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Federal Reserve System
Comprehensive Capital Analysis and Review
Summary Instructions and Guidance
November 22, 2011
Table of Contents
Background ................................................................................................................................................... 3
1.
Summary Instructions .......................................................................................................................... 4
1.1.
Submission Timeline, Format and Questions .............................................................................. 4
1.2.
Coverage of the Submission ......................................................................................................... 5
1.3.
Supervisory Scenarios .................................................................................................................. 6
1.4.
Completion of FR Y‐14A Schedules .............................................................................................. 7
1.5.
Incomplete Data ........................................................................................................................... 7
2.
Mandatory Elements of a Capital Plan ................................................................................................ 8
2.1.
Assessment of Uses and Sources of Capital over Planning Horizon ........................................... 9
2.1.1.
Estimates of Projected Revenues, Losses, Reserves, and Pro Forma Capital Levels........ 10
2.1.2.
Supporting Documentation for Analyses used in Capital Plans ....................................... 14
2.2.
A Description of All Planned Capital Actions over the Planning Horizon ................................. 15
2.3.
Expected Changes to Business Plan Affecting Capital Adequacy or Liquidity .......................... 15
2.4.
Supervisory Expectations for a BHC’s Capital Adequacy Process ............................................. 16
3.
Assessment of Planned Capital Distributions.................................................................................... 16
3.1.
Supervisory Assessment of Proposed Capital Actions .............................................................. 17
3.2.
Robustness of Proposed Capital Distributions .......................................................................... 17
3.2.1.
Common Dividend Payouts ................................................................................................ 18
3.2.2.
Basel III Transition Plans .................................................................................................... 18
3.2.3.
Surcharge for Systemically Important Financial Institutions ............................................ 19
4.
Federal Reserve Responses to Proposed Capital Actions ................................................................. 19
5.
Disclosure of Supervisory Post‐Stress Capital Analysis ..................................................................... 21
6.
Incremental Capital Requests ............................................................................................................ 21
Appendix I: Supervisory Expectations for Capital Policies ....................................................................... 23
Appendix II: Supervisory Expectations for a Capital Adequacy Process ................................................. 26
Appendix III: The Federal Reserve CCAR‐2012 Macroeconomic Scenarios ............................................. 30
2
Background
As indicated in the final rule regarding capital plans (the capital plans rule),1 the Federal
Reserve’s assessment of capital adequacy for U.S.‐domiciled, top‐tier bank holding companies
(BHCs) with total consolidated assets of $50 billion or more2 will include consideration of a
BHC’s overall financial condition, risk profile and capital adequacy. Assessments will also be
made on the overall content of a capital plan and the strength of the BHC’s capital adequacy
process, including its capital policies.3 Pursuant to this, each of the 19 largest BHCs4 is required
to submit a capital plan approved by the BHC’s board of directors, or a committee thereof
(comprehensive capital plan), for the 2012 Comprehensive Capital Analysis and Review (CCAR
2012) by January 9, 2012, irrespective of whether the BHC intends to undertake any capital
distributions over the planning horizon covered in its comprehensive capital plan.5
As outlined in the capital plans rule, supervisory review of a BHC’s comprehensive capital plan
will specifically assess:
1) The comprehensiveness of the capital plan, including the extent to which the analysis
underlying the plan captures and appropriately addresses potential risks stemming from all
activities across the BHC under baseline and stressed operating conditions;
2) The reasonableness of the BHC’s assumptions and analysis underlying the capital plan and a
review of the robustness of its capital adequacy process;
3) The BHC’s capital policy; and
4) The BHC’s ability to maintain capital above each minimum regulatory capital ratio and
above a tier 1 common ratio of 5 percent on a pro forma basis under expected and stressful
conditions throughout the planning horizon.6
As a part of the supervisory review of the comprehensive capital plans, supervisors will also
assess BHCs’ strategies for addressing proposed revisions to the regulatory capital framework
1
The capital plans rule will be codified at 12 CFR 225.8.
2
Asset size will be as measured over the previous four calendar quarters.
3
See section 225.8(e)(1)(i) of the capital plans rule.
4
The 19 bank holding companies participating in the 2012 CCAR are: Ally Financial Inc., American Express
Company, Bank of America Corporation, The Bank of New York Mellon Corporation, BB&T Corporation, Capital One
Financial Corporation, Citigroup Inc., Fifth Third Bancorp, The Goldman Sachs Group, Inc., JPMorgan Chase & Co.,
Keycorp, MetLife, Inc., Morgan Stanley, The PNC Financial Services Group, Inc., Regions Financial Corporation,
State Street Corporation, SunTrust Banks, Inc., U.S. Bancorp, and Wells Fargo & Company. These 19 firms also
participated in the 2011 CCAR and the 2009 SCAP.
5
The capital plans rule requires capital plans to be submitted by January 5; however, the Federal Reserve has
extended this deadline to January 9 for CCAR 2012 only. See section 225.8(d)(1)(ii) of the capital plans rule.
6
See section 225.8(e)(1)(i) of the capital plans rule.
3
agreed upon by the Basel Committee on Banking Supervision (BCBS), commonly known as
Basel III, and changes arising from the Dodd‐Frank Wall Street Reform and Consumer Protection
Act of 2010 (Dodd‐Frank).7 The Federal banking agencies have begun the process for adopting
the Basel III framework agreed to by the BCBS, and the Federal Reserve expects to issue for
comment rules for U.S. implementation in the coming months. In line with this effort, the
Federal Reserve expects that a BHC will demonstrate that it can achieve readily and without
difficulty the ratios required by the Basel III framework as they would come into effect in the
United States. These projections should include any capital surcharge for systemically
important financial institutions (SIFIs) and any planned capital actions including dividends and
other distributions.8
This instructions document provides 1) general logistics for BHCs’ capital plan submissions,
2) guidelines surrounding the mandatory elements of a comprehensive capital plan, 3)
information on what the Federal Reserve will assess during CCAR 2012 and a description of how
the Federal Reserve will quantitatively assess the planned capital distributions, 4) information
on the Federal Reserve’s response to capital plans and planned actions, 5) a discussion of
planned disclosure at the end of CCAR 2012, and 6) information for BHCs requesting
incremental capital requests following CCAR 2012. In addition, Appendix I provides supervisory
expectations for BHCs’ capital policies, Appendix II outlines expectations for effective capital
adequacy processes, and Appendix III describes the macroeconomic scenarios used in CCAR
2012.
Instructions for those BHCs subject to the capital plans rule that have not previously
participated in CCAR are being provided under separate cover to the relevant institutions.
1. Summary Instructions
1.1. Submission Timeline, Format and Questions
In connection with its review of capital plans, the Federal Reserve will use the data and
information provided in the FR Y‐14A and FR Y‐14Q regulatory reports.9 These reports have
been made available to CCAR 2012 participants, along with these instructions and the baseline
and adverse macroeconomic and financial market scenarios developed by the Federal Reserve.
(see Appendix III for Federal Reserve CCAR 2012 Macroeconomic Scenarios.)
Data reported on FR Y‐14Q schedules, which collect BHC‐specific data on positions and
exposures, will be used as input to supervisory stress test models and to monitor actual versus
forecasted information on a quarterly basis. BHCs will report on the FR Y‐14A schedules their
7
See BCBS, Basel III: A global framework for more resilient banks and banking systems (December 2010), available
at www.bis.org/publ/bcbs189.pdf; Pub. L. No. 111‐203, 124 Stat. 1376 (2010).
8
See BCBS, Global systemically important banks: assessment methodology and the additional loss absorbency
requirement (rules text) (November 2011), available at http://www.bis.org/publ/bcbs207.htm.
9
http://www.federalreserve.gov/reportforms/
4
quantitative projections of losses, resources available to absorb those losses, balance sheet
positions and capital composition on a quarterly basis over the duration of the scenario and
planning horizon. BHCs are also required to submit qualitative information supporting their
projections, including descriptions of the methodologies used to develop the projections and
other analyses that support their comprehensive capital plans (see section 2.1.2).
BHCs are required to submit FR Y‐14Q schedules to the Federal Reserve on or before
December 15, 201110. BHCs should submit FR Y‐14A schedules as part of their comprehensive
capital plan submission. BHCs’ comprehensive capital plans along with any proposals for
planned capital actions should be approved by the BHC’s board of directors and submitted to
the Federal Reserve no later than January 9, 2012.
Each BHC must submit its comprehensive capital plan and any supporting information, including
the FR Y‐14A and FR Y‐14Q, to the Federal Reserve through the BHC CCAR 2012 IntraLinks
collaboration site that has been established to facilitate exchanges of information. The
IntraLinks site allows documents to be managed in a secure environment. Registered members
of each BHC will have access to only their BHC’s folder and documents. The site also contains
folders with general information available to all project participants.
All correspondence and questions regarding this request and related issues should be directed
to a secure mailbox to be provided directly to the 19 CCAR BHCs. Questions will be catalogued
and, where appropriate, written responses (removing any BHC identifying information) will be
provided to all BHCs via email and posted to the IntraLinks site. Any BHC‐specific questions
submitted to the secure mailbox will be addressed only with the relevant BHC via the same
secure mailbox. Conference calls may be scheduled to discuss and better understand
submitted questions; however, all official responses to questions will come from the secure
mailbox.
1.2. Coverage of the Submission
CCAR 2012 is a comprehensive assessment and will take into account all relevant risks to the
BHC, including any estimates of potential losses that are not explicitly requested in the FR Y‐14A
and FR Y‐14Q. In other words, it is the responsibility of each BHC to capture all potential losses
from all on‐ and off‐balance sheet positions, as well as any other events that have the potential
to impact capital and capital needs in both baseline and stress environments. The
completeness of each BHC’s comprehensive capital plan will be a key evaluation point for
supervisors during CCAR 2012.11
10
With respect to the FR Y‐14Q, BHCs are not required to submit the Basel III and Dodd‐Frank schedule and the
Regulatory Capital Instruments schedule on December 15, 2011; data for these areas will be collected via the FR Y‐
14A and are due with the comprehensive capital plans on January 9, 2012.
11
See section 225.8(e)(1)(i)(A) of the capital plans rule.
5
BHC submissions of pro forma, post‐stress capital estimates in their comprehensive capital
plans, inclusive of planned capital actions, must begin with position information as of
September 30, 2011, and span the period beginning in the fourth quarter of 2011 and
concluding at the end of the fourth quarter of 2013 (December 31, 2013) exception for trading
and counterparty positions and the Basel III and Dodd‐Frank schedules.
Trading and counterparty positions should be based on balances as of the close of business,
November 17, 2011. A BHC may provide these data as of the most recent date that
corresponds to their weekly risk reporting cycle as long as it falls before November 17,
2011.
The Basel III and Dodd‐Frank schedules required under the FR Y‐14A should be reported as
of September 30, 2011 with forecasts through December 31, 2016 under baseline scenarios.
For the purposes of this exercise, BHCs must submit comprehensive capital plans supported by
their internal capital adequacy assessment and capital planning processes. Each BHC must
include pro forma capital analyses, including supporting projections, based on at least four
scenarios:
i. BHC Baseline – a BHC‐defined baseline scenario
ii. Supervisory Baseline – a baseline scenario provided by the Federal Reserve
iii. BHC Stress – at least one BHC‐defined adverse scenario
iv.
Supervisory Stress – an adverse scenario provided by the Federal Reserve
1.3. Supervisory Scenarios
BHCs are receiving the supervisory baseline and supervisory stress scenarios as part of this
instructions package. (Summary statistics and a brief description of the Supervisory Baseline
and Supervisory Stress scenarios are provided in Appendix III.) The scenarios show quarterly
trajectories for key macroeconomic and financial variables. Broadly speaking, the Supervisory
Baseline scenario follows the consensus outlook from the Blue Chip Economic Indicators and
other sources as of mid‐November. The supervisory stress scenario features a deep recession
that begins in the fourth quarter of 2011 in which the unemployment rate increases by an
amount similar to that experienced, on average, in severe recessions such as those in 1973‐
1975, 1981‐82, and 2007‐2009, with a sizable shortfall in U.S. economic activity and
employment, accompanied by a notable decline in global economic activity. The scenario also
includes hypothetical asset price declines and risk premia increases that are designed, for the
purposes of this exercise, to start in the fourth quarter of 2011.
It is important to note that the scenarios provided by the Federal Reserve are not forecasts,
but rather hypothetical scenarios to be used to assess the strength and resilience of BHC
capital in a baseline economic environment and in a particularly adverse one. An outcome
like the supervisory stress scenario, while unlikely, may prevail if the U.S economy were to
6
experience a recession while at the same time economic activity in other major economies
were also to contract significantly.
Six BHCs with large trading operations will be required to run a global market shock.12 The
Federal Reserve will provide a set of hypothetical shocks to the risk factors most relevant to the
trading and counterparty positions of selected BHCs (see section 2.1.1 for more details). These
shocks will be generally based on the price and rate movements that occurred in the second
half of 2008, a period featuring severe market dislocations and the failure of a major, globally
active financial institution. In addition, the market shocks will reflect, where appropriate,
additional stresses related to the ongoing situation in Europe.
1.4. Completion of FR Y‐14A Schedules
As noted above, except for the Basel III and Dodd‐Frank schedules, which ask for annual
forecasts, the FR Y‐14A is to be used to report quarter‐by‐quarter results and projections. A
BHC must complete a separate FR Y‐14A report for each of the four scenarios used in the capital
plan. The completed schedules will include:
Current and projected balances for balance sheet and off‐balance‐sheet positions and
exposures for a number of identified categories under each scenario. Submissions should
demonstrate that the current balances for each category tie to the corresponding category
of the FR Y‐9C, or the BHC should provide a reconciliation that clearly demonstrates that all
balances have been accounted for in the analysis;
Loss estimates as specified in each schedule;
Losses and exposures that might not fit neatly into any of the specified categories. Any
potential losses or exposures not captured in other line items should be included in the
completed schedules, and a description of the source of the losses should be attached; and
Estimates of resources available to absorb losses, including pre‐provision net revenue, the
allowance for loan and lease losses, and capital.
As noted above, the results of a BHC’s analyses should encompass all potential losses the BHC
might experience under the four scenarios used for this exercise. In all cases, BHCs should
substantiate that their results are consistent with the specified macroeconomic environment,
and that the components of their results are internally consistent within each scenario.
1.5. Incomplete Data
In general, all BHCs are required to report all data elements in the FR Y‐14A and FR Y‐14Q
schedules to support CCAR 2012. Certain schedules, worksheets, or data elements may be
12
The 6 bank holding companies participating in trading shock are: Bank of America Corporation, Citigroup Inc.,
The Goldman Sachs Group, Inc., JPMorgan Chase & Co., Morgan Stanley, and Wells Fargo & Company.
7
optional for a BHC. The instructions for the FR Y‐14A and FR Y‐14Q schedules provide details on
whether or not a BHC must submit a specific schedule, worksheet, or data element.
Under the capital plans rule, failure to submit complete data to the Federal Reserve in a timely
manner may be a basis for objection to a capital plan.13 A BHC’s inability to provide required
data by the due dates may affect supervisory estimates of losses and PPNR for the BHC and will
influence the Federal Reserve’s qualitative assessment of the internal risk measurement and
management practices supporting a BHC’s capital adequacy processes (see section 3.1).
For the FR Y‐14Q schedules, BHCs may be asked to resubmit data—either in whole or in part—
after the December 15, 2011, due date if required data elements are missing or errors are
found during the data validation process. All resubmissions of data will be due on or before
January 9, 2012, and there is no guarantee that data submitted after that date will be included
in supervisory model estimates. After January 9, 2012, the Federal Reserve will adhere to the
following guidelines on any remaining FR Y‐14Q data‐related issues, for the purpose of
producing supervisory estimates for CCAR 2012.
Missing data or data deficiency: In the event data that are direct inputs to supervisory
models are missing, or if a BHC’s submitted data quality is deemed to be too deficient to
produce a robust supervisory model estimate for a particular portfolio, the highest loss rate
estimated or the most conservative PPNR estimate for other BHCs for the portfolio will be
assigned.
Immaterial portfolio: The BHC will have an option to either submit or not submit the
relevant data schedule for a portfolio (as defined in Y‐14Q instructions) that does not meet
a materiality threshold. If the BHC does not submit data on its immaterial portfolio(s), a
conservative loss rate (e.g., 75th percentile), based on the estimates for other BHCs, will be
assigned. Otherwise, losses would be estimated using the BHC submitted data
The Federal Reserve has made a Frequently Asked Questions (FAQ) document on the FR Y‐14A
and FR Y‐14Q available on the public website.14 The Federal Reserve will update this FAQ
document as necessary.
2. Mandatory Elements of a Capital Plan
The capital plans rule defines a capital plan as “a written presentation of a company’s capital
planning strategies and capital adequacy process that includes certain mandatory elements.”
These mandatory elements are organized into five main components:
13
See section 225.8(e)(2)(ii) of the capital plans rule.
14
http://www.federalreserve.gov/newsevents/files/Updated‐Frequently‐Asked‐Questions‐Pertaining‐to‐Draft‐
Reporting‐Forms‐for‐Capital‐Assessments‐and‐Stress‐Testing.pdf.
8
1) An assessment of the expected uses and sources of capital over the planning horizon (see
section 2.1);
2) a description of all planned capital actions over the planning horizon (see section 2.2);
3) a discussion of any expected changes to the BHC’s business plan that are likely to have a
material impact on the BHC’s capital adequacy or liquidity (see section 2.3);
4) a detailed description of the BHC’s process for assessing capital adequacy (see section 2.4);
and
5) a BHC’s capital policy (see Appendix I).15
The remainder of this document provides additional detail for each of the mandatory elements
of a capital plan for CCAR 2012.
2.1. Assessment of Uses and Sources of Capital over Planning Horizon
A company is required to conduct an assessment of the expected uses and sources of capital
over the planning horizon assuming both expected and stressful conditions.
This assessment must contain the following elements:
Estimates of projected revenues, losses, reserves, and pro forma capital levels, including
any minimum regulatory capital ratios (e.g., leverage, tier 1 risk‐based, and total risk‐based
capital ratios) and any additional capital measures deemed relevant by the BHC, over the
planning horizon under expected and stressed conditions as specified by the Federal
Reserve and by the BHC’s internal scenarios. This should include any scenarios provided by
the Federal Reserve and at least one stressed scenario developed by the BHC appropriate to
its business model and portfolios;
A calculation of the pro forma tier 1 common ratio over the planning horizon under
expected and stressful conditions and discussion of how the company will maintain a pro
forma tier 1 common ratio above 5 percent under the stressed scenarios required by the
capital plans rule;
A discussion of the results of any stress test required by law or regulation, and an
explanation of how the capital plan takes these results into account; and
A description of all planned capital actions over the planning horizon.
The remainder of section 2.1 provides additional detail on these elements.
15
See section 225.8(d)(2) of the capital plans rule.
9
2.1.1. Estimates of Projected Revenues, Losses, Reserves, and Pro Forma Capital Levels
As noted above, for the purposes of CCAR 2012, BHCs are to submit capital plans supported by
their internal capital adequacy assessment and capital planning processes and include pro
forma analyses based on at least four scenarios including the BHC Baseline, Supervisory
Baseline, (at least) one BHC Stress, and a Supervisory Stress scenario. Supervisors will be
assessing the processes and practices the BHCs have in place to carry out this analysis, including
the risk capture, measurement and management practices supporting the analysis.
Please note that the format used by the Federal Reserve in the FR Y‐14A and FR Y‐14Q does
not imply that any specific methodology should be used by BHCs in their loss and revenue
estimation practices or any other internal analysis used to support their capital plans; rather,
a BHC’s submissions for each scenario should be based on its own processes and analyses.
The Federal Reserve’s qualitative assessment of the capital plans will focus on the robustness
of a BHC’s internal processes. In addition, supervisors’ overall assessment of the capital plans
will be informed by supervisory estimates of losses, revenues, loan loss reserves, and pro
forma, post‐stress capital ratios.
In all cases, BHCs should substantiate that their results are consistent with the specified
macroeconomic and financial environment, and that the various components of their results
are internally consistent. For example, it might be inconsistent to project a shrinking balance
sheet while also projecting large increases in net income in a stress or baseline environment.
BHCs should submit background information on the methodologies supporting their estimates.
This material should include discussion of key approaches and assumptions used to measure
BHC‐wide exposures and to arrive at stress loss estimates, along with relevant background on
positions or business lines that could have a material influence on outcomes.
A BHC should clearly identify and document in its capital plan any aspect of its portfolio (e.g.,
a contractual loss mitigation arrangement) that is not adequately captured in the FR Y‐14Q
that it believes is material to loss estimates for that portfolio, as well as the BHC’s estimate of
the potential impact of such item on loss estimates under the baseline and stress scenarios.
In general, BHCs should incorporate the following into their pro forma estimates:
Definition of Losses for Loans: The losses to be estimated for loans held in accrual portfolios in
this exercise are generally credit losses due to failure to pay obligations (cash flow losses),
rather than discounts related to mark‐to‐market values. In some cases, BHCs may have loans
that are being held for sale or which are subject to purchase accounting adjustments. In these
cases, the analysis should anticipate the change in value of the underlying asset, apply the
appropriate accounting treatment, and determine the incremental losses.
Commitments and Contingent Obligations: The analysis should reflect expectations of customer
draw‐downs on unused credit commitments under each scenario, as well as any assets and
exposures that might be taken back on the balance sheet or otherwise generate losses under
10
stressful economic conditions (e.g., assets held in ABCP conduits and other off‐balance sheet
funding vehicles to which the BHC provides support). Unconsolidated entities to which the BHC
has potential exposure are also within the scope of this exercise and should be considered. If it
is envisioned that non‐contractual support may be provided during a stressful environment for
certain obligations of sponsored or third‐party entities, these should be included in a BHC’s
analysis of contingent obligations.
Loan Loss Estimates: BHCs should describe the underlying models and methods used in their
loss estimate calculations for loans, and provide background on their derivation. Factors that
could be cited as supporting evidence for loss estimates include (but are not limited to)
composition of the loan portfolios within a broad category (e.g., distribution among Prime, Alt‐
A, and subprime loans within first lien residential mortgages) and specific characteristics of the
portfolio within categories and/or sub‐categories (e.g., vintage, FICO, LTVs, regional
distribution, industry mix, ratings distribution, or collateral type). Hypothetical behavioral
responses by BHC management should not be considered as mitigating factors for the purposes
of this analysis. For example, hedges already in place should be accounted for as potential
mitigating factors, but not assumptions about potential future hedging activities.
Losses on AFS and HTM Securities: Each BHC should provide projected other‐than‐temporary
impairments (OTTI) for available‐for‐sale (AFS) and held‐to‐maturity (HTM) securities. OTTI
projections should be based on September 30, 2011, positions and should be consistent with
specified macroeconomic assumptions and standard accounting treatment. The method for
deriving the bifurcation of credit losses from other losses should be provided in supporting
documentation. BHCs should also provide estimated fair values of AFS and HTM securities
based on a re‐pricing of September 30, 2011 positions to reflect changes in market pricing
variables that are the same as those used for the global market shock scenario, as described
earlier and which will be provided to each BHC.
Non‐U.S. Exposures: Loss, revenue, and loan loss reserve projections should cover positions and
businesses for the BHC on a global consolidated basis. To the extent that loss experience on
foreign positions is projected to differ from that on U.S. positions, institutions should provide
supporting information to explain those differences. For example, if the institution is using
different loss rates for foreign positions, those foreign positions should be explicitly identified
and reported separately, by position/loan type, in the BHC’s supporting documentation.
Trading Account/MTM Positions and Counterparty Credit Exposures: All BHCs with trading
activities and private equity investments should estimate any potential losses that their
positions might experience under the specified scenarios, including those stemming from
potential defaults on credit sensitive positions held in the trading account and from
counterparty credit exposures. Loss estimates should include those taken through valuation
declines on loans, securities and other trading or mark‐to‐market (MTM) positions, as well as
on private equity investments (regardless of the portfolio in which a private equity position is
booked). Private equity‐related loss estimates should be broken out from other trading/MTM
loss.
11
Under each scenario, potential losses from counterparty credit exposures deriving from trading
or financing transactions should also be included in the analysis. Losses associated with credit
valuation adjustments related to these exposures and any additional losses stemming from
potential defaults should be included. The analysis should be based on estimates of the
potential size of these exposures in each scenario.
Six BHCs with large trading operations will also conduct a stress test of their trading book,
private equity positions and counterparty credit exposures as of market close on November 17,
2011. These BHCs should include this additional analysis in the overall results of the Supervisory
Stress scenario. Losses should be calculated based on an instantaneous re‐pricing of trading and
private equity positions for the changes in market pricing variables that occurred over the
period June 30, 2008, to December 31, 2008. This date range represents a period of significant
stress across a very broad range of markets and asset classes. In addition, the market shocks
will reflect, where appropriate, additional stresses related to the ongoing situation in Europe.
Private equity‐related loss estimates should also include consideration of drawdowns against
commitments. As noted above for all scenarios, the analysis of counterparty credit exposures
under this stress test should include estimates of changes in the size of counterparty exposures
and of the impact of deterioration of counterparties’ creditworthiness in the scenario, including
credit valuation adjustments and any additional potential losses from defaults.
Pre‐Provision Net Revenue: For purposes of this exercise, pre‐provision net revenue (PPNR) is
defined as net interest income plus non‐interest income minus non‐interest expense, excluding
certain items. As presented on the PPNR schedules, excluded items include valuation
adjustments for a BHC’s own debt under the fair value option (DVA), losses resulting from the
trading shock exercise (where applicable), goodwill impairment, one‐time item exclusions, and
operational risk expense adjustments required for PPNR purposes.
Assumptions underlying PPNR estimates should be clearly explained, especially those regarding
business or market share growth. These should be consistent with the economic environment
specified in the relevant scenario. Especially in the more adverse scenario(s), PPNR estimates
materially exceeding recently realized values should include substantial supporting evidence.
Additionally, BHCs should provide sufficient detail and transparency regarding how changing
asset and liability balances and composition, and associated interest rate assumptions,
impacted net interest income projections. BHCs should ensure that PPNR forecasts are
explicitly based on, and directly tie to, balance sheet and other exposure assumptions used for
related loss forecasting. In addition, BHCs should apply assumptions consistent with the
scenario and resulting business strategy when forecasting PPNR for fee‐based lines of business
(e.g., asset management), while ensuring that expenses are appropriately taking into account
projected revenues.
BHCs will be expected to estimate losses associated with requests by mortgage investors,
including both GSEs and private‐label securities holders, to repurchase loans deemed to have
breached representations and warranties, or with investor litigation that broadly seeks
12
compensation from BHCs for losses. Firms should consider not only how the macro scenarios
could impact repurchase losses, but also how a range of legal process outcomes, including
worse than expected resolutions of the various contract claims or threatened or pending
litigation against the BHC and against various industry participants. Firms should provide
appropriate support of the adverse outcomes considered in their analysis.
Mortgage Servicing Rights: All revenue and expenses related to mortgage servicing rights
(MSRs) and the associated non‐interest income and non‐interest expense line items should be
reported on the PPNR schedules. BHCs should not report changes in value of the MSR asset or
hedges within the trading shock. Therefore, if MSR derivative or other hedges are placed in the
trading book for FR Y‐9C and GAAP accounting purposes do not, for CCAR purposes, include
these hedges in the trading shock exercise. Also, any BHCs that have adopted fair value
accounting for all or part of the MSR must not include the MSR in the trading shock exercise.
BHCs should provide detailed assumptions regarding cost of service and the resulting impact on
servicing income. BHCs should provide period‐by‐period size, composition, delinquencies,
defaults, and foreclosures in the serviced for others portfolio, as well as how these translate
into the servicing cost assumption (e.g., assumptions surrounding baseline cost to service,
delinquency costs, foreclosure costs, foreclosure timelines, etc.). This would include not only
the cost‐to‐service assumption embedded in the MSR valuation, but also any liability or costs
the BHC incurs from servicing loans not owned related to unreimbursed foreclosure costs,
which typically relates to VA no‐bids; first 60 days interest on GNMAs; FNMA/FHLMC attorney
fees, property preservation costs, and property inspection fees; FNMA/FHLMC fines for
untimely foreclosures; etc.
BHCs should provide sufficient detail regarding MSR valuation and hedging assumptions for
each of the nine‐quarters in the planning horizon. Such detail should include macro‐economic
and financial market factors, such as yield curve level and slope, interest rate volatility, primary‐
to‐secondary spreads, and other pertinent factors not explicitly supplied. Such detail should
also include key assumptions for material servicing stratums, including but not limited to,
servicing fee rates, prepayment rates, ancillary income, and discount/OAS rates. BHCs should
also document their hedge re‐balancing rules, hedge roll‐over assumptions, and how such
hedging rules are consistent with current limits/risk tolerance.
Allowance for Loan Losses: BHCs should estimate the portion of the current allowance for loan
losses available to absorb credit losses on the loan portfolio for each quarter under each
scenario, while maintaining an adequate allowance along the scenario path and at the end of
the scenario horizon. Loan loss reserve adequacy should be assessed against the likely size,
composition, and risk characteristics of the loan portfolio throughout the planning horizon in a
manner that is consistent with the BHC’s projections of losses over that scenario.
For the period ending December 31, 2013, BHCs should include estimates of adequate reserves
to cover expected losses for the year 2014 in manner that is consistent with each scenario.
13
Basel III: BHCs should include estimates of capital levels and composition, risk‐weighted assets,
exposures used to calculate minimum ratios, buffers, and any SIFI surcharge that may be
required by the Basel III framework agreed to by the BCBS, under both the BHC Baseline and
the Supervisory Baseline scenarios. Each BHC should include its Basel III capital composition,
risk‐weighted assets, leverage exposures and planned actions in the FR Y‐14A, beginning
September 30, 2011, and through December 31, 2016. The BHC’s submission documentation
should include all material planned actions, including, but not limited to, the roll‐off or sale of
existing portfolio(s), the issuance of regulatory capital instruments and other strategic
corporate actions to meet the proposed Basel III target ratios as they would come into effect in
the United States. Each BHC should include its best estimates of its likely SIFI surcharge
including an explanation for its estimate in the comprehensive capital plan.
Regulatory Capital: BHCs should supply quarterly estimates of regulatory capital under current
U.S. capital adequacy guidelines (as well as tier 1 common as it is defined in the capital plans
rule) over the planning horizon that reflects estimated losses and resources available to absorb
those losses.16 Institutions should also supply a quarterly estimate of risk‐weighted assets for
each scenario and average assets appropriate for the calculation of the tier I leverage ratio.
BHC Scenarios: BHCs are expected to develop their own baseline and stress scenarios, and
provide details of those scenarios to the Federal Reserve in the FR Y‐14A Scenario schedule. The
BHC Baseline scenario should reflect the BHC’s view of the most likely path of the economy
over the forecast horizon. The BHC Stress scenario should be based on a coherent, logical
narrative of a stressful economic environment. BHC stress scenarios should reflect the BHC's
unique vulnerabilities to factors that affect its exposures, activities, and risks. As noted above,
BHCs should submit a separate, complete FR Y‐14A for each submitted scenario.
2.1.2. Supporting Documentation for Analyses used in Capital Plans
Documentation of Risk Measurement Practices: Capital plan submissions should include
documentation of key risk identification and measurement practices supporting the BHC‐wide
stress testing required in the capital plans. As noted above, an assessment of the robustness of
these practices is a critical aspect of the supervisory assessment of capital adequacy processes.
Documentation of Internal Stress Testing Methodologies: BHCs should include in their capital
plan submissions thorough documentation that describes key methodologies and assumptions
for performing stress testing on their portfolios. Documentation should clearly describe the
modeling development process, the derivation of outcomes, and validation procedures, as well
as assumptions concerning new growth and changes to credit policy. Supporting
documentation should transparently describe internal governance around the development of
comprehensive capital plans. Senior management should provide boards of directors with
sufficient information to facilitate the board’s full understanding of the stress testing used by
the firm for capital planning purposes.
16
See 12 CFR part 225, Appendices A, D, E, and G; see also section 225.8(c) of the capital plans rule.
14
Assumptions and Approaches: BHCs should provide credible support for BHC‐specific
assumptions, including any known weaknesses in the translation of assumptions into loss and
resource estimates. An overreliance on past patterns of credit migration (the basis for roll rate
and ratings transition models) may be a weakness when considering stress scenarios. BHCs
should demonstrate that their approaches are clearly conditioned on the scenario under study.
While judgment is an essential part of risk measurement and risk management, including for
loss forecasting, BHCs should not be over‐reliant on judgment to prepare their loss estimations
without providing documentation or evidence of transparency and discipline around the
process. BHCs should be transparent about the use of judgment and be adequately supported
and in line with scenario conditions. They should be consistently conservative in the
assumptions they make to arrive at loss rates. In addition, there should be appropriate
challenge of assumptions by senior management and the board of directors.
Validation and Independent Review: In addition to being properly documented, models
employed by BHCs should be independently validated or otherwise reviewed in line with model
risk management expectations presented in existing supervisory guidance.
While use of existing risk measurement models and processes provides a useful reference point
for considering stress scenario potential loss estimates, BHCs should consider whether these
processes generate outputs that are relevant in a stressful scenario. Use of models may need
to be supplemented with other data elements and alternative methodologies. It is critical that
BHCs assess the vulnerability of their models to error, understand any of their other limitations,
and consider the risk to the BHC should estimates based on those models prove materially
inaccurate.
2.2. A Description of All Planned Capital Actions over the Planning Horizon
In its assessment of the uses and sources of capital, a BHC’s capital plan must describe all
planned capital actions over the planning horizon. As described in the capital plans rule, a
capital action is any issuance of a debt or equity capital instrument, capital distribution, and any
similar action that the Federal Reserve determines could impact a BHC’s consolidated capital. A
capital distribution is a redemption or repurchase of any debt or equity capital instrument, a
payment of common or preferred stock dividends, a payment that may be temporarily or
permanently suspended by the issuer on any instrument that is eligible for inclusion in the
numerator of any minimum regulatory capital ratio, and any similar transaction that the Federal
Reserve determines to be in substance a distribution of capital. As described below, the
planned capital actions under consideration by the Federal Reserve will be those proposed in
the BHC Baseline scenario.
2.3. Expected Changes to Business Plan Affecting Capital Adequacy or Liquidity
Each BHC should include in its comprehensive capital plan a discussion of any expected changes
to the BHC’s business plan that are likely to have a material impact on the BHC’s capital
15
adequacy or liquidity. Examples of changes to a business plan that may have a material impact
could include a proposed merger or divestiture, changes in key business strategies, or
significant investments. In this discussion, the company should consider, in particular, potential
adverse consequences from the activities described above, such as a failed merger, aborted
business strategy, or loss on a significant investment.
2.4. Supervisory Expectations for a BHC’s Capital Adequacy Process
An important component of any BHC’s capital plan is a description of the BHC’s process for
assessing capital adequacy (CAP). (See Appendix II for a detailed description of supervisory
expectations for CAP.) An organization’s CAP should reflect a full understanding of its risks and
ensure that it holds capital corresponding to those risks to maintain overall capital adequacy.
The detailed description of a company’s CAP should include a discussion of how, under stressful
conditions, the BHC will maintain capital commensurate with its risks, maintain capital above
the minimum regulatory capital ratios, and serve as a source of strength to its depository
institution subsidiaries. The description should also contain a discussion of how, under stressful
conditions, the BHC will continue its operations by maintaining ready access to funding,
meeting its obligations to creditors and other counterparties, and continuing to serve as a
credit intermediary.
NOTE: An internal capital adequacy assessment process (ICAAP) under the Federal Reserve’s
advanced approaches capital guidelines for BHCs constitutes an internal capital adequacy
process for purposes of the capital plans rule.17 BHCs that have a satisfactory capital adequacy
process as assessed in CCAR generally would be considered to have a satisfactory internal
capital adequacy process for purposes of the rule. The seven principles articulated in Appendix
II to this document are consistent with the U.S. Federal banking agencies’ supervisory guidance
relating to the ICAAP.18
3. Assessment of Planned Capital Distributions
CCAR 2012 will use planned capital actions developed by the BHC and embedded in the BHC
Baseline scenario as the planned actions that are subject to supervisory evaluation in both
baseline scenarios and in the Supervisory Stress scenario. A quantitative assessment of the
appropriateness of these actions will be evaluated, in part, by the implications for the BHC’s pro
forma, post‐stress capital ratios under the BHC and Supervisory Stress scenarios, its common
dividend payout ratio (common dividends relative to net income available to common
shareholders) in the baseline scenarios, and its projected path to compliance with Basel III in
the baseline scenarios.
17
See 12 CFR part 225, Appendix G.
18
73 Fed.Reg. 44620 (July 31, 2008).
16
Any change to proposed capital distributions after January 9, 2012, may require submission of a
revised plan in a subsequent quarter.19 The Federal Reserve will rely on the dollar amount of
distributions contained in a BHC’s FR Y‐14A when assessing comprehensive capital plans. The
Federal Reserve’s decision to object, or issue a notice of non‐objection, to a comprehensive
capital plan will be specific to the BHC’s proposed distributions.
3.1. Supervisory Assessment of Proposed Capital Actions
The capital actions proposed by each BHC that participates in CCAR 2012 should be consistent
with the BHC’s capital policies and the baseline macroeconomic scenario that it develops for
internal capital planning purposes (i.e., the BHC Baseline scenario). The participating BHCs will
be evaluated against the factors described in the capital plans rule. This will include a BHC’s
ability to maintain capital above each minimum regulatory capital ratio (leverage, tier 1 risk‐
based, and total risk‐based) and above a tier 1 common ratio of 5 percent on a pro forma basis
under baseline and stress conditions throughout the planning horizon.
To support this assessment, the Federal Reserve will review the supporting analyses in a BHC’s
comprehensive capital plan, including its stress test results, and will generate supervisory
estimates of losses, revenues, loan loss reserves, and pro forma, post stress capital ratios using
internally developed supervisory models and assumptions wherever possible. Supervisory
models and assumptions will be applied in a consistent manner across all BHCs. Where it may
not be feasible to develop results directly through the use of supervisory models, the Federal
Reserve may incorporate into its supervisory estimates one or more of the following: BHC
estimates, reviewed and adjusted (where applicable) by supervisors to ensure the scenario was
applied as specified and BHC’s assumptions of potential losses and earnings reflect a credible
and conservative translation of the impacts from the stress scenario; industry models; and
simple decision rules using conservative assumptions consistently applied across all BHCs.
3.2. Robustness of Proposed Capital Distributions
In CCAR 2012, the Federal Reserve will assess the robustness of the BHC’s capital adequacy
inclusive of its planned capital actions in a variety of ways. In particular, the supervisory
assessment will evaluate the combination of stress performance measures (revenues, losses,
and reserves) with planned capital actions (e.g., dividends, issuance, and repurchases from the
BHC Baseline scenario) against each minimum regulatory capital ratio and a 5 percent tier 1
common ratio. This conservative approach asks if a BHC would be capable of continuing to
meet supervisory expectations for capital ratios even if stress conditions emerged and the BHC
did not reduce distributions. In addition, supervisors will use the same planned capital actions
to evaluate common dividend payout ratios and the Basel III transition path using performance
measures from the BHC Baseline and the Supervisory Baseline scenarios. The various types of
assessments that supervisors expect to consider are described in the following table.
19
See sections 225.8(d)(4) and (f) of the capital plans rule.
17
3.2.1. Common Dividend Payouts
The Federal Reserve expects that capital plans will reflect conservative common dividend
payout ratios. In particular, requests that imply common dividend payout ratios above 30
percent of projected after‐tax net income available to common shareholders will receive
particularly close scrutiny.
3.2.2. Basel III Transition Plans
As part of CCAR 2012, the Federal Reserve will continue to evaluate whether the proposed
capital actions are appropriate in light of management’s plans to meet the proposed Basel III
requirements. As part of its capital plan submission, a BHC should provide a transition plan that
includes pro forma estimates under baseline conditions of the BHC’s regulatory capital ratios
under the proposed Basel III capital framework.20 As stated in the September 2010 Group of
Governors and Heads of Supervision agreements, BHCs that meet the minimum ratio
requirement during the Basel III transition period but remain below the 7 percent tier 1
common equity target (minimum plus conservation buffer) will be expected to maintain
prudent earnings retention policies with a view to meeting the conservation buffer as soon as
reasonably possible.
20
See Basel Committee on Banking Supervision, Basel III: A global framework for more resilient banks and banking
systems (December 2010), available at www.bis.org/publ/bcbs189.pdf.
18
3.2.3. Surcharge for Systemically Important Financial Institutions
In November 2011, the BCBS published its methodology for assessing an additional loss
absorbency requirement for global systemically important banks (SIFI surcharge) that
effectively extends the capital conservation buffer.21 Each BHC’s transition plan should
incorporate management’s best estimate of the likely SIFI surcharge that would be assessed
under this methodology and a description of how this estimate was derived. The Federal
Reserve expects that BHCs will demonstrate with great assurance that, assuming the
framework is adopted in the form agreed by the Basel Committee inclusive of a SIFI surcharge,
they can achieve the required ratios readily and without difficulty over the transition period,
inclusive of any planned capital actions.
In making that assessment, the Federal Reserve expects that BHCs that have achieved full
compliance with the fully‐phased in Basel III ratios would not be constrained on distributions by
Basel III considerations, provided the BHC’s forecast suggests that it would maintain full
compliance during the planning horizon through December 31, 2016.
The Federal Reserve expects that any BHC performance projections that suggest that ratios
would fall below the transitional Basel III targets at any point over the Basel III projection period
would be accompanied by proposed actions that reflect affirmative steps to improve the BHC’s
capital ratios, including actions such as external capital raises, to provide great assurance that
the BHC would continue to meet the Basel III transition targets.
Some BHCs may exceed the transition targets over the near term, but not yet meet the fully‐
phased in targets. Those BHCs are expected to submit plans reflecting steady accretion of
capital at a sufficient pace to demonstrate continual progress toward full compliance with the
proposed Basel III framework, avoiding the need to attempt to achieve back‐loaded increases in
capital ratios in an uncertain future environment. In particular, a BHC should, through its capital
plan, demonstrate an ability to maintain no less than steady progress along a path between its
existing capital ratios and the fully‐phased in Basel III requirement in 2019. The Federal Reserve
will closely scrutinize plans that fall short of this supervisory expectation.
4. Federal Reserve Responses to Proposed Capital Actions
After performing appropriate analysis, the Federal Reserve will by March 15, 2012, either object
or provide a notice of non‐objection to the submitted comprehensive capital plan based on an
assessment of the comprehensiveness and quality of the plan, pro forma, post‐stress capital
ratios under the scenarios, Basel III transition plan assessments, and object in whole or in part
to the proposed capital actions as submitted. BHCs wishing to amend their submission during
the process (e.g., request a smaller dividend increase) may resubmit a revised capital plan, but
21
See Basel Committee on Banking Supervision, Global Systemically Important Banks: Assessment Methodology
and The Additional Loss Absorbency Requirement (November 2011), available at
http://www.bis.org/publ/bcbs207.htm.
19
the supervisory review of the revised request may be not completed until the subsequent
calendar quarter.
Submissions that are late, incomplete, or otherwise unclear could result in an objection to the
plan and a mandatory resubmission of a new plan, which may not be reviewed until the
following quarter. Upon the Federal Reserve’s objection to a comprehensive capital plan, the
BHC may not make any capital distribution, other than those capital distributions with respect
to which the Federal Reserve has indicated in writing its non‐objection.22
Some BHCs may desire to announce or take capital actions prior to March 15, 2012. BHCs
should give prior notice to the Federal Reserve of their intent to carry over certain capital
actions that were previously not objected to through 2011 during the CCAR exercise in 2011,
but not yet fully executed in 2011. This carryover applies to actions such as share repurchases
and redemptions of trust preferred securities. In addition, BHCs wishing to make a common
dividend declaration prior to the March 15, 2012 decision may retain the same per share
dividends as in the fourth quarter of 2011, unless the Federal Reserve explicitly informs the BHC
otherwise.
A notice from a BHC seeking to exercise approved but not yet fully executed share repurchases
or redemptions in 2011 should be provided to the appropriate Reserve Bank no later than
December 9, 2011. A response to such requests will be provided no later than December 31,
2011. After CCAR 2012, the period of non‐objection will include the second quarter of the
current year through the first quarter of the subsequent year. Consequently, and as explained
in the preamble to the capital plans rule, this treatment of the carryover of capital actions into
the first quarter 2012 is unique to CCAR 2012 and will not exist in future years.
Based on a review of a BHC's capital plan, supporting information, and data submissions, the
Federal Reserve may require additional supporting information or analysis from a BHC, or
require it to revise and resubmit its plan. Any of these may also result in the delay of evaluation
of capital actions until a subsequent calendar quarter.
The Federal Reserve will provide feedback on its broader assessments of the BHCs’
comprehensive capital plans and capital adequacy processes to all 19 BHCs by April 30, 2012.
The Federal Reserve at all times retains the ability to ultimately object to payments in future
quarters if a BHC exhibits a material decline in performance or a deteriorating outlook
materially increases BHC‐specific risks.
As detailed in the capital plans rule, a BHC must update and resubmit its capital plan if it
determines there has been or will be a material change in the BHC’s risk profile (including a
material change in its business strategy or any material risk exposures), financial condition, or
corporate structure since the BHC adopted the capital plan. Further, the Federal Reserve may
22
See section 225.8(e)(2)(iv) of the capital plans rule.
20
direct a BHC to revise and resubmit its capital plan for a number of reasons, including if a stress
scenario developed by a BHC is not appropriate to its business model and portfolios, or changes
in financial markets or the macro‐economic outlook that could have a material impact on a
BHC’s risk profile and financial condition requires the use of updated scenarios.
5. Disclosure of Supervisory Post‐Stress Capital Analysis
At the end of the CCAR 2012 process, the Federal Reserve intends to publish the results of the
supervisory stress test component of CCAR 2012 on a BHC‐specific basis. The purpose of
releasing this information is to provide insight to market participants into the resiliency of the
BHCs very stressful hypothetical environments and to provide information about the post‐stress
capital analysis performed by supervisors during the CCAR 2012 process.
In releasing this information, the Federal Reserve notes that supervisory stress test results are
not the sole basis upon which the covered BHCs’ capital plans are being assessed during CCAR
2012. In fact, the supervisory stress test for a given BHC could result in a post‐stress tier 1
common capital ratio exceeding 5 percent, and other regulatory capital ratios remaining above
the minimums, but the Federal Reserve could nonetheless object to that BHC’s capital plan for
other reasons, including material unresolved supervisory issues; an assessment that
assumptions and analyses underlying the BHC’s comprehensive capital plan are inadequate; an
assessment that the BHC’s capital adequacy process, including the critical risk measurement
and management practices supporting this process, are not robust; or a determination that a
BHC’s capital planning process or proposed capital distributions would otherwise constitute an
unsafe or unsound practice, or would violate any law, regulation, Board order, directive, or any
condition imposed by, or written agreement with, the Board.23
The information to be released will include BHC‐specific information about pro forma, post‐
stress capital ratios – leverage, tier 1 risk‐based, and total risk‐based capital ratios and the tier 1
common ratio – including the minimum value of these ratios over the planning horizon. In
addition, the Federal Reserve will release information about stress loss projections and loss
rates for major loan categories, stress loss projections for securities held in the available‐for‐
sale and held‐to‐maturity portfolios, stress losses on the trading portfolio and from
counterparty credit risk positions, stress pre‐provision net revenue (PPNR) and net income, and
other major factors affecting the evolution of capital over the stress test horizon.
6. Incremental Capital Requests
The capital plans rule provides that a BHC must request prior approval of a capital distribution if
the “dollar amount of the capital distribution will exceed the amount described in the capital
plan for which a non‐objection was issued” unless an exception (i.e., 1 percent of tier 1 capital)
is met.24 Supervisors will examine performance relative to the initial projections and the
23
See section 225.8(e)(2)(ii) of the capital plans rule.
24
See section 225.8(f) of the capital plans rule.
21
rationale for the request. Any such request for prior approval should incorporate a fully
updated capital plan, including relevant FR Y‐14 schedules reflecting updated baseline and
supervisory stress scenarios provided by the Federal Reserve, unless otherwise directed by the
Federal Reserve.
22
Appendix I: Supervisory Expectations for Capital Policies
In the capital plans rule a capital policy is defined as a BHC’s written assessment of the
principles and guidelines used for capital planning, capital issuance, usage and distributions,
including internal capital goals; the quantitative or qualitative guidelines for dividend and stock
repurchases; the strategies for addressing potential capital shortfalls; and the internal
governance procedures around capital policy principles and guidelines. The firm’s capital policy
establishes the capital planning framework in place to address expectations under principles 4
and 5 of the overall capital adequacy process (CAP) as laid out in the ‘Supervisory Expectations
for a Capital Adequacy Process’ section (Appendix II) of the CCAR 2012 instructions.
A BHC’s internal capital goals should apply throughout the planning horizon in the form of
capital levels and ratios. A BHC should be able to demonstrate that achieving its stated internal
capital goals will allow it to continue its operations during and after the impact of the stressed
scenarios included in its comprehensive capital plan. The policy should also include a detailed
explanation of the circumstances in which it will not consider a dividend or repurchase, or will
not execute a previously planned capital action.
As part of the continuation of a BHC’s operations, the Federal Reserve expects the BHC to
maintain ready access to funding, meet its obligations to creditors and other counterparties,
and continue to serve as a credit intermediary, including under an adverse stress environment.
Similarly, a BHC’s capital policy should reflect strategies for addressing potential capital
shortfalls, such as by reducing or eliminating capital distributions, raising additional capital, or
preserving its existing capital, to support circumstances where the BHC has underestimated its
risks or where its performance has not met its expectations.
The Federal Reserve expects that a BHC’s capital policy will lead to an understanding of how the
BHC manages, monitors and makes decisions regarding all aspects of capital, including capital
planning, issuance, usage and distributions. The Federal Reserve will evaluate the BHC’s capital
policy using the following standards:
Capital policy objectives: The BHC’s capital policy should clearly articulate the BHC’s principles
with respect to capital planning, capital issuance, usage and distributions (i.e., provide clarity
about the BHC’s objectives in managing its capital position). The policy should explain how the
BHC’s principles align with the imperative of maintaining a strong capital position.
Capital goals: The policy should lay out the BHC’s capital goals over time, providing specific
targets for the level and quality of capital. The capital goals should reflect forward‐looking
elements related to the economic outlook, exposures to losses under adverse economic
scenarios, future regulatory requirements, as well as the expectations of stakeholders (e.g.,
shareholders, rating agencies, counterparties and regulators). Each BHC should ensure that its
internal capital goals reflect any relevant minimum regulatory capital ratio levels, any higher
levels of regulatory capital ratios (above regulatory minimums), and any additional capital
measures that, when maintained, will allow the BHC to continue its operations.
23
Proposed capital actions: The policy should describe the governance and processes
surrounding how common stock dividend and repurchase decisions are made, including an
explanation of the roles and responsibilities of key decision‐makers. The policy should describe
the process the BHC follows to arrive at its planned capital distribution amount (both dividends
and repurchases). Specifically, the policy should lead to a clear understanding of the following:
The main factors/key metrics that influence both the size and format of the BHC’s
distribution;
The analytical materials used in making capital distribution decisions (e.g., key metrics,
reports, earnings, ratios, stress test results);
Who has responsibility for producing the analytical material referenced above; and
Who the analysis is presented to and the required approvals up to and including the board
of directors.
Frequency of policy re‐evaluation: The policy should include a minimum frequency with which
the capital plan is re‐evaluated. The Federal Reserve expects that BHCs will review their capital
policies at least annually.
Quantitative metrics: The policy should include quantitative metrics such as common stock
dividend (and other) payout ratios as maximums/targets for capital distributions
(dividend/repurchase). The policy should include an explanation of how management
concluded that these ratios are appropriate, sustainable, and consistent with its capital
objectives, business model and capital plan.
Capital preservation scenarios: The policy should include a set of economic conditions that
would cause the BHC to take action to preserve capital. Specifically, the policy should
enumerate any triggers or circumstances that would call for the BHC to review or consider
reducing, deferring, or eliminating dividends or repurchases.
Capital accretion: An important aspect of any comprehensive capital plan is the careful
consideration of how retention of earnings will support and respond to the varied capital needs
of the BHC in achieving its capital targets. In establishing dividend and repurchase levels,
institutions should consider the strength, volatility and sustainability of their earnings relative
to short and longer term demands to build the BHC’s capital base over time. The setting of
capital distribution levels should be consistent with a degree of capital accretion that support
achieving the BHC’s capital targets in its capital policy noted above.
Accordingly, in setting the levels of capital distributions, BHCs should explicitly take into
account general economic conditions and their plans to grow their on‐ and off‐balance‐sheet
size and risk organically or through acquisitions. In addition, the results of the BHC’s capital
24
adequacy analysis, including internal stress tests and those run for the Federal Reserve, should
influence the level of capital distributions the BHC believes are prudent. Further, BHCs should
explicitly take into account short, intermediate and longer term capital demands due to
expected changes in regulatory capital standards (e.g., changes arising from Basel III or Dodd‐
Frank), including recognition of the uncertainty of the precise details of those future standards.
A BHC’s capital distribution framework should be sufficiently flexible to promptly respond to
adverse changes in the environment and earnings. Institutions should be mindful to set capital
dividend payout levels as a share of earnings that is believed to be sustainable through general
fluctuations in the BHC’s earnings, consistent with the degree to which the BHC seeks to
address investor sensitivity to the reliability and sustainability of dividends.
As noted in the capital policy section above, policy triggers should be set that prompt
management to reconsider, reduce or suspend capital actions. Triggers could include factors
such as an actual or expected decline in earnings or changes in forward looking analysis,
including stress tests that suggest a growing risk to the BHC achieving the targets of its capital
plan.
25
Appendix II: Supervisory Expectations for a Capital Adequacy Process
A BHC’s capital adequacy process (CAP) should adhere to the following principles:
Principle 1: The BHC has a sound risk management infrastructure that supports the
identification, measurement, and assessment of all material risks arising from its exposures and
business activities.
A satisfactory CAP requires (1) a comprehensive risk identification process, and (2) complete
and accurate measurement and assessment of all material risks.
A BHC should measure or assess the full spectrum of risks that face the organization, using
both quantitative and qualitative methods, where applicable.
Quantitative processes for measuring risks should meet supervisory expectations for model
effectiveness and be supported by robust model development, documentation, and
validation practices. Both qualitative and quantitative processes for assessing risk should
be transparent, repeatable, and reviewable by an independent party.
Any identified weaknesses in risk measures used as inputs to the capital adequacy process
should be reported to and discussed with senior management and the board of directors.
The potential implications of risk measurement weaknesses should also be reported and
addressed.
Principle 2: The BHC has effective processes for translating risk measures into estimates of
potential losses over a range of adverse scenarios and environments and for aggregating those
estimated losses across the BHC.
A CAP should include loss forecasting methodologies that generate estimates of potential
losses, one of which should be an enterprise‐wide stress test using scenario analysis.
Methodologies utilized should be complementary in that they do not suffer from common
limitations and do not all rely on common assumptions.
Using its various measures, a BHC should develop consistent and repeatable processes to
aggregate estimates of stress losses on a firm‐wide basis across the BHC.
A BHC should recognize that its loss forecasts are estimates and document uncertainty
around those estimates, including an analysis of the impact of changes in assumptions.
A BHC should demonstrate that its loss forecasting tools are appropriate for the manner in
which they are being employed, and that the most relevant limitations are clearly identified,
documented, and communicated to senior management and the board of directors.
26
Principle 3: The BHC has a clear definition of available capital resources and an effective
process for forecasting available capital resources (including any forecasted revenues) over the
same range of adverse scenarios and environments used for loss forecasting.
Management and the board of directors should understand the loss absorption capabilities
of the components of the BHC’s capital base.
In forecasting available capital resources, a BHC will need to consider not only its current
positions and mix of capital instruments, but also how its capital resources may evolve over
time under varying circumstances under stress scenarios.
As is the case in considering the path of capital resources over time, PPNR forecasts should
be consistent with balance sheet and other exposure assumptions used for related loss
forecasting. This is critical for measuring the impact of earning assets and interest bearing
liabilities (in addition to rate assumptions) on net interest income.
Principle 4: The BHC has processes for considering the impact of loss and resource estimates on
capital adequacy, in line with the BHC’s stated goals for the level and composition of capital,
and taking into account any limitations of the BHC’s capital adequacy process.
A BHC should have a well‐established and consistently executed process for aggregating loss
and resource estimates to assess the post‐stress impact of those estimates on capital. A
BHC should use a variety of capital measures that represent both leverage and risk at
specified time horizons.
The board of directors is responsible for establishing capital goals commensurate with the
risk profile, financial condition, and economic and market circumstances of the BHC. Such
decisions should also include an assessment of limitations of underlying risk measurement
and management practices supporting risk evaluation and loss and revenue forecasting.
Additional detail on expectations for establishing appropriate capital targets can be found in
the “Supervisory Expectations for Capital Policies” section (Appendix II) of the CCAR 2012
instructions.
Principle 5: The BHC has a process, supported by its capital policy, to use its assessments of the
impact of loss and resource estimates on capital adequacy to make key decisions regarding the
current level and composition of capital, specific capital actions, and capital contingency plans.
A BHC’s processes for making key decisions about capital adequacy involve: (1) the
establishment of a policy framework that includes specified triggers for when certain
decisions need to be considered or reconsidered, (2) an assessment of the adequacy of the
BHC’s capital which incorporates a variety of BHC‐wide analytics, and (3) contingency plans
that inform management actions when specified triggers are breached.
27
Additional detail on expectations for establishing appropriate capital targets can be found in
the “Supervisory Expectations for Capital Policies” section (Appendix I) of the CCAR 2012
instructions.
Principle 6: The BHC has robust internal controls governing capital adequacy process
components, including: sufficient documentation; change control; model validation and
independent review; and audit testing.
Consistent with general safety and soundness supervisory expectations, the internal control
environment governing the CAP should be comprised of effective board and senior
management oversight, policies and procedures, management information systems, and
independent validation or verification.
The internal control framework should encompass the entire CAP, including the risk
management systems used to produce input data, the models and other techniques used to
project loss and resource estimates, the process for making capital adequacy decisions, and
the aggregation and reporting framework used to produce management and board
reporting.
Policies and procedures should ensure a consistent and repeatable process and provide
transparency to third parties for their understanding of a BHC’s CAP processes and
practices. Policies and procedures should be comprehensive, relevant to their use in the
CAP, be periodically updated, and cover the entire process and all of its components.
Specific to the CAP, a BHC should have internal controls that ensure the integrity of
reported results and that all material changes to the process and its components are
appropriately reviewed and approved.
A BHC should have controls to ensure that management information systems are robust
enough to support models, stress tests, and other quantitative tools used for the CAP, with
sufficient flexibility to run ad hoc analysis as needed. Ensuring the quality and integrity of
data and other inputs is of vital importance.
Expectations for validation and independent review for components of the CAP are
consistent with existing supervisory guidance on model risk management. A BHC’s internal
audit should play a strong role in evaluating the CAP and its components. A full review of
the CAP should be done periodically to ensure that as a whole it is functioning as expected.
Principle 7: The BHC has effective board and senior management oversight of the CAP,
including periodic review of capital goals, assessment of the appropriateness of adverse
scenarios considered in capital planning, regular review of any limitations and uncertainties in
the process, and approval of planned capital actions.
28
The board of directors should make informed decisions on capital adequacy for its BHC by
receiving sufficient information detailing the risks the BHC faces, and the impact that loss
and resource estimates may have on the capital position of the organization. This
information should be framed against the capital goals established by the BHC and
obligations to external stakeholders, and consider capital adequacy for the BHC with
respect to the current circumstances as well as on a pro forma, post stress basis.
Additionally, the information the board reviews should include a representation of
weaknesses and uncertainties within the capital adequacy process, enabling the board to
have the perspective to effectively understand and challenge reported results. Supervisors
expect the board to act appropriately when weaknesses in the process are identified, giving
full consideration to the impact of those weaknesses in their capital decisions.
Using appropriate information, senior management should make informed
recommendations to the board about the BHC’s capital, including capital goals and
distribution decisions.
A BHC should appropriately document the key decisions made by the board of directors and
senior management and the information used to make those decisions.
29
Appendix III: The Federal Reserve CCAR‐2012 Macroeconomic Scenarios
As part of the 2012 Comprehensive Capital Analysis and Review (CCAR‐12), BHCs are being
asked to project their revenues, losses, and pro forma capital positions through the end of 2013
under four scenarios:
i.
ii.
iii.
iv.
BHC Baseline – a BHC‐defined baseline scenario
Supervisory Baseline – a baseline scenario provided by the Federal Reserve
BHC Stress – at least one BHC‐defined adverse scenario
Supervisory Stress – an adverse scenario provided by the Federal Reserve
It is important to note that the scenarios provided by the Federal Reserve are not forecasts,
but rather hypothetical scenarios to be used to assess the strength and resilience of BHC
capital in a baseline economic environment and in a particularly adverse one. An outcome
like the supervisory stress scenario, while unlikely, may prevail if the U.S economy were to
experience a recession while at the same time economic activity in other major economies
were also to contract significantly.
This Appendix provides a description of the two scenarios provided by the Federal Reserve.
All scenarios start in the fourth quarter of 2011 and extend through the fourth quarter of 2014,
which permits the calculation of loan‐loss reserves at the end of 2013. The two Federal Reserve
scenarios are defined over 25 variables. For the domestic U.S. variables, each Federal Reserve
scenario includes:
Five measures of economic activity and prices: Real and nominal Gross Domestic Product
(GDP), the unemployment rate of the civilian non‐institutional population aged 16 and over,
nominal disposable personal income, and the Consumer Price Index(CPI);
Four aggregate measures of asset prices or financial conditions: The Core Logic National
House Price Index, the National Council for Real Estate Investment Fiduciaries Commercial
Real Estate Price Index, the Dow Jones Total Stock Market Index, and the Chicago Board
Options Exchange Market Volatility Index; and,
Four measures of interest rates: the rate on the three‐month Treasury bill, the yield on the
10‐year Treasury bond, the yield on a 10‐year BBB corporate security, and the interest rate
associated with a conforming, conventional, fixed‐rate, 30‐year mortgage.
For the international variables, each Federal Reserve scenario includes three variables in four
countries/country blocks.
The three variables for each country/country block are the percent change in real GDP, the
percent change in the Consumer Price Index or local equivalent, and the U.S./foreign
currency exchange rate.
The four countries/country blocks included are the euro area, the United Kingdom,
developing Asia, and Japan. The euro area is defined as the seventeen European Union
member states that have adopted the euro as their common currency and developing Asia
is defined as the aggregate of China, India, Hong Kong, and Taiwan.
30
Attachments
The preceding discussion describes the broad contours of the baseline and adverse scenario
over the period from 2012 to 2014. The specific values for all the variables included in the
scenarios are shown on the following pages and will be provided to BHCs in an accompanying
spreadsheet.
31
Supervisory Stress Scenario (US projections)
OBS
Q1 2001
Q2 2001
Q3 2001
Q4 2001
Q1 2002
Q2 2002
Q3 2002
Q4 2002
Q1 2003
Q2 2003
Q3 2003
Q4 2003
Q1 2004
Q2 2004
Q3 2004
Q4 2004
Q1 2005
Q2 2005
Q3 2005
Q4 2005
Q1 2006
Q2 2006
Q3 2006
Q4 2006
Q1 2007
Q2 2007
Q3 2007
Q4 2007
Q1 2008
Q2 2008
Q3 2008
Q4 2008
Q1 2009
Q2 2009
Q3 2009
Q4 2009
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Q4 2011
Q1 2012
Q2 2012
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Real
Nominal
Real GDP Nominal GDP disposable disposable Unemploym CPI inflation
growth
growth
income
income
ent rate
rate
growth
growth
‐1.31
1.40
3.05
5.96
4.23
3.88
2.65
5.47
‐1.08
0.82
4.41
2.86
‐1.10
0.15
10.58
10.66
4.81
1.08
1.41
2.66
‐4.59
‐4.38
5.53
‐0.25
3.46
4.93
11.23
12.25
5.70
1.25
2.14
3.99
2.21
5.44
5.84
3.20
2.04
3.82
‐1.37
0.64
5.72
2.15
0.14
2.46
0.95
2.86
5.84
2.40
1.68
4.55
1.48
4.43
5.87
4.13
3.43
4.64
6.19
6.50
6.15
‐0.59
6.75
9.14
5.71
8.47
6.10
2.99
3.67
5.80
2.32
4.22
5.81
1.57
2.66
6.28
1.79
5.19
5.68
3.43
2.60
6.11
4.01
7.11
5.58
3.16
3.01
6.03
2.70
5.25
5.43
2.58
3.31
6.43
5.71
9.15
5.38
4.39
4.19
8.09
‐4.79
‐2.51
5.27
2.05
1.79
4.55
2.85
5.40
5.10
2.68
3.21
7.52
2.41
7.10
4.95
6.24
2.07
5.54
2.21
5.84
4.94
3.72
5.15
8.31
7.71
9.52
4.71
2.13
1.63
5.24
3.60
6.70
4.64
3.68
0.05
3.11
1.94
4.90
4.63
3.83
2.75
4.59
5.35
5.26
4.44
‐1.69
0.54
5.23
1.82
5.83
4.49
3.92
3.65
6.50
0.60
4.08
4.47
4.76
2.96
4.34
1.59
3.85
4.65
2.44
1.70
3.64
2.23
6.52
4.80
4.92
‐1.76
0.58
5.90
10.00
4.95
4.51
1.32
4.03
8.22
13.11
5.31
5.31
‐3.66
‐0.57
‐8.82
‐4.86
6.03
6.46
‐8.89
‐8.43
‐0.23
‐5.79
6.91
‐9.07
‐6.67
‐5.23
‐3.81
‐5.42
8.22
‐2.50
‐0.69
‐1.14
0.25
2.15
9.29
1.97
1.70
1.93
‐5.42
‐2.57
9.69
3.67
3.80
4.88
‐0.58
2.18
10.01
2.72
3.94
5.52
4.86
6.81
9.70
1.28
3.79
5.43
5.57
5.91
9.66
‐0.51
2.51
3.86
2.27
3.27
9.59
1.42
2.35
4.16
1.50
3.47
9.63
2.68
0.36
3.09
1.24
5.19
8.93
5.25
1.34
3.96
0.59
3.91
9.06
4.02
2.46
5.04
‐1.73
0.59
9.09
3.09
‐4.84
‐1.70
‐6.02
‐3.37
9.68
1.90
‐7.98
‐5.39
‐6.81
‐5.30
10.58
2.00
‐4.23
‐2.54
‐4.29
‐3.46
11.40
1.90
‐3.51
‐2.24
‐3.16
‐2.44
12.16
2.20
0.00
0.09
‐0.57
‐0.36
12.76
2.10
0.72
0.58
0.74
0.84
13.00
2.11
2.21
2.01
1.66
1.74
13.05
2.27
2.32
2.14
2.69
2.88
12.96
2.38
3.45
3.26
2.27
2.48
12.76
2.44
3.36
2.94
2.77
2.62
12.61
2.40
3.71
3.18
3.53
3.25
12.36
2.40
4.64
4.09
2.82
2.53
12.04
2.40
4.64
4.00
4.48
4.01
11.66
2.41
3‐month
Treasury
yield
4.82
3.66
3.19
1.91
1.72
1.72
1.64
1.34
1.16
1.04
0.93
0.92
0.92
1.08
1.49
2.01
2.54
2.86
3.36
3.83
4.39
4.71
4.91
4.90
4.98
4.74
4.31
3.40
2.07
1.62
1.49
0.30
0.21
0.17
0.16
0.06
0.11
0.15
0.16
0.14
0.13
0.05
0.02
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
10‐year
Treasury
yield
BBB
corporate
yield
5.30
5.50
5.26
5.06
5.39
5.35
4.55
4.29
4.16
3.80
4.40
4.44
4.14
4.75
4.45
4.30
4.39
4.24
4.29
4.60
4.67
5.15
4.96
4.70
4.76
4.92
4.84
4.41
3.87
4.09
4.05
3.72
3.23
3.65
3.81
3.69
3.87
3.62
2.90
2.97
3.53
3.28
2.48
2.07
1.94
1.76
1.67
1.76
1.74
1.84
1.98
1.98
1.97
1.88
1.86
1.89
7.44
7.49
7.26
7.19
7.58
7.61
7.28
7.04
6.47
5.65
6.02
5.84
5.45
6.08
5.77
5.44
5.43
5.46
5.48
5.88
5.97
6.48
6.43
6.12
6.11
6.30
6.54
6.37
6.54
6.84
7.19
9.39
8.96
8.15
6.76
6.13
5.78
5.55
5.07
5.04
5.40
5.15
4.87
5.65
6.83
6.81
6.75
6.45
6.07
5.83
5.74
5.51
5.28
4.94
4.72
4.58
Mortgage
rate
7.24
7.37
7.19
7.00
7.20
7.03
6.48
6.25
5.99
5.65
6.18
6.09
5.75
6.31
6.06
5.89
5.91
5.87
5.92
6.40
6.42
6.80
6.77
6.43
6.40
6.55
6.75
6.41
6.04
6.26
6.50
6.03
5.18
5.14
5.28
5.03
5.11
5.02
4.54
4.50
4.95
4.76
4.40
4.65
5.12
5.16
5.17
5.08
4.93
4.82
4.77
4.66
4.54
4.38
4.26
4.17
Notes:
Sources for data through 2011: Q3 (as released through 11/08/2010). 2011:Q3 international GDP data based on staff calculations.
Values after that date equal assumptions for the supervisory stress scenario.
Variables reported as growth rates are expressed as percent changes at an annual rate.
Real GDP growth: Gross Domestic Product, billions of chain‐weighted 2005 dollars, Bureau of Economic Analysis
Nominal GDP growth: Gross Domestic Product, billions of dollars, Bureau of Economic Analysis
CPI inflation rate: Bureau of Labor Statistics
Real Disposable Personal Income growth: Billions of chain‐weighted 2002 dollars, equals nominal disposable personal income divided by the price index for
personal consumption expenditures, Bureau of Economic Analysis
Nominal Disposable Personal Income growth: Billions of dollars, Bureau of Economic Analysis
Unemployment Rate: Bureau of Labor Statistics (quarterly average of monthly data)
3‐Month T‐Bill Rate: Quarterly average of 3‐month Treasury bill secondary market rate discount basis, Federal Reserve Board
10‐yr Treasury Bond Rate: Quarterly average of yield on 10‐yr U.S. Treasury bond, constructed for FRB/US model by Federal Reserve staff
BBB Corporate Bond Rate: Yield on 10‐yr BBB‐rated corporate bond, constructed for FRB/US model by Federal Reserve staff
Mortgage Rate: Freddie Mac
Dow Jones Total Stock Market Index: End of quarter value, Dow Jones
National House Price Index: CoreLogic (seasonally adjusted by Federal Reserve staff)
CRE Price Index: CoStar (seasonally adjusted by Federal Reserve staff)
VIX: Chicago Board Options Exchange
Euro Area Real GDP Growth: staff calculations based on Statistical Office of the European Communities via Haver
Euro Area Inflation: staff calculations based on Statistical Office of the European Community via Haver
Developing Asia Real GDP Growth: staff calculations based on Bank of Korea via Haver, Chinese National Bureau of Statistics via CEIC, Indian
Central Statistical Organization via CEIC, Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget,
Accounting and Statistics via CEIC.
Developing Asia Inflation: staff calculations based on Bank of Korea via CEIC, Chinese Statistical Information and Consultancy Service via CEIC,
and IMF Recent Economic Developments, Labour Bureau of India via CEIC and IMF, Census and Statistic Department of Hong Kong via CEIC,
Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget, Accounting and Statistics via CEIC.
Japan Real GDP Growth: Cabinet Office via Haver
Japan Inflation: Ministry of Internal Affairs and Communications via Haver
UK Real GDP Growth: Office of National Statistics via Haver
UK Inflation: Office of National Statistics (uses Retail Price Index to extend series back to 1960) via Haver
Exchange Rates: Bloomberg
Dow Jones
Market
Commercial
Total Stock
House Price
Volatility
Real Estate
Market
Index
Index (VIX)
Price Index
Index
10,645.85
32.84
113.46
130.98
11,407.15
34.72
115.20
130.12
9,562.95
43.74
117.58
129.20
10,707.68
35.31
119.99
127.36
10,775.74
26.09
122.44
129.05
9,384.03
28.42
125.74
129.24
7,773.63
45.08
129.10
130.49
8,343.19
42.64
131.56
131.77
8,051.86
34.69
134.59
134.63
9,342.42
29.13
137.48
135.93
9,649.68
22.72
141.68
137.10
10,799.63
21.07
146.32
139.04
11,039.42
21.58
152.67
141.22
11,138.91
19.96
159.10
143.52
10,895.48
19.34
164.33
146.53
11,971.14
16.58
170.25
147.61
11,638.27
14.65
180.11
148.12
11,876.74
17.74
186.45
174.64
12,289.26
14.17
192.51
175.76
12,517.69
16.47
197.07
186.38
13,155.44
14.56
201.82
195.50
12,849.29
23.81
199.55
198.00
13,345.97
18.64
198.29
199.43
14,257.55
12.67
198.93
215.76
14,409.27
19.63
196.43
222.91
15,210.65
18.89
191.35
229.81
15,362.02
30.83
185.77
221.46
14,819.58
31.09
179.99
222.88
13,332.01
32.24
173.04
223.71
13,073.54
31.01
165.31
217.79
11,875.41
46.72
158.25
217.11
9,087.17
80.86
149.51
189.54
8,113.14
56.65
142.77
186.93
9,424.92
42.28
143.51
154.64
10,911.69
31.30
144.81
157.50
11,497.41
30.69
145.34
152.24
12,160.97
27.31
146.66
157.50
10,750.01
45.79
146.10
171.27
11,947.14
32.86
141.78
160.45
13,290.03
23.54
139.61
178.95
14,036.43
29.40
137.93
177.17
13,968.11
22.73
137.56
173.82
11,771.86
48.00
136.86
174.08
9,501.48
75.86
135.13
168.40
7,576.38
90.50
131.61
161.04
7,089.87
80.00
127.50
153.42
5,705.55
81.23
123.12
146.53
5,668.34
69.82
119.08
139.36
6,082.47
62.75
115.15
136.75
6,384.32
57.76
111.92
135.20
7,084.65
53.82
109.77
134.02
7,618.89
49.84
108.48
134.36
8,014.71
45.87
108.08
134.45
9,925.73
34.96
108.40
135.91
10,874.38
24.22
109.24
139.53
12,005.11
17.51
110.29
143.35
Supervisory Stress Scenario (international projections)
OBS
Q1 2001
Q2 2001
Q3 2001
Q4 2001
Q1 2002
Q2 2002
Q3 2002
Q4 2002
Q1 2003
Q2 2003
Q3 2003
Q4 2003
Q1 2004
Q2 2004
Q3 2004
Q4 2004
Q1 2005
Q2 2005
Q3 2005
Q4 2005
Q1 2006
Q2 2006
Q3 2006
Q4 2006
Q1 2007
Q2 2007
Q3 2007
Q4 2007
Q1 2008
Q2 2008
Q3 2008
Q4 2008
Q1 2009
Q2 2009
Q3 2009
Q4 2009
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Q4 2011
Q1 2012
Q2 2012
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Euro Area
Real GDP
Growth
3.70
0.32
0.16
0.50
0.91
2.01
1.34
0.20
‐0.11
0.06
2.03
2.48
2.27
2.12
1.65
1.30
0.67
3.02
2.41
2.38
3.86
4.27
2.67
3.95
3.53
1.91
2.42
1.51
2.36
‐1.54
‐2.10
‐7.21
‐10.81
‐0.85
1.77
1.54
1.32
3.69
1.62
1.07
3.10
0.65
1.33
‐1.03
‐3.49
‐5.40
‐6.91
‐4.92
‐2.64
‐0.88
0.35
1.11
1.50
1.68
1.74
1.72
Euro Area
Inflation
1.06
4.03
1.44
1.69
2.97
2.01
1.62
2.38
3.24
0.34
2.17
2.16
2.32
2.34
2.00
2.40
1.50
2.13
3.12
2.46
1.62
2.44
1.99
0.94
2.21
2.24
2.07
4.87
4.14
3.10
3.04
‐1.26
‐1.07
‐0.11
0.96
1.92
1.76
1.68
1.53
3.01
3.59
2.75
1.24
2.53
1.69
0.29
‐0.99
‐0.92
‐0.49
0.02
0.43
0.71
0.87
0.99
1.11
1.23
Developing
Euro Area
Asia Bilateral
Bilateral
Developing Developing
Dollar
Dollar
Japan Real
Asia Real
Asia
Exchange
Exchange
GDP Growth
GDP Growth Inflation Rate (F/USD,
Rate
Index, Base =
($/Euro)
2000 Q1)
0.88
0.85
0.91
0.89
0.87
0.99
0.99
1.05
1.09
1.15
1.16
1.27
1.23
1.22
1.23
1.35
1.30
1.20
1.20
1.19
1.22
1.28
1.27
1.32
1.33
1.35
1.43
1.47
1.59
1.56
1.41
1.39
1.33
1.41
1.47
1.43
1.35
1.23
1.35
1.33
1.41
1.45
1.35
1.32
1.30
1.25
1.19
1.18
1.18
1.18
1.19
1.19
1.20
1.20
1.20
1.21
3.82
5.69
4.45
6.50
7.16
8.73
4.71
6.06
6.63
2.59
12.51
11.00
4.57
5.98
8.32
7.44
7.81
6.90
9.31
9.92
11.60
7.53
8.36
9.89
13.97
9.72
8.50
9.25
8.73
6.50
4.21
‐0.53
5.33
12.71
12.11
7.26
10.74
7.10
8.78
6.36
9.05
7.54
7.52
5.76
4.93
4.69
4.67
6.86
7.91
8.23
8.25
8.18
8.15
8.16
8.21
8.28
1.59
1.98
1.20
‐0.25
0.32
0.65
1.44
0.71
3.14
1.16
‐0.01
5.38
4.11
3.92
3.84
0.71
2.80
1.68
2.44
1.77
2.37
2.96
1.77
3.96
3.75
4.63
7.22
6.17
7.65
5.99
2.72
‐1.27
‐1.25
2.16
4.46
5.25
4.71
3.09
3.97
7.98
6.18
4.75
5.38
6.12
4.75
3.18
2.07
1.22
1.08
1.12
1.21
1.32
1.44
1.57
1.73
1.89
105.90
105.99
106.29
106.74
107.20
104.67
105.41
104.39
105.40
103.93
102.59
103.31
101.39
102.73
102.67
98.97
98.66
99.00
98.55
98.12
96.84
96.73
96.32
94.58
93.97
91.93
90.62
89.38
87.94
88.55
91.24
91.95
94.02
92.05
91.12
90.55
89.79
90.89
88.27
87.19
86.44
85.25
87.66
89.53
91.49
94.91
100.27
98.96
97.48
95.89
94.26
92.66
91.15
89.75
88.45
87.25
1.79
‐2.36
‐4.63
‐1.75
1.19
3.24
3.09
0.36
‐1.57
2.54
2.95
5.47
4.55
‐1.05
2.47
‐1.79
2.92
4.55
2.79
1.15
0.01
4.51
1.30
2.50
4.60
1.10
‐1.18
2.50
2.79
‐4.66
‐5.38
‐11.81
‐19.91
7.79
‐1.75
6.54
8.91
‐0.66
3.96
‐2.41
‐3.77
‐2.17
1.01
1.63
0.48
‐1.29
‐3.94
‐4.23
‐3.51
‐2.66
‐1.77
‐0.92
‐0.14
0.44
0.83
1.05
Japan
Inflation
Japan
Bilateral
UK Bilateral
Dollar
UK Real GDP
Dollar
UK Inflation
Exchange
Growth
Exchange Rate
Rate
(USD/Pound)
(Yen/USD)
0.55
‐2.00
‐0.59
‐1.85
‐1.11
0.08
‐0.44
‐0.59
‐0.04
0.24
‐0.64
‐0.72
0.60
‐0.36
‐0.04
1.75
‐0.91
‐1.19
‐1.36
0.68
1.31
0.00
0.40
‐0.40
‐0.24
0.00
0.12
2.26
1.30
1.69
3.28
‐2.34
‐3.14
‐1.74
‐1.83
‐1.36
1.36
‐1.20
‐2.68
1.32
0.40
‐0.80
0.08
‐0.76
‐1.53
‐2.43
‐3.85
‐3.44
‐3.19
‐2.78
‐2.34
‐1.93
‐1.56
‐1.25
‐0.99
‐0.76
125.54
124.73
119.23
131.04
132.70
119.85
121.74
118.75
118.07
119.87
111.43
107.13
104.18
109.43
110.20
102.68
107.22
110.91
113.29
117.88
117.48
114.51
117.99
119.02
117.56
123.39
114.97
111.71
99.85
106.17
105.94
90.79
99.15
96.42
89.49
93.08
93.40
88.49
83.53
81.67
82.76
80.64
77.04
77.20
77.94
78.25
78.95
79.14
79.25
79.32
79.38
79.43
79.51
79.58
79.63
79.62
5.38
1.68
2.66
1.60
3.31
2.60
3.17
2.75
2.73
4.77
4.07
4.79
3.06
1.40
0.53
1.92
1.27
3.19
3.38
3.32
3.08
1.50
0.90
2.72
4.23
4.65
4.79
2.56
0.10
‐5.09
‐7.92
‐9.12
‐6.32
‐0.81
0.93
2.94
0.64
4.20
2.47
‐2.05
1.58
0.41
0.70
‐0.29
‐1.60
‐2.93
‐4.25
‐3.61
‐2.41
‐1.19
‐0.10
0.76
1.39
1.83
2.12
2.30
Notes:
Sources for data through 2011: Q3 (as released through 11/08/2010). 2011:Q3 international GDP data based on staff calculations.
Values after that date equal assumptions for the supervisory stress scenario.
Variables reported as growth rates are expressed as percent changes at an annual rate.
Real GDP growth: Gross Domestic Product, billions of chain‐weighted 2005 dollars, Bureau of Economic Analysis
Nominal GDP growth: Gross Domestic Product, billions of dollars, Bureau of Economic Analysis
CPI inflation rate: Bureau of Labor Statistics
Real Disposable Personal Income growth: Billions of chain‐weighted 2002 dollars, equals nominal disposable personal income divided by the price index for
personal consumption expenditures, Bureau of Economic Analysis
Nominal Disposable Personal Income growth: Billions of dollars, Bureau of Economic Analysis
Unemployment Rate: Bureau of Labor Statistics (quarterly average of monthly data)
3‐Month T‐Bill Rate: Quarterly average of 3‐month Treasury bill secondary market rate discount basis, Federal Reserve Board
10‐yr Treasury Bond Rate: Quarterly average of yield on 10‐yr U.S. Treasury bond, constructed for FRB/US model by Federal Reserve staff
BBB Corporate Bond Rate: Yield on 10‐yr BBB‐rated corporate bond, constructed for FRB/US model by Federal Reserve staff
Mortgage Rate: Freddie Mac
Dow Jones Total Stock Market Index: End of quarter value, Dow Jones
National House Price Index: CoreLogic (seasonally adjusted by Federal Reserve staff)
CRE Price Index: CoStar (seasonally adjusted by Federal Reserve staff)
VIX: Chicago Board Options Exchange
Euro Area Real GDP Growth: staff calculations based on Statistical Office of the European Communities via Haver
Euro Area Inflation: staff calculations based on Statistical Office of the European Community via Haver
Developing Asia Real GDP Growth: staff calculations based on Bank of Korea via Haver, Chinese National Bureau of Statistics via CEIC, Indian
Central Statistical Organization via CEIC, Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget,
Accounting and Statistics via CEIC.
Developing Asia Inflation: staff calculations based on Bank of Korea via CEIC, Chinese Statistical Information and Consultancy Service via CEIC,
and IMF Recent Economic Developments, Labour Bureau of India via CEIC and IMF, Census and Statistic Department of Hong Kong via CEIC,
Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget, Accounting and Statistics via CEIC.
Japan Real GDP Growth: Cabinet Office via Haver
Japan Inflation: Ministry of Internal Affairs and Communications via Haver
UK Real GDP Growth: Office of National Statistics via Haver
UK Inflation: Office of National Statistics (uses Retail Price Index to extend series back to 1960) via Haver
Exchange Rates: Bloomberg
0.09
3.02
1.02
0.04
1.90
0.88
1.34
1.92
1.58
0.29
1.70
1.65
1.31
0.98
1.02
2.36
2.55
1.85
2.68
1.35
1.90
2.95
3.21
2.60
2.70
1.53
0.19
3.92
3.81
5.33
5.59
0.51
0.33
1.82
3.29
3.08
4.58
2.57
1.96
4.27
7.22
3.68
3.28
2.64
1.50
0.26
‐0.90
‐0.70
‐0.35
0.12
0.57
0.95
1.25
1.49
1.69
1.84
1.43
1.41
1.47
1.45
1.43
1.52
1.56
1.61
1.59
1.67
1.67
1.79
1.85
1.82
1.82
1.92
1.89
1.79
1.75
1.72
1.75
1.85
1.89
1.96
1.96
2.00
2.04
2.00
2.00
2.00
1.79
1.47
1.43
1.64
1.61
1.61
1.52
1.49
1.56
1.54
1.61
1.61
1.56
1.56
1.56
1.55
1.53
1.54
1.53
1.53
1.53
1.52
1.52
1.52
1.52
1.52
Supervisory Baseline Scenario (US projections)
OBS
Q1 2001
Q2 2001
Q3 2001
Q4 2001
Q1 2002
Q2 2002
Q3 2002
Q4 2002
Q1 2003
Q2 2003
Q3 2003
Q4 2003
Q1 2004
Q2 2004
Q3 2004
Q4 2004
Q1 2005
Q2 2005
Q3 2005
Q4 2005
Q1 2006
Q2 2006
Q3 2006
Q4 2006
Q1 2007
Q2 2007
Q3 2007
Q4 2007
Q1 2008
Q2 2008
Q3 2008
Q4 2008
Q1 2009
Q2 2009
Q3 2009
Q4 2009
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Q4 2011
Q1 2012
Q2 2012
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Real
Nominal
3‐month
Real GDP
Nominal disposable disposable Unemploym CPI inflation
Treasury
growth
GDP growth
income
income
ent rate
rate
yield
growth
growth
‐1.31
1.40
3.05
5.96
4.23
3.88
4.82
2.65
5.47
‐1.08
0.82
4.41
2.86
3.66
‐1.10
0.15
10.58
10.66
4.81
1.08
3.19
1.41
2.66
‐4.59
‐4.38
5.53
‐0.25
1.91
3.46
4.93
11.23
12.25
5.70
1.25
1.72
2.14
3.99
2.21
5.44
5.84
3.20
1.72
2.04
3.82
‐1.37
0.64
5.72
2.15
1.64
0.14
2.46
0.95
2.86
5.84
2.40
1.34
1.68
4.55
1.48
4.43
5.87
4.13
1.16
3.43
4.64
6.19
6.50
6.15
‐0.59
1.04
6.75
9.14
5.71
8.47
6.10
2.99
0.93
3.67
5.80
2.32
4.22
5.81
1.57
0.92
2.66
6.28
1.79
5.19
5.68
3.43
0.92
2.60
6.11
4.01
7.11
5.58
3.16
1.08
3.01
6.03
2.70
5.25
5.43
2.58
1.49
3.31
6.43
5.71
9.15
5.38
4.39
2.01
4.19
8.09
‐4.79
‐2.51
5.27
2.05
2.54
1.79
4.55
2.85
5.40
5.10
2.68
2.86
3.21
7.52
2.41
7.10
4.95
6.24
3.36
2.07
5.54
2.21
5.84
4.94
3.72
3.83
5.15
8.31
7.71
9.52
4.71
2.13
4.39
1.63
5.24
3.60
6.70
4.64
3.68
4.71
0.05
3.11
1.94
4.90
4.63
3.83
4.91
2.75
4.59
5.35
5.26
4.44
‐1.69
4.90
0.54
5.23
1.82
5.83
4.49
3.92
4.98
3.65
6.50
0.60
4.08
4.47
4.76
4.74
2.96
4.34
1.59
3.85
4.65
2.44
4.31
1.70
3.64
2.23
6.52
4.80
4.92
3.40
‐1.76
0.58
5.90
10.00
4.95
4.51
2.07
1.32
4.03
8.22
13.11
5.31
5.31
1.62
‐3.66
‐0.57
‐8.82
‐4.86
6.03
6.46
1.49
‐8.89
‐8.43
‐0.23
‐5.79
6.91
‐9.07
0.30
‐6.67
‐5.23
‐3.81
‐5.42
8.22
‐2.50
0.21
‐0.69
‐1.14
0.25
2.15
9.29
1.97
0.17
1.70
1.93
‐5.42
‐2.57
9.69
3.67
0.16
3.80
4.88
‐0.58
2.18
10.01
2.72
0.06
3.94
5.52
4.86
6.81
9.70
1.28
0.11
3.79
5.43
5.57
5.91
9.66
‐0.51
0.15
2.51
3.86
2.27
3.27
9.59
1.42
0.16
2.35
4.16
1.50
3.47
9.63
2.68
0.14
0.36
3.09
1.24
5.19
8.93
5.25
0.13
1.34
3.96
0.59
3.91
9.06
4.02
0.05
2.46
5.04
‐1.73
0.59
9.09
3.09
0.02
2.33
5.22
‐0.48
2.01
9.10
1.90
0.10
1.92
4.76
1.62
3.50
9.10
2.00
0.10
2.22
4.60
2.09
3.88
9.00
1.90
0.10
2.43
4.82
1.99
4.09
8.90
2.20
0.10
2.63
4.77
2.39
4.40
8.90
2.10
0.10
2.69
4.80
2.77
4.80
8.69
2.11
0.10
2.81
5.09
2.89
5.09
8.48
2.27
0.10
2.90
5.28
2.96
5.28
8.27
2.38
0.10
2.96
5.39
3.01
5.39
8.06
2.44
0.55
2.94
5.38
3.04
5.38
7.93
2.40
0.99
2.95
5.42
3.08
5.42
7.78
2.40
1.44
2.95
5.46
3.11
5.46
7.63
2.40
1.88
2.94
5.48
3.12
5.48
7.48
2.41
2.33
10‐year
Treasury
yield
5.30
5.50
5.26
5.06
5.39
5.35
4.55
4.29
4.16
3.80
4.40
4.44
4.14
4.75
4.45
4.30
4.39
4.24
4.29
4.60
4.67
5.15
4.96
4.70
4.76
4.92
4.84
4.41
3.87
4.09
4.05
3.72
3.23
3.65
3.81
3.69
3.87
3.62
2.90
2.97
3.53
3.28
2.48
2.20
2.30
2.40
2.60
2.80
3.10
3.31
3.50
3.69
3.88
4.04
4.18
4.30
BBB
corporate
yield
7.44
7.49
7.26
7.19
7.58
7.61
7.28
7.04
6.47
5.65
6.02
5.84
5.45
6.08
5.77
5.44
5.43
5.46
5.48
5.88
5.97
6.48
6.43
6.12
6.11
6.30
6.54
6.37
6.54
6.84
7.19
9.39
8.96
8.15
6.76
6.13
5.78
5.55
5.07
5.04
5.40
5.15
4.87
4.52
4.55
4.59
4.74
4.89
5.15
5.32
5.48
5.65
5.83
5.96
6.08
6.18
Dow Jones
Market
Commercial
Mortgage Total Stock
House Price
Volatility
Real Estate
rate
Market
Index
Index (VIX)
Price Index
Index
7.24 10,645.85
32.84
113.46
130.98
7.37 11,407.15
34.72
115.20
130.12
7.19
9,562.95
43.74
117.58
129.20
7.00 10,707.68
35.31
119.99
127.36
7.20 10,775.74
26.09
122.44
129.05
7.03
9,384.03
28.42
125.74
129.24
6.48
7,773.63
45.08
129.10
130.49
6.25
8,343.19
42.64
131.56
131.77
5.99
8,051.86
34.69
134.59
134.63
5.65
9,342.42
29.13
137.48
135.93
6.18
9,649.68
22.72
141.68
137.10
6.09 10,799.63
21.07
146.32
139.04
5.75 11,039.42
21.58
152.67
141.22
6.31 11,138.91
19.96
159.10
143.52
6.06 10,895.48
19.34
164.33
146.53
5.89 11,971.14
16.58
170.25
147.61
5.91 11,638.27
14.65
180.11
148.12
5.87 11,876.74
17.74
186.45
174.64
5.92 12,289.26
14.17
192.51
175.76
6.40 12,517.69
16.47
197.07
186.38
6.42 13,155.44
14.56
201.82
195.50
6.80 12,849.29
23.81
199.55
198.00
6.77 13,345.97
18.64
198.29
199.43
6.43 14,257.55
12.67
198.93
215.76
6.40 14,409.27
19.63
196.43
222.91
6.55 15,210.65
18.89
191.35
229.81
6.75 15,362.02
30.83
185.77
221.46
6.41 14,819.58
31.09
179.99
222.88
6.04 13,332.01
32.24
173.04
223.71
6.26 13,073.54
31.01
165.31
217.79
6.50 11,875.41
46.72
158.25
217.11
6.03
9,087.17
80.86
149.51
189.54
5.18
8,113.14
56.65
142.77
186.93
5.14
9,424.92
42.28
143.51
154.64
5.28 10,911.69
31.30
144.81
157.50
5.03 11,497.41
30.69
145.34
152.24
5.11 12,160.97
27.31
146.66
157.50
5.02 10,750.01
45.79
146.10
171.27
4.54 11,947.14
32.86
141.78
160.45
4.50 13,290.03
23.54
139.61
178.95
4.95 14,036.43
29.40
137.93
177.17
4.76 13,968.11
22.73
137.56
173.82
4.40 11,771.86
48.00
136.86
174.08
4.21 11,936.09
35.97
137.21
172.17
4.17 12,090.22
35.08
137.55
173.29
4.15 12,242.03
31.83
137.89
175.43
4.19 12,401.69
31.35
138.24
177.65
4.24 12,562.14
29.59
138.58
178.87
4.34 12,725.49
28.43
138.93
182.28
4.41 12,899.23
30.74
139.28
185.64
4.49 13,080.73
30.48
139.63
189.10
4.63 13,268.17
30.10
139.97
192.64
4.82 13,458.04
27.47
140.32
195.52
5.03 13,651.75
24.68
140.68
198.63
5.25 13,849.28
20.84
141.03
201.80
5.48 14,050.55
18.55
141.38
205.03
Notes:
Sources for data through 2011: Q3 (as released through 11/08/2010). 2011:Q3 international GDP data based on staff calculations.
Values after that date equal assumptions for the supervisory stress scenario.
Variables reported as growth rates are expressed as percent changes at an annual rate.
Real GDP growth: Gross Domestic Product, billions of chain‐weighted 2005 dollars, Bureau of Economic Analysis
Nominal GDP growth: Gross Domestic Product, billions of dollars, Bureau of Economic Analysis
CPI inflation rate: Bureau of Labor Statistics
Real Disposable Personal Income growth: Billions of chain‐weighted 2002 dollars, equals nominal disposable personal income divided by the price
index for personal consumption expenditures, Bureau of Economic Analysis
Nominal Disposable Personal Income growth: Billions of dollars, Bureau of Economic Analysis
Unemployment Rate: Bureau of Labor Statistics (quarterly average of monthly data)
3‐Month T‐Bill Rate: Quarterly average of 3‐month Treasury bill secondary market rate discount basis, Federal Reserve Board
10‐yr Treasury Bond Rate: Quarterly average of yield on 10‐yr U.S. Treasury bond, constructed for FRB/US model by Federal Reserve staff
BBB Corporate Bond Rate: Yield on 10‐yr BBB‐rated corporate bond, constructed for FRB/US model by Federal Reserve staff
Mortgage Rate: Freddie Mac
Dow Jones Total Stock Market Index: End of quarter value, Dow Jones
National House Price Index: CoreLogic (seasonally adjusted by Federal Reserve staff)
CRE Price Index: CoStar (seasonally adjusted by Federal Reserve staff)
VIX: Chicago Board Options Exchange
Euro Area Real GDP Growth: staff calculations based on Statistical Office of the European Communities via Haver
Euro Area Inflation: staff calculations based on Statistical Office of the European Community via Haver
Developing Asia Real GDP Growth: staff calculations based on Bank of Korea via Haver, Chinese National Bureau of Statistics via CEIC,
Indian Central Statistical Organization via CEIC, Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐
General of Budget, Accounting and Statistics via CEIC.
Developing Asia Inflation: staff calculations based on Bank of Korea via CEIC, Chinese Statistical Information and Consultancy Service
via CEIC, and IMF Recent Economic Developments, Labour Bureau of India via CEIC and IMF, Census and Statistic Department of Hong
Kong via CEIC, Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget, Accounting and
Statistics via CEIC.
Japan Real GDP Growth: Cabinet Office via Haver
Japan Inflation: Ministry of Internal Affairs and Communications via Haver
UK Real GDP Growth: Office of National Statistics via Haver
UK Inflation: Office of National Statistics (uses Retail Price Index to extend series back to 1960) via Haver
Exchange Rates: Bloomberg
Supervisory Baseline Scenario (international projections)
OBS
Q1 2001
Q2 2001
Q3 2001
Q4 2001
Q1 2002
Q2 2002
Q3 2002
Q4 2002
Q1 2003
Q2 2003
Q3 2003
Q4 2003
Q1 2004
Q2 2004
Q3 2004
Q4 2004
Q1 2005
Q2 2005
Q3 2005
Q4 2005
Q1 2006
Q2 2006
Q3 2006
Q4 2006
Q1 2007
Q2 2007
Q3 2007
Q4 2007
Q1 2008
Q2 2008
Q3 2008
Q4 2008
Q1 2009
Q2 2009
Q3 2009
Q4 2009
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Q4 2011
Q1 2012
Q2 2012
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Euro Area
Real GDP
Growth
3.70
0.32
0.16
0.50
0.91
2.01
1.34
0.20
‐0.11
0.06
2.03
2.48
2.27
2.12
1.65
1.30
0.67
3.02
2.41
2.38
3.86
4.27
2.67
3.95
3.53
1.91
2.42
1.51
2.36
‐1.54
‐2.10
‐7.21
‐10.81
‐0.85
1.77
1.54
1.32
3.69
1.62
1.07
3.10
0.65
1.33
1.32
0.81
0.41
0.30
0.48
0.86
1.17
1.34
1.38
1.30
1.22
1.16
1.12
Euro Area
Bilateral
Asia ex‐
Euro Area
Dollar
Japan Real
Inflation
Exchange
GDP Growth
Rate
(USD/Euro)
1.06
4.03
1.44
1.69
2.97
2.01
1.62
2.38
3.24
0.34
2.17
2.16
2.32
2.34
2.00
2.40
1.50
2.13
3.12
2.46
1.62
2.44
1.99
0.94
2.21
2.24
2.07
4.87
4.14
3.10
3.04
‐1.26
‐1.07
‐0.11
0.96
1.92
1.76
1.68
1.53
3.01
3.59
2.75
1.24
2.82
2.49
1.80
1.45
1.45
1.72
1.96
2.09
2.11
2.06
2.01
1.99
1.99
0.88
0.85
0.91
0.89
0.87
0.99
0.99
1.05
1.09
1.15
1.16
1.27
1.23
1.22
1.23
1.35
1.30
1.20
1.20
1.19
1.22
1.28
1.27
1.32
1.33
1.35
1.43
1.47
1.59
1.56
1.41
1.39
1.33
1.41
1.47
1.43
1.35
1.23
1.35
1.33
1.41
1.45
1.35
1.36
1.38
1.37
1.35
1.33
1.32
1.32
1.32
1.32
1.32
1.31
1.31
1.30
3.82
5.69
4.45
6.50
7.16
8.73
4.71
6.06
6.63
2.59
12.51
11.00
4.57
5.98
8.32
7.44
7.81
6.90
9.31
9.92
11.60
7.53
8.36
9.89
13.97
9.72
8.50
9.25
8.73
6.50
4.21
‐0.53
5.33
12.71
12.11
7.26
10.74
7.10
8.78
6.36
9.05
7.54
7.52
7.48
7.43
7.41
7.43
7.47
7.54
7.59
7.62
7.63
7.62
7.61
7.60
7.58
Asia ex‐
Japan
Inflation
1.59
1.98
1.20
‐0.25
0.32
0.65
1.44
0.71
3.14
1.16
‐0.01
5.38
4.11
3.92
3.84
0.71
2.80
1.68
2.44
1.77
2.37
2.96
1.77
3.96
3.75
4.63
7.22
6.17
7.65
5.99
2.72
‐1.27
‐1.25
2.16
4.46
5.25
4.71
3.09
3.97
7.98
6.18
4.75
5.38
6.32
5.42
4.34
3.65
3.32
3.28
3.28
3.26
3.22
3.17
3.13
3.10
3.09
Developing
Asia Bilateral
Dollar
Japan Real
Exchange
GDP Growth
Rate (F/USD,
Index, Base =
2000 Q1)
105.90
105.99
106.29
106.74
107.20
104.67
105.41
104.39
105.40
103.93
102.59
103.31
101.39
102.73
102.67
98.97
98.66
99.00
98.55
98.12
96.84
96.73
96.32
94.58
93.97
91.93
90.62
89.38
87.94
88.55
91.24
91.95
94.02
92.05
91.12
90.55
89.79
90.89
88.27
87.19
86.44
85.25
87.66
86.34
84.68
83.71
83.12
82.64
82.08
81.43
80.75
80.07
79.45
78.86
78.31
77.77
1.79
‐2.36
‐4.63
‐1.75
1.19
3.24
3.09
0.36
‐1.57
2.54
2.95
5.47
4.55
‐1.05
2.47
‐1.79
2.92
4.55
2.79
1.15
0.01
4.51
1.30
2.50
4.60
1.10
‐1.18
2.50
2.79
‐4.66
‐5.38
‐11.81
‐19.91
7.79
‐1.75
6.54
8.91
‐0.66
3.96
‐2.41
‐3.77
‐2.17
1.01
2.53
2.65
2.42
2.08
1.65
1.17
0.80
0.57
0.50
0.55
0.59
0.60
0.57
Japan
Inflation
0.55
‐2.00
‐0.59
‐1.85
‐1.11
0.08
‐0.44
‐0.59
‐0.04
0.24
‐0.64
‐0.72
0.60
‐0.36
‐0.04
1.75
‐0.91
‐1.19
‐1.36
0.68
1.31
0.00
0.40
‐0.40
‐0.24
0.00
0.12
2.26
1.30
1.69
3.28
‐2.34
‐3.14
‐1.74
‐1.83
‐1.36
1.36
‐1.20
‐2.68
1.32
0.40
‐0.80
0.08
‐0.08
‐0.15
‐0.13
‐0.09
‐0.03
0.04
0.11
0.17
0.22
0.26
0.30
0.33
0.35
Japan
Bilateral
UK Bilateral
Dollar
UK Real
Dollar
UK Inflation
Exchange GDP Growth
Exchange Rate
Rate
(USD/Pound)
(Yen/USD)
125.54
124.73
119.23
131.04
132.70
119.85
121.74
118.75
118.07
119.87
111.43
107.13
104.18
109.43
110.20
102.68
107.22
110.91
113.29
117.88
117.48
114.51
117.99
119.02
117.56
123.39
114.97
111.71
99.85
106.17
105.94
90.79
99.15
96.42
89.49
93.08
93.40
88.49
83.53
81.67
82.76
80.64
77.04
77.70
78.97
79.71
80.06
80.20
80.26
80.30
80.32
80.34
80.39
80.43
80.44
80.39
Notes:
Sources for data through 2011: Q3 (as released through 11/08/2010). 2011:Q3 international GDP data based on staff calculations.
Values after that date equal assumptions for the supervisory stress scenario.
Variables reported as growth rates are expressed as percent changes at an annual rate.
Real GDP growth: Gross Domestic Product, billions of chain‐weighted 2005 dollars, Bureau of Economic Analysis
Nominal GDP growth: Gross Domestic Product, billions of dollars, Bureau of Economic Analysis
CPI inflation rate: Bureau of Labor Statistics
Real Disposable Personal Income growth: Billions of chain‐weighted 2002 dollars, equals nominal disposable personal income divided by the price index for
personal consumption expenditures, Bureau of Economic Analysis
Nominal Disposable Personal Income growth: Billions of dollars, Bureau of Economic Analysis
Unemployment Rate: Bureau of Labor Statistics (quarterly average of monthly data)
3‐Month T‐Bill Rate: Quarterly average of 3‐month Treasury bill secondary market rate discount basis, Federal Reserve Board
10‐yr Treasury Bond Rate: Quarterly average of yield on 10‐yr U.S. Treasury bond, constructed for FRB/US model by Federal Reserve staff
BBB Corporate Bond Rate: Yield on 10‐yr BBB‐rated corporate bond, constructed for FRB/US model by Federal Reserve staff
Mortgage Rate: Freddie Mac
Dow Jones Total Stock Market Index: End of quarter value, Dow Jones
National House Price Index: CoreLogic (seasonally adjusted by Federal Reserve staff)
CRE Price Index: CoStar (seasonally adjusted by Federal Reserve staff)
VIX: Chicago Board Options Exchange
Euro Area Real GDP Growth: staff calculations based on Statistical Office of the European Communities via Haver
Euro Area Inflation: staff calculations based on Statistical Office of the European Community via Haver
Developing Asia Real GDP Growth: staff calculations based on Bank of Korea via Haver, Chinese National Bureau of Statistics via CEIC, Indian Central
Statistical Organization via CEIC, Census and Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget, Accounting and
Statistics via CEIC.
Developing Asia Inflation: staff calculations based on Bank of Korea via CEIC, Chinese Statistical Information and Consultancy Service via CEIC, and IMF
Recent Economic Developments, Labour Bureau of India via CEIC and IMF, Census and Statistic Department of Hong Kong via CEIC, Census and
Statistics Department of Hong Kong via CEIC, and Taiwan Directorate‐General of Budget, Accounting and Statistics via CEIC.
Japan Real GDP Growth: Cabinet Office via Haver
Japan Inflation: Ministry of Internal Affairs and Communications via Haver
UK Real GDP Growth: Office of National Statistics via Haver
UK Inflation: Office of National Statistics (uses Retail Price Index to extend series back to 1960) via Haver
Exchange Rates: Bloomberg
5.38
1.68
2.66
1.60
3.31
2.60
3.17
2.75
2.73
4.77
4.07
4.79
3.06
1.40
0.53
1.92
1.27
3.19
3.38
3.32
3.08
1.50
0.90
2.72
4.23
4.65
4.79
2.56
0.10
‐5.09
‐7.92
‐9.12
‐6.32
‐0.81
0.93
2.94
0.64
4.20
2.47
‐2.05
1.58
0.41
0.70
0.91
1.03
1.14
1.26
1.37
1.48
1.55
1.59
1.59
1.56
1.54
1.53
1.54
0.09
3.02
1.02
0.04
1.90
0.88
1.34
1.92
1.58
0.29
1.70
1.65
1.31
0.98
1.02
2.36
2.55
1.85
2.68
1.35
1.90
2.95
3.21
2.60
2.70
1.53
0.19
3.92
3.81
5.33
5.59
0.51
0.33
1.82
3.29
3.08
4.58
2.57
1.96
4.27
7.22
3.68
3.28
3.42
3.11
2.75
2.52
2.42
2.43
2.45
2.46
2.46
2.46
2.45
2.45
2.45
1.43
1.41
1.47
1.45
1.43
1.52
1.56
1.61
1.59
1.67
1.67
1.79
1.85
1.82
1.82
1.92
1.89
1.79
1.75
1.72
1.75
1.85
1.89
1.96
1.96
2.00
2.04
2.00
2.00
2.00
1.79
1.47
1.43
1.64
1.61
1.61
1.52
1.49
1.56
1.54
1.61
1.61
1.56
1.56
1.57
1.58
1.58
1.58
1.58
1.58
1.57
1.57
1.57
1.56
1.56
1.57
| File Type | application/pdf |
| File Title | Microsoft Word - CCAR 2012 Full Instructions _11-22-11 FINAL_.docx |
| Author | a1jgg01 |
| File Modified | 2011-11-22 |
| File Created | 2011-11-22 |