2017 Supervisory Scenarios for Annual Stress Tests Required under the Dodd-Frank Act Stress Testing Rules and the Capital Plan Rule

2017 Supervisory Scenarios for
Annual Stress Tests Required under
the Dodd-Frank Act Stress Testing
Rules and the Capital Plan Rule
February 10, 2017

BOARD

OF

GOVERNORS

OF THE

FEDERAL RESERVE SYSTEM

2017 Supervisory Scenarios for
Annual Stress Tests Required under
the Dodd-Frank Act Stress Testing
Rules and the Capital Plan Rule
February 10, 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.
To order copies of Federal Reserve Board publications offered in print,
see the Board’s Publication Order Form (www.federalreserve.gov/pubs/orderform.pdf)
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(e-mail) [email protected]

iii

Errata
The Federal Reserve revised this paper on February 10, 2017. The revisions reflect a correction to the
historical values for the BBB corporate yield. This
correction resulted in adjustments to the paths of the
BBB corporate yield in the baseline, adverse, and
severely adverse scenarios, which also affect the scenario text and tables. The notes on the sources for
certain historical data were also revised. The revisions
are listed below.

• BBB corporate yield, Q1 2018 has been revised
from 4.9 to 4.7.

Revisions to the scenario text:

• BBB corporate yield, Q1 2019 has been revised
from 5.2 to 5.1.

• On page 4, the original text said that spreads
between investment-grade corporate bond yields
and 10-year Treasury yields widen to a little above
4 percentage points. That spread has been revised
to about 3¾ percentage points.
• On page 5, the original text said that the spread
between yields on investment-grade corporate
bonds and yields on long-term Treasury securities
widen to about 5¾ percentage points. That spread
has been revised to a spread of about 5½ percentage points.
Revisions to the scenario tables:
On page 10, under Table 1.A. Historical data:
Domestic variables, Q1:2000–Q4:2016, continued:
• BBB corporate yield, Q1 2016 has been revised
from 5.1 to 4.6.
• BBB corporate yield, Q2 2016 has been revised
from 4.3 to 4.1.
• BBB corporate yield, Q3 2016 has been revised
from 4.4 to 3.7.
• BBB corporate yield, Q4 2016 has been revised
from 4.5 to 4.1.

• BBB corporate yield, Q2 2018 has been revised
from 5.0 to 4.8.
• BBB corporate yield, Q3 2018 has been revised
from 5.1 to 4.9.
• BBB corporate yield, Q4 2018 has been revised
from 5.1 to 5.0.

• BBB corporate yield, Q2 2019 has been revised
from 5.2 to 5.1.
• BBB corporate yield, Q3 2019 has been revised
from 5.3 to 5.2.
• BBB corporate yield, Q4 2019 has been revised
from 5.3 to 5.2.
• BBB corporate yield, Q1 2020 has been revised
from 5.3 to 5.2.
On page 14, under Table 3.A. Supervisory adverse
scenario: Domestic variables, Q1:2017–Q1:2020:
• BBB corporate yield, Q1 2017 has been revised
from 6.1 to 5.6.
• BBB corporate yield, Q2 2017 has been revised
from 6.4 to 5.9.
• BBB corporate yield, Q3 2017 has been revised
from 6.5 to 6.1.
• BBB corporate yield, Q4 2017 has been revised
from 6.6 to 6.2.
• BBB corporate yield, Q1 2018 has been revised
from 6.4 to 6.0.
• BBB corporate yield, Q2 2018 has been revised
from 6.3 to 5.8.

On page 13, under Table 2.A. Supervisory baseline
scenario: Domestic variables, Q1:2017–Q1:2020:

• BBB corporate yield, Q3 2018 has been revised
from 6.1 to 5.6.

• BBB corporate yield, Q1 2017 has been revised
from 4.7 to 4.2.

• BBB corporate yield, Q4 2018 has been revised
from 5.9 to 5.4.

• BBB corporate yield, Q2 2017 has been revised
from 4.7 to 4.4.

• BBB corporate yield, Q1 2019 has been revised
from 5.6 to 5.2.

• BBB corporate yield, Q3 2017 has been revised
from 4.8 to 4.5.

• BBB corporate yield, Q2 2019 has been revised
from 5.4 to 5.0.

• BBB corporate yield, Q4 2017 has been revised
from 4.9 to 4.6.

• BBB corporate yield, Q3 2019 has been revised
from 5.3 to 4.8.

iv

• BBB corporate yield, Q4 2019 has been revised
from 5.1 to 4.7.

• BBB corporate yield, Q3 2019 has been revised
from 4.5 to 4.0.

• BBB corporate yield, Q1 2020 has been revised
from 5.0 to 4.5.

• BBB corporate yield, Q4 2019 has been revised
from 4.2 to 3.8.

On page 15, under Table 4.A. Supervisory severely
adverse scenario: Domestic variables,
Q1:2017–Q1:2020:
• BBB corporate yield, Q1 2017 has been revised
from 5.9 to 5.5.
• BBB corporate yield, Q2 2017 has been revised
from 6.4 to 6.0.
• BBB corporate yield, Q3 2017 has been revised
from 6.7 to 6.3.
• BBB corporate yield, Q4 2017 has been revised
from 6.9 to 6.4.
• BBB corporate yield, Q1 2018 has been revised
from 6.5 to 6.1.
• BBB corporate yield, Q2 2018 has been revised
from 6.2 to 5.7.
• BBB corporate yield, Q3 2018 has been revised
from 5.8 to 5.4.
• BBB corporate yield, Q4 2018 has been revised
from 5.5 to 5.0.
• BBB corporate yield, Q1 2019 has been revised
from 5.1 to 4.7.
• BBB corporate yield, Q2 2019 has been revised
from 4.7 to 4.3.

• BBB corporate yield, Q1 2020 has been revised
from 4.0 to 3.6.
Revisions to Notes Regarding Scenario Variables:
• On page 16, the note on U.S. real disposable income
growth incorrectly referred to NIPA Table 1.2. It
now refers to NIPA Table 2.1.
• On page 16, the note on U.S. nominal disposable
income growth incorrectly referred to NIPA
Table 1.2. It now refers to NIPA Table 2.1.
• On page 16, the note on U.S. mortgage rate omitted
to reference additional staff calculations and other
sources.
• On page 17, the note on Japan inflation omitted to
reference additional staff calculations.
• On page 17, the note on U.K. inflation omitted to
reference additional staff calculations.
• On page 17, the note on the exchange rates incorrectly characterized the transformation from daily
to quarterly frequency. The exchange rates are endof-quarter rates, not quarterly averages of daily
rates. The same note incorrectly characterized the
source of the exchange rates. The source is the H.10
Release, Foreign Exchange Rates, Federal Reserve
Board, not Bloomberg.

v

Contents

Introduction ............................................................................................................................... 1
Supervisory Scenarios

............................................................................................................ 3
Baseline, Adverse, and Severely Adverse Scenarios ..................................................................... 3

Global Market Shock Components for Supervisory Adverse and Severely Adverse
Scenarios ........................................................................................................................... 6
Counterparty Default Component for Supervisory Adverse and Severely Adverse
Scenarios ........................................................................................................................... 7

Variables for the Supervisory Scenarios

........................................................................... 9

1

Introduction

The Dodd-Frank Wall Street Reform and Consumer
Protection Act requires the Board of Governors of
the Federal Reserve System (Board) to conduct an
annual supervisory stress test of bank holding companies (BHCs) with $50 billion or greater in total
consolidated assets (large BHCs), and to require
BHCs and state member banks with total consolidated assets of more than $10 billion to conduct
company-run stress tests at least once a year.1 This
publication describes the three supervisory scenarios—baseline, adverse, and severely adverse—that

the Board will use in its supervisory stress test for
this stress test cycle; that a BHC or state member
bank must use in conducting its annual company-run
stress test; and that a large BHC must use to estimate
projected revenues, losses, reserves, and pro forma
capital levels as part of its 2017 capital plan submission.2 The publication also details additional
components that certain BHCs will be required to
incorporate into the supervisory scenarios—the
global market shock component and the counterparty default component.

1

2

12 U.S.C. 5365(i).

See 12 CFR 252.14(b), 12 CFR 252.54(b), and 12 CFR 225.8.

3

Supervisory Scenarios

The adverse and severely adverse scenarios describe
hypothetical sets of conditions designed to assess the
strength of banking organizations and their resilience
to adverse economic environments. The baseline scenario follows a profile similar to the average projections from a survey of economic forecasters. The
scenarios are not forecasts of the Federal Reserve.3
The scenarios start in the first quarter of 2017 and
extend through the first quarter of 2020. Each scenario includes 28 variables; this set of variables is the
same as the set provided in last year’s supervisory
scenarios. The variables describing economic developments within the United States include:
• Six measures of economic activity and prices: percent changes (at an annual rate) in real and nominal gross domestic product (GDP); the unemployment rate of the civilian non-institutional population aged 16 years and over; percent changes (at an
annual rate) in real and nominal disposable personal income; and the percent change (at an annual
rate) in the consumer price index (CPI);
• Four aggregate measures of asset prices or financial
conditions: indexes of house prices, commercial real
estate prices, equity prices, and U.S. stock market
volatility; and
• Six measures of interest rates: the rate on the
3-month Treasury bill; the yield on the 5-year
Treasury bond; the yield on the 10-year Treasury
bond; the yield on a 10-year BBB corporate security; the interest rate associated with a conforming,
conventional, 30-year fixed-rate mortgage; and the
prime rate.

GDP, the percent change (at an annual rate) in the
CPI or local equivalent, and the level of the U.S.
dollar exchange rate.
• The four countries or country blocks included: the
euro area (the 19 European Union member states
that have adopted the euro as their common currency), the United Kingdom, developing Asia (the
nominal GDP-weighted aggregate of China, India,
South Korea, Hong Kong Special Administrative
Region, and Taiwan), and Japan.

Baseline, Adverse, and Severely
Adverse Scenarios
The following sections describe the baseline scenario,
the adverse scenario, and the severely adverse scenario. The variables included in these scenarios are
provided in tables at the end of this document. They
can also be downloaded as a spreadsheet (together
with the historical time series of the variables) from
the Board’s website, at www.federalreserve.gov/
bankinforeg/ccar-2017.htm#data. Historical data for
the domestic and the international variables are
reported in Tables 1A and 1B, respectively.

Baseline Scenario
The baseline outlook for U.S. real activity, inflation,
and interest rates (see Table 2A) is similar to the
January 2017 consensus projections from Blue Chip
Economic Indicators.4 This scenario does not represent the forecast of the Federal Reserve.

• The three variables for each country or country
block: the percent change (at an annual rate) in real

The baseline scenario for the United States is a moderate economic expansion through the projection
period. Real GDP grows on average about 2¼ percent per year, with a slightly faster pace of growth
over the first half of the scenario period. The unemployment rate initially declines from around 4¾ percent at the start of the scenario period to slightly

3

4

The variables describing international economic conditions in each scenario include three variables in
four countries or country blocks:

For more on the Federal Reserve’s framework for designing scenarios for stress testing, see 12 CFR 252, appendix A.

See Wolters Kluwer Legal and Regulatory Solutions (2017),
“Blue Chip Economic Indicators,” vol. 42, no. 1 (January 10).

4

Federal Reserve Supervisory Scenarios

under 4½ percent in the fourth quarter of 2018. It
subsequently rises slightly above that level through
the rest of the scenario period. CPI inflation moves
to a little under 2½ percent at an annual rate by the
end of 2018, before dropping back to about 2¼ percent and remaining near that level through the end of
the scenario period.
Accompanying the moderate economic expansion,
Treasury yields are assumed to rise steadily across
the maturity spectrum through the scenario period.
Short-term Treasury rates increase from ½ percent at
the beginning of 2017 to about 2¼ percent by the
beginning of 2019, while yields on 10-year Treasury
securities rise from 2¼ percent to a little more than
3¼ percent over the same period. The prime rate
increases in line with short-term Treasury rates and
mortgage rates rise in line with long-term Treasury
yields. Reflecting steady growth and stable economic
conditions, spreads between yields on investmentgrade corporate bonds and yields on long-term
Treasury securities narrow modestly over the scenario period. Equity prices rise by an average of
about 5 percent per year and equity market volatility
is assumed to remain near its historical average level.
Nominal house prices rise by an average of 2¾ percent per year and commercial real estate prices rise
by an average of 4¼ percent per year.
The outlook for the international variables (see
Table 2B) is similar to that reported in the January 2017 Blue Chip Economic Indicators and the
International Monetary Fund’s October 2016 World
Economic Outlook.5 The baseline scenario features
an expansion in international economic activity,
albeit one that proceeds at different rates in the four
countries or country blocks under consideration.
Real GDP growth in developing Asia averages about
6 percent per year over the scenario period; real
GDP growth in both the euro area and the United
Kingdom averages about 1½ percent per year; and
real GDP growth in Japan averages ¾ percent
per year.

Adverse Scenario
The adverse scenario is characterized by weakening
economic activity across all of the economies
included in the scenario. This economic downturn is
accompanied by a global aversion to long-term

5

See International Monetary Fund (2016), “World Economic
Outlook,” www.imf.org/external/pubs/ft/weo/2016/02.

fixed-income assets that, despite lower short rates,
brings about a near-term rise in long-term rates and
steepening yield curves in the United States and the
four countries/country blocks in the scenario. It is
important to note that this is a hypothetical scenario
designed to assess the strength of banking organizations and their resilience to adverse economic conditions. This scenario does not represent a forecast of
the Federal Reserve.
In the adverse scenario, the U.S. economy experiences a moderate recession that begins in the first
quarter of 2017 (see Table 3A). Real GDP falls
slightly more than 2 percent from the pre-recession
peak in the fourth quarter of 2016 to the recession
trough in the first quarter of 2018, while the unemployment rate rises steadily, peaking at about 7¼ percent in the third quarter of 2018. The U.S. recession
is accompanied by an initial fall in inflation through
the third quarter of 2017, with the rate of increase in
consumer prices then rising steadily and reaching
2 percent by the middle of 2018.
Reflecting weak economic conditions, short-term
interest rates in the United States fall and remain
near zero for the rest of the scenario period. With
the increase in term premiums, 10-year Treasury
yields gradually rise to a little less than 2¾ percent
by the second half of 2018. Financial conditions
tighten for corporations and households during the
recession. Spreads between investment-grade corporate bond yields and 10-year Treasury yields widen
to about 3¾ percentage points by the end of 2017,
while spreads between mortgage rates and 10-year
Treasury yields widen to about 2½ percentage points
over the same period.
Asset prices decline in the adverse scenario. Equity
prices fall approximately 40 percent through the
fourth quarter of 2017, accompanied by a rise in
equity market volatility. Aggregate house prices and
commercial real estate prices experience less sizable
but more sustained declines compared to equity
prices; house prices fall 12 percent through the first
quarter of 2019 and commercial real estate prices fall
15 percent through the fourth quarter of 2018.
Following the recession in the United States, real
activity picks up slowly at first and then gains
momentum; growth in real U.S. GDP accelerates
from an increase of 1 percent at an annual rate in the
second quarter of 2018 to an increase of 3 percent at
an annual rate by the middle of 2019. The unemployment rate declines modestly, from its peak of about

February 10, 2017

7¼ percent in the third quarter of 2018 to under
7 percent by the end of the scenario period. Consumer price inflation remains at roughly 2 percent
from the middle of 2018 through the end of the scenario period. Ten-year Treasury yields show little
change after the second half of 2018 and remain
around 2¾ percent.

5

the past several years. Declines in prices of U.S.
housing and commercial real estate should also be
assumed to be representative of risks to house prices
and commercial real estate prices in foreign regions
and economies that have experienced rapid price
gains over the past several years.

Severely Adverse Scenario
Outside of the United States, the adverse scenario
features recessions in the euro area, the United Kingdom, and Japan, as well as below-trend growth in
developing Asia (see Table 3B). The declines in activity in the euro area and the United Kingdom are
broadly similar and less pronounced than in Japan.
Weakness in global demand results in a slowing in
inflation in all of the foreign economies under consideration. Japan experiences outright deflation
through the first quarter of 2019. Reflecting flightto-safety capital flows, the U.S. dollar appreciates
against the euro, the pound sterling, and the currencies of developing Asia. The dollar depreciates modestly against the yen, also in line with flight-to-safety
capital flows.
Comparison of 2016 Adverse Scenario and
2017 Adverse Scenario
The main difference relative to the 2016 adverse scenario is that this year’s adverse scenario features
higher long-term rates and a steeper yield curve
across all of the economies during the recession.
Another difference from last year’s scenario is the
incidence and extent of deflationary episodes. The
2016 adverse scenario featured wide-spread deflation
across all of the economies included in the scenario.
In this year’s adverse scenario, deflation is regionally
concentrated—more pronounced in Japan, less
severe in the euro area and developing Asia, and
absent in the United Kingdom and United States.
Additional Key Features of the Adverse
Scenario
As in last year’s adverse scenario, the slowdown in
euro area economic activity reflects a broad-based
contraction in euro area demand, not a contraction
that is concentrated in a few specific economies.
Similarly, the slowdown in developing Asia reflects a
weakening in economic conditions across emerging
market economies, not merely a weakening in Asiaspecific conditions. Declines in aggregate U.S. residential real estate prices and commercial real estate
prices should be assumed to be concentrated in
regions that have experienced rapid price gains over

The severely adverse scenario is characterized by a
severe global recession that is accompanied by a
period of heightened stress in corporate loan markets and commercial real estate markets. It is important to note that this is a hypothetical scenario
designed to assess the strength of banking organizations and their resilience to unfavorable economic
conditions. This scenario does not represent a forecast of the Federal Reserve.6
In this scenario, the level of U.S. real GDP begins to
decline in the first quarter of 2017 and reaches a
trough in the second quarter of 2018 that is about
6½ percent below the pre-recession peak (see
Table 4A). The unemployment rate increases by
about 5¼ percentage points, to 10 percent, by the
third quarter of 2018. Headline consumer price
inflation falls to about 1¼ percent at an annual rate
by the second quarter of 2017 and then rises to
about 1¾ percent at an annual rate by the middle
of 2018.
As a result of the severe decline in real activity,
short-term Treasury rates fall and remain near zero
through the end of the scenario period. The 10-year
Treasury yield drops to ¾ percent in the first quarter
of 2017, rising gradually thereafter to around
1½ percent by the first quarter of 2019 and to about
1¾ percent by the first quarter of 2020. Financial
conditions in corporate and real estate lending markets are stressed severely. The spread between yields
on investment-grade corporate bonds and yields on
long-term Treasury securities widens to about
5½ percentage points by the end of 2017, an increase
of 3½ percentage points relative to the fourth quarter of 2016. The spread between mortgage rates and
10-year Treasury yields widens to over 3½ percentage points over the same time period.

6

The set of hypothetical conditions in the severely adverse scenario is distinct from the set of hypothetical conditions in the
adverse scenario, unless otherwise noted.

6

Federal Reserve Supervisory Scenarios

Asset prices drop sharply in this scenario. Equity
prices fall by 50 percent through the end of 2017,
accompanied by a surge in equity market volatility,
which approaches the levels attained in 2008. House
prices and commercial real estate prices also experience large declines, with house prices and commercial real estate prices falling by 25 percent and 35 percent, respectively, through the first quarter of 2019.
The international component of this scenario features severe recessions in the euro area, the United
Kingdom, and Japan and a marked growth slowdown in developing Asia (see Table 4B). As a result
of the sharp contraction in economic activity, all foreign economies included in the scenario experience a
decline in consumer prices. As in this year’s adverse
scenario, the U.S. dollar appreciates against the euro,
the pound sterling, and the currencies of developing
Asia but depreciates modestly against the yen
because of flight-to-safety capital flows.
Comparison of 2016 Severely Adverse
Scenario and 2017 Severely Adverse Scenario
This year’s severely adverse scenario features a
slightly more severe downturn in the U.S. economy
as compared to last year’s scenario. Under this
framework, the unemployment rate in the severely
adverse scenario will reach a peak of at least 10 percent, which leads to a progressively greater increase
in the unemployment rate if the starting unemployment rate is below 6 percent. Furthermore, this
year’s scenario does not feature a path of negative
short-term U.S. Treasury rates that was featured in
last year’s scenario. In addition, this year’s severely
adverse scenario features a larger decline in commercial real estate prices. The international dimension of
the scenarios shows recessionary episodes that, relative to last year’s scenario, are more severe in the
euro area and United Kingdom but less severe in
developing Asia.

conditions in developing Asia should be assumed to
be representative of conditions across emerging market economies.
Declines in aggregate U.S. commercial and residential real estate prices should be assumed to be concentrated in regions and property types that have
experienced rapid price gains over the past several
years. In particular, given that prices of multifamily
properties have risen rapidly in recent years, they
should be assumed to decline by more than the CRE
index. Declines in prices of U.S. housing and commercial real estate should also be assumed to be representative of risks to house prices and commercial
real estate prices in foreign regions and economies,
particularly where real estate prices have been growing at a fast pace. Spreads on commercial mortgagebacked securities (CMBS) widen to attain the same
peaks reached in the 2007–2009 recession.

Global Market Shock Components
for Supervisory Adverse and Severely
Adverse Scenarios
The global market shock is a set of instantaneous,
hypothetical shocks to a large set of risk factors.
Generally, these shocks involve large and sudden
changes in asset prices, interest rates, and spreads,
reflecting general market distress and heightened
uncertainty.7 BHCs with significant trading activity
will be required to include the global market shock
as part of their supervisory adverse and severely
adverse scenarios.8 In addition, as discussed below,
certain large and highly interconnected BHCs must
apply the same global market shock to their counterparty exposures to project losses under the counterparty default scenario component. The as-of date for
the global market shock is January 3, 2017.9
7

Additional Key Features of the Severely
Adverse Scenario
As in the adverse scenario, the weakness in euro area
economic conditions reflects a broad-based contraction in euro area demand, although this contraction
should be assumed to be more protracted in countries with less room for fiscal policy intervention.
The sharp slowdown in developing Asia is distributed unevenly across countries, with decelerations
more pronounced in the larger economies. Economic

8

9

The global market shock components consist of shocks to a
large number of risk factors that include a wide range of financial market variables that affect asset prices, such as a credit
spread or the yield on a bond, and also include, in some cases,
shocks to the value of the position itself (for example, the market value of private-equity positions).
For this cycle, six BHCs are subject to the global market shock
components: Bank of America Corporation; Citigroup Inc.;
The Goldman Sachs Group, Inc.; JPMorgan Chase & Co.;
Morgan Stanley; and Wells Fargo & Company. See 12 CFR
252.54(b)(2)(i).
A BHC may use data as of the date that corresponds to its
weekly internal risk reporting cycle as long as it falls during the
business week of the as-of date for the global market shock
(i.e., January 2, 2017, to January 6, 2017).

February 10, 2017

2017 Adverse Scenario
The global market shock component for the adverse
scenario simulates an extended low-growth environment and muted market volatility across most asset
classes and term structures. Generally, domestic government yields and associated volatility move lower,
while swap spreads widen. Due to reduced demand,
global commodity prices decline moderately, while
mortgage-backed securities (MBS) and domestic
credit spreads widen moderately. Select currency
markets also experience small flight-to-quality
moves. Equity markets experience a mild correction
with a measured increase in volatility.
The 2017 adverse scenario addresses themes similar
to those of the 2016 adverse scenario.

2017 Severely Adverse Scenario
The severely adverse scenario’s global market shock
is designed around three main elements: a sudden
sharp increase in general risk premiums and credit
risk; significant market illiquidity; and the distress of
one or more large entities that rapidly sell a variety
of assets into an already fragile market. Liquidity
deterioration is most severe in those asset markets
that are typically less liquid, such as non-agency
securitized products, corporate debt and private
equity, and is less pronounced in those markets that
are typically more liquid, such as foreign exchange,
publicly traded equity and U.S. Treasury markets.
Markets facing a significant deterioration in liquidity
experience conditions that are generally comparable
to the peak-to-trough changes in asset valuations
during the 2007–2009 period. The severity of deterioration reflects the market conditions that could
occur in the event of a significant pullback in market
liquidity in which market participants are less able to
engage in market transactions that could offset or
moderate the price dislocations. Worsening liquidity
also leads prices of related assets that would ordinarily be expected to move together to diverge markedly.
In particular, the valuation of certain cash market
securities and their derivative counterparts fail to
move together because the normal market mechanics
that would ordinarily result in small pricing differentials are impeded by a lack of market liquidity.
Notably, option-adjusted spreads on agency MBS
increase significantly.
Globally, government bond yield curves undergo
shifts in level and shape due to market participants’

7

increased risk aversion. The flight-to-quality and
lack of liquidity in affected markets push risk-free
rates down in the United States. The yield curves for
government bonds generally rally across advanced
economies while volatility increases across the term
structure. Emerging market countries with deteriorating economic and fiscal accounts would also experience a sharp increase in sovereign spreads.
The major differences between the 2017 and 2016
severely adverse scenarios include (1) dampened
shocks to interest rates and other liquid markets,
(2) increased shocks to select commodities and equities basis risks, and (3) a less severe widening in
spreads between agency MBS and TBA forwards.

Counterparty Default Component
for Supervisory Adverse and Severely
Adverse Scenarios
In CCAR 2016, the eight BHCs with substantial
trading or custodial operations will be required to
incorporate a counterparty default scenario component into their supervisory adverse and severely
adverse stress scenarios.10 The counterparty default
scenario component involves the instantaneous and
unexpected default of the BHC’s largest counterparty.11
In connection with the counterparty default scenario
component, these BHCs will be 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 their derivatives and
securities financing activities, including securities
lending, and repurchase or reverse repurchase agreement activities. The counterparty default scenario
component is an add-on to the macroeconomic conditions and financial market environment specified
in the Federal Reserve’s adverse and severely adverse
stress scenarios.

10

11

The eight BHCs subject to the counterparty default component
are as follows: Bank of America Corporation; The Bank of
New York Mellon Corp.; Citigroup Inc.; The Goldman Sachs
Group, Inc.; JPMorgan Chase & Co.; Morgan Stanley; State
Street Corp.; and Wells Fargo & Company. See 12 CFR
252.54(b)(2)(ii).
In selecting its largest counterparty, a BHC will not consider
certain sovereign entities (Canada, France, Germany, Italy,
Japan, the United Kingdom, and the United States) or designated central clearing counterparties.

8

Federal Reserve Supervisory Scenarios

Each BHC’s largest counterparty will be determined
by net stressed losses; estimated by applying the
global market shock to revalue non-cash securities
financing activity assets (securities or collateral)
posted or received; and for derivatives, to the value
of the trade position and non-cash collateral
exchanged. The as-of date for the counterparty

default scenario component is January 3, 2017—the
same date as the global market shock.12
12

As with the global market shock, a BHC may use data as of the
date that corresponds to its weekly internal risk reporting cycle
as long as it falls during the business week of the as-of date for
the counterparty default scenario component (i.e., January 3 to
January 6, 2017).

9

Variables for the Supervisory Scenarios

Table 1A. Historical data: Domestic variables, Q1:2000–Q4:2016
Percent, unless otherwise indicated.
Level

Date

Q1 2000
Q2 2000
Q3 2000
Q4 2000
Q1 2001
Q2 2001
Q3 2001
Q4 2001
Q1 2002
Q2 2002
Q3 2002
Q4 2002
Q1 2003
Q2 2003
Q3 2003
Q4 2003
Q1 2004
Q2 2004
Q3 2004
Q4 2004
Q1 2005
Q2 2005
Q3 2005
Q4 2005
Q1 2006
Q2 2006
Q3 2006
Q4 2006
Q1 2007
Q2 2007
Q3 2007
Q4 2007
Q1 2008
Q2 2008
Q3 2008
Q4 2008
Q1 2009
Q2 2009

Nominal
Real
BBB
3-month 5-year 10-year
CPI
dispo- UnemNominal dispoMortgage
Real GDP
sable ployment inflation Treasury Treasury Treasury corporate
sable
GDP
rate
growth
yield
yield
yield
rate
rate
rate
growth income income
growth growth

1.2
7.8
0.5
2.3
-1.1
2.1
-1.3
1.1
3.7
2.2
2.0
0.3
2.1
3.8
6.9
4.8
2.3
3.0
3.7
3.5
4.3
2.1
3.4
2.3
4.9
1.2
0.4
3.2
0.2
3.1
2.7
1.4
-2.7
2.0
-1.9
-8.2
-5.4
-0.5

4.3
10.2
3.1
4.5
1.4
5.1
0.0
2.3
5.1
3.8
3.8
2.4
4.6
5.1
9.3
6.8
5.9
6.6
6.3
6.4
8.3
5.1
7.3
5.4
8.2
4.5
3.2
4.6
4.8
5.4
4.2
3.2
-0.5
4.0
0.8
-7.7
-4.5
-1.2

8.1
4.2
4.8
1.4
3.5
-0.3
9.8
-4.9
10.1
2.0
-0.5
1.9
1.1
5.9
6.7
1.6
2.9
4.0
2.1
5.1
-3.8
3.2
2.1
3.4
9.5
0.6
1.2
5.3
2.6
0.8
1.1
0.3
2.9
8.7
-8.9
2.6
-0.8
2.9

11.8
6.1
7.4
3.6
6.3
1.6
10.1
-4.6
10.9
5.2
1.5
3.8
4.0
6.3
9.3
3.3
6.1
7.0
4.5
8.5
-1.8
6.0
6.6
6.6
11.5
3.7
4.1
4.6
6.5
4.0
3.4
4.4
6.5
13.3
-5.1
-3.2
-3.0
4.7

4.0
3.9
4.0
3.9
4.2
4.4
4.8
5.5
5.7
5.8
5.7
5.9
5.9
6.1
6.1
5.8
5.7
5.6
5.4
5.4
5.3
5.1
5.0
5.0
4.7
4.6
4.6
4.4
4.5
4.5
4.7
4.8
5.0
5.3
6.0
6.9
8.3
9.3

4.0
3.2
3.7
2.9
3.9
2.8
1.1
-0.3
1.3
3.2
2.2
2.4
4.2
-0.7
3.0
1.5
3.4
3.2
2.6
4.4
2.0
2.7
6.2
3.8
2.1
3.7
3.8
-1.6
4.0
4.6
2.6
5.0
4.4
5.3
6.3
-8.9
-2.7
2.1

5.5
5.7
6.0
6.0
4.8
3.7
3.2
1.9
1.7
1.7
1.6
1.3
1.2
1.0
0.9
0.9
0.9
1.1
1.5
2.0
2.5
2.9
3.4
3.8
4.4
4.7
4.9
4.9
5.0
4.7
4.3
3.4
2.1
1.6
1.5
0.3
0.2
0.2

6.6
6.5
6.1
5.6
4.9
4.9
4.6
4.2
4.5
4.5
3.4
3.1
2.9
2.6
3.1
3.2
3.0
3.7
3.5
3.5
3.9
3.9
4.0
4.4
4.6
5.0
4.8
4.6
4.6
4.7
4.5
3.8
2.8
3.2
3.1
2.2
1.9
2.3

6.7
6.4
6.1
5.8
5.3
5.5
5.3
5.1
5.4
5.4
4.5
4.3
4.2
3.8
4.4
4.4
4.1
4.7
4.4
4.3
4.4
4.2
4.3
4.6
4.7
5.2
5.0
4.7
4.8
4.9
4.8
4.4
3.9
4.1
4.1
3.7
3.2
3.7

8.2
8.5
8.1
7.9
7.4
7.5
7.3
7.2
7.6
7.6
7.3
7.0
6.5
5.7
6.0
5.8
5.5
6.1
5.8
5.4
5.4
5.5
5.5
5.9
6.0
6.5
6.4
6.1
6.1
6.3
6.5
6.4
6.5
6.8
7.2
9.4
9.0
8.2

8.3
8.3
8.0
7.6
7.0
7.1
6.9
6.8
7.0
6.8
6.2
6.1
5.8
5.5
6.1
5.9
5.6
6.2
5.9
5.7
5.8
5.7
5.8
6.2
6.3
6.6
6.5
6.2
6.2
6.4
6.5
6.2
5.9
6.1
6.3
5.8
5.0
5.1

Prime
rate

8.7
9.2
9.5
9.5
8.6
7.3
6.6
5.2
4.8
4.8
4.8
4.5
4.3
4.2
4.0
4.0
4.0
4.0
4.4
4.9
5.4
5.9
6.4
7.0
7.4
7.9
8.3
8.3
8.3
8.3
8.2
7.5
6.2
5.1
5.0
4.1
3.3
3.3

Dow
Jones
Total
Stock
Market
Index

House
Price
Index

14,296
13,619
13,613
12,176
10,646
11,407
9,563
10,708
10,776
9,384
7,774
8,343
8,052
9,342
9,650
10,800
11,039
11,145
10,894
11,951
11,637
11,857
12,283
12,497
13,122
12,809
13,322
14,216
14,354
15,163
15,318
14,754
13,284
13,016
11,826
9,057
8,044
9,343

102
105
107
110
112
114
116
118
120
123
126
129
132
135
138
143
148
154
159
165
172
179
185
191
194
193
192
191
189
183
178
172
165
157
149
142
137
137

Commercial
Market
Real
Volatility
Estate
Index
Price
Index
125
124
137
141
139
139
141
136
137
136
139
142
148
149
147
146
153
160
172
176
176
182
187
195
200
209
219
217
227
236
249
251
240
224
233
223
209
178

27.0
33.5
21.9
31.7
32.8
34.7
43.7
35.3
26.1
28.4
45.1
42.6
34.7
29.1
22.7
21.1
21.6
20.0
19.3
16.6
14.6
17.7
14.2
16.5
14.6
23.8
18.6
12.7
19.6
18.9
30.8
31.1
32.2
24.1
46.7
80.9
56.7
42.3

(continued)

10

Federal Reserve Supervisory Scenarios

Table 1A.—continued
Level

Date

Q3 2009
Q4 2009
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Q4 2011
Q1 2012
Q2 2012
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Q1 2015
Q2 2015
Q3 2015
Q4 2015
Q1 2016
Q2 2016
Q3 2016
Q4 2016

Nominal
Real
BBB
3-month 5-year 10-year
CPI
dispo- UnemNominal dispoMortgage
Real GDP
sable ployment inflation Treasury Treasury Treasury corporate
sable
GDP
rate
growth
yield
yield
yield
rate
rate
rate
growth income income
growth growth

1.3
3.9
1.7
3.9
2.7
2.5
-1.5
2.9
0.8
4.6
2.7
1.9
0.5
0.1
2.8
0.8
3.1
4.0
-1.2
4.0
5.0
2.3
2.0
2.6
2.0
0.9
0.8
1.4
3.5
3.1

1.2
5.2
3.2
5.8
4.6
4.7
0.2
6.0
3.3
5.2
4.9
3.8
2.7
1.7
4.4
1.6
5.1
6.1
0.6
6.3
6.7
2.8
2.1
4.9
3.2
1.8
1.3
3.7
5.0
6.1

-4.3
-0.5
0.4
5.3
2.0
2.8
5.0
-0.6
2.1
0.2
6.7
3.1
-0.2
10.9
-15.7
2.4
2.4
0.9
4.5
5.3
4.1
4.3
2.0
3.9
3.3
3.0
2.1
2.9
2.6
1.6

-1.9
2.2
1.8
5.8
3.2
5.0
8.2
3.5
4.3
1.6
9.2
4.4
1.1
13.3
-14.5
2.5
3.9
2.6
6.6
7.3
5.2
4.3
0.3
5.8
4.4
3.4
2.4
5.0
4.1
4.5

9.6
9.9
9.8
9.6
9.5
9.5
9.0
9.1
9.0
8.6
8.3
8.2
8.0
7.8
7.7
7.5
7.3
6.9
6.7
6.2
6.1
5.7
5.6
5.4
5.2
5.0
4.9
4.9
4.9
4.7

3.5
3.2
0.6
-0.1
1.2
3.3
4.3
4.6
2.6
1.8
2.4
0.8
1.6
2.9
1.6
-0.5
2.0
1.9
2.4
1.9
0.9
-0.3
-2.9
2.4
1.4
0.8
-0.3
2.5
1.6
3.4

0.2
0.1
0.1
0.1
0.2
0.1
0.1
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.3
0.3
0.3
0.4

2.5
2.3
2.4
2.3
1.6
1.5
2.1
1.8
1.1
1.0
0.9
0.8
0.7
0.7
0.8
0.9
1.5
1.4
1.6
1.7
1.7
1.6
1.5
1.5
1.6
1.6
1.4
1.3
1.2
1.7

3.8
3.7
3.9
3.6
2.9
3.0
3.5
3.3
2.5
2.1
2.1
1.8
1.6
1.7
1.9
2.0
2.7
2.8
2.8
2.7
2.5
2.3
2.0
2.2
2.3
2.2
2.0
1.8
1.6
2.2

6.8
6.1
5.8
5.6
5.1
5.0
5.4
5.1
4.9
5.0
4.7
4.5
4.2
3.9
4.0
4.1
4.9
4.8
4.6
4.3
4.2
4.2
4.0
4.2
4.5
4.6
4.6
4.1
3.7
4.1

5.1
4.9
5.0
4.8
4.4
4.5
4.9
4.6
4.2
4.0
3.9
3.8
3.5
3.4
3.5
3.7
4.4
4.3
4.4
4.2
4.1
3.9
3.7
3.8
3.9
3.9
3.7
3.6
3.4
3.9

Prime
rate

3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.5
3.5
3.5
3.5

Dow
Jones
Total
Stock
Market
Index

House
Price
Index

10,813
11,385
12,032
10,646
11,814
13,131
13,909
13,843
11,677
13,019
14,627
14,100
14,895
14,835
16,396
16,771
17,718
19,413
19,711
20,569
20,459
21,425
21,708
21,631
19,959
21,101
21,179
21,621
22,469
23,277

138
138
138
137
135
133
132
132
132
132
134
137
140
143
147
151
154
158
160
161
163
165
168
170
172
174
177
179
182
183

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

Commercial
Market
Real
Volatility
Estate
Index
Price
Index
154
155
150
165
167
173
180
177
177
188
188
189
197
198
202
213
224
229
229
239
245
253
262
266
272
277
278
283
290
294

31.3
30.7
27.3
45.8
32.9
23.5
29.4
22.7
48.0
45.5
23.0
26.7
20.5
22.7
19.0
20.5
17.0
20.3
21.4
17.0
17.0
26.3
22.4
18.9
40.7
24.4
28.1
25.8
18.1
22.5

February 10, 2017

11

Table 1B. Historical data: International variables, Q1:2000–Q4:2016
Percent, unless otherwise indicated.

Date

Q1 2000
Q2 2000
Q3 2000
Q4 2000
Q1 2001
Q2 2001
Q3 2001
Q4 2001
Q1 2002
Q2 2002
Q3 2002
Q4 2002
Q1 2003
Q2 2003
Q3 2003
Q4 2003
Q1 2004
Q2 2004
Q3 2004
Q4 2004
Q1 2005
Q2 2005
Q3 2005
Q4 2005
Q1 2006
Q2 2006
Q3 2006
Q4 2006
Q1 2007
Q2 2007
Q3 2007
Q4 2007
Q1 2008
Q2 2008
Q3 2008
Q4 2008
Q1 2009
Q2 2009
Q3 2009
Q4 2009
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Q4 2011
Q1 2012
Q2 2012

Euro area
real GDP
growth

Euro area
inflation

Euro area
bilateral
dollar
exchange
rate
(USD/euro)

4.4
3.8
2.2
3.3
3.5
0.4
0.3
0.7
0.7
1.9
1.6
0.4
-0.8
0.2
2.2
2.9
2.4
2.1
1.3
1.4
0.8
2.6
3.1
2.5
3.7
4.2
2.6
4.4
3.1
2.5
1.8
2.2
2.0
-1.3
-2.2
-6.8
-11.4
-0.9
1.2
2.1
1.8
4.0
1.6
2.3
3.2
0.0
0.1
-1.4
-0.8
-1.3

2.6
0.9
3.4
2.8
1.2
4.0
1.4
1.7
3.1
2.0
1.6
2.3
3.3
0.5
2.1
2.3
2.2
2.6
2.0
2.4
1.4
2.2
3.1
2.5
1.7
2.5
2.1
0.9
2.3
2.3
2.1
4.9
4.3
3.2
3.2
-1.4
-1.1
0.0
1.1
1.6
1.8
2.0
1.6
2.6
3.7
3.2
1.3
3.5
2.8
2.3

0.957
0.955
0.884
0.939
0.879
0.847
0.910
0.890
0.872
0.986
0.988
1.049
1.090
1.150
1.165
1.260
1.229
1.218
1.242
1.354
1.297
1.210
1.206
1.184
1.214
1.278
1.269
1.320
1.337
1.352
1.422
1.460
1.581
1.575
1.408
1.392
1.326
1.402
1.463
1.433
1.353
1.229
1.360
1.327
1.418
1.452
1.345
1.297
1.333
1.267

Developing
Asia
real GDP
growth

7.0
7.1
8.1
2.9
4.9
5.5
4.7
8.5
7.7
8.1
7.2
6.5
6.7
2.1
14.3
13.0
5.6
6.9
8.3
6.4
10.6
8.6
9.3
11.7
11.0
7.0
10.3
11.2
13.9
10.5
8.7
12.8
7.2
5.9
3.1
0.3
4.4
15.1
12.8
9.2
9.9
9.7
8.8
9.3
9.8
6.5
5.2
6.9
7.3
6.0

Developing
Asia
inflation

Developing
Asia
bilateral
dollar
exchange
rate
(F/USD,
index)

Japan
real GDP
growth

1.5
-0.2
2.2
2.5
1.7
2.1
1.2
0.0
0.4
1.1
1.5
0.8
3.6
1.2
0.1
5.5
4.1
4.1
4.0
0.8
2.9
1.5
2.3
1.7
2.4
3.2
2.1
3.7
3.6
4.9
7.5
6.0
8.1
6.4
2.8
-1.0
-1.4
2.2
3.9
5.1
4.4
3.4
4.0
7.7
6.3
5.4
5.1
3.2
3.3
3.9

100.0
100.7
101.5
105.1
106.0
106.1
106.4
106.9
107.3
104.8
105.5
104.5
105.5
104.0
102.6
103.4
101.4
102.8
102.7
98.9
98.6
98.9
98.6
98.1
96.8
96.7
96.4
94.6
94.0
91.9
90.6
89.4
88.0
88.7
91.5
92.2
94.2
92.2
91.3
90.6
89.8
91.0
88.4
87.4
86.4
85.3
87.3
87.2
86.2
88.0

7.9
0.8
0.1
4.0
2.6
-2.4
-4.4
-0.8
0.3
3.2
1.7
1.5
-1.2
3.8
1.7
4.3
3.5
-0.3
1.9
-1.6
2.2
3.6
3.9
0.7
0.2
1.7
-0.7
4.5
3.6
-0.4
-1.2
1.9
1.6
-2.8
-4.8
-8.3
-18.0
8.2
-0.3
6.1
4.4
4.0
7.7
-2.7
-5.7
-2.0
9.5
-0.5
4.4
-1.6

Japan
inflation

Japan
bilateral
dollar
exchange
rate
(yen/USD)

U.K.
real GDP
growth

U.K.
inflation

U.K.
bilateral
dollar
exchange
rate
(USD/pound)

-2.7
1.2
-1.2
-0.6
-1.2
-0.3
-1.1
-1.4
-2.7
1.7
-0.7
-0.4
-1.6
1.7
-0.7
-0.6
-0.9
1.1
0.1
1.7
-2.7
-1.0
-1.0
0.2
1.2
0.4
0.4
-0.6
-0.7
0.4
0.3
2.2
1.3
1.8
3.5
-2.1
-3.6
-1.6
-1.4
-1.6
1.1
-1.4
-2.1
1.4
0.0
-0.8
0.3
-0.7
2.5
-1.6

102.7
106.1
107.9
114.4
125.5
124.7
119.2
131.0
132.7
119.9
121.7
118.8
118.1
119.9
111.4
107.1
104.2
109.4
110.2
102.7
107.2
110.9
113.3
117.9
117.5
114.5
118.0
119.0
117.6
123.4
115.0
111.7
99.9
106.2
105.9
90.8
99.2
96.4
89.5
93.1
93.4
88.5
83.5
81.7
82.8
80.6
77.0
77.0
82.4
79.8

4.1
2.9
1.1
0.6
5.3
2.8
2.7
1.6
1.7
3.0
3.1
3.5
3.3
3.7
4.0
3.3
2.3
1.9
0.8
2.4
2.3
4.4
4.4
5.5
1.3
0.9
0.6
1.4
4.1
3.0
3.1
3.0
0.6
-2.6
-6.6
-8.7
-6.4
-0.9
0.3
1.6
2.2
4.1
2.3
0.5
2.2
0.3
1.7
1.0
1.8
-0.3

0.3
0.5
1.0
1.9
0.0
3.2
1.0
-0.1
2.0
0.9
1.3
1.9
1.7
0.2
1.7
1.7
1.4
0.8
1.1
2.4
2.6
1.8
2.8
1.4
1.9
3.0
3.3
2.7
2.5
1.8
0.3
4.0
3.4
5.8
5.9
0.4
-0.2
2.3
3.6
2.8
4.2
3.3
2.2
3.9
7.0
4.6
3.5
3.4
2.3
1.9

1.592
1.513
1.479
1.496
1.419
1.408
1.469
1.454
1.425
1.525
1.570
1.610
1.579
1.653
1.662
1.784
1.840
1.813
1.809
1.916
1.889
1.793
1.770
1.719
1.739
1.849
1.872
1.959
1.969
2.006
2.039
1.984
1.986
1.991
1.780
1.462
1.430
1.645
1.600
1.617
1.519
1.495
1.573
1.539
1.605
1.607
1.562
1.554
1.599
1.569

(continued)

12

Federal Reserve Supervisory Scenarios

Table 1B.—continued

Date

Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Q4 2013
Q1 2014
Q2 2014
Q3 2014
Q4 2014
Q1 2015
Q2 2015
Q3 2015
Q4 2015
Q1 2016
Q2 2016
Q3 2016
Q4 2016

Euro area
real GDP
growth

Euro area
inflation

Euro area
bilateral
dollar
exchange
rate
(USD/euro)

-0.6
-1.7
-1.2
1.8
1.3
0.8
1.3
0.7
1.4
1.8
3.3
1.5
1.1
2.0
2.0
1.2
1.8
1.4

1.6
2.4
1.3
0.4
1.2
0.3
0.9
-0.1
0.2
-0.4
-0.8
1.8
-0.3
0.0
-1.2
1.2
1.1
1.9

1.286
1.319
1.282
1.301
1.354
1.378
1.378
1.369
1.263
1.210
1.074
1.115
1.116
1.086
1.139
1.103
1.124
1.055

Developing
Asia
real GDP
growth

6.5
7.3
6.6
6.5
7.8
6.4
6.4
7.0
6.9
5.6
6.2
6.6
6.6
5.4
6.3
6.4
6.6
6.0

Developing
Asia
inflation

Developing
Asia
bilateral
dollar
exchange
rate
(F/USD,
index)

Japan
real GDP
growth

2.1
3.6
4.3
2.9
3.7
4.0
1.4
2.5
2.4
1.2
0.8
2.7
2.7
1.6
2.8
2.7
1.2
2.5

86.3
85.9
86.1
87.1
86.7
85.7
86.8
86.7
87.0
88.1
88.1
88.3
90.9
92.2
91.7
94.0
93.6
97.4

-1.8
0.3
5.1
4.3
2.4
-0.8
4.9
-7.1
-0.8
2.1
6.3
-0.5
0.8
-1.8
2.8
1.8
1.3
0.8

Japan
inflation

Japan
bilateral
dollar
exchange
rate
(yen/USD)

U.K.
real GDP
growth

U.K.
inflation

U.K.
bilateral
dollar
exchange
rate
(USD/pound)

-1.8
0.3
0.6
-0.2
2.4
3.1
1.3
7.7
1.6
-0.3
0.4
0.3
0.0
0.1
-0.1
-1.3
-0.8
0.3

77.9
86.6
94.2
99.2
98.3
105.3
103.0
101.3
109.7
119.9
120.0
122.1
119.8
120.3
112.4
102.8
101.2
116.8

4.7
-0.9
2.5
2.1
3.1
2.0
3.4
3.8
3.3
3.4
1.0
1.9
1.1
2.8
1.4
2.6
2.3
1.4

2.0
4.2
3.0
1.6
2.0
1.7
1.9
1.5
0.6
-0.4
-1.2
0.9
0.5
0.0
0.1
0.9
1.9
2.0

1.613
1.626
1.519
1.521
1.618
1.657
1.668
1.711
1.622
1.558
1.485
1.573
1.512
1.475
1.438
1.324
1.302
1.234

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

February 10, 2017

13

Table 2A. Supervisory baseline scenario: Domestic variables, Q1:2017–Q1:2020
Percent, unless otherwise indicated.
Level

Date

Q1 2017
Q2 2017
Q3 2017
Q4 2017
Q1 2018
Q2 2018
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Q3 2019
Q4 2019
Q1 2020

Nominal
Real
BBB
3-month 5-year 10-year
CPI
dispo- UnemNominal dispoMortgage
Real GDP
sable ployment inflation Treasury Treasury Treasury corporate
sable
GDP
rate
growth
yield
yield
yield
rate
rate
rate
growth income income
growth growth

2.2
2.3
2.4
2.3
2.4
2.4
2.4
2.3
2.0
2.1
2.1
2.0
2.0

4.3
4.3
4.5
4.5
4.6
4.7
4.6
4.5
4.2
4.2
4.1
4.1
4.0

2.2
2.5
2.9
2.7
2.9
2.6
2.6
2.4
2.2
2.3
2.2
2.2
2.1

4.3
4.6
5.0
4.8
4.9
4.7
4.7
4.6
4.3
4.3
4.3
4.2
4.0

4.7
4.6
4.6
4.5
4.5
4.5
4.4
4.4
4.5
4.6
4.6
4.7
4.7

2.4
2.4
2.3
2.3
2.3
2.3
2.3
2.4
2.3
2.3
2.2
2.2
2.1

0.6
0.7
0.9
1.1
1.3
1.5
1.7
1.9
2.2
2.4
2.6
2.8
2.9

1.7
1.9
2.0
2.2
2.3
2.4
2.6
2.7
2.8
2.9
2.9
3.0
3.0

2.5
2.6
2.7
2.9
3.0
3.1
3.2
3.3
3.4
3.4
3.5
3.5
3.5

4.2
4.4
4.5
4.6
4.7
4.8
4.9
5.0
5.1
5.1
5.2
5.2
5.2

4.2
4.3
4.4
4.5
4.6
4.7
4.8
5.0
5.0
5.1
5.1
5.2
5.2

Prime
rate

3.8
3.9
4.1
4.3
4.4
4.6
4.8
5.0
5.2
5.5
5.7
5.9
5.9

Dow
Jones
Total
Stock
Market
Index

House
Price
Index

23,551
23,831
24,123
24,422
24,727
25,042
25,354
25,668
25,968
26,269
26,571
26,874
27,173

184
185
187
188
189
190
191
193
194
195
197
198
200

Commercial
Market
Real
Volatility
Estate
Index
Price
Index
298
301
305
309
313
317
321
325
327
330
332
335
337

19.0
20.3
19.3
19.4
19.2
19.2
19.3
19.4
19.8
20.0
20.2
20.3
20.2

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

Table 2B. Supervisory baseline scenario: International variables, Q1:2017–Q1:2020
Percent, unless otherwise indicated.

Date

Q1 2017
Q2 2017
Q3 2017
Q4 2017
Q1 2018
Q2 2018
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Q3 2019
Q4 2019
Q1 2020

Euro area
real GDP
growth

Euro area
inflation

Euro area
bilateral
dollar
exchange
rate
(USD/euro)

1.5
1.5
1.6
1.6
1.6
1.6
1.5
1.5
1.5
1.5
1.5
1.5
1.5

1.3
1.4
1.5
1.5
1.5
1.6
1.6
1.6
1.7
1.7
1.7
1.8
1.8

1.050
1.044
1.039
1.034
1.036
1.039
1.041
1.044
1.044
1.044
1.044
1.044
1.044

Developing
Asia
real GDP
growth

6.0
5.9
5.9
5.8
5.8
5.7
5.7
5.8
5.8
5.9
5.9
5.8
5.8

Developing
Asia
inflation

Developing
Asia
bilateral
dollar
exchange
rate
(F/USD,
index)

Japan
real GDP
growth

2.4
2.5
2.6
2.6
2.6
2.6
2.6
2.7
2.7
2.8
2.9
2.9
3.0

97.9
98.4
98.9
99.4
99.7
100.0
100.3
100.6
100.6
100.6
100.6
100.6
100.6

0.9
0.9
0.9
0.9
0.9
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8

Japan
inflation

Japan
bilateral
dollar
exchange
rate
(yen/USD)

U.K.
real GDP
growth

U.K.
inflation

U.K.
bilateral
dollar
exchange
rate
(USD/pound)

0.5
0.6
0.8
0.9
1.1
1.2
1.3
1.3
1.4
1.5
1.5
1.6
1.6

116.4
116.0
115.6
115.2
115.6
116.1
116.5
117.0
117.0
117.0
117.0
117.0
117.0

1.2
1.1
1.0
1.1
1.3
1.4
1.6
1.7
1.8
1.8
1.9
1.9
1.9

1.9
2.0
2.1
2.2
2.2
2.2
2.2
2.1
2.1
2.0
2.0
2.0
1.9

1.228
1.222
1.216
1.210
1.222
1.234
1.245
1.257
1.257
1.257
1.257
1.257
1.257

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

14

Federal Reserve Supervisory Scenarios

Table 3A. Supervisory adverse scenario: Domestic variables, Q1:2017–Q1:2020
Percent, unless otherwise indicated.
Level

Date

Q1 2017
Q2 2017
Q3 2017
Q4 2017
Q1 2018
Q2 2018
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Q3 2019
Q4 2019
Q1 2020

Nominal
Real
BBB
3-month 5-year 10-year
CPI
dispo- UnemNominal dispoMortgage
Real GDP
sable ployment inflation Treasury Treasury Treasury corporate
sable
GDP
rate
growth
yield
yield
yield
rate
rate
rate
growth income income
growth growth

-1.5
-2.8
-2.0
-1.5
-0.5
1.0
1.4
2.6
2.6
3.0
3.0
3.0
3.0

0.9
-0.7
0.0
0.5
1.4
3.0
3.3
4.4
4.3
4.6
4.5
4.5
4.5

0.7
-0.6
-0.5
-0.5
0.2
0.6
1.0
1.5
1.6
2.1
2.2
2.1
2.0

2.4
1.1
1.1
1.2
1.9
2.4
2.7
3.4
3.5
3.8
3.8
3.8
3.5

5.2
5.8
6.3
6.8
7.1
7.3
7.4
7.3
7.2
7.1
7.0
6.9
6.8

1.8
1.8
1.8
1.8
1.8
2.0
2.0
2.1
2.1
2.0
2.0
1.9
1.8

0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1

1.7
1.8
1.8
1.9
1.9
1.9
2.0
2.0
2.0
2.0
2.0
2.0
2.0

2.3
2.4
2.5
2.5
2.6
2.7
2.7
2.7
2.7
2.7
2.7
2.7
2.7

5.6
5.9
6.1
6.2
6.0
5.8
5.6
5.4
5.2
5.0
4.8
4.7
4.5

4.7
4.9
5.1
5.2
5.2
5.2
5.1
5.1
5.0
4.9
4.8
4.8
4.7

Prime
rate

3.3
3.3
3.3
3.2
3.2
3.2
3.2
3.2
3.2
3.2
3.2
3.2
3.2

Dow
Jones
Total
Stock
Market
Index

House
Price
Index

15,960
15,042
14,290
13,982
14,367
15,001
15,693
16,603
17,519
18,514
19,243
20,025
20,867

181
179
176
173
170
166
163
161
161
161
162
163
164

Commercial
Market
Real
Volatility
Estate
Index
Price
Index
291
283
275
267
259
254
250
249
249
251
255
259
262

37.1
32.7
34.4
32.0
28.5
25.8
23.6
21.6
20.1
18.7
18.2
17.6
17.3

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

Table 3B. Supervisory adverse scenario: International variables, Q1:2017–Q1:2020
Percent, unless otherwise indicated.

Date

Q1 2017
Q2 2017
Q3 2017
Q4 2017
Q1 2018
Q2 2018
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Q3 2019
Q4 2019
Q1 2020

Euro area
real GDP
growth

Euro area
inflation

Euro area
bilateral
dollar
exchange
rate
(USD/euro)

-3.0
-3.9
-2.7
-1.5
-0.2
0.7
1.3
1.7
1.9
2.0
2.0
1.9
1.9

0.7
0.1
0.3
0.3
0.4
0.6
0.8
1.0
1.2
1.4
1.5
1.6
1.6

0.998
0.977
0.964
0.953
0.958
0.964
0.970
0.975
0.979
0.982
0.986
0.989
0.991

Developing
Asia
real GDP
growth

1.4
1.8
3.5
5.3
6.4
6.7
6.7
6.8
6.8
6.9
7.0
7.0
7.0

Developing
Asia
inflation

Developing
Asia
bilateral
dollar
exchange
rate
(F/USD,
index)

Japan
real GDP
growth

1.7
0.9
0.0
-0.1
0.0
0.1
0.4
0.7
1.0
1.3
1.6
1.9
2.1

105.4
109.1
108.8
109.4
108.7
108.1
107.5
106.9
106.2
105.5
105.0
104.7
104.4

-3.2
-6.3
-5.8
-4.4
-3.1
-1.9
-0.9
-0.1
0.5
1.0
1.3
1.5
1.6

Japan
inflation

Japan
bilateral
dollar
exchange
rate
(yen/USD)

U.K.
real GDP
growth

U.K.
inflation

U.K.
bilateral
dollar
exchange
rate
(USD/pound)

-2.5
-3.4
-2.7
-2.7
-2.1
-1.5
-1.0
-0.5
-0.2
0.2
0.5
0.7
0.9

111.4
108.0
109.2
108.8
109.2
109.6
110.0
110.5
110.6
110.8
111.1
111.4
111.6

-2.9
-4.3
-3.7
-2.7
-1.4
-0.2
0.7
1.5
2.0
2.4
2.6
2.6
2.7

0.5
0.0
0.1
0.2
0.4
0.7
1.0
1.2
1.3
1.4
1.5
1.6
1.6

1.205
1.189
1.175
1.163
1.177
1.191
1.204
1.217
1.218
1.218
1.218
1.218
1.218

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

February 10, 2017

15

Table 4A. Supervisory severely adverse scenario: Domestic variables, Q1:2017–Q1:2020
Percent, unless otherwise indicated.
Level

Date

Q1 2017
Q2 2017
Q3 2017
Q4 2017
Q1 2018
Q2 2018
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Q3 2019
Q4 2019
Q1 2020

Nominal
Real
BBB
3-month 5-year 10-year
CPI
dispo- UnemNominal dispoMortgage
Real GDP
sable ployment inflation Treasury Treasury Treasury corporate
sable
GDP
rate
growth
yield
yield
yield
rate
rate
rate
growth income income
growth growth

-5.1
-7.5
-5.9
-5.1
-3.0
0.0
0.7
3.0
3.0
3.9
3.9
3.9
3.9

-2.7
-5.5
-4.1
-3.3
-1.4
1.6
2.3
4.5
4.4
5.1
5.0
4.9
4.8

-1.0
-4.0
-3.9
-3.7
-2.5
-1.4
-0.4
0.8
1.4
2.2
2.5
2.6
2.5

0.5
-2.7
-2.6
-2.3
-1.1
0.2
1.1
2.4
2.9
3.7
3.8
3.8
3.6

5.6
6.9
8.0
8.9
9.6
9.8
10.0
9.9
9.8
9.6
9.4
9.1
8.9

1.5
1.3
1.3
1.4
1.5
1.7
1.7
1.9
1.8
1.7
1.6
1.6
1.4

0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1

0.3
0.4
0.5
0.6
0.7
0.7
0.8
0.9
1.0
1.1
1.1
1.2
1.2

0.8
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.6
1.7
1.8

5.5
6.0
6.3
6.4
6.1
5.7
5.4
5.0
4.7
4.3
4.0
3.8
3.6

4.0
4.3
4.5
4.6
4.5
4.4
4.4
4.3
4.1
4.0
3.9
3.9
3.8

Prime
rate

3.3
3.3
3.3
3.2
3.2
3.2
3.2
3.2
3.2
3.2
3.2
3.2
3.2

Dow
Jones
Total
Stock
Market
Index

House
Price
Index

15,374
13,538
12,295
11,704
12,338
13,325
14,348
15,625
17,070
18,739
19,909
21,186
22,577

179
174
168
162
156
148
142
138
137
138
140
142
145

Commercial
Market
Real
Volatility
Estate
Index
Price
Index
288
270
251
234
218
206
196
193
192
194
198
203
207

68.7
50.9
57.2
49.3
39.1
31.9
26.7
22.2
19.3
16.8
16.0
14.9
14.3

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

Table 4B. Supervisory severely adverse scenario: International variables, Q1:2017–Q1:2020
Percent, unless otherwise indicated.

Date

Q1 2017
Q2 2017
Q3 2017
Q4 2017
Q1 2018
Q2 2018
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Q3 2019
Q4 2019
Q1 2020

Euro area
real GDP
growth

Euro area
inflation

Euro area
bilateral
dollar
exchange
rate
(USD/euro)

-6.0
-7.0
-5.7
-4.7
-2.9
-1.5
-0.3
0.6
1.3
1.8
2.0
2.1
2.1

0.6
-0.2
-1.0
-1.5
-1.5
-1.3
-0.9
-0.4
0.1
0.5
0.7
0.9
1.1

0.959
0.928
0.928
0.929
0.949
0.964
0.975
0.981
0.985
0.989
0.994
0.999
1.003

Developing
Asia
real GDP
growth

-0.1
0.4
2.2
3.4
5.1
5.9
6.2
6.3
6.4
6.5
6.6
6.6
6.7

Developing
Asia
inflation

Developing
Asia
bilateral
dollar
exchange
rate
(F/USD,
index)

Japan
real GDP
growth

0.5
-0.5
-1.2
-1.6
-1.6
-1.3
-1.0
-0.6
-0.2
0.2
0.6
0.9
1.3

107.4
112.1
114.3
115.8
114.5
113.2
112.0
110.9
109.6
108.5
107.5
106.7
106.0

-4.3
-7.8
-9.2
-9.5
-7.7
-5.5
-3.6
-2.1
-0.9
0.0
0.7
1.1
1.4

Japan
inflation

Japan
bilateral
dollar
exchange
rate
(yen/USD)

U.K.
real GDP
growth

U.K.
inflation

U.K.
bilateral
dollar
exchange
rate
(USD/pound)

-3.1
-4.1
-4.6
-4.9
-4.2
-3.5
-2.8
-2.2
-1.6
-1.1
-0.6
-0.3
0.1

113.0
110.4
109.5
108.0
108.1
108.2
108.4
108.7
108.7
108.7
108.9
109.2
109.4

-4.7
-6.6
-6.1
-5.0
-3.1
-1.4
0.1
1.2
2.0
2.6
2.9
3.0
3.0

-0.1
-0.8
-1.1
-1.0
-0.6
-0.1
0.2
0.6
0.8
1.0
1.1
1.3
1.4

1.179
1.154
1.141
1.126
1.142
1.158
1.174
1.188
1.189
1.190
1.190
1.191
1.192

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.

16

Federal Reserve Supervisory Scenarios

Notes Regarding Scenario Variables
Sources for data through 2016:Q4 (as released
through 1/18/2017). The 2016:Q4 values of variables
marked with an asterisk (*) are projected.
*U.S. real GDP growth: Percent change in real gross
domestic product in chained dollars, expressed at an
annualized rate, Bureau of Economic Analysis
(NIPA table 1.1.6, line 1).
*U.S. nominal GDP growth: Percent change in nominal gross domestic product, expressed at an annualized rate, Bureau of Economic Analysis (NIPA
table 1.1.5, line 1).
*U.S. real disposable income growth: Percent change
in nominal disposable personal income, divided by
the price index for personal consumption expenditures, expressed at an annualized rate, Bureau of
Economic Analysis (NIPA table 2.1, line 27, and
NIPA table 1.1.4, line 2).
*U.S. nominal disposable income growth: Percent
change in nominal disposable personal income,
expressed at an annualized rate, Bureau of Economic
Analysis (NIPA table 2.1, line 27).
U.S. unemployment rate: Quarterly average of
seasonally-adjusted monthly data for the unemployment rate of the civilian, noninstitutional population
of age 16 years and older, Bureau of Labor Statistics
(series LNS14000000).
U.S. CPI inflation: Percent change in the quarterly
average of seasonally-adjusted monthly data for the
consumer price index, expressed at an annualized
rate, Bureau of Labor Statistics (series
CUSR0000SA0).
U.S. 3-month Treasury rate: Quarterly average of
3-month Treasury bill secondary market rate on a
discount basis, H.15 Release, Selected Interest Rates,
Federal Reserve Board.
U.S. 5-year Treasury yield: Quarterly average of the
yield on 5-year U.S. Treasury bonds, constructed for
the FRB/U.S. model by Federal Reserve staff based
on the Svensson smoothed term structure model; see
Lars E. O. Svensson (1995), “Estimating Forward
Interest Rates with the Extended Nelson-Siegel
Method,” Quarterly Review, no. 3, Sveriges Riksbank, pp. 13–26.

U.S. 10-year Treasury yield: Quarterly average of the
yield on 10-year U.S. Treasury bonds, constructed
for the FRB/U.S. model by Federal Reserve staff
based on the Svensson smoothed term structure
model; see id.
U.S. BBB corporate yield: Quarterly average of the
yield on 10-year BBB-rated corporate bonds, constructed for the FRB/U.S. model by Federal Reserve
staff using a Nelson-Siegel smoothed yield curve
model; see Charles R. Nelson and Andrew F. Siegel
(1987), “Parsimonious Modeling of Yield Curves,”
Journal of Business, vol. 60, pp. 473–89). Data prior
to 1997 is based on the WARGA database. Data
after 1997 is based on the Merrill Lynch database.
U.S. mortgage rate: Staff calculations based on quarterly average of weekly series for the interest rate of a
conventional, conforming, 30-year fixed-rate mortgage, obtained from the Primary Mortgage Market
Survey of the Federal Home Loan Mortgage Corporation and other sources.
U.S. prime rate: Quarterly average of monthly series,
H.15 Release, Selected Interest Rates, Federal
Reserve Board.
U.S. Dow Jones Total Stock Market (Float Cap)
Index: End of quarter value, Dow Jones.
*U.S. House Price Index: CoreLogic, index level, seasonally adjusted by Federal Reserve staff.
*U.S. Commercial Real Estate Price Index: From the
Financial Accounts of the United States, Federal
Reserve Board (Z.1 release); the series corresponds
to the data for price indexes: Commercial Real Estate
Price Index (series FL075035503.Q, divided by
1000).
U.S. Market Volatility Index (VIX): Chicago Board
Options Exchange, converted to quarterly frequency
by using the maximum close-of-day value in any
quarter.
*Euro area real GDP growth: Percent change in real
gross domestic product at an annualized rate, staff
calculations based on Statistical Office of the European Communities via Haver, extended back using
ECB Area Wide Model dataset (ECB Working Paper
series no. 42).
Euro area inflation: Percent change in the quarterly
average of the harmonized index of consumer prices

February 10, 2017

17

at an annualized rate, staff calculations based on Statistical Office of the European Communities via
Haver.

*Japan real GDP growth: Percent change in gross
domestic product at an annualized rate, Cabinet
Office via Haver.

*Developing Asia real GDP growth: Percent change
in real gross domestic product at an annualized rate,
staff calculations based on Bank of Korea via Haver;
Chinese National Bureau of Statistics via CEIC;
Indian Central Statistical Organization via CEIC;
Census and Statistics Department of Hong Kong via
CEIC; and Taiwan Directorate-General of Budget,
Accounting, and Statistics via CEIC.

*Japan inflation: Percent change in the quarterly
average of the consumer price index at an annualized
rate, staff calculations based on Ministry of Internal
Affairs and Communications via Haver.

*Developing Asia inflation: Percent change in the
quarterly average of the consumer price index, or
local equivalent, at an annualized rate, staff calculations based on Chinese National Bureau of Statistics
via CEIC; Indian Ministry of Statistics and Programme Implementation via Haver; Labour Bureau
of India via CEIC; National Statistical Office of
Korea via CEIC; Census and Statistic Department of
Hong Kong via CEIC; and Taiwan DirectorateGeneral of Budget, Accounting, and Statistics via
CEIC.

U.K. inflation: Percent change in the quarterly average of the consumer price index at an annualized
rate, staff calculations based on Office for National
Statistics via Haver.

*U.K. real GDP growth: Percent change in gross
domestic product at an annualized rate, Office for
National Statistics via Haver.

Exchange rates: End-of-quarter rates from the H.10
Release, Foreign Exchange Rates, Federal Reserve
Board.

www.federalreserve.gov
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