?225.8(e)(1)(ii), Annual Capital Planning

Federal Reserve System
Capital Plan Review

Summary Instructions and Guidance

November 22, 2011

Table of Contents
Background ................................................................................................................................................... 3
1.

2.

Summary Instructions .......................................................................................................................... 4
1.1.

Submission Timeline, Format and Questions .............................................................................. 4

1.2.

Coverage of the Submission......................................................................................................... 5

1.3.

Supervisory Scenarios .................................................................................................................. 5

1.4.

Incomplete Data ........................................................................................................................... 6

Mandatory Elements of a Capital Plan ................................................................................................ 6
2.1.

3.

Assessment of Uses and Sources of Capital over Planning Horizon ........................................... 7

2.1.1.

Estimates of Projected Revenues, Losses, Reserves, and Pro Forma Capital Levels ......... 7

2.1.2.

Supporting Documentation for Analyses used in Capital Plans ....................................... 11

2.2.

A Description of All Planned Capital Actions over the Planning Horizon ................................. 12

2.3.

Expected Changes to Business Plan Affecting Capital Adequacy or Liquidity:......................... 12

2.4.

Supervisory Expectations for a BHC’s Capital Adequacy Process ............................................. 13

Assessment of Planned Capital Distributions.................................................................................... 13
3.1.

Supervisory Assessment of Proposed Capital Actions .............................................................. 14

3.2.

Robustness of Proposed Capital Distributions .......................................................................... 14

3.2.1.

Common Dividend Payouts ................................................................................................ 14

4.

Federal Reserve Responses to Proposed Capital Actions ................................................................. 15

5.

Incremental Capital Requests ............................................................................................................ 16

Appendix I: Supervisory Expectations for Capital Policies ....................................................................... 17
Appendix II: Supervisory Expectations for a Capital Adequacy Process ................................................. 20
Appendix III: The Federal Reserve CapPR-2012 Macroeconomic Scenarios ........................................... 24

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, BHCs with assets of $50 billion or more
that are subject to the capital plans rule but that did not participate in the 2011 Comprehensive
Capital Analysis and Review (CCAR)4 are required to submit comprehensive capital plans
approved by the BHC’s board of directors, or a committee thereof, for the 2012 Capital Plan
Review (CapPR 2012) by January 9, 2012, irrespective of whether they intend to undertake any
capital distributions over the planning horizon covered in the 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

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 12 bank holding companies participating in the CapPR are: BBVA USA Bancshares Inc., BMO Financial Corp.,
Citizens Financial Group Inc., Comerica Inc., Discover Financial Services, HSBC North America Holdings Inc.,
Huntington Bancshares Inc., M&T Bank Corp., Northern Trust Corp., RBC USA Holdco Corp., UnionBanCal Corp.,
and Zions Bancorporation.
5

Until July 21, 2015, the capital plans rule does not apply to any bank holding company subsidiary of a foreign
banking organization that is currently relying on Supervision and Regulation Letter SR 01-01 issued by the Board (as
in effect on May 19, 2010). See section 225.8(b)(2)(i) of the capital plans rule. Under CapPR 2012, the Federal
Reserve will assess capital plans in a manner consistent with the capital plans rule but will not be conducting the
same detailed post-stress capital analysis as in CCAR 2012. As such, FR Y-14A and FR Y-14QA schedules are not
required for these BHCs; rather, a separate documentation request will be provided to each BHC regarding its
th,
submission. While the capital plans rule requires plans to be submitted by January 5 the Federal Reserve has
extended this deadline to January 9. See section 225.8(e)(1)(i) of the capital plans rule.

3

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
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 planned capital actions including dividends
and other distributions.
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 CapPR 2012 and a description of
how the Federal Reserve will assess the planned capital distributions, 4) information on the
Federal Reserve’s response, and 5) information for BHCs requesting incremental capital
requests following CapPR 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 CapPR 2012.
Instructions for those BHCs subject to the capital plans rule that are participating in CCAR are
being provided under separate cover to the relevant institutions.
1. Summary Instructions
1.1. Submission Timeline, Format and Questions
Each BHC must submit its comprehensive capital plan and any supporting information 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.

6

See section 225.8(e)(1)(i) of the capital plans rule.

4

All correspondence and questions regarding this request and related issues should be directed
to the BHC’s responsible Reserve Bank. Conference calls may be scheduled to discuss and
better understand submitted questions; however, all official responses to questions will come
from the responsible Reserve Bank.
1.2. Coverage of the Submission
CapPR 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
documentation request. 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 CapPR 2012.8
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, unless otherwise directed by the Federal Reserve, 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, unless otherwise directed by the Federal Reserve).
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.
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

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 19738

See section 225.8(e)(1)(i)(A) of the capital plans rule.

5

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
experience a recession while at the same time economic activity in other major economies
were also to contract significantly.
While the Federal Reserve will provide a set of hypothetical shocks to the risk factors most
relevant to the trading and counterparty positions, the BHCs included in the CapPR exercise are
not expected to use these shocks in their assessments. However, as previously discussed, firms
are expected to apply the respective scenarios (e.g. BHC Stress, Supervisory Stress) to all
exposures and activities of the firm including its trading and counterparty positions.
1.4. Incomplete Data
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.9 A BHC’s inability to provide a complete
submission by the due date 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).
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:
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).10

9

See section 225.8(e)(2)(ii) of the capital plans rule.

10

See section 225.8(d)(2) of the capital plans rule.

6

The remainder of this document provides additional detail for each of the mandatory elements
of a capital plan for CapPR 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.
2.1.1. Estimates of Projected Revenues, Losses, Reserves, and Pro Forma Capital Levels

As noted above, for the purposes of CapPR 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 documentation requested by the Federal Reserve 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 assessment will focus on the robustness of a BHC’s internal processes.
7

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.
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
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, AltA, 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
8

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.
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.
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. Excluded items include valuation adjustments for a BHC’s own debt under the
fair value option (DVA), 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
9

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
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
included in pro forma estimates.
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, primaryto-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.
10

For the period ending December 31, 2013 (unless otherwise directed by the Federal Reserve),
BHCs should include estimates of adequate reserves to cover expected losses for the year 2014
in manner that is consistent with each scenario.
Basel III: BHCs should include estimates of capital levels and composition, risk-weighted assets,
exposures used to calculate minimum ratios and buffers that may be required by the Basel III
framework agreed to by the BCBS, under both the BHC Baseline and the Supervisory Baseline
scenarios. 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.
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.11 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. 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.
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.
11

See 12 CFR part 225, Appendices A, D, E, and G; see also section 225.8(c) of the capital plans rule.

11

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
12

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.12 BHCs that have a satisfactory capital adequacy
process as assessed in CapPR 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.13
3. Assessment of Planned Capital Distributions
CapPR 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. An 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 best assessment of the impact of prospective
regulatory and legal changes (e. g., Basel III, the Collins Amendment, and the Volcker Rule) and
how it intends to achieve and remain in compliance with those changes.
12

See 12 CFR part 225, Appendix G.

13

73 Fed.Reg. 44620 (July 31, 2008).

13

Any change to proposed capital distributions after January 9, 2012, may require submission of a
revised plan in a subsequent quarter.14 The Federal Reserve will rely on the dollar amount of
distributions contained in a BHC’s submission 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 CapPR 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 riskbased, 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.
3.2. Robustness of Proposed Capital Distributions
In CapPR 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.
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.

14

See sections 225.8(d)(4) and (f) of the capital plans rule.

14

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, 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 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.15
Some BHCs may desire to announce or take capital actions prior to March 15, 2012. BHCs
should inform the Federal Reserve no later than December 9, 2011, of their intent to carry over
certain capital actions that were previously not objected to during 2011 by their responsible
Reserve Bank. 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 response to
such requests will be provided no later than December 31, 2011. After CapPR 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 CapPR
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 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.

15

See section 225.8(e)(2)(iv) of the capital plans rule.

15

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
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. 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.16 Supervisors will examine performance relative to the initial projections and the
rationale for the request. Any such request for prior approval should incorporate a fully
updated capital plan, including relevant any updated baseline and supervisory stress scenarios
provided by the Federal Reserve, unless otherwise directed by the Federal Reserve.

16

See section 225.8(f) of the capital plans rule.

16

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 CapPR 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.
17

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
18

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 DoddFrank), 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.

19

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.

20

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 CapPR 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.
21

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.
22

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.

23

Appendix III: The Federal Reserve CapPR-2012 Macroeconomic Scenarios
As part of the 2012 Capital Plan Review (CapPR-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.

24

Attachments
The preceding discussion describes the broad contours of the baseline and adverse scenario
over the 2012 to 2014. The specific values for all the variables included in the scenarios are
provided on the following pages to BHCs in an accompanying spreadsheet.

25

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