Macro Scenario - Annual

Scenario Schedule Instructions
Introduction

These instructions provide guidance for reporting the variables used in the firm-defined macroeconomic
scenarios underlying the projections of losses, revenue, and capital. These scenarios include the
supervisory baseline scenario, supervisory stress scenario, the BHC baseline scenario, and the BHC stress
scenario, as well as, any additional scenarios generated by the firm or supplied by the Federal Reserve.
(Additional Scenario #1; Additional Scenario #2; etc.)
The template consists of three worksheets that each BHC must complete. Additional worksheets are
provided if the BHC generated additional variables for the supervisory scenarios or reported additional
scenarios beyond the BHC baseline and BHC stress scenarios. The worksheets in the template are:
Scenario Variable Definitions: This worksheet should be used to list and define the variables included in
the BHC baseline and BHC stress scenarios, as well as, any additional BHC scenarios reported.
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The worksheet provides space for the supervisory baseline scenario, supervisory stress scenario,
BHC baseline scenario, and BHC stress scenario, as well as, space for an additional scenario. The
sections for the BHC baseline and BHC stress scenarios must be completed. If no additional
scenarios are provided, then this section of the worksheet may be left blank. If one or more
additional scenarios are provided, then a section should be created for each additional scenario
and labeled accordingly (Additional Scenario #1; Additional Scenario #2; etc.)
For each scenario, list the variables included in the scenario in the column titled "Variable
Name."
Variable definitions should be provided in the column titled "Variable Definition." Variable
definitions should include a description of the variable (e.g., "Real GDP") and the denomination
and/or frequency of the variable (e.g., "Billions of 2005 dollars" or "in percent, average of
monthly values").
For convenience, the worksheet provides space for 10 variables per scenario, but any number of
variables may be reported, depending on the variables actually used in the scenario. Extra lines
may be created as needed. The same variables do not necessarily have to be included in each
scenario.
Firms should include all economic and financial market variables that were important in
projecting results, including those that affect only a subset of portfolios or positions. For
example, if asset prices had a meaningful impact, the assumed level of the equity market and
interest rates should be included, or if bankruptcy filings affect credit card loss estimates, then
the assumed levels of these should be reported.
Firms should also include any variables capturing regional or local economic or asset value
conditions, such as regional unemployment rates or housing prices, if these were used in the
projections.

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Firms should include historical data, as well as projections, for any macroeconomic, regional,
local, or financial market variables that are not generally available. Historical data for these
variables can be included in a separate worksheet.

Supervisory Baseline Scenario: This worksheet should be used to report the values of any additional
variables generated for the supervisory baseline scenario.
Supervisory Stress Scenario: This worksheet should be used to report the values of any additional
variables generated for the supervisory stress scenario.
BHC Baseline Scenario: This worksheet should be used to report the values of the variables included in
the BHC baseline scenario.
BHC Stress Scenario: This worksheet should be used to report the values of the variables included in the
BHC stress scenario.
Additional Scenario #1/#2/etc. : These worksheets should be used to report the values of the variables
included in any additional scenarios.
--Please create a separate worksheet (tab) for each additional scenario. Name the worksheets
“Additional Scenario #1;” “Additional Scenario #2;” etc.
All Scenarios: The following applies to all of the Scenario tabs:
--The variables should be the same (and have the same names) as the variables listed in the
corresponding sections of the Scenario Variable Definitions Worksheet.
--List quarterly values for the variables starting with the last realized value (3Q 2012) through the end of
the forecast horizon (4Q 2014).
--Please enter all variables as levels rather than as changes or growth rates (for instance, the dollar value
of real GDP rather than the GDP growth rate).