncover
themodelsdevelopedforthemajorcategoriesofwholesaleandretailloans.Insomecases,these
majorcategoriescompriseseveralsubcategories,eachwithitsownlossprojectionmodel,butthe
modelsforthevarioussubcategoriesaresimilarinstructureandapproach.
Therearetwogeneralapproachestakentomodelinglossesontheaccrualloanportfolio.Inthe
firstapproach,themodelsattempttocapturethehistoricalbehaviorofnetchargeoffsrelativeto
changesinmacroeconomicandfinancialmarketvariablesandloanportfoliocharacteristics.Inthe
secondapproach,themodelsestimatelossesbyprojectingtheprobabilityofdefault(PD),lossgiven
default(LGD),andexposureatdefault(EAD)foreachquartertofthestressscenariohorizon:
Ioss
t
= P
t
- I0
t
- EA
t
.
45
Theprobabilityofdefault,PD,isgenerallymodeledaspartofatransitionprocess,wherecreditsmove
fromonepaymentstatusstatetoanother(e.g.,fromcurrenttodelinquent)inresponsetoeconomic
conditions.ThePDisthelastofthesetransitions,representingthelikelihoodthataloanwillentera
defaultedstateduringagivenperiod.Thenumberofpaymentstatusstatesandthetransitionpaths
differbyloantype.Lossgivendefault,LGD,istypicallydefinedasapercentageoftheexposureat
default(EAD),andismodeledbasedonhistoricaldata.SometimesLGDismodeledasafunctionof
borrower,collateral,orloancharacteristicsandthemacroeconomicvariablesfromtheSupervisory
StressScenario,whileinothercases,itisassumedtobeafixedpercentageforallloansinacategory.
Finally,theapproachtoEADvariesbyloantype,dependingonwhethertheoutstandingamountat
defaultcanvaryfromthecurrentoutstandingloanbalance(forlendinginvolvingsomeformofcredit
line,forinstance)orwhetheritisfixedatthecurrentloanbalance.
ThemodelsprojectlossesbasedonthedetailedloanportfoliodataprovidedbytheBHCsonthe
regulatoryreports.ThesedatadescribetheBHCsloanportfoliosasofSeptember30,2011,sothe
modelingoflossesfocusesprimarilyonlossesarisingfromloansintheaccrualloanportfolioasofthat
date.However,theoverallprojectionoflossesincorporatesloansthatareoriginatedorpurchasedafter
thebeginningofthestressscenariohorizon.Theseincrementalloanbalancesaredeterminedbasedon
projectionsofloanbalances(thatis,thetotalamountofloansheldonthebalancesheet)overthestress
scenariohorizonmadebytheBHCsaspartoftheirCCAR2012capitalplansubmissions.Therisk
characteristicsoftheseincrementalbalancesareassumedtobethesameasthoseoftheoriginal
September30,2011,loanportfolio,exceptforloanageintheretaillendingportfolios,wheretheimpact
ofloanseasoningwasincorporated.Thisisasimple,butgenerallyconservativeassumption.
Lossprojectionsgeneratedbythemodelsareadjustedtotakeaccountofpurchaseaccounting
treatment,whichrecognizesdiscountsonimpairedloansacquiredduringmergers,andanyotherwrite
offsalreadytakenonloansheldintheaccrualloanportfolio.Thisadjustmentismadetoensurethat
lossesrelatedtotheseloansarenotdoublecountedintheprojections.
WholesaleLending:LargeCommercialandIndustrial(C&I)Loans
Lossesonlargecommercialandindustrial(C&I)loansaremodeledbyestimatingtheimpactof
macroeconomicvariablesontheprobabilityofdefault(PD)fortheseexposures.Thefirststageofthe
modelingprocessisestimationofaseriesofequationsrelatinghistoricalchangesinthemedian
probabilityofdefaultfor12differentborrowerindustries,sixcreditqualitycategories,andcountriesof
incorporationtomacroeconomicvariables,includingchangesinstockpricevolatilityandthespreadon
46
BBBratedcorporatebonds.Defaultprobabilitydataarederivedfromexpecteddefaultfrequency
estimates.TheseequationsareusedtoprojectquarterlychangesinPDattheborrowerindustrycredit
qualitycountryleveloverthestressscenariohorizonusingvaluesforthemacroeconomicvariablesas
specifiedintheSupervisoryStressScenario.
Thenextstageistousedetailed,loanlevelinformationsubmittedbythe19BHCstocalculate
expectedlossesasofSeptember30,2011,foreveryloan.Probabilityofdefaultforeachloanis
estimatedbymappingitsinternalcreditratingassignedbytheBHCtoastandardizedratingscaleand
thenlinkingthesestandardizedratingstodefaultprobabilities.Loansthatare90dayspastdue,onnon
accrual,orhaveanASC31010reserveasofSeptember30,2011,areconsideredtobeindefaultand
areassignedaPDof100percent.Expectedlossiscalculatedforeachloanusingtheseestimateddefault
probabilitiesandsupervisoryassumptionsaboutdrawdownrates(exposureatdefault,orEAD,whichis
determinedbytherelativelevelofthefundedandunfundedcommitment)andlossgivendefault(LGD),
whichisdeterminedbythelineofbusiness,country,securedversusunsecured,andFAS114reserve,if
applicable.Thesesupervisoryassumptionsarebasedonanalysisofhistoricaldata.
Inthefinalstep,thepathofexpectedlossesoverthestressscenariohorizonisgeneratedby
assumingthatexpectedlossesforeveryloanmoveproportionatelytotheprojectedchangeinPDfor
thatloansindustry,creditquality,andcountry,asmodeledinthefirststage.TotallossesforeachBHC
arecalculatedasthesumofprojectedlossesacrosstheloans.

WholesaleLending:CommercialRealEstate(CRE)Loans
Lossesoncommercialrealestate(CRE)loansaremodeledbyestimatinganindexofthe
riskinessforeachBHCsCREportfolioandthenprojectinglossesoverthestressscenariohorizonby
anchoringtheseindexvaluestoindustrywideestimatesofCREnetchargeoffratesunderthe
SupervisoryStressScenario.TheriskinessofeachBHCsCREportfolioiscalculatedusinghistoricalloan
leveldatasubmittedbytheBHCs,containinginformationaboutloancharacteristics,includingcollateral
(typeofproperty),geography(wheretheunderlyingpropertyislocated),vintage,loancharacteristics
(fixedorfloatingrate),andcurrentloantovalue(LTV)ratio,debtservicecoverageratio,amongother
characteristics,andtheBHCsinternalriskratingfortheloan.
CREloansaredividedintothreemajorsegments,followingregulatoryreportdefinitions:
multifamily,constructionandlanddevelopment,andnonfarm,nonresidentialloans.Foreach
segment,thefirststageistoestimateaprobitmodeldescribingtheprobabilitythataloanreceivesan
internalcreditrating(thatis,acreditratingdeterminedbytheBHC)atorbelowtheequivalentof
47
CCC/Caa,basedonloanlevelcharacteristicsandsupplementalinformationaboutthecharacteristicsof
market(geographiclocation)inwhichtheunderlyingpropertyislocated.
TheresultsoftheseestimatesareusedtogenerateanindexoftheriskinessofeachBHCs
multifamily,constructionandlanddevelopment,andnonfarm,nonresidentialCREportfolios,where
riskinessismeasuredasthemodeledlikelihoodthatanaveragedollarintheportfoliowouldberated
atorbelowCCC/Caa.TheriskinessindexiscalculatedforeachBHCsCREportfolioasofSeptember30,
2011.Themodeledlikelihoodisusedinplaceoftheactualshareofdollarvalueloansinternallyratedat
orbelowCCC/Caainordertocapturethetypicalrelationshipbetweenthedrivingvariablesandinternal
creditqualityratings,asawayofaccountingfordifferencesacrossBHCsintheprocessandcalibration
oftheirinternalratingsystems.
CRElossratesforindividualBHCsareanchoredtoindustrywideprojectionsofnetchargeoff
ratesforthebankingindustryasawholeundertheSupervisoryStressScenario.Specifically,eachBHCs
netchargeoffrateisassumedtodifferfromtheaverageindustrywiderateaccordingtoitsestimated
positioninamodeleddistributionfittotheCREriskindicesacrossthe19BHCs.BHCswithriskindices
above/belowtheaverageareprojectedtohavenetchargeoffratesabove/belowtheaggregaterateto
acorrespondingdegree.Theseprojectednetchargeoffratesareappliedtoloanbalancesineach
quarterofthestressscenariohorizon(asprovidedbytheBHCs)togeneratelossamountsforthe
multifamily,constructionandlanddevelopment,andnonfarmnonresidentialCREportfolios.
RetailLending:ResidentialMortgages(FirstLien,HELOC,HELOANs)
Lossesonresidentialmortgagesareprojectedbymodelingtheimpactofloancharacteristics
andmacroeconomicvariablesontheprobabilityofdefault(PD)andonlossgivendefault(LGD).The
firststageofthisprocessistousehistorical,loanleveldatatomodeltheprobabilitythatloans
transitiontodifferentpaymentstatuses.Thesepaymentstatusesincludecurrent,delinquent,and
defaultwherethesearedeterminedbythenumberofdaysaloanpaymentispastdueaswellas
payoff(theloanisrepaid).Thehistoricaldataareindustrywideloandatafrommanybanksand
mortgageloanoriginators.Separatetransitionmodelsareestimatedforthreecategoriesofclosedend
firstlienmortgagesadjustablerate,fixedrate,andoptionadjustableratemortgages;homeequity
linesofcredit;andsecondlienhomeequityloans.Whilethespecificdetailsvarybyloantype,in
generalthemodelsmeasuretheprobabilitythataloantransitionsfromonepaymentstatetoanother
(e.g.,fromcurrenttodelinquentorfromdelinquenttodefault)overaquarter,giventhecharacteristics
48
oftheloan,borrowersandunderlyingproperty,aswellasmacroeconomicvariablessuchaslocalhouse
pricegrowth,thestatewideunemploymentrate,andinterestrates.
Theresultingestimatesarecombinedwithindustrywideinformationaboutthecharacteristics
ofoutstandingresidentialmortgageloansasofSeptember30,2011,andthevariablesdefiningthe
SupervisoryStressScenariotogenerateprojectionsofdefaultprobabilitiesoverthestressscenario
horizon.OutstandingloansaregroupedintosegmentscorrespondingtothoseontheY14Qregulatory
reports,includinginitialpaymentstatus(currentordelinquent),geography,vintage,originalborrower
FICOscore,originalLTV,and(forhomeequityproducts)combinedLTVtogeneratesegmentlevel
defaultprobabilities.ThesesegmentleveldefaultprobabilitiesarethenappliedtoeachBHCsbalances
inthesesegmentsasofSeptember30,2011,asreportedbytheBHCsonregulatoryreports.This
processgeneratesaBHCspecificpathofprojecteddefaultprobabilitiesoverthestressscenariohorizon.
Lossgivendefaultiscalculatedbasedonastatisticalmodelthatisestimatedusinghistorical
dataforprivatelabelmortgagebackedsecurities.Themodeltakesintoaccounttheprojectedpathof
housepricesandthelikelypropertyvaluediscountassociatedwithdistressedsales.Theselossesare
partitionedintothoserelatedtonetchargeoffsonthedefaultedloansandthoserelatedtoeventual
saleoftheunderlyingproperty(OREOexpenses).
28
Changesinhousingpricesupuntilforeclosureend
(REOacquisition)arecapturedinLGD,whilechangesafterforeclosureandbeforesaleoftheproperty
arecapturedinOREOexpenses.TheLGDforloansalreadyindefaultasofSeptember30,2011,includes
furtherhomepricedeclinesthroughthepointofforeclosure.Forhomeequitylinesofcredit,balances
outstandingatthetimeofdefault(EAD)arebasedonthepercentageofcreditlinedrawnbefore
default,withhigherdrawnamountsassumedtoresultinadditionaldrawdownsandhigherexposureat
default.Takentogether,thepathofPDandassumedormodeledvaluesofLGDandEADgeneratea
pathforlossesbyportfoliosegment,whichareaggregatedtodetermineoveralllossesontheresidential
mortgageloanportfoliosateachBHC.
RetailLending:CreditCards
Lossesoncreditcardportfoliosareprojectedbymodelingtheimpactofborrowerandaccount
characteristicsandmacroeconomicvariablesontheprobabilityofdefault(PD)fordifferenttypeof
creditcardproducts.Thefirststageofthisprocessistousehistorical,loanleveldatatomodelthe
probabilitythatloanstransitiontodifferentpaymentstatusstates.Thesepaymentstatusstatesinclude
28
ExpensesrelatedtoOREOareincludedinprojectionsofPPNR.
49
current,delinquent,anddefaultwherethesearedeterminedbythenumberofdaysaloanpaymentis
pastdue.Thehistoricaldataareindustrywidedatafrommanybanks.Separatetransitionmodelsare
estimatedforbankcardsandchargecards.Whilethespecificdetailsvarybyloantype,ingeneralthe
modelsmeasuretheprobabilitythataloantransitionsfromonepaymentstatetoanother(e.g.,from
currenttodelinquentorfromdelinquenttodefault)overasixmonthperiod,giventhecharacteristicsof
theloanandborrower,aswellasmacroeconomicvariablessuchastheunemploymentrate.
Theresultingestimatesarecombinedwithindustrywideinformationaboutthecharacteristics
ofoutstandingcreditcardfacilitiesasofSeptember30,2011,andthevariablesdefiningtheSupervisory
StressScenariotogenerateprojectionsofdefaultprobabilitiesoverthestressscenariohorizon.These
defaultratesareappliedtoprojectionsofoutstandingbalancesatthetimeofdefault,wherebalances
projectionsreflecttypicalbalancebehaviorasaccountstransitionacrosspaymentstatusstates(e.g.,
balancedrawdownsasaccountstransitionfromcurrenttodelinquentorfromdelinquenttodefault).
TypicalbalancebehavioriscalibratedusingcrossfirmdatasubmittedbytheBHCsonregulatoryreports.
Finally,lossgivendefaultisthesameforallBHCsbutfixedbycardtype(bankcardversuschargecard),
wherethelossseverityrateiscalibratedusingdatafromtheBHCsoveraperiodofeconomicdownturn
thefirstquarterof2008tothefourthquarterof2009.
CreditcardaccountsoutstandingasofSeptember30,2011,aregroupedintosegmentsdefined
byfactorssuchasinitialpaymentstatus(currentordelinquent),geography,vintage,creditline,and
borrowerFICOscore.Lossesforeachsegmentaregeneratedastheproductofprojected
PD*LGD*outstandingbalancesoverthestressscenariohorizonforindustrywideloansinthatsegment.
Quarterlylossresultsaregeneratedfromthesixmonthmodeledresultsbydividinglossesforeachsix
monthperiodinhalf.Thesequarterly,segmentlevellossratesarethenappliedtoeachBHCsbalances
inthesesegmentsasofSeptember30,2011,asreportedbytheBHCsonregulatoryreports.This
processgeneratesaBHCspecificpathofprojectedlossratesoverthestressscenariohorizon.

RetailLending:AutoLoans
Lossesonautoloanportfoliosareprojectedbymodelingtheimpactofborrowerandaccount
characteristicsandmacroeconomicvariablesontheprobabilityofdefault(PD).Thefirststageofthis
processistousehistorical,loanleveldatatomodeltheprobabilitythatloanstransitiontodefault
wheredefaultisdeterminedbythenumberofdaysaloanpaymentispastdueorbyactionsofthe
borrower(bankruptcy)andthelender(repossession).Thehistoricaldataareindustrywidedatafrom
manybanksandautoloanoriginatorscompiledbyanindustryvendorandsupplementedbydata
50
collectedbytheFederalReserve.Themodelmeasurestheprobabilitythataloantransitionsfromits
initialpaymentstate(e.g.,currentordelinquent)todefaultoverfuturesixmonthperiods,giventhe
characteristicsoftheloanandborrower,aswellasmacroeconomicvariablessuchastheunemployment
rateandhousepriceindex.
Theresultingequationsareusedtogenerateestimateddefaultprobabilitiesovertheperiod
2007to2011usinginformationonautoloansoutstandingateachofthe19CCARBHCsduringthat
period.TheseestimatedPDsarecombinedwithestimatesoflossgivendefaultandexposureatdefault
togenerateestimatedautoloanlossesateachofthe19BHCsovertheperiod2007to2011.Exposure
atdefaultisprojectedbasedonthetypicalpatternofpaydownsandbalancesofdefaultingloansin
historicalcreditbureaudata.Lossgivendefaultisalsobasedonhistoricalinformationandon
supervisoryinformationabouttypicalassumptionsmadebyBHCsintheirinternalmodels.
Theseestimatedlossesareregressedagainstactualautoloannetchargeoffsatthe19BHCs
from2007to2011,alongwithvariablescapturingotherautoloanportfoliocharacteristics.Thisprocess
isintendedtoensurethatthefinallossprojectionsincorporateimportantriskcharacteristicsofauto
loanportfoliosthatarenotincludedinthehistoricalindustrydata,butwhichareavailablefromthe
detaileddatacollectedfromtheBHCs.Projectedautoloanlossesoverthestressscenariohorizonare
generatedbasedonthecharacteristicsofeachBHCsautoloanportfolioasofSeptember30,2011using
theindustrymodelparametersandtheresultsofthesecondstageregressionmodel.
RetailLending:OtherRetailLending
Theotherretaillendingproductportfoliosincludethesmallbusinessloanportfolio,theother
consumerloanportfolio,thestudentloanportfolio,thecorporatecreditcardportfolio,and
internationalretailportfolios.Duetodatalimitationsandtherelativesmallsizeoftheseportfolios,loan
levelmodelsofdefaultarenotfeasible.
Themodelsdesignedtoprojectcreditlossesonotherretaillendingportfoliosuserisksegment
leveldatatoidentifythedynamicdriversofriskaftercontrollingfortheriskcharacteristicsoftheloans
withintheportfolios.Risksegmentsdividetheportfoliobycharacteristicssuchasborrowercredit
score,loanvintage,typeoffacility(e.g.,installmentversusrevolving),andgeographicregionsfor
internationalportfolios.Foreachproduct,asystemofequationsrepresentingthedelinquencyrate,
defaultrate,andchargeoffrateismodeled.Eachrateismodeledasafunctionofthelagsoftheratein
thepreviousdelinquencystate,macroeconomicvariables,andstaticriskcharacteristics.Byincluding
lagsoftherateinthepreviousdelinquencystate,thesemodelsimplicitlycapturetherollratedynamics
51
ofthedifferentproducttypes.Thestaticriskcharacteristicsoftheunderlyingloans,suchasorigination
creditscoresandloantovalueratios,areinteractedwiththemacroeconomicvariablestoidentifythe
differencesinsensitivitiesofthelossesindifferentrisksegmentstofluctuationsinthemacroeconomic
variables.Foreachproduct,economictheoryandtheinstitutionalcharacteristicsoftheproductguide
theinclusionandlagstructureofthemacroeconomicvariables.
ProjectedlossesforeachBHCaregeneratedbyseedingthesemodelswiththerisk
characteristicsoftheBHCsloanportfolioasofSeptember30,2011,alongwithlagged(actual)valuesof
delinquency,default,andchargeoffratesandrollingtheequationsforwardoverthestressscenario
horizon.
B2.OtherLosses
SecuritiesintheAFSandHTMPortfolios
LossesonsecuritiesheldintheAFSandHTMportfoliosareprojectedotherthantemporary
impairment(OTTI)overthestressscenariohorizon.FollowingU.S.GAAP,OTTIprojectionsincorporate
otherthantemporarydifferencesbetweenamortizedcostandfairmarketvalueduetocredit
impairment,butnotdifferencesreflectingchangesinliquidityormarketconditions.Someofthe
AFS/HTMsecuritiesareassumednottobeatriskforthekindofcreditimpairmentthatresultsinOTTI
charges,includingU.S.TreasuryandU.S.governmentagencyobligationsandU.S.governmentagency
mortgagebackedsecurities(MBS).Theremainingsecuritiescanbegroupedintotwobasiccategories:
securitizations,wherethevalueofthesecuritydependsonthevalueofanunderlyingpoolofcollateral,
anddirectobligationssuchascorporateorsovereignbonds,wherethevalueofthesecuritydepends
primarilyonthecreditqualityoftheissuer.
29
FederalReserveanalystsdevelopedorimplementedten
separatemodelstoprojectOTTI,reflectingdifferencesinthebasicstructureofthesecurities
(securitizedversusdirectobligation)anddifferencesinunderlyingcollateralandobligortype.Overall,
theOTTIprojectionsinvolveanalysisofmorethan80,000individualpositionsattheCUSIPlevel.
Ingeneralterms,theapproachesusedforCCAR2012arebasedonapproachesusedbybanks
andBHCsindeterminingwhenasecurityissubjecttoanOTTIimpairmentcharge.Forsecuritized
obligations,creditandprepaymentmodelsestimateddelinquency,default,severity,andprepayment
vectorsontheunderlyingpoolofcollateralundertheSupervisoryStressScenario.Inmostcases,these
projectionsincorporaterelativelydetailedinformationontheunderlyingcollateralcharacteristicsfor
29
EquitiesarealsoheldintheAFSandHTMportfolios,althoughinsmallamounts.Lossesonthesepositionswere
calculatedbyapplyingmarketvalueshocksbasedontheequitypriceschangesintheSupervisoryStressScenario.
52
eachindividualsecurity,derivedfromcommercialdatabasesthatcontainloanlevelcollateraland
securitystructureinformation.Delinquency,default,severityandprepaymentvectorswereprojected
eitherusingeconometricmodelsdevelopedbytheFederalReserveorindustryvendormodelsdesigned
toprojecttheseestimatesinstressedeconomicenvironments.Thesevectorswerethenappliedtoa
commercialcashflowenginethatcapturesthespecificstructureofeachsecurity(e.g.,tranche,
subordination,andpaymentrules)tocalculatetheintrinsicvalue(presentvalueofthecashflows)for
thatsecurity.Iftheprojectedintrinsicvaluewaslessthanthevalueatwhichthesecurityisbeing
carriedontheBHCsbalancesheet(amortizedcost),thenthesecuritywasconsideredtobeotherthan
temporarilyimpairedandOTTIwascalculatedasthedifferencebetweenamortizedcostandintrinsic
value.
Fordirectobligations,thebasicapproachistoassesstheprobabilityofdefaultorseverecredit
deteriorationforeachsecurityissuerorgroupofsecurityissuersoverthestressscenariohorizon.
Probabilityofdefaultwaseithermodeleddirectlyorinferredbymodelingchangesinexpecteddefault
frequenciesorcreditdefaultswap(CDS)spreadsforthebondsinquestion.Asecuritywasconsideredto
beotherthantemporarilyimpairediftheprojectedvalueofthePDorCDSspreadcrossedapre
determinedthresholdlevel,generallythelevelconsistentwithaCCC/Caarating,atanypointduringthe
stressscenariohorizon.Lossgivendefaultonthesesecuritieswasbasedonhistoricaldataonbond
recoveryrates.OTTIwascalculatedasthedifferencebetweenthebondsamortizedcostandits
projectedvalueundertheSupervisoryStressScenario.
NoOTTIchargesareassignedtosecuritiesassumedtobeacquiredbytheBHCsafterSeptember
30,2011,(incrementalbalances),sincetheseareassumedtobepurchasedatalreadydiscounted
prices.ThisassumptionisalsoconsistentwithhistoricaldatashowingthatthecompositionoftheAFS
andHTMportfoliostendstoshifttowardU.S.Treasuryandagencyobligationsintimesofeconomic
stress,suggestingthatincrementalAFS/HTMbalancesarelesslikelytobeatriskofgeneratingOTTI
charges.
TradingandCounterpartyCreditRisk
Themethodsusedtoprojectlossesontradingpositionsandcounterpartyriskexposuresalso
takeaccountoftheaccountingtreatmentofthesepositions.Positionsinthetradingaccountare
markedtomarketonadailybasis,sotheapproachusedtogeneratelossprojectionsontrading
positionsisintendedtocapturethemarketvalueimpactoftheglobalfinancialmarketshock.Total
potentiallossesoftradingpositionsunderastressedmarketenvironmentcanbebrokenoutintotwo
53
primarytypes.Thefirstisthelossarisingfromadecreaseinthemarketvalueofalltradingpositions,
regardlessoftheBHCscounterparties.Thesecondisthecounterpartycreditriskstemmingfromboth
changesinthesizeofcounterpartyexposuresanddeteriorationofcounterpartiescreditworthiness
understressedmarketconditions,whichadverselyaffectstheriskinessofpositivelyvaluedtrading
positions.Themodelsusedtoprojectlossesontradingpositionsundertheglobalfinancialmarket
shocktakeaccountofbothsourcesoflosses.
TheapproachusedtogeneratemarketvaluelossesontradingpositionsreliesonBHCestimates
ofthesensitivityofthevalueofthesepositionstochangesinawiderangeofmarketrates,prices,
spreads,andvolatilities.Theimpactofthemarketriskshockiscalculatedbymultiplyingthese
sensitivitiesbytheriskfactorchangesincludedintheglobalfinancialmarketshockdevelopedbythe
FederalReserve.Theseshocksareassumedtobeinstantaneousandnoadditionalhedgingorchanges
inpositionsareincorporatedintothelosscalculation.Theresultingnumberswereadjustedtotake
accountofpositionsnotwellcapturedinthedatareportedbytheBHCs.Theseadjustmentswerebased
onadditionalinformationprovidedbytheBHCs,andtheincrementallossesfromthesesources
identifiedintheirownglobalfinancialmarketshockprojections,asreportedintheircapitalplans.
Theapproachusedtogeneratecounterpartycreditlossesattemptstocapturetheimpactofthe
globalfinancialmarketshockonthecreditvaluationadjustments(CVA)ofthesixBHCswithlarge
tradingpositions.CVAsareadditionaladjustmentstothemarktomarketvaluationoftheBHCstrading
portfoliostocapturetheimpactofcounterpartycreditrisktheriskthatacounterpartytoaderivative
orothertradingpositionwilldefaultonitsobligations.Theseprojectionsaremadeusingdataon
baselineandstressedexposure,lossgivendefault(LGD),andprobabilityofdefault(PD)ofthe
counterparty,todetermineabaselineandstressedCVA.TheCVAlossisthedifferencebetweenthe
baselineandstressedvaluesofCVA.
InadditiontocapturingtheimpactoftheglobaltradingshockonCVAs,themodelsalsocapture
thepotentialadditionalimpactofactualdefaultsofindividualcounterpartiesandobligors,or
incrementaldefaultrelatedlosses(IDR)inexcessofthemarktomarketlossesassociatedwiththe
defaultingobligors.ThemodelsforIDRsimulatelossfromjumptodefaultforvariouscategoriesof
obligorsandcounterparties,groupedbyproducttypeandcreditrating.IDRisanestimateoflosses
fromjumptodefaultinthetailofthedistributionofdefaults,wherethetailpercentilewascalibrated
totheshocksinthemacroeconomicscenario.Themodelhasthreekeycomponents:assetcorrelations
thatdeterminethecorrelationofobligordefaults,LGD,andthecreditqualityofobligorsand
counterparties.ForIDRoncollateralizedcounterpartycreditpositions,theprojectionsassumeamargin
54
periodofriskaftertheinitialmarketshockduringwhichnoadditionalcollateralflowsarerecognized
anddefaultriskiselevatedtoreflectthefundingstressfromcollateralcalls.
Theglobalfinancialmarketshockcalculationsfortradingandcounterpartypositionsaremade
justforthesixBHCswithlargetradingoperations,largelybecausetradingoperationsarea
proportionatelymoresignificantdriverofriskandperformanceatthesefirmsthanattheother13BHCs
participatinginCCAR2012.Nonetheless,theFederalReservesprojectionsofPPNRforall19BHCs
incorporatetheimpactoftheSupervisoryStressScenarioontherevenuesgeneratedbydaytoday
tradingactivitiessuchasmarketmakingforcustomersandclients.Whilethetradingactivitiesofallthe
BHCsarethereforereflectedinthestressscenarioprojections,limitingtheglobalfinancialmarketshock
tothesixwithverylargetradingoperationsmeansthattheanalysisismorestringentfortheseBHCsin
waysthatreflecttherisksgeneratedbytheirbusinessactivitiesandmarketfocus.
LossesRelatedtoOperationalRiskEvents
Themodelusedtogenerateprojectionsofoperationalrisklossesprojectsoperationalrisk
lossesforthe19BHCsasagroupandthendistributestheseaggregatelossesacrosstheBHCsin
proportiontotheirQ32011tier1commoncapital.Thisapproachreflectstheidiosyncraticnatureof
operationalriskevents,aswellasdifferencesacrossthe19BHCsinthewaytheseeventsarecaptured
andreportedinthedatasubmittedtotheFederalReserve,whichsuggestthatindustrylevelprojections
mightbemorerobustthanfirmspecificresults.
Theprojectionsofindustryleveloperationalrisklosseshavetwoprimarycomponents.Thefirst
componentprojectsthenumberofoperationalriskeventslikelytobeexperiencedbyeachofthe19
BHCsundertheSupervisoryStressScenario.Theseprojectionsarebasedonalargedatabasecollected
bytheFederalReserveofoperationalriskeventsexperiencedbytheseBHCSduringtheyears2004to
2010.Thedataaregroupedintosevencategoriesofoperationalriskeventtypes,basedonthe
categoriesusedinBaselcapitalchargesforoperationalrisk.
30
Thegroupeddataareusedtocalibrate
themodel,alongwithvariablesthatcapturemacroeconomicconditionsandBHCspecific
characteristics.ThefrequencyofoperationalriskeventsisprojectedbyeventtypeforeachBHCusing
themodelcalibratedonindustrywidedatawithdescriptivedatafortheBHCandthevariablesinthe
SupervisoryStressScenario.
30
Thesevenoperationalrisktypecategoriesareinternalfraud;externalfraud;employmentpracticesand
workplacesafety;clients,productsandbusinesspractice;damagetophysicalassets;businessdisruptionand
systemfailure;andexecution,deliveryandprocessmanagement.
55
Thesecondcomponentofthemodelisanestimateoftheexpectedseverity(dollarloss)ofthe
operationalriskevents.Severityiscalculatedusinghistoricaloperationallossdata,withseparate
severityestimatesforeachofthesevendifferentcategoriesofoperationalriskevent.Operationalrisk
lossesaregeneratedbyprojectingthefrequencyoflossesforeachofthe19BHCsundertheSupervisory
StressScenarioforeachoperationalrisktypecategoryandthenapplyingthecorrespondingseverity
assumption.TheoperationalrisklossesaresummedacrosseventtypesandBHCstogettheaggregate
forthegroup.ThisaggregateisthenredistributedtotheindividualBHCsinproportiontoeachBHCs
tier1commonequityasofSeptember30,2011.
LoansHeldforSaleorMeasuredUndertheFairValueOption
Certainloansarenotaccountedforonanaccrualbasis.Loanstowhichthefairvalueoption
(FVO)isappliedaremarkedtomarket,whileloansclassifiedasheldforsale(HFS)arecarriedatthe
lowerofamortizedcostormarketvalue.TheseloanswereidentifiedbytheBHCsintheregulatory
reportssubmittedaspartoftheCCARprocess.SimilartoothermarktomarketpositionsontheBHCs
balancesheets(e.g.,tradingaccountpositions),changesinvalueoftheseloanswerecalculatedunder
theassumptionsoftheglobalfinancialmarketshock.Thespecificapproachvariedbythetypeofloan.
TheapproachusedtostressC&IloansheldunderFVOandHFSaccountingstandardswasbased
onasetofshocksappliedtooutstandingandcommittedC&Iloanbalances.Loanportfolioswere
segmentedbasedoninvestmentgradeandsubinvestmentgraderatingsasreportedbytheBHCs,with
afurtherdistinctionmadeforthetypeofloanfacilityandamountfunded.Lossrateswerecomposedof
ashocktothefundedportionnetofmarketvalueadjustments,andashocktotheremainingunfunded
portion.
Theapproachusedtoprojectstresslossesforcommercialrealestateandretailloansheldunder
FVOandHFSaccountingstandardssegmentedexposuresbymajortypeofloan(e.g.,residential
mortgages,studentloans,creditcards,andthemajorcategoriesofcommercialrealestateloans)andby
loanvintage(yearoforigination).Shocksconsistentwiththeglobalfinancialmarketshockwereapplied
basedonvintageandloancharacteristicssuchascarryvaluesandcollateral,wherethesefactorsare
applicable.ResidentialmortgageloansunderforwardcontractwiththeGSEsweregenerallyexcluded.
MortgageRepurchaseLosses
Estimatesofmortgagerepurchaselossesforloanssoldwithrepresentationsandwarranties
liabilityarebasedoninformationprovidedbytheBHCsabouttheriskcharacteristicsofloanssoldtothe
56
GSEs,intoprivatelabelsecurities,andaswholeloans.Theinformationincludestheloanvintage,
originalandcurrentunpaidbalances,lossesrecognizedtodate,andcurrentpaymentstatus,among
othermeasures.Themodelusedtoprojectmortgagerepurchaselossesinvolvestwosteps.Thefirst
stepistoestimatecreditlossesfortheoverallpopulationofeachBHCssoldloanswithoutstanding
representationsandwarrantiesliability.Thisstepinvolvesprojectingfuturelossesovertheremaining
lifetimeoftheloansaswellastakingaccountoflossesrecognizedtodate.Thesecondstepisthento
projecthowmuchofthiscreditlossmaybeultimatelyputbacktothesellingBHC(whetherthrough
contractualrepurchase,asettlementagreement,orlitigationloss).
CreditlossesareprojectedunderthehomepriceassumptionsoftheSupervisoryStressScenario
byusingindustrywideinformationtomodelcreditlossesonvariousgroupsofmortgageloans(e.g.,
groupedbyvintageandinvestortype).Thesecreditlossrateswerethenadjustedbythecredit
performanceofloanssoldbyeachBHCandmappedbacktothebalancesofthecorrespondinggroups
ofloansreportedbyeachBHC.
TheshareofcreditlosseslikelytobeultimatelyputbacktothesellingBHCsisadifficultfigure
toproject,sincehistoricalinformationprovidesonlylimitedguidance.Eachinvestortypeisevaluated
separatelytodeterminetheamountofpastandfuturecreditlossesthatarelikelytobeputback,
consideringforeachinvestortypebothinvestorbehaviortodateandtheproceduralmechanicsof
pursuingrepurchaseclaims.Forwholeloansandloanssoldintoprivatelabelsecurities,theputback
rate,whichestimatestheamountofnetcreditlosseslikelytobeputbacktothesellingBHC,is
estimatedbasedoninformationfromrecentsettlementactivitiesinthebankingindustry,incorporating
adjustmentsforsupervisoryassessmentsofBHCspecificrisk.ForloanssoldtotheGSEs,theprojected
putbackrateisbasedonhistoricalinformationonrepurchasesofloanssoldtotheGSEs.
Theprojectionsassumethatamajoritybutnotallofthemortgagerepurchaselossesprojected
usingthesetechniquesarerealizedovertheninequartersofthestressscenariohorizon,withthelosses
dividedequallyacrossquartersandincorporatedintothePPNRprojections.Thisassumptionattempts
tobalancetherecognitionthattheresolutionofrepurchaseissuescouldbealengthyprocessagainst
thedesiretoensurethatthestressscenarioprojectionsincorporateaconservativeassessmentofthe
lossestowhichtheBHCscouldbeexposedoverthestressscenariohorizon.
B3.PreprovisionNetRevenue
InderivingprojectionsofPPNRforeachBHCundertheSupervisoryStressScenario,theFederal
Reserveleveragedmultiplesourcesofdataandinformation.Theseincludehistoricalandprojecteddata
57
reportedbytheBHCsonvariousregulatoryreports,supportingmaterialsprovidedbyBHCswiththe
capitalplanstheysubmittedforCCAR2012,BHCinternalmanagementreportssuchasstrategicplans,
budgetsandboardofdirectorsreportssuchasassetandliabilitycommitteepackages,publiclyavailable
informationsuchasfinancialstatementsandequityanalystreports,andtheoutputoftwoeconometric
modelsthatgeneratePPNRprojectionsforthebankingsectorinaggregateaswellasforspecificBHCs.
ThekeyinputstotheprocessarethePPNRprojectionsandsupportingmaterialprovidedbythe
BHCsintheirCCAR2012capitalplans.EachBHCsPPNRprojectionsweresubjecttointensivereviewby
FederalReservestaff;thesubmissionsandtheirunderlyingassumptionswereassessedforconsistency
withtheSupervisoryStressScenarioandreasonablenessrelativetohistoricalrealizationsbasedon
empiricalanalysisandsupervisoryknowledgeofeachBHCsrevenuedriversandthesensitivityofthose
driverstovariousmacroeconomicfactorsandthebusinessenvironment.Inadditiontoassessingeach
BHCsprojectionsindividually,staffconductedhorizontalanalysisacrosskeyPPNRcomponents(e.g.,
netinterestincome,noninterestexpenses,nontradingnoninterestincome,andcompensation
expenses),acrossbusinesslines(e.g.,investmentbanking,investmentservicing,investment
management,commercialbankingandretailbanking),andacrosspeergroupings(e.g.,nationalBHCs,
regionalBHCs,specialtyBHCs).Teamsofspecialistsconductedassessmentsandproducedindependent
projectionsofspecificelementsofPPNR,suchasOREOexpenses,mortgageputbacksresultingfrom
representationsandwarrantiesonmortgagesthathadbeenpreviouslyoriginatedandsoldtothird
parties,andlossesfromoperationalriskevents.Twoeconometricmodelswerealsodevelopedto
projectthecomponentsofPPNRusinghistoricalregulatoryreport(FRY9C)dataandmacroeconomic
variables.Theregulatoryreportdatahastheadvantageofcoveringarelativelylonghistoricalperiod
andthusbeingabletocapturechangesinPPNRanditscomponentsoverseveralbusinesscycles,butit
lacksthedetailoftheBHCspecificdatacollectedforCCAR2012(whichhasamuchshorterhistory).
Thus,theeconometricmodelswereprimarilyusedtobenchmarktheestimatesbasedontheBHCs
projections.
Inthefinalstageoftheprocess,theBHCsPPNRprojectionswereadjustedbytheFederal
Reservewherevertheprojectionslackedsufficientsupportorweredeemedinconsistentwiththe
SupervisoryStressScenario.Theseadjustmentsweremadebymodifyingkeyassumptions(e.g.new
servicefees,expensereductions,ratepremia)togenerateprojectionsthatareconsistentwitheach
BHCsportfoliosandbusinessactivities,whilemutuallyconsistentacrossBHCsandconsistentwiththe
SupervisoryStressScenario.Inaddition,theindependentprojectionsmadebytheFederalReservefor
58
certainelementsofPPNROREOexpenses,mortgagerepurchaseandputbackcosts,andlossesrelated
tooperationalriskeventsweresubstitutedforvaluesoftheseelementsprojectedbytheBHCs.
B4.EquityCapitalandRegulatoryCapital
Themodelsdescribedaboveproduceprojectionsofrevenues,expenses,losses,andprovisions
thatgenerateestimatesofpretaxnetincomeforeachBHCundertheSupervisoryStressScenario.
AftertaxnetincomeiscalculatedbyapplyingaconsistenttaxratetopretaxnetincomeforallBHCs.
AftertaxnetincomeandtheplannedcapitalactionsintheBHCsCCAR2012capitalplansarethe
primarydriversofchangesinequitycapital.Inparticular,thechangeinequitycapitaleachquarter
reflectsprojectedaftertaxnetincomeforthatquarterminuscapitaldistributions(dividends,
repurchasesandanyotheractionsthatdisperseequity)plusanyissuanceorothercorporateactions
thatincreaseequity.
31
Asnotedabove,thesecapitalactionsarethedividendpayments,share
repurchases,andshareissuanceplannedbyeachBHCunderitsownbaselinescenarioandthusdonot
reflectadjustmentsthatBHCsmightmaketotheircapitaldistributionsunderstressedmacroeconomic
conditionsorinresponsetochangesintheirownfinancialconditionandperformance.
Projectedchangesinequitycapitalinturndrivechangesinregulatorycapitalmeasures.These
regulatorycapitalmeasuresarecalculatedtakingaccountofdeductionsintheircapitalplansand
consistentwithcurrentU.S.regulatorycapitalrulesthatlimitoreliminatetherecognitionofcertain
intangibleassetsandunrealizedgainsandlossesintier1capital.Thesedeductionsareappliedusing
conservativeandconsistentassumptionsacrossthe19BHCs.Forinstance,indeterminingthe
disallowedportionofthedeferredtaxasset(anoffsettofuturetaxpaymentsarisingfromnetloss
carryoversintofutureyears),theprojectionsuseacommontaxrateandmethodtoestimatefuture
taxableincome.Regulatorycapitalmeasuresalsoincorporatetheimpactofothercomprehensive
income,asprojectedbytheBHCsintheircapitalplansandapplyingtheapplicablelimitsincurrentU.S.
regulatorycapitalrules.
Regulatorycapitalprojectionswerenotadjustedtotakeaccountofanydifferencesbetween
projectedandactualperformancebytheBHCsduringQ42011andQ12012,duringthetimethestress
scenarioresultswerebeingproduced.Incaseswhere,forinstance,theBHCshadrealizedgainsor
lossesonacquisitionsordivestituresincludedinaBHCscapitalplanbutcompletedaftertheplanwas
31
ThesestepsincludesalesofbusinessesorportfoliosincludedintheBHCscapitalplans.
59
developed,orinwhichnetincomewassignificantlydifferentthanwhatwasprojectedunderthe
SupervisoryStressScenario,thesedifferencesarenotrecognizedinthestressedcapitalprojections.
Capitalratiosarecalculatedusingtotalassetsandriskweightedassetsbasedonprojections
madebytheBHCsaspartoftheirCCAR2012capitalplansubmissionsundertheSupervisoryStress
Scenario.TheseprojectionsareadjustedtoaccountfordifferencesbetweenBHCandFederalReserve
projectionsofcertainbalancesheetitems,suchastheALLLandthedisallowedportionofthedeferred
taxasset.
60
AppendixC
BHCSpecificResults
Actual
Stressed ratios assuming no
capital actions
after Q1 2012 (1)
Q3 2011 Q4 2013 Minimum Minimum
8.0 4.4 2.5 2.5
14.3 6.4 6.4 6.4
15.5 7.1 7.1 7.1
11.6 5.2 5.2 5.2
Pre-Provision Net Revenue (2)
Other Revenue (3)
less
Provisions
Realized Losses/Gains on Securities (AFS/HTM)
Trading and Counterparty Losses (4)
Other Losses/Gains (5)
equals
Net Income before Taxes
Loan Losses (6)
First Lien Mortgages
Junior Liens and HELOCs
Commercial and Industrial
Commercial Real Estate
Credit Cards
Other Consumer
Other Loans
Source: Federal Reserve estimates in the Supervisory Stress scenario.
(2) Pre-Provision Net Revenue includes losses from operational risk events, mortgage put-back expenses, and OREO costs.
(3) Other Revenue includes one time income and (expense) items not included in Pre-Provision Net Revenue.
(4) Trading and Counterparty includes mark-to-market losses, changes in credit valuation adjustments (CVA) and incremental default losses.
(5) Other Losses/Gains includes projected change in fair value of loans held for sale and loans held for investment measured under the fair value
option, and goodwill impairment charges.
Notes: The two minimum capital ratios presented here are for the period Q4 2011 through Q4 2013 and do not necessarily occur in the same
quarter. Capital actions include common dividends, common share repurchases, and common share issuance. Average balances used for
profitablity ratios and portfolio loss rates are averages over the nine-quarter period. Estimates may not sum precisely due to rounding.
0.0 0.0
2.0 3.0
0.0 3.0
0.7 21.1
0.5 1.6
0.1 2.3
Billions of
Dollars
Portfolio Loss Rates
(%)
3.6 3.3
0.4 6.1
0.2
Projected Loan Losses by Type of Loans for Q4 2011 through Q4 2013
Under the Hypothetical Supervisory Stress Scenario
3.1
0.9
0.0
0.9
-9.8 -5.2
Projected Losses, Revenue and Net Income before Taxes for Q4 2011 through Q4 2013
Billions of
Dollars
Percent of Average
Assets
-5.1 -2.7
(1) Assumes planned capital actions through Q1 2012, but assuming no material capital issuances from March 16 through March 31, 2012.
(6) Commercial and industrial loans include small and medium enterprise loans and corporate cards. Average loan balances used to calculate
portfolio loss rates exclude loans held for sale and loans held for investment under the fair value option.
Projected Capital Ratios through Q4 2013
Comprehensive Capital Analysis and Review 2012
Table C.1: Federal Reserve Estimates in the Supervisory Stress Scenario
Ally Financial Inc.
These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are
not forecasts of expected losses, revenues, net income before taxes or capital ratios. The two minimum capital ratios presented below are for the
period Q4 2011 through Q4 2013 and do not necessarily occur in the same quarter.
Stressed ratios with all
proposed capital actions
through Q4 2013
Tier 1 Common Capital Ratio (%)
Tier 1 Capital Ratio (%)
Total Risk-Based Capital Ratio (%)
Tier 1 Leverage Ratio (%)
Actual
capital actions
after Q1 2012 (1)
12.3 10.8 10.8 12.4
12.3 10.8 10.8 12.4
14.3 13.0 13.0 14.4
9.8 9.2 9.0 10.1
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
5.4 10.0
0.2 10.1
0.0 0.0
0.0 0.0
2.4 8.0
0.0 0.0
Billions of
Dollars
(%)
8.1 9.3
0.0 0.0
Percent of Average
Assets
16.0 12.2
0.0
9.6
0.0
0.0
0.0
6.3 4.8
American Express Company
Stressed ratios with
all proposed capital actions
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
8.7 6.2 5.9 5.7
11.5 8.6 8.2 8.0
15.9 13.8 13.3 13.2
7.1 5.3 5.1 5.0
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
14.5 15.5
4.0 5.6
1.7 2.1
16.0 15.0
12.3 7.7
3.9 6.4
Billions of
Dollars
(%)
70.1 8.3
17.7 6.7
Percent of Average
Assets
40.1 2.0
4.0
59.7
1.2
21.1
13.4
-51.3 -2.6
Bank of America Corporation
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
12.5 13.1 13.0 13.3
14.0 14.3 14.3 14.9
16.1 16.1 16.1 17.1
5.1 5.1 5.1 5.2
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.0 0.0
0.0 1.2
0.5 1.3
0.0 12.6
0.2 6.5
0.1 9.8
Billions of
Dollars
(%)
1.2 2.6
0.4 7.7
Percent of Average
Assets
6.5 2.0
0.1
1.1
0.3
0.0
0.0
5.1 1.6
The Bank of New York Mellon Corporation
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
9.8 6.4 6.4 7.3
12.6 6.4 6.4 7.3
16.1 9.9 9.9 10.9
9.2 4.7 4.7 5.3
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.3 18.9
0.7 5.6
0.2 2.0
0.6 8.5
0.9 5.9
1.8 5.6
Billions of
Dollars
(%)
6.0 5.7
1.6 5.4
Percent of Average
Assets
5.4 3.1
0.0
6.0
0.2
0.0
0.0
-0.9 -0.5
BB&T Corporation
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
10.0 8.8 7.8 7.2
12.4 9.4 9.0 8.2
15.4 12.0 11.5 10.7
9.9 6.9 6.7 6.2
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
13.9 19.4
1.6 9.8
0.2 3.5
0.2 11.1
1.3 8.2
0.4 2.1
Billions of
Dollars
(%)
19.0 11.4
1.3 3.7
Percent of Average
Assets
18.6 7.5
0.0
22.3
0.3
0.0
0.0
-4.0 -1.6
Capital One Financial Corporation
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
11.7 4.9 4.9 5.9
13.4 6.0 6.0 6.8
16.9 9.9 9.9 10.8
7.0 2.9 2.9 3.2
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
27.0 18.5
8.1 23.4
4.4 3.8
6.0 18.5
11.8 10.9
0.5 5.9
Billions of
Dollars
(%)
67.0 11.2
9.3 9.7
Percent of Average
Assets
41.2 2.3
0.0
61.6
6.1
20.9
2.9
-50.3 -2.8
Citigroup Inc.
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
9.3 6.3 6.3 7.7
12.0 7.3 7.3 8.7
16.2 11.0 11.0 12.7
11.1 6.8 6.8 8.1
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.4 22.3
0.2 1.8
0.2 2.9
1.1 12.1
2.2 8.2
1.4 11.3
Billions of
Dollars
(%)
6.4 8.0
0.9 7.7
Percent of Average
Assets
4.1 3.6
0.0
4.8
0.1
0.0
0.0
-0.9 -0.7
Fifth Third Bancorp
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
12.1 7.2 5.7 5.8
13.8 8.9 7.5 7.8
16.9 12.1 10.9 11.0
6.7 4.5 3.8 3.8
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.0 0.0
0.0 3.7
0.3 0.9
0.0 12.1
0.0 0.0
0.0 4.1
Billions of
Dollars
(%)
0.3 0.9
0.0 0.0
Percent of Average
Assets
14.2 1.7
0.0
0.5
0.2
27.1
8.0
-21.5 -2.5
The Goldman Sachs Group, Inc.
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
9.9 5.9 5.4 6.3
12.1 7.1 6.6 7.8
15.3 10.4 9.8 10.9
6.8 4.0 3.8 4.5
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
through Q4 2013
Percent of Average
Assets
2.7
-1.0
(%)
8.1
6.3
21.3
2.1
3.0
18.0
3.6
2.4
9.1
11.4
1.8
10.5
9.0
3.0
Billions of
Dollars
55.8
7.0
1.7
-22.9
48.9
3.8
27.7
Billions of
Dollars
59.3
0.0
JPMorgan Chase & Co.
Actual
capital actions
after Q1 2012 (1)
11.3 5.3 5.3 6.3
13.5 5.9 5.9 6.9
17.0 9.1 9.1 10.1
11.9 5.8 5.8 6.7
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.1 20.0
0.3 7.3
0.5 4.7
0.7 7.8
1.6 8.7
0.4 4.1
Billions of
Dollars
(%)
3.9 6.9
0.2 7.5
Percent of Average
Assets
1.7 1.9
0.0
4.0
0.0
0.0
0.6
-2.9 -3.3
Keycorp
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
9.3 6.3 5.1 5.4
9.9 6.9 5.7 6.0
10.2 7.2 6.0 6.3
5.4 4.1 3.4 3.6
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.0 0.0
0.0 0.0
0.5 2.0
0.0 0.0
0.0 0.0
0.4 1.3
Billions of
Dollars
(%)
0.9 1.6
0.0 0.0
Percent of Average
Assets
9.6 1.4
0.0
1.0
11.5
0.0
7.9
-10.8 -1.5
MetLife, Inc.
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
12.0 7.6 5.4 5.4
15.2 10.4 8.0 8.0
16.4 11.9 9.2 9.2
6.4 4.5 3.4 3.4
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.0 0.0
0.1 1.2
0.1 0.9
0.0 12.5
0.3 3.5
0.0 4.0
Billions of
Dollars
(%)
0.7 1.6
0.1 0.7
Percent of Average
Assets
1.0 0.1
-1.8
0.9
0.0
12.8
8.1
-22.5 -3.2
Morgan Stanley
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
10.5 5.9 5.9 6.6
13.1 7.1 7.1 7.9
16.5 10.5 10.5 11.3
11.4 5.9 5.9 6.5
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.6 15.0
0.6 3.4
0.5 3.0
3.0 11.5
3.4 6.7
1.5 6.0
Billions of
Dollars
(%)
11.1 7.1
1.6 9.0
Percent of Average
Assets
4.2 1.5
-0.4
11.1
1.2
0.0
0.3
-8.9 -3.2
The PNC Financial Services Group, Inc.
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
8.2 6.8 6.6 5.7
12.8 8.1 7.4 6.4
16.5 12.1 11.4 10.4
9.7 6.4 5.7 4.9
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.1 14.1
0.2 5.3
0.3 3.2
1.3 11.4
1.0 6.2
1.9 9.2
Billions of
Dollars
(%)
6.0 8.1
1.3 8.8
Percent of Average
Assets
3.7 3.1
-0.3
5.6
0.0
0.0
0.1
-2.4 -2.0
Regions Financial Corporation
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
16.0 12.5 12.5 15.1
17.9 14.4 14.4 17.0
19.5 16.1 16.1 18.6
7.8 6.3 6.3 7.1
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.0 0.0
0.0 0.0
0.2 1.2
0.0 0.0
0.0 0.0
0.1 20.1
Billions of
Dollars
(%)
0.3 2.0
0.0 0.0
Percent of Average
Assets
2.4 1.2
0.0
0.4
0.4
0.0
0.0
1.5 0.8
State Street Corporation
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
9.3 4.8 4.8 5.5
11.1 5.7 5.7 6.5
13.9 8.5 8.5 9.3
8.9 4.5 4.5 5.0
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
0.1 18.9
0.5 2.4
0.3 3.1
2.2 12.6
2.3 7.0
0.8 6.9
Billions of
Dollars
(%)
8.0 6.8
1.8 7.4
Percent of Average
Assets
2.7 1.5
0.0
8.5
0.0
0.0
-0.1
-5.7 -3.3
SunTrust Banks, Inc.
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
8.5 5.4 5.4 7.7
10.8 7.4 7.4 9.8
13.5 10.2 10.2 12.5
9.0 5.6 5.6 7.4
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
3.2 16.9
0.9 3.3
0.8 4.7
1.7 9.9
4.2 10.8
1.8 5.0
Billions of
Dollars
(%)
14.6 7.4
2.0 4.7
Percent of Average
Assets
14.7 4.6
0.3
15.2
0.7
0.0
0.0
-0.9 -0.3
U.S. Bancorp
through Q4 2013
Billions of
Dollars
Actual
capital actions
after Q1 2012 (1)
9.3 6.3 6.0 6.6
11.3 7.9 7.6 8.3
14.9 11.5 11.2 11.9
9.0 6.0 5.7 6.3
Other Revenue (3)
less
Provisions
equals
Loan Losses (6)
Credit Cards
Other Consumer
Other Loans
5.0 22.4
4.2 5.1
1.7 2.2
13.7 13.8
11.0 8.1
6.7 5.5
Billions of
Dollars
(%)
58.3 8.2
15.9 9.5
Percent of Average
Assets
53.3 4.1
-0.1
60.2
3.9
6.9
1.7
-19.6 -1.5
Wells Fargo & Company
through Q4 2013
Billions of
Dollars

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Comprehensive Capital Analysis

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