Comprehensive Capital Analysis and Review 2017 Summary Instructions for LISCC and Large and Complex Firms

Comprehensive Capital Analysis
and Review 2017
Summary Instructions for LISCC
and Large and Complex Firms
February 2017

BOARD

OF

GOVERNORS

OF THE

FEDERAL RESERVE SYSTEM

Comprehensive Capital Analysis
and Review 2017
Summary Instructions for LISCC
and Large and Complex Firms
February 2017

BOARD

OF

GOVERNORS

OF THE

FEDERAL RESERVE SYSTEM

This and other Federal Reserve Board reports and publications are available online at
www.federalreserve.gov/publications/default.htm.
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see the Board’s Publication Order Form (www.federalreserve.gov/pubs/orderform.pdf)
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(fax) 202-728-5886
(e-mail) [email protected]

iii

Contents

Introduction ............................................................................................................................... 1
About This Publication ................................................................................................................ 1
Differences Between the CCAR 2017 Instructions and Previous Instructions .................................. 2
Potential Changes to CCAR that Do Not Affect CCAR 2017 .......................................................... 2
Overview of CCAR Process ......................................................................................................... 3
Correspondence Related to CCAR .............................................................................................. 4

Mandatory Elements of a Capital Plan ............................................................................ 5
Assessment of the Expected Uses and Sources of Capital ............................................................ 5
Description of a BHC’s Process for Assessing Capital Adequacy ................................................. 10
Expected Changes to Business Plans Affecting Capital Adequacy or Funding .............................. 11
Organizing Capital Plan Submissions ......................................................................................... 11
Data Supporting a Capital Plan Submission ............................................................................... 11

Federal Reserve Assessment of BHC Capital Plans

................................................... 13
Qualitative Assessments ........................................................................................................... 13
Quantitative Assessments ......................................................................................................... 14
Federal Reserve Responses to Planned Capital Actions .............................................................. 16
Disclosure of Supervisory Assessments ..................................................................................... 17
Resubmissions ......................................................................................................................... 17
Execution of Capital Plan and Requests for Additional Distributions ............................................ 17

Appendix A: Templates for Comprehensive Capital Analysis and
Review Results 2017 .............................................................................................................. 19
Appendix B: Templates for Dodd-Frank Act Stress Testing Results
2017 ............................................................................................................................................. 27
Appendix C: Organizing Capital Plan Submissions

................................................... 33

Capital Plan Narrative ................................................................................................................ 34
Capital Plan and FR Y-14A Supporting Documentation ............................................................... 35

1

Introduction

The Federal Reserve’s annual Comprehensive Capital
Analysis and Review (CCAR) is an intensive assessment of the capital adequacy of large, complex U.S.
bank holding companies (BHCs), and of the practices these BHCs use to assess their capital needs.
The Federal Reserve expects these BHCs to have sufficient capital to withstand a severely adverse operating environment and continue to be able to lend to
households and businesses, continue operations,
maintain ready access to funding, and meet obligations to creditors and counterparties.
The following instructions include information about
the quantitative and qualitative assessments of capital plans submitted in connection with this year's
CCAR exercise (CCAR 2017) by (1) firms subject to
the Large Institution Supervision Coordination
Committee framework (LISCC firms), and (2) large
and complex firms.1
These instructions do not apply to the following
firms:

• Large and noncomplex firms.3

About This Publication
These instructions provide information regarding
requirements and expectations for CCAR 2017, the
stress testing and capital planning cycle that began
on January 1, 2017. Similar to the instructions in
previous years, the instructions for CCAR 2017 provide information regarding the
• logistics for a BHC’s capital plan submissions;
• expectations regarding the mandatory elements of
a capital plan;
• qualitative assessment of a BHC’s capital plan;
• quantitative assessment of a BHC’s post-stress
capital adequacy;
• Federal Reserve response to capital plans and
planned capital actions;

• LISCC or large and complex firms that are newly
formed U.S. intermediate holding companies
(IHCs);2 and
1

2

Under the Board's capital plan rules (12 CFR part 217, subpart
H), large and complex firms are bank holding companies and
U.S. intermediate holding companies that (i) have $250 billion
or more in total consolidated assets, (ii) have average total nonbank assets of $75 billion or more, or (iii) are U.S. global systemically important banks. Based on the current population of
bank holding companies, all LISCC firms exceed these thresholds. The LISCC and large and complex firms required to participate in CCAR 2017 are Bank of America Corporation; The
Bank of New York Mellon Corporation; Capital One Financial
Corporation; Citigroup Inc.; The Goldman Sachs Group, Inc.;
HSBC North America Holdings Inc.; JPMorgan Chase & Co.;
Morgan Stanley; The PNC Financial Services Group, Inc.;
State Street Corporation; TD Group US Holdings LLC; U.S.
Bancorp; and Wells Fargo & Company. See 12 CFR
225.8(c) (as amended by a final rule adopted by the Board on
January 30, 2017); see Amendments to the Capital Plan and
Stress Test Rules, available at http://www.federalreserve.gov/
newsevents/press/bcreg/bcreg20170130a1.pdf.
These firms are Barclays US LLC; Credit Suisse Holdings
(USA), Inc.; Deutsche Bank USA Corporation; RBC USA
Holdco Corporation; and UBS Americas Holdings LLC. These

3

firms are not participating in CCAR 2017, but are required
under the capital plan rule to submit a capital plan to the Federal Reserve that will be subject to a confidential review process.
Details of this review process will be described in a supervisory
communication sent to each firm. Deutsche Bank Trust Corporation is a subsidiary of a newly formed IHC which has participated in CCAR in previous years, and will be subject to the
quantitative assessment in CCAR.
Large and noncomplex firms are BHCs or IHCs that (i) have
average total consolidated assets between $50 billion and
$250 billion, (ii) have average total nonbank assets of less than
$75 billion, and (iii) are not U.S. global systemically important
banks. These firms are Ally Financial Inc.; American Express
Company; BancWest Corporation; BB&T Corporation; BBVA
Compass Bancshares, Inc.; BMO Financial Corp.; BNP Paribas
USA, Inc.; CIT Group Inc.; Citizens Financial Group, Inc.;
Comerica Incorporated; Discover Financial Services; Fifth
Third Bancorp; Huntington Bancshares Incorporated; KeyCorp; M&T Bank Corporation; MUFG Americas Holdings
Corporation; Northern Trust Corporation; Regions Financial
Corporation; Santander Holdings USA, Inc.; SunTrust Banks,
Inc.; and Zions Bancorporation. Large and noncomplex firms
are no longer subject to CCAR’s qualitative review, but continue to be subject to a quantitative review of their capital
plans. Details of this review process will be described in a
supervisory communication sent to each firm.

2

CCAR 2017 Instructions

• limited adjustments a BHC may make to its
planned capital distributions; and

firm is well-capitalized and that certain other conditions are met (de minimis exception).7

• planned public disclosures by the Federal Reserve
at the end of the CCAR exercise.

On January 30, 2017, the Board adopted amendments to the capital plan rule,8 which modify the
de minimis exception in two ways:

Differences Between the CCAR 2017
Instructions and Previous
Instructions

—Reduced de minimis exception threshold: The
amount of additional capital distributions a
BHC can make during a capital plan cycle has
been reduced from 1.00 percent to 0.25 percent
of a firm’s tier 1 capital.

The CCAR 2017 instructions have been updated
from the CCAR 2016 instructions to reflect the
recent phase-in of certain regulatory requirements
and amendments to the capital plan rule.
• Supplementary leverage ratio: The supplementary
leverage ratio, defined as tier 1 capital divided by
total leverage exposure, will become a minimum
capital ratio requirement for firms subject to the
advanced approaches capital framework on January 1, 2018.4 The CCAR 2017 planning horizon
includes the initial compliance date for the supplementary leverage ratio and advanced approaches
BHCs must demonstrate an ability to maintain a
supplementary leverage ratio above 3 percent in
the quarters of the planning horizon corresponding to 2018:Q1–2019:Q1.5
• Attestation requirements for LISCC firms: Domestic LISCC firms are required to attest to conformance with the FR Y-14 report forms instructions,
the material correctness of the actual submitted
FR Y-14 data, and the effectiveness of internal
controls for FR Y-14 reports with December 31,
2016, as-of dates.6 Beginning with FR Y-14 reports
with December 31, 2017, as-of dates, a domestic
LISCC firm will attest to the effectiveness of internal controls for FR Y-14 submissions filed
throughout the year.
• Modifications to incremental capital actions not
included in a BHC’s capital plan: Firms may make
incremental capital distributions that exceed the
amount in their non-objected to capital plan by
giving prior notice to the Board, provided that the

4
5

6

See 12 CFR part 217.
An advanced approaches BHC includes any BHC that has consolidated assets greater than or equal to $250 billion or total
consolidated on-balance sheet foreign exposure of at least
$10 billion as of December 31, 2016. See 12 CFR 217.100(b)(1).
IHCs that are LISCC firms will be subject to attestation
requirements beginning with the FR Y-14 reports with an as of
date of December 31, 2017.

—Blackout period for de minimis exception notices
and incremental capital distribution requests:
BHCs will not be permitted to submit a notice
to use the de minimis exception or submit a
request for prior approval of additional capital
distributions during the quarter when the Board
is conducting CCAR (the second quarter of the
calendar year).
This blackout period will also apply to requests to
the Board for prior approval of additional capital
distributions in connection with non-objected to
capital plans.
• Removal of large and noncomplex firms from
CCAR’s qualitative review: As noted above, large
and noncomplex firms are no longer subject to
CCAR’s qualitative review.

Potential Changes to CCAR that
Do Not Affect CCAR 2017
On September 26, 2016, Governor Daniel Tarullo
gave a speech discussing the results of a recent
review of the stress tests and CCAR program. Certain potential changes that were discussed in the
speech have not yet been formally proposed and will
not be incorporated in CCAR 2017. The Federal
Reserve will invite comments on the proposal when it
is published. These potential changes include implementation of a stress capital buffer, changes to the
treatment of planned distributions, changes to certain balance sheet and risk-weighted asset (RWA)
assumptions, and the removal of heightened scrutiny
of capital plans that imply dividend payout ratios
above 30 percent.
7
8

12 CFR 225.8(g)(2).
As provided in the final rule, the amendments to the capital
plan rule are expected to become effective 30 days after publication in the Federal Register. See Amendments to the Capital
Plan and Stress Test Rules, available at www.federalreserve.gov/
newsevents/press/bcreg/bcreg20170130a1.pdf.

February 2017

CCAR and Pending Changes in
Accounting Standards
The Financial Accounting Standards Board (FASB)
periodically makes revisions to U.S. Generally
Accepted Accounting Principles (US GAAP). These
changes impact BHCs’ financial reporting upon
adoption. The FASB has completed major revisions
to accounting rules associated with revenue recognition, classification, and measurement of financial
instruments, leases, and credit losses. The effective
dates for these standards range from fiscal years
beginning after December 15, 2017, to fiscal years
beginning after December 15, 2020.9
For the purposes of CCAR 2017, a BHC should not
reflect the adoption of new accounting standards in
its projections unless the firm has already adopted
the accounting standard for financial reporting purposes. For example, Accounting Standards Update
No. 2016-13, Financial Instruments – Credit Losses
(Topic 326): Measurement of Credit Losses on
Financial Instruments (CECL) will go into effect in
2020, and will, therefore, not affect CCAR 2017 projections. That is, a BHC should not reflect the effects
of adoption of a new accounting standard for a projected period in its FR Y-14 submission if the standard was not effective as of December 31, 2016. If a
BHC has adopted a standard early or, if allowed, a
particular provision of a standard as of December 31, 2016, that adoption should be reflected for
the FR Y-14A report with December 31, 2016, as-of
dates, and for the subsequent projected quarters.

Overview of CCAR Process
The Board’s capital plan rule requires BHCs with
consolidated assets of $50 billion or more to submit
a capital plan to the Federal Reserve annually.10
Under the rule, a BHC’s capital plan must include a
9

10

The revenue recognition standard (Topic 606) is effective for
interim and annual reporting periods beginning after December 15, 2017. The recognition and measurement of financial
instruments standard (Topic 825) is effective for the interim and
annual reporting periods beginning after December 15, 2017.
The leases standard (Topic 842) is effective for annual and
interim periods beginning after December 15, 2018. The credit
losses standard (Topic 326) is effective for fiscal years beginning
after December 15, 2019, for Securities and Exchange Commission (SEC) filers and after December 15, 2020, for non-SEC
filers.
The capital plan rule is codified at 12 CFR 225.8. Asset size is
measured over the previous four calendar quarters as reported
on the FR Y-9C regulatory report. If a BHC has not filed the
FR Y-9C for each of the four most recent quarters, average
total consolidated assets means the average of the company’s

3

detailed description of the BHC’s internal processes
for assessing capital adequacy; the board of directors’ approved policies governing capital actions; and
the BHC’s planned capital actions over a ninequarter planning horizon. Further, a BHC must
report to the Federal Reserve the results of stress
tests conducted by the BHC under supervisory scenarios provided by the Federal Reserve and under a
baseline scenario and a stress scenario designed by
the BHC (BHC baseline and BHC stress scenarios).
These stress tests assess the sources and uses of capital under baseline and stressed economic and financial market conditions.
Before a BHC submits its capital plan to the Federal
Reserve, the capital plan must be approved by the
BHC’s board of directors, or a committee thereof.
For CCAR 2017, capital plans should be submitted
to the Federal Reserve no later than April 5, 2017.11
Under the capital plan rule, the Federal Reserve
assesses the overall financial condition, risk profile,
and capital adequacy of a BHC on a forwardlooking basis and assesses the strength of the BHC’s
capital planning process, including its capital policies
(qualitative assessment).12
In CCAR 2017, the Board will conduct a qualitative
and quantitative assessment of the capital plans submitted by LISCC and large and complex firms.
The Federal Reserve’s qualitative assessment of capital plans in CCAR is informed by a review of the
materials each BHC provides in support of its annual
capital plan submission. The qualitative assessment
considers key aspects of a firm’s capital planning
process, ranging from the stress testing methods used
to inform the forward-looking assessment of that
firm’s capital adequacy to risk identification, measurement and management, internal controls, and
governance supporting the process. In addition, the
qualitative assessment incorporates supervisory
evaluations of related issues in the firms’ risk identification, measurement and management practices,
internal control processes, and overall corporate governance that may be identified through supervisory
assessments carried out throughout the year.

11

12

total consolidated assets, as reported on the company’s
FR Y-9C, for the most recent quarter or consecutive quarters.
A bank holding company that meets the threshold must submit
a capital plan, even if it does not intend to undertake any capital distributions over the planning horizon.
See 12 CFR 225.8(f).

4

CCAR 2017 Instructions

separately publish the results of its supervisory stress
tests under both the supervisory severely adverse and
adverse scenarios.

Table 1. Required minimum capital ratios for LISCC
and large and complex firms in CCAR 2017
Percent
Regulatory ratio
Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

Minimum ratio
4.5
6.0
8.0
4.0
3.0

Note: The supplementary leverage ratio captures the exposure of a banking
organization's off-balance sheet items in addition to capturing on-balance sheet
exposures included in the denominator of the Tier 1 leverage ratio. The expanded
definition of leverage exposure in the SLR enhances the stringency of the leverage
requirements in the stress test.
All regulatory capital ratios are calculated using the definitions of capital,
standardized risk-weighted assets, average assets (for the tier 1 leverage ratio),
and total leverage exposure that are in effect during a particular quarter of the
planning horizon. The advanced approaches are not used for purposes of these
projections. BHCs subject to the advanced approaches are required to maintain a
supplementary leverage ratio above 3 percent for quarters corresponding to
2018:Q1 to 2019:Q1. See 12 CFR 225.8(c)(3) and 12 CFR 225.8(d)(8).

The Federal Reserve’s quantitative assessment of a
BHC’s capital plan is based on the supervisory and
company-run stress tests that are conducted, in part,
under the Board’s rules implementing sections
165(i)(1) and (2) of the Dodd-Frank Wall Street
Reform and Consumer Protection Act (Dodd-Frank
Act stress test rules). (See “Discussion of Stress Tests
Results Conducted by BHCs” on page 6 and “Supervisory Post-Stress Capital Analysis” on page 14.) The
quantitative assessment of a BHC’s capital plan
includes a supervisory assessment of the BHC’s ability to maintain capital levels above each minimum
regulatory capital ratio, after making all capital
actions included in its capital plans, under baseline
and stressful conditions throughout the nine-quarter
planning horizon. See table 1 for a list of the ratios
that are applicable to all BHCs participating in
CCAR 2017 over the planning horizon.
Both the quantitative and qualitative assessments are
key inputs to the CCAR evaluation, including into
any decision to object, or not object, to a firm’s capital plan. The decisions for all firms participating in
CCAR 2017, including the reasons for any objections to a firm’s capital plan, will be published on or
before June 30, 2017. In addition, the Board will

Correspondence Related to CCAR
All questions from BHCs and communications from
the Federal Reserve concerning CCAR are addressed
through the secure CCAR Communications mailbox. Prior to and during the CCAR 2017 cycle,
BHCs will receive program updates via e-mail from
the CCAR Communications mailbox. These updates
include notifications about CCAR industry conference calls hosted by the Federal Reserve and formal
responses to frequently asked questions (FAQs) submitted by participating BHCs about the CCAR process and instructions.
The CCAR Communications mailbox serves as a
BHC’s primary point of contact for specific questions about the capital plan and stress test rule
requirements. If a BHC seeks clarifications on elements of CCAR or the Dodd-Frank Act stress test
(DFAST) program, the BHC should submit its questions to the mailbox.
Several enhancements have recently been made to the
process by which FAQs are submitted and answered.
To improve communication between the Federal
Reserve and BHCs participating in CCAR, the Federal Reserve will provide a direct response to every
FAQ submitted by a BHC. Upon receipt of the FAQ,
the Federal Reserve will provide to the BHC a timeframe in which a response can be expected. The Federal Reserve will also publish CCAR FAQ reports on
a quarterly basis at minimum, and with greater than
quarterly frequency in the months preceding the
annual CCAR exercise. If a BHC submits a FAQ
that is applicable to other BHCs, then a general version of the question and approved response will be
included in the CCAR FAQ report.
If needed, meetings may be scheduled to discuss submitted questions in more detail; however, only those
responses that a BHC receives through the secure
CCAR Communications mailbox should be considered final guidance.

5

Mandatory Elements of a Capital Plan

As noted earlier, a BHC must submit its capital plan
and supporting information to the Federal Reserve
by April 5, 2017. The capital plan and any supporting information, including certain FR Y-14 schedules, must be submitted to the Federal Reserve
through a secure collaboration site. The capital plan
rule specifies the four mandatory elements of a capital plan:13
1. An assessment of the expected uses and sources
of capital over the planning horizon that reflects
the BHC’s size, complexity, risk profile, and
scope of operations, assuming both expected and
stressful conditions, including
a. Estimates of projected revenues, losses,
reserves, and pro forma capital levels—including any minimum regulatory capital
ratios (e.g., supplementary and tier 1 leverage, common equity tier 1, 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 baseline conditions and under a range
of stressed scenarios. These must include any
scenarios provided by the Federal Reserve
and at least one stress scenario developed by
the BHC that is appropriate to its business
model and activities.
b. A discussion of how the BHC will maintain
all minimum regulatory capital ratios under
expected conditions and the required stressed
scenarios.
c. A discussion of the results of the stress tests
required by law or regulation, and an explanation of how the capital plan takes these
results into account.
d. A description of all planned capital actions
over the planning horizon.

2. A detailed description of the BHC’s processes for
assessing capital adequacy.
3. The BHC’s capital policy.
4. 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.
In addition to these mandatory elements, the Board
also requires BHCs to submit supporting information that is necessary to facilitate review of a BHC’s
capital plan under the Board’s capital plan rule and
in accordance with the FR Y-14 Instructions.14 The
capital plan elements described in the CCAR 2017
instructions do not replace the elements that BHCs
are required to provide in connection with the
FRY-14, including appendix A to the FR Y-14A,
which describes the supporting documentation
requirements. The mandatory elements of a capital
plan overlap with some of these supporting documentation requirements.
The remainder of this section describes in detail the
instructions and expectations for the capital plan and
provides information on the format that BHCs
should use when submitting their capital plans and
any supporting information.

Assessment of the Expected Uses and
Sources of Capital
BHCs must include an assessment of the expected
uses and sources of capital over the planning horizon
that reflects the BHC’s size, complexity, risk profile,
and scope of operations, assuming both expected
and stressful conditions.15 For purposes of CCAR,
BHCs are required to submit capital plans that are
supported by their capital planning processes and
14

13

12 CFR 225.8(e)(2).

15

12 CFR 225.8(e)(3).
12 CFR 225.8(e)(2)(i).

6

CCAR 2017 Instructions

that include post-stress results for each of the nine
quarters under the required scenarios.
The Federal Reserve’s evaluation of a BHC’s capital
plan will focus on whether the BHC has adequate
processes for identifying the full range of relevant
risks, given the BHC’s unique exposures and business mix, and whether the BHC appropriately
assesses the impact of those risks on its financial
results and capital needs under the required
scenarios.

Estimates of Projected Revenues, Losses,
Reserves, and Pro Forma Capital Levels
For the purposes of CCAR, each BHC must submit
its capital plan supported by its internal capital planning process and include post-stress results under the
various scenarios.
In conducting its stress tests, a BHC must reflect the
regulatory capital rules in effect for each quarter of
the planning horizon (other than the advanced
approaches), including the minimum regulatory capital ratios and any applicable transition arrangements.16 Advanced approaches firms will become
subject to the supplementary leverage ratio beginning on January 1, 2018, and will be required to project their supplementary leverage ratios from the first
quarter of 2018 through the first quarter of 2019.
All LISCC and large and complex firms that are part
of CCAR 2017 are advanced approaches firms, and,
therefore, subject to the requirement to report the
supplementary leverage ratio.
A BHC should clearly identify and report to the
Federal Reserve any aspects of its portfolios and
exposures that are not adequately captured in the
FR Y-14 schedules and that it believes are material to
loss estimates for its portfolios. In addition, the BHC
should be able to explain the reason why the FR
Y-14 is not accurately capturing such exposures.
Some examples may include portfolios that have contractual loss-mitigation arrangements or contingent
risks from intraday exposures that are not effectively
captured by the FR Y-14 schedules. The BHC should
also fully describe its estimate of the potential impact
of such items on financial performance and loss estimates under the baseline and stressed scenarios. A
BHC should incorporate and document any pertinent details that would affect the production and
results of these estimates.
16

See 80 Fed Reg. 75,419 (December 2, 2015).

BHCs should refer to the FR Y-14A Instructions for
information on the required data and supporting
documentation to submit for regulatory capital
projections.

Discussion of Stress Test Results
Conducted by BHCs
The capital plan rule requires a discussion of the
results of the stress tests required by law or regulation and an explanation of how a BHC’s capital plan
takes these results into account. For the purposes of
CCAR, each BHC is required to submit the results
of its stress tests based on three supervisory scenarios, at least one stressed scenario developed by
the BHC, and a BHC baseline scenario.17
• Supervisory baseline: a baseline scenario provided
by the Federal Reserve under the Dodd-Frank Act
stress test rules;
• Supervisory adverse: an adverse scenario provided
by the Federal Reserve under the Dodd-Frank Act
stress test rules;
• Supervisory severely adverse: a severely adverse scenario provided by the Federal Reserve under the
Dodd-Frank Act stress test rules;
• BHC baseline: a BHC{defined baseline scenario; and
• BHC stress: at least one BHC{defined stress
scenario.
Unless otherwise noted in the FR Y-14A Instructions, a BHC’s estimates of its projected revenues,
losses, reserves, and pro forma capital levels must use
data as of December 31, 2016, begin in the first
quarter of 2017 (January 1, 2017) and conclude at
the end of the first quarter of 2019 (March 31,
2019).18
The supervisory scenarios used for CCAR are the
same scenarios used for the Board’s Dodd-Frank
Act stress tests. These scenarios are not forecasts of
the expected outcomes. They are hypothetical scenarios to be used to assess the strength and resilience
17

18

A BHC may use the same baseline scenario as the supervisory
baseline scenario if the BHC determines the supervisory baseline scenario appropriately represents its view of the most likely
outlook for the risk factors salient to the BHC.
The only exception to this planning horizon is with respect to
the Regulatory Capital Transitions Schedule submission
required under the FR Y-14A, which should be reported as of
December 31, 2016, with projections through December 31,
2021, under the supervisory baseline scenario.

February 2017

of a BHC’s capital in baseline and stressed economic
and financial market environments. Under the Federal Reserve’s Dodd-Frank Act stress test rules, the
Board is required to provide BHCs with a description of the supervisory macroeconomic scenarios no
later than February 15 of each calendar year.19
While supervisory macroeconomic scenarios are
applied to all BHCs that are part of CCAR, the
Board may apply additional scenarios or scenario
components to all or a subset of the BHCs in
CCAR.20 The Board is providing a description of
supervisory scenarios and additional scenario components concurrently with these instructions.
Global Market Shock
The six LISCC BHCs with significant trading operations are required to include the global market shock
as part of their calculations of post-stress capital
under the supervisory adverse and severely adverse
scenarios.21 The global market shock is a component
of the stress test designed specially to assess potential
losses stemming from trading books, private equity
positions, and counterparty exposures. The firms
subject to the global market shock must apply the
shock as of a specified point in time, which will
result in instantaneous losses and a reduction in
capital. These losses and related capital impact will
be included in projections for the first quarter of the
planning horizon. The as-of date for the global market shock is January 3, 2017.
The global market shock is an add-on component of
the supervisory stress scenarios that is exogenous to
the macroeconomic and financial market environment specified in those scenarios. As a result, losses
from the global market shock should be viewed as an
addition to the estimates of losses under the macroeconomic scenario.22 The BHCs subject to the global
market shock should not assume for the purposes of
calculating post-stress capital ratios that there is a
decline in portfolio positions or risk-weighted assets
19
20
21

22

See 12 CFR 252.44(b) and 12 CFR 252.54(b).
See 12 CFR 252.44(b).
See 12 CFR 252.44(b). The six BHCs participating in the global
market shock are Bank of America Corporation; Citigroup
Inc.; The Goldman Sachs Group, Inc.; JPMorgan Chase & Co.;
Morgan Stanley; and Wells Fargo & Company.
BHCs should not report changes in value of the mortgageservicing rights (MSR) assets or hedges as trading losses resulting from the global market shock. Therefore, if derivative or
other MSR hedges are placed in the trading book for FR Y-9C
purposes and in alignment with Generally Accepted Accounting Principles, these hedges should not be stressed with the
global market shock.

7

due to losses from the global market shock, except in
the case noted below.
If a BHC subject to the global market shock can
demonstrate that its loss-estimation methodology
stresses identical positions under both the global
market shock and the supervisory macroeconomic
scenario, that firm may assume that the combined
losses from such positions do not exceed losses
resulting from the higher of either the losses stemming from the global market shock or those estimated under the macroeconomic scenario. However,
the full effect of the global market shock must be
taken through net income in the first quarter of the
planning horizon, which will include the as-of date
for the global market shock.
If a BHC subject to the global market shock makes
any adjustment to account for identical positions,
then that BHC must demonstrate that the losses generated under the macroeconomic scenario are on
identical positions to those subject to the global market shock, break out each of the adjustments as a
separate component of PPNR, and describe the
rationale behind any such adjustments.
Counterparty Default Scenario Component
The eight BHCs with substantial trading or processing and custodian operations are required to incorporate a counterparty default scenario component
into their supervisory adverse and severely adverse
stress scenarios.23 In connection with the counterparty default scenario component, a LISCC BHC
subject to the counterparty default scenario component is required to estimate and report the potential
losses and related effects on capital associated with
the instantaneous and unexpected default of the
counterparty that would generate the largest losses
across its derivatives and securities financing transactions, including securities lending and repurchase or
reverse repurchase agreement activities. The largest
counterparty of each LISCC BHC is determined by
net stressed losses, which is estimated by revaluing

23

See 12 CFR 252.44(b). Before the start of the current stress test
cycle, the Board notified eight BHCs that the Board is requiring
them to incorporate the counterparty default scenario component into their company-run stress tests under the supervisory
adverse and supervisory severely adverse scenarios. The eight
BHCs required to participate in the counterparty default component are Bank of America Corporation; The Bank of New
York Mellon Corporation; Citigroup Inc.; The Goldman Sachs
Group, Inc.; JPMorgan Chase & Co.; Morgan Stanley; State
Street Corporation; and Wells Fargo & Company.

8

CCAR 2017 Instructions

exposures and collateral using the global market
shock scenario.
The as-of date for the counterparty default scenario
component is January 3, 2017, the same date as the
global market shock.
Similar to the global market shock, the counterparty
default scenario component is an add-on component
to the macroeconomic and financial market scenarios specified in the Federal Reserve’s supervisory
adverse and severely adverse scenarios, and, therefore, losses associated with this component should be
viewed as an addition to the estimates of losses
under the macroeconomic scenarios (see the description of global market shock above).
BHC Scenarios
To gain a deeper understanding of a BHC’s unique
vulnerabilities, the capital plan rule requires each
BHC to design an internal stress scenario that is
appropriate to its business activities and exposures,
including any expected material changes therein over
the nine-quarter horizon. As part of its annual capital plan submission, each BHC must submit the
results of its stress tests based on at least one stress
scenario developed by that BHC and on a BHC
baseline scenario, which reflect the BHC’s unique
risk exposures and business activities.
A BHC may use the same baseline scenario as the
supervisory baseline scenario if the BHC determines
the supervisory baseline scenario appropriately represents its view of the most likely outlook for the risk
factors salient to the BHC.
LISCC and large and complex BHCs should consult
SR letter 15-18, and, in particular, part III.E and
appendix G, for detailed guidance on developing
internal scenarios that focus on the specific vulnerabilities of the BHC’s risk profile and operations.24

Description of All Capital Actions Assumed
over the Planning Horizon
The Federal Reserve considers the BHC’s description
of all planned capital actions over the planning horizon, including both capital issuances and capital distributions, and relies on these descriptions of the

planned capital actions as a basis for its decisions
about the BHC’s capital plan. Under the capital plan
rule, a capital action is any issuance of a debt or
equity capital instrument, any capital distribution,
and any similar action that the Federal Reserve
determines could affect a BHC’s consolidated capital.25 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.26
A BHC that receives a non-objection to its capital
plan generally must request approval from the Board
to make capital distributions that exceed those
included in its capital plan on a gross or net basis.27
Further detail is provided under “Execution of
Capital Plan and Requests for Additional
Distributions” on page 17.
Capital Action Assumptions
BHCs must incorporate assumptions about capital
actions over the planning horizon into their
company-run stress tests. The types of capital actions
that a BHC must incorporate into its company-run
stress tests under various scenarios are defined as
follows:
• Planned capital actions: a BHC’s planned capital
actions under the BHC baseline scenario
• Alternative capital actions: a BHC’s assumed capital actions under the BHC stress scenario
• Dodd-Frank Act stress test capital actions: capital
action assumptions as required under the DoddFrank Act stress test rules28
Planned Capital Actions

As part of the CCAR capital plan submission,
except in the case of the BHC stress scenario, BHCs
should calculate post-stress capital ratios using their
planned capital actions over the planning horizon
under the BHC baseline scenario. Similarly, the Federal Reserve will conduct its post-stress capital analy25

24

See SR letter 15-18, “Federal Reserve Assessment of Capital
Planning and Positions for LISCC Firms and Large and Complex Firms,” December 18, 2015, www.federalreserve.gov/
bankinforeg/srletters/sr1518a1.pdf.

26
27
28

See 12 CFR 225.8(d)(3).
See 12 CFR 225.8(d)(4).
See 12 CFR 225.8(g).
See 12 CFR 252.56(b).

February 2017

sis using the BHC’s planned capital actions that are
described in the BHC baseline scenario.

9

dends that the company paid in the previous
year (i.e., the initial quarter of the planning
horizon and the preceding three calendar quarters) plus common stock dividends attributable
to issuances related to expensed employee compensation or in connection with a planned
merger or acquisition to the extent that the
merger or acquisition is reflected in the BHC’s
pro forma balance sheet estimates;

With respect to the planned capital actions under the
BHC baseline scenario:
• For the initial quarter of the planning horizon, the
BHC must take into account the actual capital
actions taken during that quarter.
• For the second quarter of the planning horizon
(i.e., the second quarter of 2017), a BHC’s capital
distributions should be consistent with those
already included in the capital plan from the prior
year and not objected to by the Federal Reserve for
that quarter.29

—payments on any other instrument that is eligible
for inclusion in the numerator of a regulatory
capital ratio equal to the stated dividend, interest, or principal due on such instrument during
the quarter;

• For each of the third through ninth quarters of the
planning horizon, the BHC must include any
planned capital actions.

—an assumption of no redemption or repurchase
of any capital instrument that is eligible for
inclusion in the numerator of a regulatory capital ratio; and

Alternative Capital Actions

—an assumption of no issuances of common
stock or preferred stock, except for issuances
related to expensed employee compensation or
in connection with a planned merger or acquisition to the extent that the merger or acquisition
is reflected in the BHC’s pro forma balance
sheet estimates.30

In calculating post-stress capital ratios under the
BHC stress scenario, a BHC should use the capital
actions it would expect to take if the stress scenario
were realized. These alternative capital actions
should be consistent with the BHC’s established
capital policies.
Dodd-Frank Act Stress Test Capital Action
Assumptions

For stressed projections under the Dodd-Frank Act
stress test rule, a BHC must use the following
assumptions regarding its capital actions over the
planning horizon for the supervisory baseline scenario, the supervisory adverse scenario, and the
supervisory severely adverse scenario:
• For the initial quarter of the planning horizon, the
BHC must take into account its actual capital
actions taken throughout the quarter.
• For each of the second through ninth quarters of
the planning horizon, the BHC must include in the
projections of capital:
—common stock dividends equal to the quarterly
average dollar amount of common stock divi29

A BHC may include a lower amount of capital distributions for
the second quarter of the planning horizon if it intends to make
a lower dollar amount of capital distributions than the amount
included in the prior year’s capital plan. If the BHC includes a
lower amount, the BHC will be bound by that lower amount
for purposes of 12 CFR 225.8(g). In no event should the BHC
include or execute a larger amount of capital distributions than
included in its prior year’s capital plan without the Federal
Reserve’s prior approval.

Organization of Description of Capital Actions
A BHC should align the description of its planned
capital actions to the actions submitted on the
FRY-14A Summary Schedule under the BHC baseline scenario and on the FR Y-14A Regulatory Capital Instruments Schedule, and organize the description of the planned capital actions in a manner that
permits comparison with the schedules. One method
of organization would be a table, such as table 2,
which presents the capital actions by type of capital
instrument over the quarterly path.
Planned Capital Actions in Out-Quarters of
Planning Horizon
A BHC should ensure that its projections of capital
distributions in the three final quarters of the planning horizon (i.e., the quarters that are not subject to
objection in the current capital plan cycle, referred to
as “out-quarters”) are based on realistic assumptions
about the future and in a manner broadly consistent
with previous quarters. A BHC should only reflect a
reduction in planned capital distributions in these
out-quarters if the BHC can justify the reduction,
30

12 CFR 252.56(b).

10

CCAR 2017 Instructions

Table 2. Summary of planned capital actions, CCAR 2017
Item

2017:Q1

2017:Q2

2017:Q3

2017:Q4

Dividends
Common dividends/share ($)
Common dividends
Preferred dividends

2018:Q1

2018:Q2

2018:Q3

2018:Q4

2019:Q1

9-quarter

n/a

Repurchases and redemptions
Common stock issuance
Common stock repurchase (gross)
Common stock repurchase (net)
Common stock - employee stock
compensation issuance
Common stock - employee stock
compensation repurchase (gross)
Common stock - employee stock
compensation repurchase (net)
Preferred stock issuance
Preferred stock repurchase (gross)
Preferred stock repurchase (net)
TruPS issuance
TruPS repurchase (gross)
TruPS repurchase (net)
Subordinated debt issuance
Subordinated debt repurchase (gross)
Subordinated debt repurchase (net)
Other capital instruments issuance
(gross)
Other capital instruments repurchase
(gross)
Other capital instruments repurchase
(net)
Millions of dollars
n/a Not applicable.
TruPS Trust preferred securities.

based on its planned business activities and prudent
capital planning. Without explanation, the practice
of suddenly reducing planned capital distributions in
an out-quarter may be indicative of shortcomings in
a BHC’s capital planning processes and may indicate
that the assumptions and analysis underlying the
capital plan, or the BHC’s methodologies for reviewing the robustness of its capital planning process, are
not reasonable or appropriate.31 Under the capital
plan rule, the Federal Reserve may object to the capital plan of a LISCC or large and complex firm if the
31

12 CFR 225.8(f)(2)(ii)(B).

assumptions and analyses underlying the BHC’s
capital plan are not reasonable or appropriate.

Description of a BHC’s Process for
Assessing Capital Adequacy
A BHC’s description of its process for assessing
capital adequacy is an important component of its
capital plan. As discussed in SR letter 15-18, a
LISCC or large and complex BHC’s capital planning
process should have as its foundation a full understanding of the risks arising across all parts of the

February 2017

firm from its exposures and business activities, as
well as scenario-based stress testing analytics, to
ensure that it holds sufficient capital corresponding
to those risks to maintain operations across the planning horizon.
The detailed description of a LISCC or large and
complex BHC’s capital planning process should
include a discussion of how, under stressful conditions, that BHC will meet supervisory expectations
for maintaining capital commensurate with its risks,
taking into account minimum regulatory capital
ratios and its internal capital goals. LISCC and large
and complex BHCs should primarily refer to the SR
letter 15-18 for additional detail on the supervisory
expectations for the capital planning process.

Expected Changes to Business Plans
Affecting Capital Adequacy or
Funding
Each BHC should include in its 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 adequacy. Examples of changes to a
business plan that may have a material impact could
include a planned merger, acquisition, or divestiture;
changes in key business strategies; or significant
investments. For projections under the BHC baseline
scenario, a BHC may include all planned mergers,
acquisitions, and divestitures that represent the
BHC’s current view of the most likely outlook over
the planning horizon. For projections under all other
scenarios, the BHC should include planned mergers
and acquisitions, reflecting the terms and conditions
that would likely prevail under a given scenario, but
only include divestitures that are completed or contractually committed to before the submission date
of April 5, 2017.
In the discussion of the business plan change, the
BHC should consider in its capital plan the effects of
these expected changes and any potential adverse
consequences in the event the actions do not result in
the planned changes (e.g., a merger plan falls
through, a change in business strategy is not
achieved, or the BHC suffers a loss on the significant
planned investment). In addition, a BHC should
reflect material changes to the BHC's business plan
in its FR Y-14A Summary and Business Plan
Changes schedules and provide relevant supporting
documentation. Upon reviewing this information,

11

the Federal Reserve may request additional information about the business plan change.
IHCs participating in CCAR 2017: A CCAR subsidiary of a U.S. IHC or a CCAR BHC that was designated as the U.S. IHC must include in its capital plan
an assessment of any planned transfers of assets and
liabilities that would affect the BHC’s capital
adequacy over the planning horizon. The BHC must
also reflect the transfers in the FR Y-14A Summary
and Business Plan Changes schedules.

Organizing Capital Plan Submissions
Appendix C provides a suggested outline for both
the capital plan narrative and supporting information, as well as defining the submission components
and mapping them to the mandatory elements in the
capital plan rule and the FR Y-14A Instructions.

Data Supporting a Capital Plan
Submission
In conducting its assessment of a BHC’s capital
plan, the Federal Reserve relies on the completeness
and accuracy of information provided by the BHC.
A BHC’s internal controls around data integrity are
critical to assure the quality of the capital planning
process. BHCs should refer to appendix E of SR letter 15-18 for more information on the Federal
Reserve’s expectations for internal audit.
A BHC is expected to have procedures in place for
meeting the accuracy requirements of the FR Y-14A,
FR Y-14Q, and FR Y-14M forms and should be able
to evaluate the results of such procedures.32 Each
domestic LISCC firm must complete the attestation
for FR Y-14A, FR Y-14Q, and FR Y-14M forms
with December 31, 2016, as-of dates.33 For these
forms, LISCC firms are required to attest to conformance with the forms’ instructions, the material correctness of the actual data as of that date, and the
effectiveness of internal controls for the reports submitted as of that date, rather than with respect to
submissions throughout the year.34
32
33
34

See SR letter 15-18 appendix E.
See 81 Fed. Reg. 3412, 3414 (January 21, 2016).
For forms with as-of dates beyond December 31, 2016, LISCC
firms will be required to attest to conformance with the forms’
instructions, the material correctness of the actual data as of
each date, and the effectiveness of internal controls for all Y-14

12

CCAR 2017 Instructions

FR Y-14 Data Submission
In general, all BHCs are required to report all data
elements in the FR Y-14 schedules; however, certain
schedules, worksheets, or data elements may be
optional for a BHC. The instructions for the individual FR Y-14A, FR Y-14Q, and FR Y-14M schedules provide details about how to determine whether
a BHC must submit a specific schedule, worksheet,
or data element.
BHCs are required to report FR Y-14 data that are
materially accurate. BHCs may be asked to resubmit
FR Y-14 data after the initial due date as specified in
the associated report instructions should errors or
omissions be identified by the Federal Reserve. Due
dates are specified in the FR Y-14Q and FR Y-14M
General Instructions, which are available on the Federal Reserve Board’s website at www.federalreserve
.gov/apps/reportforms/default.aspx. FR Y-14A
schedules are due by April 5, 2017. For submissions
with a December 31, 2016, as-of date, voluntary data
resubmissions received after the initial data submission will be considered on a case-by-case basis for
inclusion in the assessment. (See “Quantitative
Assessments” on page 14 for the treatment of unresolved data issues.)
Under the capital plan rule, failure to submit complete data to the Federal Reserve in a timely manner
may be a basis for objection to a capital plan.35 A
BHC’s inability to provide required data by the due
dates may affect supervisory estimates of losses,
PPNR, RWAs, and capital for the BHC and may
affect the Federal Reserve’s qualitative assessment of
the internal risk-measurement and risk-management
practices supporting a BHC’s capital planning
process.
FR Y-14A Summary Schedule Capital
Worksheets
BHCs must complete capital worksheets on the
FR Y-14A Summary Schedule to report their projec-

35

reports throughout the year, and to report any identified material weaknesses in internal controls.
See 12 CFR 225.8(f)(2)(ii).

tions of capital components, risk-weighted assets,
and capital ratios under each of the five scenarios
described above.
With respect to a BHC’s projections under the supervisory scenarios, the BHC must calculate two sets of
pro forma capital ratios and complete (1) the Capital
– CCAR worksheet (FR Y{14A Schedule A.1.d.1)
using the BHC’s planned capital actions in the BHC
baseline scenario, and (2) the Capital – DFAST
worksheet (FR Y{14A Schedule A.1.d.2) using the
prescribed assumptions about capital actions under
the Dodd-Frank Act stress test rule.
For the BHC-developed scenarios, a BHC should
complete only the Capital – CCAR worksheet
(FR Y{14A Schedule A.1.d.1) and include projections using the BHC’s expected capital actions as
deemed appropriate by the BHC for that scenario
and in accordance with the BHC’s capital policies.
Table 3 illustrates the capital actions used for each
scenario’s FR Y-14A Schedule.

Table 3. Capital worksheet requirements
Scenario

BHC baseline
Supervisory baseline*
BHC stress
Supervisory adverse
Supervisory severely adverse

CCAR capital
worksheet
Planned capital
actions
Planned capital
actions
Alternative capital
actions
Planned capital
actions
Planned capital
actions

DFAST capital
worksheet

n/a
DFA stress test
capital actions
n/a
DFA stress test
capital actions
DFA stress test
capital actions

* If a BHC determines the supervisory baseline scenario to be appropriate for its
own BHC baseline, the BHC may submit identical FR Y-14A Summary schedules
with the exception of the capital worksheets noted above. All BHCs must complete
two capital worksheets for the supervisory baseline and supervisory severely
adverse scenario.
n/a Not applicable.

13

Federal Reserve Assessment of
BHC Capital Plans

The Federal Reserve will review the supporting information in a BHC’s capital plan—including the
BHC’s own stress test results—and will generate
supervisory stress test estimates, using internally
developed supervisory models and assumptions.36

Qualitative Assessments
In conducting the qualitative assessment for CCAR,
the Federal Reserve evaluates LISCC and large and
complex firms’ capital planning practices, focusing
on six areas of capital planning—namely, governance, risk management, internal controls, capital
policies, incorporating stressful conditions and
events, and estimating impact on capital positions.
The supervisors engaged in the qualitative assessment include dedicated supervisory teams that provide a firm-specific assessment and horizontal evaluation teams focusing on cross-firm assessments of
capital planning processes. Horizontal evaluation
teams are multi-disciplinary and include financial
analysts, accounting and legal experts, economists,
risk management specialists, financial risk modelers,
and regulatory capital analysts.
In addition to the assessment carried out subsequent
to the submission of the required annual capital
plans, CCAR qualitative assessments are informed
by supervisory activities that are conducted throughout the year to assess a BHC’s practices and processes used, in part, to support its capital planning.
These supervisory activities include reviews that
focus on risk management, internal controls, audit,
and corporate governance and the monitoring of the
BHC’s progress toward addressing identified weaknesses in capital planning processes and meeting
supervisory expectations. In turn, the CCAR qualitative assessment helps to highlight key weaknesses in
36

See Board of Governors of the Federal Reserve System, DoddFrank Act Stress Test 2016: Supervisory Stress Test Methodology and Results (Washington: Board of Governors,
March 2016), www.federalreserve.gov/newsevents/press/bcreg/
bcreg20160623a1.pdf.

a BHC’s internal processes that can result in additional supervisory scrutiny throughout the year.
During the CCAR qualitative assessment, supervisors assign ratings to each of the six areas of capital
planning noted above. The ratings, which indicate
the extent to which a BHC’s capital planning practices meet supervisory expectations, are used to
determine the nature and severity of supervisory
feedback. Decisions to object or not object to a
BHC’s capital plan for qualitative reasons are based
on an absolute assessment of the firm’s practices
relative to the supervisory expectations as detailed in
SR letter 15-18.
BHCs that receive an objection generally have a critical deficiency in one or more material areas or have
significant deficiencies in a number of areas that
undermine the overall reliability of the BHC’s capital
planning process. The reasons for a qualitative objection include the following:
• The BHC has material unresolved supervisory
issues, including but not limited to issues associated with its capital adequacy process.
• The assumptions and analyses underlying the
BHC’s capital plan, or the BHC’s methodologies
for reviewing its capital adequacy process, are not
reasonable or appropriate.
• The BHC’s capital planning process or proposed
capital distributions otherwise constitute an unsafe
or unsound practice or would violate any law,
regulation, Board order, directive, or any condition
imposed by, or written agreement with, the Board
or the appropriate Federal Reserve Bank.

Material Unresolved Supervisory Issues
The Federal Reserve’s qualitative assessment critically evaluates supervisory issues—identified through
CCAR and year-round supervisory assessments—related to identification, measurement, and management of firms’ material risks and controls and gover-

14

CCAR 2017 Instructions

the application of well-governed business
judgment.38

nance around those activities. Sound capital planning requires a strong foundation of risk
management, internal controls, and governance.
The Federal Reserve may object to a firm’s capital
plan if the firm has material unresolved supervisory
issues, including but not limited to issues associated
with its capital adequacy process that
• are severe in nature (e.g., relate to the fundamental
ability of a firm to identify, measure, and monitor
its risks or to determine its capital needs under
stressful conditions);37

Controls and Governance over the Capital
Planning Process
A firm’s internal controls over its capital planning
process should help to ensure the effectiveness of the
firm’s capital planning. If a firm has weak internal
controls, the reliability and credibility of the firm’s
capital planning process and any outputs from the
process are called into question.

• have proven to be pervasive in nature (e.g., not necessarily confined to an individual function, business line, or assessment area); or

For example, the Federal Reserve may object to a
capital plan if a firm has material or pervasive deficiencies in

• have remained outstanding for a considerable
period of time (e.g., at least one supervisory assessment cycle), with limited progress made in addressing the root causes of the identified deficiencies.

• internal controls around key elements of the firm’s
capital planning processes, including controls
around the processes used to develop and independently validate key assumptions, models, and other
approaches used as part of the firm’s forwardlooking capital adequacy assessment;

Assumptions and Analysis Underlying the
Capital Plan
A forward-looking assessment of capital adequacy
under a range of stressful scenarios is a key input to
a firm’s capital plan. In order to support the firm’s
capital planning processes, the capital adequacy
assessment process should evidence a clear link
between stress scenarios and its material risks; sound
approaches used to quantify the effect of the scenarios on the firm’s financial performance and capital positions; critical assessments of the assumptions,
analysis, and output of its stress testing; and strong
controls and governance surrounding the capital
planning process.
The Federal Reserve may object to a firm’s capital
plan if the firm has material or pervasive deficiencies
in areas such as
• comprehensive, firm-wide identification, capture,
and measurement of risks, including the identification of risks that may only emerge or become
apparent under stress; or
• assumptions and analysis designed to address
known data or model weaknesses; to account for
the potential effect of a given stress event on strategic or other management actions; or to support
elements of the forward-looking assessment that
remain difficult to model and, therefore, require
37

See 12 CFR 225.8(f)(2)(ii)(A).

• the execution of internal audits of processes supporting the firm’s capital planning;
• controls around the data and information technology infrastructure supporting the firm’s capital
adequacy assessment, including those relating to
regulatory reporting; or
• senior management oversight of capital planning
processes.39

Quantitative Assessments
The quantitative assessments that the Federal
Reserve undertakes in CCAR are summarized in
figure 1.

Supervisory Post-Stress Capital Analysis
The Federal Reserve’s supervisory post-stress capital
analysis is based on the estimates of losses, revenues,
balances, risk-weighted assets, and capital from the
Federal Reserve’s supervisory stress test conducted
under the Dodd-Frank Act.40 The supervisory pro38
39
40

See 12 CFR 225.8(f)(2)(ii)(B).
Ibid.
For more on the methodology of the Federal Reserve’s supervisory stress test, see Board of Governors of the Federal Reserve
System, Dodd-Frank Act Stress Test 2016: Supervisory Stress
Test Methodology and Results (Washington: Board of Governors, June 23, 2016), www.federalreserve.gov/newsevents/press/

February 2017

15

Figure 1. Quantitative assessments of capital actions
Pro forma capital ratios

Common dividend payout ratio

Supervisory adverse
Planned capital actions
DFA stress test capital actions

BHC baseline*
Planned capital actions

Supervisory severely adverse
Planned capital actions
DFA stress test capital actions

Supervisory baseline*
Planned capital actions
DFA stress test capital actions

Note: Each box indicates a distinct scenario that will be submitted by each BHC. Planned capital actions are estimated by each BHC using the BHC baseline scenario, and the
alternative capital actions are estimated under the BHC’s stress scenario in accordance with the BHC’s internal capital policies.
* If a BHC determines the supervisory baseline scenario to be appropriate for its own BHC baseline, the BHC may submit identical FR Y-14A Summary schedules with the exception of the capital worksheets noted above. All BHCs must complete two capital worksheets for the supervisory baseline and supervisory severely adverse scenario.

jections are conducted under three hypothetical macroeconomic and financial market scenarios developed by the Federal Reserve: the supervisory baseline, supervisory adverse, and supervisory severely
adverse scenarios.
The CCAR post-stress capital analysis uses the same
data, models, and assumptions as supervisory stress
testing conducted in accordance with the DoddFrank Act requirements, except that CCAR analysis
involves the BHCs’ planned capital actions in the
BHC baseline scenario rather than the capital
actions assumptions that are required in the stress
testing rules. The CCAR analysis helps the Federal
Reserve to assess whether a BHC would be capable
of continuing to meet minimum capital requirements
(tier 1 leverage, tier 1 risk-based, common equity tier
1 risk-based, and total risk-based capital ratios, and
supplementary leverage ratio, where applicable)
throughout the planning horizon, even if adverse or
severely adverse stress conditions emerged and the
BHC did not reduce planned capital distributions.41
In connection with Dodd-Frank Act supervisory
stress testing and the annual CCAR exercise, the
Federal Reserve will use the data and information
provided in the FR Y-14 regulatory reports with
December 31, 2016, as-of dates (except for trading
and counterparty data). BHCs should review the
instructions for each schedule to determine the

41

bcreg/bcreg20160623a1.pdf; and Enhancements to Federal
Reserve Models Used to Estimate Operational Risk and Capital
(February 3, 2017), www.federalreserve.gov/newsevents/press/
bcreg/bcreg20170203a1.pdf.
The Board will not consider the capital conservation buffer distribution limitations in the CCAR 2017 planning horizon when
calculating its post-stress capital ratios; and, similarly, a BHC
should not assume the operation of distribution limitations of
the capital conservation buffer when conducting its stress tests.

appropriate submission date for each regulatory
report. The Federal Reserve will apply conservative
assumptions to any missing or otherwise deficient
FR Y-14 data in producing supervisory estimates if
such deficiencies are not remedied.
• Missing data or data deficiency: If a BHC’s submitted data quality is deemed too deficient to produce a supervisory model estimate for a particular
portfolio, the Federal Reserve may assign a high
loss rate (e.g., 90th percentile) or a conservative
PPNR rate (e.g., 10th percentile) to the portfolio
balances based on supervisory projections of portfolio losses or PPNR estimated for other BHCs. If
data that are direct inputs to supervisory models
are missing or reported erroneously but the problem is isolated in a way that the existing supervisory framework can still be used, a conservative
value (e.g., 10th or 90th percentile) based on all
available data reported by BHC will be assigned to
the specific data.
• Immaterial portfolio: Each BHC has the option to
either submit or not submit the relevant data
schedule for a given portfolio that does not meet a
Materiality Threshold (as defined in FR Y14Q and FR Y-14M instructions). If the BHC
does not submit data on its immaterial portfolio(s),
the Federal Reserve will assign the median loss
rate, based on the estimates for other BHCs. Otherwise, the Federal Reserve will estimate losses
using data submitted by the BHC.42
• Assets and liabilities acquired in material business
plan changes: The Federal Reserve does not apply
42

The Federal Reserve raised the immateriality threshold for large
and noncomplex firms and will assign the median loss rate for
those firm’s immaterial portfolios. These changes did not
impact LISCC and large and complex firms.

16

CCAR 2017 Instructions

the missing data treatment, described above, to
assets and liabilities that are expected to be
acquired in a material business plan change during
the planning horizon. Rather, the Federal Reserve
will apply loss and PPNR estimates appropriate to
the acquired assets, liabilities, and business activities based on the Federal Reserve’s assessment of
all business plan change-related information submitted by the firm.

Common Dividend Payouts
The appropriateness of planned capital actions also
will be evaluated based on the common dividend
payout ratio (common dividends relative to net
income available to common shareholders) in the
baseline scenario.
The Federal Reserve expects that capital plans will
reflect conservative common dividend payout ratios.
Specifically, requests that imply common dividend
payout ratios above 30 percent of projected after-tax
net income available to common shareholders in
either the BHC baseline or supervisory baseline will
receive particularly close scrutiny. In reviewing such
requests, one consideration will be the BHC’s ability
to meet its baseline earnings projections over the
planning horizon, including the demonstrated
strength of core earnings, effectiveness of baseline
earnings projections, and earnings volatility over
time.

Limited Adjustments to
Planned Capital Actions
Upon completion of the quantitative and qualitative
assessments of BHCs’ capital plans, but before the
disclosure of the final CCAR results, the Federal
Reserve will provide each BHC with the results of
the post-stress capital analysis for its BHC, and each
BHC will have an opportunity to make a one-time
adjustment to planned capital distributions. The only
adjustment that will be considered is a reduction in
capital distributions (i.e., common stock dividends or
repurchases or redemptions of common stock, preferred stock, or other instruments eligible for inclusion in regulatory capital) relative to those initially
submitted in the BHC’s original capital plan. The
Board’s final decision to object or not object to the
capital plan will be based on the BHC adjusted capital distributions, if any.

As noted above, the Federal Reserve has observed a
practice whereby some BHCs have adjusted only the
distributions in the “out-quarters” of the planning
horizon (i.e., those that are not subject to objection
in the current CCAR exercise). For CCAR 2017,
those would be the projected third and fourth quarters of 2018 and first quarter of 2019. In the absence
of supporting actions, such as a firm actually cutting
distributions in these quarters, this practice may
undermine the credibility of a BHC’s capital plan.
Accordingly, to support the credibility of its capital
plan, a BHC that makes a one-time adjustment to its
planned capital distributions should avoid concentrating the adjustment in the quarters not subject to
objection in CCAR 2017 without providing an
explanation.

Federal Reserve Responses to
Planned Capital Actions
Based on the results of the qualitative and quantitative assessment, the Federal Reserve will determine
whether or not to object to a capital plan of a
LISCC or large and complex BHC.
For purposes of CCAR 2017, if a BHC receives a
non-objection to its capital plan, the BHC generally
may make the capital distributions included in its
capital plan submission beginning on July 1, 2017,
through June 30, 2018, without seeking prior
approval from or providing prior notice to the Federal Reserve. (See “Execution of Capital Plan and
Requests for Additional Distributions” on page 17.)
If a BHC receives an objection to its 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 nonobjection. In this instance, the Federal Reserve may
still authorize the BHC to undertake certain distributions set forth in its capital plan.
Under the capital plan rule, the Federal Reserve may
object to capital distributions in future quarters, or
require a resubmitted capital plan, if there is a material change in the BHC’s risk profile (including a
material change in its business strategy or any risk
exposure), financial condition, or corporate structure, or if changes in financial markets or the macroeconomic outlook that could have a material impact

February 2017

on the BHC’s risk profile and financial condition
require the use of updated scenarios.

Disclosure of Supervisory
Assessments
At the completion of the CCAR process, the Federal
Reserve will publicly disclose its decision to object or
not object to a LISCC or large and complex BHC’s
capital plan.
The Federal Reserve will include in its CCAR disclosure the results of its post-stress capital analysis for
each BHC, including BHC-specific post-stress regulatory capital ratios (tier 1 leverage, common equity
tier 1, tier 1 risk-based, and total risk-based capital
ratios, and supplementary leverage ratio, where
applicable) estimated in the adverse and severely
adverse scenarios. The disclosed information will
include minimum values of these ratios over the
planning horizon, using the originally submitted
planned capital actions under the baseline scenario
and any adjusted capital distributions in the final
capital plans, as applicable. (See appendix A for the
format that will be used to publish these data.) In
addition to disclosing a summary of its quantitative
assessment of the BHC’s capital plans, the Federal
Reserve will disclose the reasons for any objections
to specific LISCC and large and complex BHCs’
capital plans on qualitative grounds. This will include
information about weaknesses in a BHC’s practices
that led to an objection to the BHC’s capital plan for
qualitative reasons. In addition, the Federal Reserve
intends to describe practices that the Federal Reserve
considers to be stronger or leading practices.
In a separate document, the Federal Reserve will disclose the detailed results of supervisory stress tests
for each BHC under both the adverse and the
severely adverse supervisory scenarios, including
stressed losses and revenues, and the post-stress capital ratios based on the capital action assumptions
required under the Dodd-Frank Act stress test rules,
along with an overview of methodologies used for
supervisory stress tests. (See appendix B for the format that will be used to publish these data.)
The Federal Reserve will publish the CCAR and
DFAST results documents by June 30, 2017. BHCs
are required to disclose the results of their companyrun stress tests within 15 days of the date the Board
discloses the results of its Dodd-Frank Act supervisory stress test.

17

Resubmissions
If a BHC receives an objection to its capital plan, it
may choose to resubmit its plan in advance of the
next CCAR exercise in the following year.
In addition, pursuant to the capital plan rule, a BHC
must revise 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.43 Further,
the Federal Reserve may direct a BHC to revise and
resubmit its capital plan for a number of other reasons, including if a stress scenario developed by the
BHC is no longer appropriate to its business model
and portfolios or if changes in financial markets or
the macroeconomic outlook that could have a material impact on a BHC’s risk profile and financial
condition requires the use of updated scenarios.44
Submissions that are incomplete or which contain
material weaknesses could result in an objection to
the resubmitted plan and a mandatory resubmission
of a new plan, which may not be reviewed until the
following quarter. 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.

Execution of Capital Plan and
Requests for Additional Distributions
Subject to certain exceptions, the capital plan rule
provides that a BHC must request prior approval of
the Board for capital distributions if the dollar
amount of such capital distributions will exceed the
amount described in the non-objected to capital
plan.45 The Board generally expects a BHC to obtain
approval from its board of directors before it provides notice of a proposed de minimis transaction.
43
44
45

12 CFR 225.8(e)(4)(i)(A).
12 CFR 225.8(e)(4)(i)(B).
BHCs are not required to provide prior notice and seek
approval for distributions involving issuances of instruments
that would qualify for inclusion in the numerator of regulatory
capital ratios that were not included in the BHC’s capital plan.
See 12 CFR 225.8(g)(2)(iii)(B).

18

CCAR 2017 Instructions

However, a BHC that is well capitalized may make
additional capital distributions not to exceed
0.25 percent of the BHC’s tier 1 capital without seeking the Board’s prior approval if certain conditions
are met.46 A firm seeking to avail itself of this de
minimis exception must provide the Board with prior
written notice that it is doing so.
The capital plan rule now includes a one-quarter
blackout period while the Board is conducting
CCAR, during which BHCs may not submit a notice
to use the de minimis exception. The blackout period
is also applicable to capital distribution requests that
do not qualify for the de minimis exception and
require prior approval.
In addition, a BHC generally must request the
Board’s non-objection for capital distributions
included in the BHC’s capital plan if the BHC has
issued less capital of a given class of regulatory capital instrument (net of distributions) than the BHC
had included in its capital plan, measured cumulatively, beginning with the third quarter of the planning horizon.47

46
47

12 CFR 225.8(g)(2).
The classes of regulatory capital instruments are common
equity tier 1, additional tier 1, and tier 2 capital instruments, as
defined in 12 CFR 217.2. BHCs are not required to provide
prior notice and seek approval for distributions included in
their capital plans that are scheduled payments on additional
tier 1 or tier 2 capital. Additionally, BHCs are not required to
provide prior notice and seek approval where the shortfall in
capital issuance (net of distributions) is due to employeedirected capital issuances related to an employee stock ownership plan; a planned merger or acquisition that is no longer
expected to be consummated or for which the consideration
paid is lower than the projected price in the capital plan; or if
aggregate excess net distributions is less than 0.25 percent of
the BHC’s tier 1 capital. See 12 CFR 225.8(g)(2)(iii).

A BHC should notify the Board as early as possible
before redeeming any capital instrument that counts
as regulatory capital and that was not included in its
capital plan, or if it has excess net distributions.48 As
with all formal communications on CCAR-related
issues, a BHC should use the CCAR Communications mailbox to submit any requests for capital distributions (gross or net) not included in its capital
plan.
Any such requests should include the change in the
BHC’s planned capital issuances and any other relevant changes in the capital plan. The BHC may be
required to submit additional supporting information, including a revised capital plan, the BHC’s
forward-looking assessment of its capital adequacy
under revised scenarios, any supporting information,
and a description of any quantitative methods used
that are different than those used in its original capital plan.49 In acting on the request, the Federal
Reserve will examine the BHC’s performance relative
to the initial projections and the rationale for the
request.50 A LISCC or large and complex firm’s consistent failure to execute planned capital issuances
may be indicative of shortcomings in its capital planning processes and may indicate that the assumptions and analysis underlying the firm’s capital plan
or the BHC’s methodologies and practices that support its capital planning process are not reasonable
or appropriate. Accordingly, a consistent failure to
execute capital issuances as indicated in its capital
plan may form the basis for objection if the firm is
unable to explain the discrepancies between its
planned and executed capital issuances.
48

49
50

See 12 CFR 225.8(g) for circumstances under which approval
would be required where a BHC had received a non-objection
to its capital plan.
See 12 CFR 225.8(g)(4).
12 CFR 225.8(f)(2)(ii)(B).

19

Appendix A: Templates for Comprehensive
Capital Analysis and Review Results 2017

This appendix provides the format that the Federal Reserve will use to disclose the results of the supervisory
stress test under the Comprehensive Capital Analysis and Review.
Tables begin on next page.

20

CCAR 2017 Instructions

Table A.1. Projected minimum common equity tier 1 ratio in the severely adverse scenario, 2017:Q1–2019:Q1
Bank holding company

Stressed ratio with original
planned capital actions

Stressed ratio with adjusted
planned capital actions

Ally Financial Inc.
American Express Company
BancWest Corporation
Bank of America Corporation
The Bank of New York Mellon Corporation
BB&T Corporation
BBVA Compass Bancshares, Inc.
BMO Financial Corp.
Capital One Financial Corporation
CIT Group Inc.
Citigroup Inc.
Citizens Financial Group, Inc.
Comerica Incorporated
Deutsche Bank Trust Corporation
Discover Financial Services
Fifth Third Bancorp
The Goldman Sachs Group, Inc.
HSBC North America Holdings Inc.
Huntington Bancshares Incorporated
JPMorgan Chase & Co.
KeyCorp
M&T Bank Corporation
Morgan Stanley
MUFG Americas Holdings Corporation
Northern Trust Corporation
The PNC Financial Services Group, Inc.
Regions Financial Corporation
Santander Holdings USA, Inc.
State Street Corporation
SunTrust Banks, Inc.
TD Group US Holdings LLC
U.S. Bancorp
Wells Fargo & Company
Zions Bancorporation
Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital
ratios. The tables include the minimum ratios assuming the capital actions originally submitted in April 2017 by the bank holding companies (BHCs) in their annual capital plans
and the minimum ratios incorporating any adjustments to capital distributions made by BHCs after reviewing the Federal Reserve’s stress test projections and original planned
capital distributions for those BHCs that did not make adjustments. The minimum capital ratios are for the period 2017:Q1 to 2019:Q1 and do not necessarily occur in the same
quarter.
Source: Federal Reserve estimates in the severely adverse scenario.

February 2017

21

Table A.2. Projected minimum common equity tier 1 ratio in the adverse scenario, 2017:Q1–2019:Q1
Bank holding company

Stressed ratio with original
planned capital actions

Stressed ratio with adjusted
planned capital actions

Ally Financial Inc.
American Express Company
BancWest Corporation
Bank of America Corporation
The Bank of New York Mellon Corporation
BB&T Corporation
BBVA Compass Bancshares, Inc.
BMO Financial Corp.
Capital One Financial Corporation
CIT Group Inc.
Citigroup Inc.
Citizens Financial Group, Inc.
Comerica Incorporated
Deutsche Bank Trust Corporation
Discover Financial Services
Fifth Third Bancorp
The Goldman Sachs Group, Inc.
HSBC North America Holdings Inc.
Huntington Bancshares Incorporated
JPMorgan Chase & Co.
KeyCorp
M&T Bank Corporation
Morgan Stanley
MUFG Americas Holdings Corporation
Northern Trust Corporation
The PNC Financial Services Group, Inc.
Regions Financial Corporation
Santander Holdings USA, Inc.
State Street Corporation
SunTrust Banks, Inc.
TD Group US Holdings LLC
U.S. Bancorp
Wells Fargo & Company
Zions Bancorporation
Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital
ratios. The tables include the minimum ratios assuming the capital actions originally submitted in April 2017 by the bank holding companies (BHCs) in their annual capital plans
and the minimum ratios incorporating any adjustments to capital distributions made by BHCs after reviewing the Federal Reserve’s stress test projections and original planned
capital distributions for those BHCs that did not make adjustments. The minimum capital ratios are for the period 2017:Q1 to 2019:Q1 and do not necessarily occur in the same
quarter.
Source: Federal Reserve estimates in the adverse scenario.

22

CCAR 2017 Instructions

Table A.3. BHC XYZ, Inc.
Actual and minimum projected regulatory capital ratios, actual 2016:Q4 and projected
2017:Q1–2019:Q1
Federal Reserve estimates: Severely adverse scenario
Actual 2016:Q4 and projected capital ratios through 2019:Q1
Percent
Minimum stressed ratios
Regulatory ratio

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

Actual
2016:Q4

Original planned capital
actions

Adjusted planned capital
actions

n/a

Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital
ratios. The tables include the minimum ratios assuming the capital actions originally submitted in April 2017 by the bank holding companies (BHCs) in their annual capital plans
and the minimum ratios incorporating any adjustments to capital distributions made by BHCs after reviewing the Federal Reserve’s stress test projections and original planned
capital distributions for those BHCs that did not make adjustments. The minimum capital ratios are for the period 2017:Q1 to 2019:Q1 and do not necessarily occur in the same
quarter.
n/a Not applicable.

BHCs subject to the capital ratios below: American Express Company; Bank of America Corporation; The
Bank of New York Mellon Corporation; Capital One Financial Corporation; Citigroup Inc.; the Goldman
Sachs Group, Inc.; HSBC North America Holdings Inc.; JPMorgan Chase & Co.; Morgan Stanley; Northern
Trust Corporation; The PNC Financial Services Group, Inc.; State Street Corporation; TD Group US Holding LLC; U.S. Bancorp; and Wells Fargo & Company
Required minimum capital ratios for firms subject to the advanced approaches capital framework in CCAR 2017
Percent
Minimum ratio
Regulatory ratio

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

2017

2018–19

4.5
6.0
8.0
4.0
n/a

4.5
6.0
8.0
4.0
3.0

Note: All ratios are calculated in accordance with the transition arrangements provided in the Board's revised capital framework, issued in July 2013. Per recent technical
amendments to the stress test and capital plan rules, the use of the advanced approaches risk-weighted asset calculations is indefinitely delayed.
n/a Not applicable.

February 2017

23

BHCs subject to the capital ratios below: Ally Financial Inc.; BancWest Corporation; BB&T Corporation;
BBVA Compass Bancshares, Inc.; BMO Financial Corp.; CIT Group Inc.; Citizens Financial Group, Inc.;
Comerica Incorporated; Deutsche Bank Trust Corporation; Discover Financial Services; Fifth Third Bancorp;
Huntington Bancshares Incorporated; KeyCorp; M&T Bank Corporation; MUFG Americas Holdings Corporation; Regions Financial Corporation; Santander Holdings USA, Inc.; SunTrust Banks, Inc.; Zions
Bancorporation.
Required minimum capital ratios for firms not subject to the advanced approaches capital framework in CCAR 2017
Percent
Minimum ratio
Regulatory ratio

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio

2017

2018–19

4.5
6.0
8.0
4.0

4.5
6.0
8.0
4.0

Note: All ratios are calculated in accordance with the transition arrangements provided in the Board's revised capital framework, issued in July 2013. Per recent technical
amendments to the stress test and capital plan rules, the use of the advanced approaches risk-weighted asset calculations is indefinitely delayed.

24

CCAR 2017 Instructions

Table A.4. BHC XYZ, Inc.
Actual and minimum projected regulatory capital ratios, actual 2016:Q4 and projected
2017:Q1–2019:Q1
Federal Reserve estimates: Adverse scenario
Actual 2016:Q4 and projected capital ratios through 2019:Q1
Percent
Minimum stressed ratios
Regulatory ratio

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

Actual
2016:Q4

Original planned capital
actions

Adjusted planned capital
actions

n/a

Note: These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital
ratios. The tables include the minimum ratios assuming the capital actions originally submitted in April 2017 by the bank holding companies (BHCs) in their annual capital plans
and the minimum ratios incorporating any adjustments to capital distributions made by BHCs after reviewing the Federal Reserve’s stress test projections and original planned
capital distributions for those BHCs that did not make adjustments. The minimum capital ratios are for the period 2017:Q1 to 2019:Q1 and do not necessarily occur in the same
quarter.
n/a Not applicable.

BHCs subject to the capital ratios below: American Express Company; Bank of America Corporation; The
Bank of New York Mellon Corporation; Capital One Financial Corporation; Citigroup Inc.; the Goldman
Sachs Group, Inc.; HSBC North America Holdings Inc.; JPMorgan Chase & Co.; Morgan Stanley; Northern
Trust Corporation; The PNC Financial Services Group, Inc.; State Street Corporation; TD Group US Holding LLC; U.S. Bancorp; and Wells Fargo & Company.
Required minimum capital ratios for firms subject to the advanced approaches capital framework in CCAR 2017
Percent
Minimum ratio
Regulatory ratio

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

2017

2018–19

4.5
6.0
8.0
4.0
n/a

4.5
6.0
8.0
4.0
3.0

Note: All ratios are calculated in accordance with the transition arrangements provided in the Board's revised capital framework, issued in July 2013. Per recent technical
amendments to the stress test and capital plan rules, the use of the advanced approaches risk-weighted asset calculations is indefinitely delayed.
n/a Not applicable.

February 2017

25

BHCs subject to the capital ratios below: Ally Financial Inc.; BancWest Corporation; BB&T Corporation;
BBVA Compass Bancshares, Inc.; BMO Financial Corp.; CIT Group Inc.; Citizens Financial Group, Inc.;
Comerica Incorporated; Deutsche Bank Trust Corporation; Discover Financial Services; Fifth Third Bancorp;
Huntington Bancshares Incorporated; KeyCorp; M&T Bank Corporation; MUFG Americas Holdings Corporation; Regions Financial Corporation; Santander Holdings USA, Inc.; SunTrust Banks, Inc.; Zions
Bancorporation.
Required minimum capital ratios for firms not subject to the advanced approaches capital framework in CCAR 2017
Percent
Minimum ratio
Regulatory ratio

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio

2017

2018–19

4.5
6.0
8.0
4.0

4.5
6.0
8.0
4.0

Note: All ratios are calculated in accordance with the transition arrangements provided in the Board's revised capital framework, issued in July 2013. Per recent technical
amendments to the stress test and capital plan rules, the use of the advanced approaches risk-weighted asset calculations is indefinitely delayed.

27

Appendix B: Templates for Dodd-Frank Act
Stress Testing Results 2017

This appendix provides the format that the Federal Reserve will use to disclose the results of the supervisory
stress test in accordance with the Dodd-Frank Act stress test rules.
Tables begin on next page.

28

CCAR 2017 Instructions

Table B.1. Projected minimum common equity tier 1 ratio in the severely adverse scenario, 2017:Q1–2019:Q1:
All bank holding companies
Bank holding company

Stressed ratios with DFA stress testing
capital action assumptions

Ally Financial Inc.
American Express Company
BancWest Corporation
Bank of America Corporation
The Bank of New York Mellon Corporation
BB&T Corporation
BBVA Compass Bancshares, Inc.
BMO Financial Corp.
Capital One Financial Corporation
CIT Group Inc.
Citigroup Inc.
Citizens Financial Group, Inc.
Comerica Incorporated
Deutsche Bank Trust Corporation
Discover Financial Services
Fifth Third Bancorp
The Goldman Sachs Group, Inc.
HSBC North America Holdings Inc.
Huntington Bancshares Incorporated
JPMorgan Chase & Co.
KeyCorp
M&T Bank Corporation
Morgan Stanley
MUFG Americas Holdings Corporation
Northern Trust Corporation
The PNC Financial Services Group, Inc.
Regions Financial Corporation
Santander Holdings USA, Inc.
State Street Corporation
SunTrust Banks, Inc.
TD Group US Holdings LLC
U.S. Bancorp
Wells Fargo & Company
Zions Bancorporation
Note: The common equity tier 1 ratio is calculated using the definitions of capital and risk-weighted assets that are in effect during a particular planning horizon quarter. These
projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital ratios. The
minimum stressed ratios (%) are the lowest quarterly ratios from 2017:Q1 to 2019:Q1 under the severely adverse scenario.
Source: Federal Reserve estimates in the severely adverse scenario. Stressed ratios with Dodd-Frank Act capital action assumptions through 2019:Q1.

February 2017

29

Table B.2. Projected minimum common equity tier 1 ratio in the adverse scenario, 2017:Q1–2019:Q1:
All bank holding companies
Bank holding company

Stressed ratios with DFA stress testing
capital action assumptions

Ally Financial Inc.
American Express Company
BancWest Corporation
Bank of America Corporation
The Bank of New York Mellon Corporation
BB&T Corporation
BBVA Compass Bancshares, Inc.
BMO Financial Corp.
Capital One Financial Corporation
CIT Group Inc.
Citigroup Inc.
Citizens Financial Group, Inc.
Comerica Incorporated
Deutsche Bank Trust Corporation
Discover Financial Services
Fifth Third Bancorp
The Goldman Sachs Group, Inc.
HSBC North America Holdings Inc.
Huntington Bancshares Incorporated
JPMorgan Chase & Co.
KeyCorp
M&T Bank Corporation
Morgan Stanley
MUFG Americas Holdings Corporation
Northern Trust Corporation
The PNC Financial Services Group, Inc.
Regions Financial Corporation
Santander Holdings USA, Inc.
State Street Corporation
SunTrust Banks, Inc.
TD Group US Holdings LLC
U.S. Bancorp
Wells Fargo & Company
Zions Bancorporation
Note: The common equity tier 1 ratio is calculated using the definitions of capital and risk-weighted assets that are in effect during a particular planning horizon quarter. These
projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of capital ratios. The
minimum stressed ratios (%) are the lowest quarterly ratios from 2017:Q1 to 2019:Q1 under the adverse scenario.
Source: Federal Reserve estimates in the adverse scenario. Stressed ratios with Dodd-Frank Act capital action assumptions through 2019:Q1.

30

CCAR 2017 Instructions

Table B.3. BHC XYZ, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before
taxes, and loan losses
Federal Reserve estimates: Severely adverse scenario
Capital ratios, actual 2016:Q4 and projected
2017:Q1–2019:Q1

Risk-weighted assets, actual 2016:Q4 and projected
2019:Q1

Percent

Billions of dollars

Regulatory ratio

Actual
2016:Q4

Projected stressed capital
ratios1
Ending

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

Minimum

Projected loan losses, by type of loan, 2017:Q1–2019:Q1
Billions of
dollars

Portfolio loss
rates (percent)1

First-lien mortgages, domestic
Junior liens and HELOCs, domestic
Commercial and industrial2
Commercial real estate, domestic
Credit cards
Other consumer3
Other loans4
Total projected loan losses

3
4

Risk-weighted assets are calculated under the Basel III standardized capital
risk-based approach.

Projected losses, revenue, and net income before taxes
through 2019:Q1
Item
Pre-provision net revenue2
Other revenue3
less
Provisions
Realized losses/gains on securities (AFS/HTM)
Trading and counterparty losses4
Other losses/gains5
equals
Net income before taxes
Memo items
Other comprehensive income6
Other effects on capital
AOCI included in capital (billions of dollars)7
1
2

3

4

2

Projected
2019:Q1

n/a

The capital ratios are calculated using capital action assumptions provided
within the Dodd-Frank Act stress testing rule. These projections represent
hypothetical estimates that involve an economic outcome that is more adverse
than expected. These estimates are not forecasts of expected losses, revenues,
net income before taxes, or capital ratios. The minimum capital ratio presented
is for the period 2017:Q1 to 2019:Q1.
n/a Not applicable.

1

Actual
2016:Q4

Risk-weighted assets1
1

1

Loan type

Item

Average loan balances used to calculate portfolio loss rates exclude loans held
for sale and loans held for investment under the fair-value option, and are
calculated over nine quarters.
Commercial and industrial loans include small- and medium-enterprise loans
and corporate cards.
Other consumer loans include student loans and automobile loans.
Other loans include international real estate loans.

5

6

7

Billions of
dollars

Percent of
average assets1

Actual 2016:Q4

2019:Q1

Average assets is the nine-quarter average of total assets.
Pre-provision net revenue includes losses from operational-risk events,
mortgage repurchase expenses, and other real estate owned (OREO) costs.
Other revenue includes one-time income and (expense) items not included in
pre-provision net revenue.
Trading and counterparty losses include mark-to-market and credit valuation
adjustment (CVA) losses and losses arising from the counterparty default
scenario component applied to derivatives, securities lending, and repurchase
agreement activities.
Other losses/gains includes projected change in fair value of loans held for sale
and loans held for investment measured under the fair-value option, and
goodwill impairment losses.
Other comprehensive income is only calculated for advanced approaches
BHCs, and other BHCs that opt into advanced approaches treatment for AOCI.
Certain aspects of AOCI are subject to transition arrangements for inclusion in
projected regulatory capital. The transition arrangements are 60 percent
included in projected regulatory capital for 2016, 80 percent included in
projected regulatory capital for 2017, and 100 percent included in projected
regulatory capital for 2018.

February 2017

31

Table B.4. BHC XYZ, Inc.
Projected stressed capital ratios, risk-weighted assets, losses, revenues, net income before
taxes, and loan losses
Federal Reserve estimates: Adverse scenario
Capital ratios, actual 2016:Q4 and projected
2017:Q1–2019:Q1

Risk-weighted assets, actual 2016:Q4 and projected
2019:Q1

Percent

Billions of dollars

Regulatory ratio

Actual
2016:Q4

Projected stressed capital
ratios1
Ending

Common equity tier 1 capital ratio
Tier 1 risk-based capital ratio
Total risk-based capital ratio
Tier 1 leverage ratio
Supplementary leverage ratio

Minimum

Projected loan losses, by type of loan, 2017:Q1–2019:Q1
Billions of
dollars

Portfolio loss
rates (percent)1

First-lien mortgages, domestic
Junior liens and HELOCs, domestic
Commercial and industrial2
Commercial real estate, domestic
Credit cards
Other consumer3
Other loans4
Total projected loan losses

3
4

Risk-weighted assets are calculated under the Basel III standardized capital
risk-based approach.

Projected losses, revenue, and net income before taxes
through 2019:Q1
Item
Pre-provision net revenue2
Other revenue3
less
Provisions
Realized losses/gains on securities (AFS/HTM)
Trading and counterparty losses4
Other losses/gains5
equals
Net income before taxes
Memo items
Other comprehensive income6
Other effects on capital
AOCI included in capital (billions of dollars)7
1
2

3

4

2

Projected
2019:Q1

n/a

The capital ratios are calculated using capital action assumptions provided
within the Dodd-Frank Act stress testing rule. These projections represent
hypothetical estimates that involve an economic outcome that is more adverse
than expected. These estimates are not forecasts of expected losses, revenues,
net income before taxes, or capital ratios. The minimum capital ratio presented
is for the period 2017:Q1 to 2019:Q1.
n/a Not applicable.

1

Actual
2016:Q4

Risk-weighted assets1
1

1

Loan type

Item

Average loan balances used to calculate portfolio loss rates exclude loans held
for sale and loans held for investment under the fair-value option, and are
calculated over nine quarters.
Commercial and industrial loans include small- and medium-enterprise loans
and corporate cards.
Other consumer loans include student loans and automobile loans.
Other loans include international real estate loans.

5

6

7

Billions of
dollars

Percent of
average assets1

Actual 2016:Q4

2019:Q1

Average assets is the nine-quarter average of total assets.
Pre-provision net revenue includes losses from operational-risk events,
mortgage repurchase expenses, and other real estate owned (OREO) costs.
Other revenue includes one-time income and (expense) items not included in
pre-provision net revenue.
Trading and counterparty losses include mark-to-market and credit valuation
adjustment (CVA) losses and losses arising from the counterparty default
scenario component applied to derivatives, securities lending, and repurchase
agreement activities.
Other losses/gains includes projected change in fair value of loans held for sale
and loans held for investment measured under the fair-value option, and
goodwill impairment losses.
Other comprehensive income is only calculated for advanced approaches
BHCs, and other BHCs that opt into advanced approaches treatment for AOCI.
Certain aspects of AOCI are subject to transition arrangements for inclusion in
projected regulatory capital. The transition arrangements are 60 percent
included in projected regulatory capital for 2016, 80 percent included in
projected regulatory capital for 2017, and 100 percent included in projected
regulatory capital for 2018.

33

Appendix C: Organizing Capital Plan
Submissions

When submitting materials to the secure collaboration site, BHCs may categorize each component in order to
facilitate identification and review of relevant documentation. Table C.1 shows the categorization system that
may be used for submissions to the secure collaboration site.
Table C.1. Capital plan submission categorization scheme
Submission type
(REQUIRED)
Capital plan narrative

Supporting documents (capital plan & FR Y-14)

FR Y-14 schedule (OFFICIAL TEMPLATES)3

1
2
3

Submission subtype
(REQUIRED)
Complete narrative
Capital plan
Capital policy
Planned capital actions
Capital adequacy process
Risk-identification program overview
BHC scenario design process overview
Material business plan changes
Assumptions - limitations - weaknesses
Governance framework
Summary of audit findings
Other (please define)
Policies and procedures
Methodology inventory mapped to Y-14A
Methodology and process overview
Model technical document
Model validation
Audit report
Results finalize & challenge materials
Cons pro forma financials methodology
Contact list
Other (please define)2
Y-14A - Sch A - Summary
Y-14A - Sch B - Scenario
Y-14A - Sch C - Reg cap instruments
Y-14A - Sch D - Reg cap transitions
Y-14A - Sch E - Ops risk
Y-14A - Sch F - Business plan changes
Y-14Q - Sch A - Retail
Y-14Q - Sch B - Securities
Y-14Q - Sch C - Reg cap instruments
Y-14Q - Sch D - Reg cap transitions
Y-14Q - Sch E - Ops risk
Y-14Q - Sch F - Trading
Y-14Q - Sch G - PPNR
Y-14Q - Sch H - Wholesale
Y-14Q - Sch I - MSR valuation
Y-14Q - Sch J - FVO/HFS
Y-14Q - Sch K - Supplemental
Y-14Q - Sch L - Counterparty
Y-14Q - Sch M - Balances

See FR Y-14A Instructions, Appendix A: Supporting Documentation.
If BHC selects “Other,” it will be prompted to provide a description of the submission.
These will be additional submission categories for special collections in CCAR 2017.

Supporting materials only
Comment (OPTIONAL)1

Topic (REQUIRED)

General
Wholesale
Retail
Operational risk
Securities
Trading
Counterparty
PPNR - balance sheet - RWA
Regulatory capital

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CCAR 2017 Instructions

Capital Plan Narrative
This section outlines, as an illustrative example, a
potential organizational structure for a BHC’s capital plan narrative. Components of this structure that
reflect one of the four mandatory elements of a capital plan under the capital plan rule are noted (see the
section “Mandatory Elements of a Capital Plan” on
page 5 for more information).
• Capital plan—provides a summary of the BHC’s
capital plan and the pro forma financial results
under the different scenarios evaluated as part of
the capital planning process. The document should
summarize the BHC’s proposed capital actions, the
various scenarios used in the capital planning process, the key risks and drivers of financial performance under each scenario, key assumptions, and
other relevant information.
• Capital policies—provides the BHC’s policies outlining the principles and guidelines used for capital
planning, capital issuance, usage, and distributions
(mandatory element 3).
• Planned capital actions—provides (1) a description
of all planned capital actions over the planning
horizon and (2) a summary of all capital actions by
instrument quarterly over the nine-quarter path,
which should align with the capital actions
included in the FR Y-14A Summary and Regulatory Capital Instruments schedules (mandatory
element 1(d)). (See “Description of All Capital
Actions Assumed over the Planning Horizon” on
page 8.)
• Capital planning process—provides a detailed
description of the BHC’s process for assessing
capital adequacy, including key assumptions and
limitations (mandatory element 2).
• Risk-identification program overview—describes the
risk-identification process the BHC uses to support the BHC-wide stress testing required in the
capital plans and how these risks are captured in
the BHC’s capital planning process.
• BHC scenario design process overview—describes
the BHC’s process and approach to developing the
BHC baseline and BHC stress scenarios, including
all methodologies, variables, and key assumptions,
and how the BHC stress scenarios address the
BHC’s particular vulnerabilities. (See “BHC
Scenarios” on page 8.)
• Material business plan changes—provides a discussion of any expected changes to the BHC’s busi-

ness plan that are likely to have a material impact
on the BHC’s capital adequacy and funding profile
(e.g., a proposed merger, acquisition, or divestiture; changes in key business strategies; or significant investments) (mandatory element 4).
• Summary of assumptions, limitations, and weaknesses—provides credible support for all assumptions used to derive loss estimates, including
assumptions related to the components of loss,
severity of loss, and any known weaknesses in the
translation of assumptions into loss estimates.
• Governance framework—describes internal governance around the development of the BHC’s comprehensive capital plan. Documentation should
demonstrate that senior management has provided
the board of directors with sufficient information
to facilitate the board’s full understanding of stress
testing used by the firm for capital planning
purposes.
• Summary of audit findings—provides a summary
of the most recent findings and conclusions from a
review of the BHC’s capital planning process carried out by internal audit or an independent party.
In the discussion, the BHC should describe the
scope of audit work and specifically identify any
areas of the end-to-end capital planning process
that have not been independently reviewed.
If the BHC chooses to organize its capital plan narrative in the format set forth above, the capital plan
narrative elements may be submitted as one large
file, as individual files, or as several files that combine various elements. When uploading these documents to the secure collaboration site, a BHC should
follow these instructions:
1. For document type, categorize all documents as
“Capital plan narrative.”
2. For document subtype, please choose the appropriate category from the list below based on the
descriptions above.
• Document subtype categories: (1) Complete
narrative, (2) Capital plan summary, (3) Capital
policy, (4) Planned capital actions, (5) Capital
planning process, (6) Risk-identification and
risk inventory, (7) BHC scenario design process
overview, (8) Material business plan changes,
(9) Assumptions – limitations – weaknesses,
(10) Governance framework, (11) Summary of
audit findings, and (12) Other.

February 2017

—If the entire capital plan narrative (i.e., all
elements above) is in one file, please choose
“Complete narrative.”

• Methodology documentation—Methodology documentation should include, at a minimum, the following documents:51
—Methodology and process overview—describes
key methodologies and assumptions for performing stress testing on the BHC’s portfolios,
business, and performance drivers. Documentation should clearly describe the modeldevelopment process, the derivation of outcomes, and validation procedures, as well as
assumptions concerning the evolution of balance sheet and risk-weighted assets under the
scenarios, changing business strategies, and
other impacts to a BHC’s risk profile. Supporting documentation should clearly describe any
known model weaknesses and how such information is factored into the capital plan.52

—If combining some of the elements above
into one file, please choose “Other” and provide a description of the supporting document in the “Other – defined” field.
—If supporting documentation does not fit
one of the defined elements above, please
choose “Other” and provide a description of
the supporting document in the “Other –
defined” field.

Capital Plan and
FR Y-14A Supporting
Documentation

—Model technical documents—BHCs should
include thorough documentation in their capital
plan submissions that describes and makes
transparent key methodologies and assumptions
for performing stress testing on the BHC’s portfolios. In particular, the design, theory, and logic
underlying the methodology should be welldocumented and generally supported by published research and sound industry practice.53

This section outlines, as an illustrative example, a
potential organizational structure for the required
documentation that each BHC must submit through
the collaboration site to support the capital plan and
the FR Y-14A schedules. All model and methodology documentation described below should be organized by the following work streams: retail, wholesale, fair value option and held-for-sale loans, securities, trading, counterparty, operational risk, preprovision net revenue (PPNR), mortgage-servicing
rights (MSR), and regulatory capital transitions.
This supporting documentation also addresses mandatory element 1 under the capital plan rule.

—Model validation—Models employed by BHCs
(either developed internally or supplied by a vendor) should be independently validated or otherwise reviewed in line with model risk management expectations presented in existing supervisory guidance, including SR letter 11-7 and SR
letter 15-18. Institutions should provide model
validation documentation developed in accordance with their internal policies and consistent
with supervisory expectations. (See appendix A
of the FR Y-14A Instructions.)

• Policies and procedures—all policies and procedures related to the capital planning process,
including the BHC’s model risk management
policy. (See the FR Y-14A Instructions and SR letter 15-18 for specific supervisory expectations for a
model risk management policy.)
• Methodology and model inventory mapping to
FR Y-14A—provides an inventory of all models
and methodologies used to estimate losses, revenues, expenses, balances, and risk-weighted assets
and the status of validation/independent review for
each. As required by the FR Y-14A Instructions,
documentation should also include mapping that
clearly conveys the methodology used for each
FR Y-14A product line under each stress scenario.

35

—Audit reports—BHCs should submit audit
reports from their internal audit of the capital
planning process including reviews of the models and methodologies used in the process. (See
appendix A of the FR Y-14A Instructions.)
51

52
53

See appendix A of Capital Assessment and Stress testing information collection (FR Y-14A) (OMB No. 7100-0341).
Ibid.
Ibid.

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CCAR 2017 Instructions

—Results finalization and challenge materials—
BHCs should ensure that they have sound processes for review, challenge, and aggregation of
estimates used in their capital planning processes. This category would be used to provide
any documentation relating to the review, challenge, and aggregation processes and the finalization of results that ensures transparency and
repeatability. (See appendix A of the FR Y-14A
Instructions.)
Methodology documentation should be provided in
accordance with the supporting documentation
requirements outlined in the appendix of the
FRY-14A Instructions as follows:
• Retail—See A.2 in the appendix.
• Wholesale—See A.3 in the appendix.
• Fair value option and held-for-sale loans—See A.4
in the appendix.
• AFS/HTM Securities—See A.5 in the appendix.
• Trading—See A.6 in the appendix.
• Counterparty credit risk—See A.7 in the appendix.
• Operational risk—See A.8 in the appendix.
• PPNR—See A.9 in the appendix.
• MSR—See A.10 in the appendix.
• Regulatory capital transitions—See Schedule D in
the appendix.
• Consolidated pro forma financials methodology—
describes (1) how the various balance sheet and
income statement line items were developed and
reported, (2) the specific assumptions used to calculate regulatory capital, including a discussion of
any proposed capital distributions, and (3) any
other information necessary to understand the
BHC’s capital calculations (e.g., calculations
related to the projections of the deferred tax asset
or servicing assets that may be disallowed for regulatory capital purposes). Methodology documentation should be provided in accordance with the
supporting documentation requirements outlined
in A.1 of the appendix of the FR Y14A Instructions for the Income Statement, Balance Sheet, and Capital worksheets.
If a BHC chooses to organize its capital plan and
FR Y-14A supporting documentation in the format
set forth above, the BHC should consider the
following:

1. For document type, categorize all supporting
documents as “Supporting materials.”
• A BHC should not categorize any FR Y-14
supporting documentation as “FR Y-14 Schedule.” That category is for FR Y-14 schedules
only—that is, Excel or XML files only.
2. For document subtype, choose the appropriate
category from the list below based on the descriptions above.
• Document subtype categories: (1) Policies and
procedures, (2) Methodology inventory
mapped to FR Y-14A, (3) Methodology and
process overview, (4) Model technical documents, (5) Model validation, (6) Audit reports,
(7) Results finalize & challenge materials,
(8) Cons pro forma financials methodology,
and (9) Other
—If a BHC has combined some of the elements above into one file, choose “Other”
and provide a description of the supporting
document in the “Other –defined” field.
—If a BHC has other supporting documentation that does not fit one of the defined elements above, choose “Other” and provide a
description of the supporting document in
the “Other – defined” field.
3. In the “Comment” field, provide the information
described in the appendix of the FR Y-14A
Instructions for each supporting document.
4. For the work stream, choose the appropriate category from the list below.
• Work stream categories: (1) General, (2) Wholesale, (3) Retail, (4) Operational risk, (5) Securities, (6) Trading, (7) Counterparty, (8) PPNR –
balance sheet – RWA, and (9) Regulatory
capital.
—All supporting documentation should be categorized by one of the specific work-stream
categories above. The “General” category
should only be used for (1) policies and procedures that are not related to a specific
work stream, (2) the model/methodology
inventory, (3) consolidated pro forma financials methodology, and (4) any documentation on results finalization and the challenge
process that are not work-stream specific.

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