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TheSupervisoryCapitalAssessmentProgram:
OverviewofResults
May7,2009
BoardofGovernorsoftheFederalReserveSystem
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1
TheSupervisoryCapitalAssessmentProgram:
OverviewofResults
May7,2009
I.IntroductionandSummaryAbankingorganizationholdscapitaltoguardagainstuncertainty. Capitalreassuresan
institutionsdepositors,creditorsandcounterpartiesandtheinstitutionitselfthataneventsuchasan
unexpectedsurgeinlossesoranunanticipateddeteriorationinearningswillnotimpairitsabilityto
engageinlendingtocreditworthyborrowersandprotectthesavingsofitsdepositors. Duringthis
periodofheightenedeconomicuncertainty,U.S.federalbankingsupervisorsbelievethatthelargest
U.S.bankholdingcompanies(BHCs)shouldhaveacapitalbuffersufficienttowithstandlossesandallow
themtomeetthecreditneedsoftheircustomersinamoresevererecessionthanisanticipated. For
thisreason,theFederalReserveandotherbanksupervisorsembarkedonacomprehensive
simultaneousassessment
of
the
capital
held
by
the
19
largest
U.S.
BHCs
in
February
of
this
year.
ThisunprecedentedexerciseknownastheSupervisoryCapitalAssessmentProgram(SCAP)
allowedsupervisorstomeasurehowmuchofanadditionalcapitalbuffer,ifany,eachinstitutionwould
needtoestablishtodaytoensurethatitwouldhavesufficientcapitaliftheeconomyweakensmore
thanexpected. ThoseBHCsneedingtoaugmenttheircapitalcomingoutofthisassessmentwillhavea
monthtodesignadetailedplan,subjecttosupervisoryapproval,forthestepstheywilltaketoputthe
SCAPbufferinplace,andthenimplementthatplanbyearlyNovemberofthisyear.
TheunprecedentednatureoftheSCAP,togetherwiththeextraordinaryeconomicandfinancial
conditionsthatprecipitatedit,hasledsupervisorstotaketheunusualstepofpublicallyreportingthe
findingsofthissupervisoryexercise. Thedecisiontodepartfromthestandardpracticeofkeeping
examinationinformationconfidentialstemmedfromthebeliefthatgreaterclarityaroundtheSCAPprocessandfindingswillmaketheexercisemoreeffectiveatreducinguncertaintyandrestoring
confidenceinourfinancialinstitutions.Tothisend,adetailedwhitepaperontheSCAPdataand
methodologywasreleasedonApril24th.1 Thiscompanionpaperreportsforeachofthe19institutions
individuallyandintheaggregatetheSCAPestimatesoflossesandlossratesacrossselectcategoriesof
loansandsecurities;theresourcesavailabletoabsorbthoselosses;andtheresultingnecessarycapital
buffers.
ThereareanumberofpointstokeepinmindwheninterpretingtheSCAPfindings:
Theestimatesreportedherearethoseoftheteamsofsupervisors,economists,andanalyststhatconductedthisexercise,andtheymayormaynotlineupwithwhatthefirmsthemselvesor
externalanalysts
and
researchers
might
have
produced,
even
using
asimilar
set
of
basic
assumptions. Theseestimatesbenefitfromtheinputofextremelydetailedinformation
collectedfromeachofthe19BHCs,theextensivereviewandanalysisofthatinformationbythe
1BoardofGovernorsoftheFederalReserveSystem(2009)TheSupervisoryCapitalAssessmentProgram: Design
andImplementationwhitepaper(WashingtonDC:BoardofGovernors,April24).
http://www.federalreserve.gov/newsevents/press/bcreg/20090424a.htm.
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SCAPteams,andthejudgmentofsupervisorsandotherexperts. Thebreadthanddepthofthe
resourcesbroughttobearinformulatingtheseestimatesareunparalleled.
Theestimatesarenotforecastsorexpectedoutcomes;theyaretheproductsofatwoyearaheadwhatifexerciseconductedundertwoalternativemacroscenarios. Roughlyspeaking,
thefirstscenarioreferredtoasthebaselinewasanassumedpathfortheeconomythat
followedthethencurrentconsensusforecast,andthesecondthemoreadversescenario
wasadeeperandmoreprotracteddownturnthantheconsensus. Notonlyisitvirtuallycertain
thattheeconomywillnotevolveinlockstepwitheitherofthesescenarios,buttherewerealso
otherfactorsthathadtobeassumedconstantforthepurposeofconductingthisexercise,and
anyofthosefactorscouldchangemateriallyfromwhatwasimplicitlyorexplicitlyassumedin
thisprocess.
TheSCAPwasadeliberatelystringenttest. ItwasdesignedtoaccountforthehighlyuncertainfinancialandeconomicconditionsbyidentifyingtheextenttowhichaBHCisvulnerabletoday
toaweakerthanexpectedeconomyinthefuture. ByensuringthattheselargeBHCshavea
capitalbuffernowthatisrobusttoarangeofeconomicoutcomes,thisexercisecountersthe
riskthat
uncertainty
itself
exerts
contractionary
pressures
on
the
banking
system
and
the
economy. Intheeventtheeconomyweakensmorethanexpected,thefirmswillhaveadequate
capital;intheeventtheeconomyfollowstheexpectedpath,oranevenstrongerpath,thefirms
willstillbeviewedasstrongertodayforhavinghigherlevelsofcapitalinanuncertainworld.
TheSCAPfocusednotonlyontheamountofcapitalbutalsoonthecompositionofcapitalheldbyeachofthe19BHCs. Thatis,SCAPassessedtheleveloftheTier1riskbasedcapitalratioand
theproportionofTier1capitalthatiscommonequity.2 TheSCAPsemphasisonwhatistermed
Tier1Commoncapitalreflectsthefactthatcommonequityisthefirstelementofthecapital
structuretoabsorblosses,offeringprotectiontomoreseniorpartsofthecapitalstructureand
loweringtheriskofinsolvency. Allelseequal,moreTier1CommoncapitalgivesaBHCgreater
permanentloss
absorption
capacity
and
agreater
ability
to
conserve
resources
under
stress
by
changingtheamountandtimingofdividendsandotherdistributions.Todeterminethesizeof
theSCAPbufferforeachfirm,supervisorsusedtheirestimatesofeachfirmslossesand
resourcesforthemoreadversescenariotoanswerthefollowingtwoquestions:
o Iftheeconomyfollowsthemoreadversescenario,howmuchadditionalTier1capitalwouldaninstitutionneedtodaytobeabletohaveaTier1riskbasedratioinexcessof6
percentatyearend2010?
o Iftheeconomyfollowsthemoreadversescenario,howmuchadditionalTier1CommoncapitalwouldaninstitutionneedtodaytohaveaTier1Commoncapitalrisk
basedratioinexcessof4percentatyearend2010?
2Tier1capital,asdefinedintheBoardsRiskBasedCapitalAdequacyGuidelines,iscomposedofcommonand
noncommonequityelements,someofwhicharesubjecttolimitsontheirinclusioninTier1capital. See12CFR
part225,AppendixA,II.A.1.Theseelementsincludecommonstockholdersequity,qualifyingperpetual
preferredstock,certainminorityinterests,andtrustpreferredsecurities. Certainintangibleassets,including
goodwillanddeferredtaxassets,aredeductedfromTier1capitalorareincludedsubjecttolimits.See12CFRpart
225,AppendixA,II.B.
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TheSCAPbufferdoesnotrepresentanewcapitalstandardandisnotexpectedtobemaintainedonanongoingbasis. Instead,thatcapitalisavailabletohelpBHCsabsorblargerthanexpected
futurelosses,shouldtheyoccur,andtosupporttheBHCsabilitytoservetheircustomers,
includinglendingtocreditworthyborrowersduringtheeconomicdownturn.
TheresultsoftheSCAPsuggestthatiftheeconomyweretotrackthemoreadversescenario,
lossesat
the
19
firms
during
2009
and
2010
could
be
$600
billion.
The
bulk
of
the
estimated
losses
approximately$455billioncomefromlossesontheBHCsaccrualloanportfolios,particularlyfrom
residentialmortgagesandotherconsumerrelatedloans. Theestimatedtwoyearcumulativelosseson
totalloansunderthemoreadversescenariois9.1percentatthe19participatingBHCs;forcomparison,
thistwoyearrateishigherthanduringthehistoricalpeaklossyearsofthe1930s. Estimatedpossible
lossesfromtradingrelatedexposuresandsecuritiesheldininvestmentportfoliostotaled$135billion.
Incombinationwiththelossesalreadyrecognizedbythesefirmssincemid2007,largelyfromcharge
offsandwritedownsonthevaluesofsecurities,theSCAPresultssuggestfinancialcrisisrelatedlosses
atthesefirms,iftheeconomyweretofollowthemoreadversescenario,couldtotalnearly$950billion
bytheendof2010.
Thepotential
losses
facing
these
19
firms
have
to
be
weighed
against
the
potential
resources
availabletothemtoabsorbthoselosses. Atyearend2008,capitalratiosatall19BHCsexceeded
minimumregulatorycapitalstandards,inmanycasesbysubstantialmargins,andmostmetsupervisory
expectationsonthecompositionofcapital. Tier1capitalatthesefirmstotaledabout$835billioninQ4
2008. ThepracticalimplicationofthiscapitalisthatmanyoftheBHCsalreadyhadsubstantialcapital
buffersinplacetoabsorbtheirshareoftheestimated$600billionoflosses. Inaddition,bankswill
realizerevenuesfromongoingbusinessestoabsorblosses,thoughatalowerlevelintheweak
economicconditionsofthestressscenariothaninthebaseline. However,someofthoserevenueswill
needtogointobuildingloanlossreservesagainstcreditproblemsin2011.
Aftertakingaccountoflosses,revenuesandreservebuildrequirements,intheaggregate,these
firmsneedtoadd$185billiontocapitalbufferstoreachthetargetSCAPcapitalbufferattheendof
2010underthemoreadversescenario. Therearetwoimportantthingstonoteaboutthisestimate.
First,the$185billionaccruesto10ofthe19firms,meaning9ofthe19firmsalreadyhavecapital
bufferssufficienttogetthroughtheadversescenarioinexcessof6percentTier1capitaland4percent
Tier1Commoncapital. Second,thevastmajorityofthis$185billioncomesfromashortfallinTier1
Commoncapitalinthemoreadversescenario,withvirtuallynoshortfallinoverallTier1capital. This
resultmeansthatwhilenearlyallthefirmshavesufficientTier1capitaltoabsorbtheunusuallyhigh
lossesofthemoreadversescenarioandstillend2010withaTier1riskbasedratioinexcessof6
percent,10ofthesefirmshadcapitalstructuresthataretoostronglytiltedtowardcapitalotherthan
commonequity. Thus,eachofthe10firmsneedingtoaugmenttheircapitalasaresultofthisexercise
mustdosobyincreasingtheirTier1Commoncapital.
The$185
billion
estimated
additional
capital
buffers
correspond
to
the
estimate
that
would
haveappliedattheendof2008. Butanumberofthesefirmshaveeithercompletedorcontractedfor
assetsalesorrestructuredexistingcapitalinstrumentssincetheendof2008inwaysthatincreasedtheir
Tier1Commoncapital. TheseactionssubstantiallyreducedthefinalSCAPbuffer. Inaddition,thepre
provisionnetrevenuesofmanyofthefirmsexceededwhatwasassumedinthemoreadversescenario
byalmost$20B,allowingthemtobuildtheircapitalbases. Theeffectsofthesetransactionsand
revenuesrenderedtheadditionalcapitalneededtoestablishtheSCAPbufferequalto$75billion.
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Asmentionedabove,anyBHCneedingtoaugmentitscapitalbufferwillberequiredtodevelop
adetailedcapitalplantobeapprovedbyitsprimarysupervisor,afterconsultationwiththeFDICandthe
Treasury,overthenext30days,andtoimplementthatplaninthenextsixmonths. BHCsare
encouragedtodesigncapitalplansthat,whereverpossible,activelyseektoraisenewcapitalfrom
privatesources. Theseplanscanalsoincludeactionssuchasrestructuringcurrentcapitalinstruments,
salesofassets,andrestrictionsondividendsandstockrepurchases,andwillhavebenchmarksforfirms
toachieveinspecifiedtimeframes.
SomefirmsmaychoosetoapplytotheU.S.TreasuryforMandatoryConvertiblePreferred
(MCP)underitsCapitalAssistanceProgram(CAP)asabridgetoprivatecapitalinthefuture. MCPcan
serveasasourceofcontingentcommoncapitalforthefirm,convertibleintocommonequitywhenand
ifneededtomeetsupervisoryexpectationsregardingtheamountandcompositionofcapital. In
addition,theTreasurywillconsiderrequeststoexchangeoutstandingpreferredsharessoldunderthe
CapitalPurchaseProgram(CPP)orTargetedInvestmentProgram(TIP)fornewMCP. The19firmshave
U.S.Treasurypreferredequitysecuritiesof$216billion.
Strongbankswithamplecapitalareessentialforarobusteconomy. Bymakingacareful
evaluationof
the
potential
vulnerabilities
of
the
largest
19
U.S.
BHCswhich
together
hold
two
thirds
of
assetsandmorethanonehalfoftheloansintheU.S.bankingsystemtheSCAPwillhelptoensurethe
strengthoftheU.S.bankingsector. TheSCAPisalsoanimportantcomplementtotheU.S.Treasurys
supportoftheU.S.bankingsystem,andhelpstoprotectthetaxpayersinvestmentsinU.S.financial
institutions. Bothoftheseprograms,byincreasingthequantityandqualityofcapitalheldbylargeU.S.
BHCs,willhelpreduceuncertaintyabouttheimpactofpotentiallosses,andallowtheU.S.banking
systemtoplayitsroleinsupportingastronger,faster,andmoresustainableeconomicrecovery.
II.SCAPLossandResourceProjectionsTheparticipatingBHCswereaskedtoestimatetheirpotentiallossesonloans,securities,and
tradingpositions,aswellaspreprovisionnetrevenue(PPNR)andtheresourcesavailablefromthe
allowanceforloanandleaselosses(ALLL)undertwoalternativemacroeconomicscenarios. Theseestimateswerereviewedandanalyzedbysupervisorsandthenevaluatedagainstindependent
benchmarksdevelopedbysupervisorstoarriveatthesupervisorslossestimates. Carewastakento
ensurethatthelossandresourceestimatesreflectedtheriskandbusinesslinesofeachBHC,andthat
theywereconsistentwiththemacroeconomicenvironmentspecifiedinthetwoeconomicscenarios,
especiallyforthemoreadversescenariothatformsthebasisofthecapitalbuffercalculations. This
sectionreportstheresultsofthisprocess,firstinaggregateforthe19participatingBHCsandthenfor
individualfirms.
II.A.LossandResourceEstimatesbyBHCs
Eachparticipating
BHC
was
instructed
to
estimate
potential
losses
on
its
loan,
investment
securities,andtradingportfolios,includingoffbalancesheetcommitmentsandcontingentliabilitiesand
exposures,overthetwoyearhorizonbeginningwithyearend2008financialstatementdata. Forloans,
theBHCswereinstructedtoestimateforwardlooking,undiscountedcreditlossesthatis,lossesdueto
failuretopayobligations(cashflowlosses)ratherthandiscountsrelatedtomarktomarketvalues.
Toguideestimation,thefirmswereprovidedwithacommonsetofindicativelossraterangesfor
specificloancategoriesunderconditionsofthebaselineandthemoreadverseeconomicscenarios(see
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5
table1). Firmswereallowedtodivergefromtheindicativelossrateswheretheycouldprovide
evidencethattheirestimatedlossrateswereappropriate.
Theindicativelossraterangeswerederivedusingavarietyofmethodsforpredictingloan
losses,including
analysis
of
historical
loss
experience
at
large
BHCs
and
quantitative
models
relating
the
performanceofloansorgroupsofloanstomacroeconomicvariables. Supervisorsviewedthese
indicativerangesasusefulindicatorsofindustrylossratesandinthatwaytheycanserveasageneral
guide,butrecognizedthattheymightnotadequatelycapturedifferencesacrossindividualfirmsthat
couldaffecttheperformanceandlossesinsignificantways. Thus,supervisorsaskedfirmstoprovide
granulardataabouttheparticularcharacteristicsoftheirportfoliosinordertomakemoretailored
quantitativeassessmentsofloss. LossestimatesfortheSCAPthusreliedultimatelyonfirmspecific
informationaboutfactorssuchaspastperformance,originationyear,borrowercharacteristics,and
geographicdistribution.
II.B.AggregateLossEstimates
Thetwoyearlossestimatestotalcloseto$600billioninthemoreadversescenarioforthe19
BHCs(table2). EstimatedSCAPlossesonresidentialmortgagesaresubstantialoverthetwoyear
scenario,consistentwiththesharpdropinresidentialhousepricesinthepasttwoyearsandtheir
projectedcontinuedsteepfallinthemoreadversescenario. Expectedlossratesonfirstliensand
second/juniorliensarewelloutsidethehistoricalexperienceofcommercialbanks. Theeffectsof
reducedhomepricesonhouseholdwealthandtheindirecteffectsthroughreducedeconomicactivity,
alsopushupestimatedlossesonconsumercredit,includinglossesoncreditcardsandonother
consumerloans. Together,residentialmortgagesandconsumerloans(includingcreditcardandother
Baseline MoreAdverse
FirstLienMortgages 56 78.5
Prime 1.52.5 34
AltA 7.59.5 9.513
Subprime 1520 2128
Second/JuniorLienMortgages 912 1216
ClosedendJuniorLiens 1820 2225
HELOCs 68 811
C&ILoans 34 58
CRE 5
7.5 9
12
Construction 812 1518
Multifamily 3.56.5 1011
Nonfarm,Nonresidential 45 79
CreditCards 1217 1820
OtherConsumer 46 812
OtherLoans 24 410
Table1:IndicativeLossRatesProvidedtoBHCsforSCAP(cumulativetwoyear,inpercent)
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consumerloans,notshown)accountfor$322billion,or70percentoftheloanlossesprojectedunder
themoreadversescenario.3 Estimatedlossratesoncommercialrealestateloans,especiallythose
relatedtolanddevelopment,alsoareelevatedinthemoreadversescenario,reflectingrealizedand
projectedsubstantialdeclinesinrealestatevalues. Forcommercialandindustrialloans,estimatedloss
ratesarewithintherangeofthoseexperiencedinbusinessdownturnsinpastrecentrecessions.
Intotal,theestimatedloanlossratesunderthemoreadversescenarioareveryhighby
historicalstandards. Thetwoyearcumulativelossrateontotalloansequals9.1percentinthemore
3Someoftheselosseshavealreadybeentaken,however,intheformofdiscountsonimpairedloansacquired
duringmergers. Thesediscountsreducefutureestimatedcreditlossesonresidentialmortgageandconsumer
loansbyapproximately$57billion,whichwasincorporatedwhencalculatingtheadditionalcapitalfortheSCAP
buffer.
AtDecember31,2008 $Billions
Tier1Capital 836.7
Tier1CommonCapital 412.5
RiskWeightedAssets 7,814.8
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 599.2
FirstLienMortgages 102.3 8.8%
Second/JuniorLienMortgages 83.2 13.8%
CommercialandIndustrialLoans 60.1 6.1%
CommercialRealEstateLoans 53.0 8.5%
CreditCardLoans 82.4 22.5%
Securities(AFSandHTM) 35.2 na
Trading&Counterparty 99.3 na
Other(1) 83.7 na
Memo:PurchaseAccountingAdjustments 64.3
ResourcesOther
Than
Capital
to
Absorb
Losses
in
the
More
Adverse
Scenario
(2)
362.9
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 185.0
Less:CapitalActionsandEffectsofQ12009Results(3)(4) 110.4
SCAPBuffer(5) 74.6
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
Note:Numbersmaynotsumduetorounding
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
(5)TheremaybeaneedtoestablishanadditionalTier1capitalbuffer,butthiswouldbesatisfiedbytheadditionalTier1Commoncapitalbuffer
unlessotherwisespecifiedforaparticularBHC
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Table2:SupervisoryCapitalAssessmentProgram
AggregateResultsfor19ParticipatingBankHoldingCompaniesfortheMoreAdverseScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
MoreAdverseScenario
(4)TotalincludesonlycapitalactionsandeffectsofQ12009resultsforfirmsthatneedtoestablishaSCAPbuffer
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adversescenario. AsshowninFigure1,thislossrateishigherthantwoyearlossratesobservedfor
U.S.commercialbanksfrom1920to2007/2008. Inadditiontothesharpesttwoyeardropinresidential
housepricessincethen,andaprojectedfurthersteepdeclineinthewhatifadversescenario,therisein
theunemploymentrateinthescenariowouldbemoreseverethananyU.S.recessionsincethe1930s.4
Table2alsoreportsaggregateprojectionsforlossesonsecuritiesheldintheavailableforsale
(AFS)andheldtomaturity(HTM)investmentportfoliosand,forBHCswithtradingaccountassets
exceeding$100billion,lossesontradingandcounterpartycreditrisklosses. Theselossesrepresenta
significantshareofthetotal.
ToevaluatelossesforsecuritiesintheAFSandHTMportfolios,supervisorsfocusedonsecurities
subjectto
credit
risk.
At
the
end
of
2008,
the
19
BHCs
held
$1.5
trillion
of
securities,
more
than
one
half
ofwhichwereTreasury,agencies,orsovereignsecurities,orhighgrademunicipaldebt,andsoare
subjecttonoorlimitedcreditrisk. Onlyabout$200billionwasinnonagencymortgagebacked
securities(MBS)andonlyaportionofthesewererecentvintageorwerebackedbyriskiernonprime
mortgages. Remainingmaterialexposuresincludedcorporatebonds,mutualfunds,andotherasset
backedsecurities. Forsecuritizedassets,supervisorsassessedifthesecuritywouldbecomeimpaired
duringitslifetime. Ifthecurrentlevelofcreditsupportwasconsideredinsufficienttocoverexpected
losses,thesecuritywaswrittendowntofairvaluewithacorrespondingotherthantemporary
impairment(OTTI)charge,equaltothedifferencebetweenbookandmarketvalue. TheseOTTI
chargesequaled$35billioninthemoreadversescenario,withalmostonehalfoftheestimatedlosses
comingfromthenonagencyMBS.5
4AnotherreferencefortheestimatedlossratesintheSCAPiswheretheystandrelativetoestimatesmade
recentlybyotheranalysts. Unfortunately,manyofthelossestimatesarenotdirectlycomparablebecausethey
arefordifferenttimehorizons(forexample,lifetimelosses)orarebasedondifferenteconomicscenarios.
However,basedonassessmentsthatwecanmakewiththeavailableinformation,theSCAPestimatesappearto
beaboutinthemiddleoftherangeoftheseotherestimates.5Torecognizelossesinthemoreadversescenario,supervisorschoseaconservativeapproach.Financial
AccountingStandardsBoard(FASB)StaffPositionFAS1152andFAS1242,RecognitionandPresentationofOther
ThanTemporaryImpairments, April9,2009,regardsdebtsecuritiesheldintheAFSandHTMaccountsand
-1
0
1
2
3
4
5
6
7
8
9
10
1921
1926
1931
1936
1941
1946
1951
1956
1961
1966
1971
1976
1981
1986
1991
1996
2001
2006
Percent
Figure 1: Commercial Bank Two-Year Loan Loss Rates1921 - 2008
SCAP Total Loan Loss Rates = 9.1%
Sources: International Monetary Fund (1920 - 1933), Federal Deposit Insurance Corporation (1934 - 2007), and commercial bank reports on condition and income (2008)
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Inaddition,firmswithtradingassetsof$100billionormorewereaskedtoestimatepotential
tradingrelatedmarketandcounterpartycreditlossesunderamarketstressscenarioprovidedbythe
supervisors,basedontheseveremarketshocksthatoccurredinthesecondhalfof2008. Theestimated
lossesfromtradingrelatedexposuresweresubstantial,closeto$100billionacrossthefivefirmsto
whichitwasapplied. Theprimarydriversofpotentialstresslosseswereprivateequityholdings,other
creditsensitivetradingpositions,andpossiblelossesstemmingfromcounterpartycreditexposurestooverthecounter(OTC)derivativestradingcounterparties. Thepossiblelossesfromcounterpartycredit
exposuresweremeasuredusingcreditvaluationadjustmentmethodsbasedonstressedexposurelevels
andexpecteddeteriorationofthecreditworthinessofcounterpartiesunderthemoreadversescenario.
Thetotallossestimateof$600billionforthe19BHCsisinadditiontothesubstantiallossesthat
havealreadybeentakenbythesefirmsinthepastcoupleofyears.6 Thatis,theforwardlookinglosses
intheSCAPdonotincludethelossesthathavealreadyoccurredsincetheassetswereoriginatedand
arealreadyreflectedinthefirmsbalancesheets. Lossestakeninthesixquartersthroughtheendof
2008bythesefirmsandfirmstheyacquiredaresubstantial,estimatedatapproximately$400billion.
Theyincludechargeoffs,writedownsonsecuritiesheldinthetradingandintheinvestmentaccounts,
anddiscounts
on
assets
acquired
in
acquisitions
of
distressed
or
failed
financial
institutions.
As
an
offset,about$65billioninthesemergerrelateddiscountsarecapturedintheSCAPlossprojections(the
socalledpurchaseaccountingadjustments)whichreflectthatasubstantialpartofestimatedlosseson
theassetspurchasedwerealreadyrecorded. Thus,amorecomprehensivemeasureoflossestotalsat
least$935billionforthe19participatingBHCsinthemoreadversescenario.7
II.C.FirmlevelLossEstimates
Asdiscussedearlier,theSCAPlossestimatesweremadeusingconsiderablefirmspecificdata
abouttheriskandlikelyfutureperformanceoftheportfolios. Becausetheexercisemadeextensiveuse
ofthisinformation,theresultinglossratesvarysignificantlyacrossBHCs. Table3summarizesthe
results
for
each
of
the
19
BHCs
that
participated
in
the
SCAP.
The
table
reports
loss
amounts
and
loss
rates,alongwithprojectionsofresourcestoabsorblosses,andtotalcapitalneedateachinstitution.
Theappendixcontainsseparatetablesforeachofthe19BHCs.
focusesonwhetherfirmsintendtosellanimpairedsecurityorwhether itismorelikelythannotthatfirmswillbe
requiredtosellthesecuritybeforerecoveryofitscostbasis. Ifeitheroftheseconditionsismet,thefirmmust
recognizeOTTI.TheFASBsguidanceholdsthatafirmsdeterminationofitsabilitytoholdasecuritytorecovery
shouldconsidersourcesofuncertainty. Supervisorsbelieveditprudenttoincorporatethepossibilitythatfirms
maynotbeabletoholdasecuritytorecoveryunderconditionsmorestressfulthanexpected. Thusforthose
securitiesestimatedorrecommendedbysupervisorstobeotherthantemporarilyimpaired,thelosswasequalto
thedifference
between
the
investments
amortized
cost
basis
and
its
fair
value.
6Pastlosses,however,arerecognizedinthestartingregulatorycapitallevelsusedtocalculatetheSCAPcapital
buffer,asdiscussedinthenextsectionofthepaper.7TheselossesarenotfulllifetimelossesbecausetheSCAPlossprojectionsareforatwoyearforwardhorizonand
thusdonotcapturelossesoccurringbeyondtheendof2010. However,giventheprofileofthemoreadverse
scenario,whichincludesareturntopositiverealGDPgrowthwithinthetwoyears,thishorizonseemslikelyto
capturealargeportionoflossesfrompositionsheldasoftheendof2008. Theimpactofsomelossesafter2010is
alsocapturedintheoverallSCAPexercisethroughthecalculationofyearend2010reserves,whicharecalibrated
tobesufficienttocoverprojected2011losses.
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Figure2showstheratiooftotalestimatedtwoyearlossestoyearend2008riskweighted
assets(RWA)inthemoreadversescenarioforthe19participatingBHCs. Clearly,thereissubstantial
variationacrossfirmsinthesizeofestimatedlossesrates,reflectingdifferencesinbusinesslinesand
assetquality. ThemedianlosstoRWAratioequals7.5percent,andtheratiorangesfrom3.0percent
to11.8percentacrossthefirms. Theseestimatesarenotforecastsofexpectedlosses,butare
estimatesoflossesthatwouldoccurundereconomicconditionsmorestressedthananticipated. HigherlossestimatesdonotnecessarilyimplyaneedformorecapitaltomeettheSCAPbuffer,assomefirms
willalsohavehigherestimatedresourcesandcapital.
Thenextfivechartsillustrateselectedlossratesbyloantypeacrossthe19BHCs. Lossratesare
calculatedascumulative,twoyearlossesdividedbybeginningofperiodloanbalances.Thelossrates
donotreflectadjustmentstorecognizewritedownsofloanportfoliosacquiredduringmergers. The
chartsalsoshowthemedianlossrateacrossthefirms.
Aswithoveralllosses,therearesignificantdifferencesinlossratesbyloantypeacrossBHCs.
Forexample,whilethemediantwoyearlossrateonfirstlienmortgageswas8percentacrossthe15
BHCswithamaterialamountofmortgages,theratesvariedfromalowof3.4percenttoahighofnearly
12percent. Forsecondandjuniorlienmortgages,therangeamong14BHCswas6percentto21
percent,and
amedian
rate
of
about
13
percent.
Such
variation
reflects
substantial
differences
in
the
portfoliosacrosstheBHCs,byborrowercharacteristicssuchasFICOscores,andloancharacteristicssuch
asloantovalueratio,yearoforigination,andgeography. Thesedifferencesresultinsignificant
variationinlossestimatesatthefirmlevelascomparedwithapplyingasinglelossrateperasset
categorytoallBHCs.
0
2
4
6
8
10
12
14
AmEx
BofA
BB&T
BNYM
CapitalOne
Citi
FifthThird
GMAC
Goldman
JPMC
KeyCorp
Metlife
MorganStanley
PNC
Regions
StateStreet
SunTrust
USB
Wells
Percent
Figure2:SupervisorEstimatesofTotalLossestoRiskWeightedAssets
forMoreAdverseScenario
Median= 7.5%
8/14/2019 Stress Test Results
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11
0
2
4
6
8
10
12
14
AmEx
BofA
BB&T
BNYM
CapitalOne
Citi
FifthThird
GMAC
Goldman
JPMC
Ke
yCorp
M
etlife
MorganStanley
PNC
Re
gions
StateStreet
Sun
Trust
USB
Wells
Percent
Figure3:SupervisorEstimatesofFirstLienMortgageLoanLossRates*
forMoreAdverseScenario
Median= 8.0%
*IncludesPrime,AltA,andSubPrimemortgages
0
5
10
15
20
25
AmEx
BofA
BB&T
BNYM
CapitalOne
Citi
FifthThird
GMAC
Goldman
JPMC
KeyCorp
Metlife
MorganStanley
PNC
Regions
StateStreet
SunTrust
USB
Wells
Percent
Figure4: SupervisorEstimatesofSecondLienMortgageLoanLossRates*
forMoreAdverseScenario
Median= 13.3%
*Includes
closed
end
junior
liens
and
HELOCs
8/14/2019 Stress Test Results
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12
0
5
10
15
20
25
30
35
40
45
50
AmEx
BofA
BB&T
B
NYM
Capita
lOne
Citi
Fifth
Third
G
MAC
Goldman
JPMC
KeyCorp
M
etlife
MorganStanley
PNC
Re
gions
StateS
treet
Sun
Trust
USB
Wells
Percent
Figure5: SupervisorEstimatesofCommercialRealEstateLoanLossRates*
forMoreAdverseScenario
Median= 10.6%
*Includesconstruction,multifamily, andnonfarm/nonresidential
0
5
10
15
20
25
AmEx
BofA
BB&T
BNYM
CapitalOne
Citi
FifthThird
GMAC
Goldman
JPMC
KeyCorp
Metlife
M
organStanley
PNC
Regions
StateStreet
SunTrust
USB
Wells
Percent
Figure6:SupervisorEstimatesofCommercial&IndustrialLoanLossRates
forMoreAdverseScenario
Median= 5.8%
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8/14/2019 Stress Test Results
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14
III.TheSCAPCapitalBufferMinimumcapitalstandardsforaBHCareintendedtoserveonlyasaguideforsupervisorsin
determiningtheadequacyoftheBHCscapitalrelativetoitsriskprofile. Inpractice,supervisorsexpect
allBHCstohavealevelandcompositionofTier1capitalwellinexcessofthe4percentregulatory
minimum,andalsotohavevotingcommonstockholdersequityasthedominantelementofTier1
capital. Inthisregard,theuseofTier1CommoncapitalintheSCAPisconsistentwiththeBoardslong
held
belief
that
common
equity
should
be
the
dominant
form
of
Tier
1
Capital.
8
Under
the
SCAP,
supervisorsevaluatedtheextenttowhicheachofthe19BHCswouldneedtoaltereithertheamountor
thecomposition(orboth)ofitsTier1capitaltodaytobeabletoexceedminimumregulatory
requirementsinQ42010,evenunderanunexpectedlyadverseeconomicoutcome.
Specifically,theSCAPcapitalbufferforeachBHCissizedtoachieveaTier1riskbasedratioofat
least6percentandaTier1Commoncapitalratioofatleast4percentattheendof2010underthe
moreadversemacroeconomicscenario. ByfocusingonTier1CommoncapitalaswellasTier1capital,
theSCAPemphasizedboththeamountofaBHCscapitalandthecompositionofitscapitalstructure.
OncetheSCAPupfrontbufferisestablished,thenormalsupervisoryprocesswillcontinuetobeusedto
determinewhetherafirmscurrentcapitalratiosareconsistentwithregulatoryguidance.
Byits
design,
the
SCAP
is
more
stringent
than
asolvency
test.
Each
BHCs
capital
was
rigorously
evaluatedagainstatwoyearaheadadversescenariothatisnotapredictionoranexpectedoutcome
fortheeconomy,butisinsteadawhatifscenario. Thus,anyneedforadditionalcapitaland/ora
changeincompositionofcapitaltomeettheSCAPbufferbuildsinextracapitalagainsttheunlikely
8Tier1CommoncapitaliscalculatedasTier1capitallessnoncommonelements,includingqualifyingperpetual
preferredstock,qualifyingminorityinterestinsubsidiaries,andqualifyingtrustpreferredsecurities.
2
0
2
4
6
8
10
12
14
A
mEx
BofA
B
B&T
BNYM
CapitalOne
Citi
FifthThird
GMAC
Gold
man
J
PMC
KeyCorp
Me
tlife
MorganSta
nley
PNC
Reg
ions
StateStreet
SunTrust
USB
W
ells
Percent
Figure8:SupervisorEstimatesofResourcestoAbsorbLossestoRisk
WeightedAssetsforMoreAdverseScenario
Median= 4.9%
*Resourcestoabsorblossesincludepreprovisionnetrevenuelesschanges inALLL
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15
eventtheadversescenariomaterializesand,inthatwayitmayhelptopreventthatadverseeventfrom
occurring.
TheillustrationbelowshowshowthebufferworksforahypotheticalBHCneedingtoaugment
itscapitalattheendoftheSCAP. ThelefthandsideoftheexhibitshowstheBHCsinitialcapitallevel
uponthecompletionoftheSCAPonMay7anditscapitallevelafteritbuildstheSCAPbufferoverthe
sixmonthsfromMay7toNovember9.MuchlikethestressassessmentexerciseundertakenintheSCAP,therighthandsideoftheexhibitshowswhatwouldhappentotheBHCscapitalundertwo
alternativescenariosforthemacroeconomy. Intheexpected,orbaseline,scenario,theBHCwouldend
theperiodwithevenhighercapitallevelsthatarewellaboveregulatoryminimums,whileintheworse
thanexpected,ormoreadversescenario,theBHCwouldendtheperiodwithcapitalnearorslightly
aboveappropriatelevels.
Thepresenceofthisonetimebufferwillgivemarketparticipants,aswellasthefirms
themselves,confidenceinthecapacityofthemajorBHCstoperformtheirvitalroleinlendingevenif
theeconomyprovesweakerthanexpected.
IV.CalculationofAdditionalCapitaltoBuildSCAPBufferTocalculatetheamountofadditionalcapitaltobuildtheSCAPbuffer,supervisorsbeganwith
estimatesofcreditandtradinglossesfromPPNRandALLLtoestimatethepretaxchangetoretained
earnings.9 Pretaxchangestoretainedearningswereallocatedtoanaftertaxportionandataxrelated
portionusinga35percentaveragetaxrate. Thetaxrelatedportionofanylosseswasappliedtothe
9IfanalysisindicatedthattheALLLcouldbeloweratQ42010thanitwasatQ42008,thenthecommensurate
reservereleasewasaddedtopreprovisionnetrevenueasanadditionallossabsorbingresource.
7May2009 9Nov2009 BaselineScenario MoreAdverseScenario
SCAPBufferHelpsEnsureAppropriateBankCapital
intheMoreAdverseScenario
InitialCapital and SCAPBuffer PossibleFutureOutcomes
SCAP
Buffer
Appropriate
CapitalLevels
8/14/2019 Stress Test Results
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16
stockoftotaldeferredtaxassetstoestimatetheproformavalue,inaccordancewithexistingcapital
rules. Finally,aftertaxchangestoretainedearningswerecombinedwithprojectedpreferreddividend
paymentstoestimatethechangeinequitycapitalandproformaequitycapitalforyearend2010.10 Pro
formariskweightedassetsweredefinedasRWAfrom4Q2008plusanyassetsbroughtontothe
balancesheetinaccordancewithFAS140.11
ABHC
was
considered
to
require
an
additional
SCAP
buffer
if
its
pro
forma
Tier
1ratio
was
below6percentorifitsproformaTier1Commonratiowasbelow4percentattheendof2010. For
manyfirms,ifabufferwasrequiredtomeettheTier1Commoncapitalratioof4percent,theadditional
commonorcontingentcommonequitythatwouldberaisedwouldbesufficienttobringitsTier1ratio
toorabove6percent.
Theinitialsupplementalcapitalbufferestimatesarebasedonyearend2008capitalandrisk
weightedassets,adjustedforFAS140. Theseestimatesthusdonotreflectdevelopmentsaffectingthe
firmscapitalpositionsandcorporatestructuresincetheendoftheyear. Tocapturetheseeffects,the
estimatesfortheinitialcapitalbufferswereadjustedtoreflectcertaincapitalactions,representinga
directincreaseordecreaseinthedeterminationofcapitalneeds.Theseadjustmentswerebasedon
informationsupplied
by
participating
BHCs,
subject
to
consultation
and
review
by
supervisors.
Capital
actionadjustmentsreflectfactorssuchascontractedmaterialsalesordispositionsofbusinesses,
holdingsordiscontinuedoperations,contractedexchangesofsecuritieswithaBHCscapitalstructure,
andtheamount(ifany)ofmandatoryconvertiblepreferredtoconverttocommonbyyearend2010.
TheresultswerealsoadjustedtoreflectQ12009operatingperformance.Thefinalsupplementalcapital
bufferistheinitialestimateplusorminustheimpactoftheseadjustments.
V. IndicatedAdditionalCapitalBuffersunderSCAPV.A.AggregateSCAPBuffer
Theinitial
results
using
data
through
Q4
2008
suggest
that
the
aggregate
capital
needed
for
the
19BHCstoreachtheSCAPcapitalbuffertargetsinthemoreadversescenariois$185billion,thevast
majorityofwhichneedstobeintheformofTier1Commoncapital(table2). Capitalneedsaremainly
intheformofTier1Commoncapital,whichreflectsthefactthatwhilemanyinstitutionshavea
sufficientamountofcapital,theyneedtotakestepstoimprovethequalityofthatcapital.
ThefinalcapitalbufferincorporatescapitalactionsandtheimpactofQ12009operating
performance. Theseadjustmentsaresubstantial,reflectingstrongpreprovisionnetrevenuesatsome
firmsinthefirstquarterand,toamuchlargerdegree,effortsalreadytakenbysomefirmspriortothe
conclusionoftheSCAPtoraisecommonequitybysellingsubsidiaries,convertingpreferredstock,or
issuingcommonshares. Aftertakingintoaccountthecompletedorcontractedcapitalactionsandthe
10Common
dividends
were
assumed
to
be
zero
in
the
more
adverse
scenario.
11Thesupervisorsconductingthecreditanalysisworkedcloselywithaccountingspecialistsintheagenciesto
ensurethatthefirmsprojectionswereconsistentwithexistingaccountingstandards. Additionally,supervisors
evaluatedthepotentialimpactofproposedchangestoFAS140andFIN46(R)whichareexpectedtobefinalizedin
May2009andimplementedinJanuary2010. Theagenciesaccountingspecialistsdiscussedtheamendmentswith
FASBmembersandstaffandotherexpertstoassessthereasonablenessoffirmestimatesofassetslikelytobe
broughtontothebalancesheetstartingin2010asaresultoftheamendments. Theonboardingofassetswere
alsofactoredintoourassessmentofriskweightedassetsandtheassociatedALLLneeds.
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8/14/2019 Stress Test Results
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18
Appendix: InstitutionSpecificResults
8/14/2019 Stress Test Results
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19
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 10.1 9.7%
Tier1CommonCapital 10.1 9.7%
RiskWeightedAssets 104.4
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 11.2
FirstLienMortgages na na
Second/JuniorLienMortgages na na
Commercialand
Industrial
Loans
na
na
CommercialRealEstateLoans na na
CreditCardLoans 8.5 20.2%
Securities(AFSandHTM) na na
Trading&Counterparty na na
Other(1) 2.7 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 11.9
SCAPBufferAddedforMoreAdverseScenario
(SCAPBufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less:CapitalActionsandEffectsofQ12009Results(3) 0.2
SCAPBuffer NoNeed
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowance
forloanandleaselosses
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
MoreAdverseScenario
AmericanExpressCompany
SupervisoryCapitalAssessmentProgram
EstimatesforAmericanExpressCompanyfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
8/14/2019 Stress Test Results
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20
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 173.2 10.6%
Tier1CommonCapital 74.5 4.6%
RiskWeightedAssets 1,633.8
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 136.6
FirstLienMortgages 22.1 6.8%
Second/JuniorLienMortgages 21.4 13.5%
Commercialand
Industrial
Loans 15.7 7.0%
CommercialRealEstateLoans 9.4 9.1%
CreditCardLoans 19.1 23.5%
Securities(AFSandHTM) 8.5 na
Trading&Counterparty 24.1 na
Other(1) 16.4 na
Memo:PurchaseAccountingAdjustments 13.3
ResourcesOtherThanCapitaltoAbsorbLosses(2) 74.5
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 46.5
Less:CapitalActionsandEffectsofQ12009Results(3) 10.9
OtherCapitalActions(4) 1.8
SCAPBuffer 33.9
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowance
forloanandleaselosses
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
(4)Capitalbenefitfromriskweightedassetimpactofeligibleassetguarantee
Note:Numbersmaynotsumduetorounding
MoreAdverseScenario
SupervisoryCapitalAssessmentProgram
EstimatesforBankofAmericaCorporationfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
BankofAmericaCorporation
8/14/2019 Stress Test Results
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21
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 13.4 12.3%
Tier1CommonCapital 7.8 7.1%
RiskWeightedAssets 109.8
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 8.7
FirstLienMortgages 1.1 4.5%
Second/JuniorLienMortgages 0.7 8.8%
CommercialandIndustrialLoans 0.7 4.5%
CommercialRealEstateLoans 4.5 12.6%
CreditCardLoans 0.2 18.2%
Securities(AFSandHTM) 0.2 na
Trading&Counterparty na na
Other(1) 1.3 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 5.5
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less:
CapitalActions
and
Effects
of
Q1
2009
Results
(3) 0.1
SCAPBuffer NoNeed
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforBB&TCorporationfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
BB&TCorporation
MoreAdverseScenario
8/14/2019 Stress Test Results
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22
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 15.4 13.3%
Tier1CommonCapital 11.0 9.5%
RiskWeightedAssets 115.8
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 5.4
FirstLienMortgages 0.2 5.0%
Second/JuniorLien
Mortgages
na
na
CommercialandIndustrialLoans 0.4 5.0%
CommercialRealEstateLoans 0.2 9.9%
CreditCardLoans na na
Securities(AFSandHTM) 4.2 na
Trading&Counterparty na na
Other(1) 0.4 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 6.7
SCAPBufferAddedforMoreAdverseScenario
(SCAPbuffer
is
defined
as
additional
Tier
1Common/contingent
Common)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less: CapitalActionsandEffectsofQ12009Results(3) 0.2
SCAPBuffer NoNeed
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforTheBankofNewYorkMellonCorporationfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
TheBankofNewYorkMellon
Corporation
MoreAdverseScenario
8/14/2019 Stress Test Results
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23
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 16.8 12.7%
Tier1CommonCapital 12.0 9.1%
RiskWeightedAssets 131.8
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 13.4
FirstLienMortgages 1.8 10.7%
Second/JuniorLien
Mortgages 0.7 19.9%
CommercialandIndustrialLoans 1.5 9.7%
CommercialRealEstateLoans 1.1 6.0%
CreditCardLoans 3.6 18.2%
Securities(AFSandHTM) 0.4 na
Trading&Counterparty na na
Other(1) 4.3 na
Memo:PurchaseAccountingAdjustments 1.5
ResourcesOtherThanCapitaltoAbsorbLosses(2) 9.0
SCAPBufferAddedforMoreAdverseScenario
(SCAPbuffer
is
defined
as
additional
Tier
1Common/contingent
Common)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less: CapitalActionsandEffectsofQ12009Results(3) 0.3
SCAPBuffer NoNeed
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforCapitalOneFinancialCorporationfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
CapitalOneFinancial
Corporation
MoreAdverseScenario
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24
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 118.8 11.9%
Tier1CommonCapital 22.9 2.3%
RiskWeightedAssets 996.2
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 104.7
FirstLienMortgages 15.3 8.0%
Second/JuniorLienMortgages 12.2 19.5%
CommercialandIndustrialLoans 8.9 5.8%
CommercialRealEstateLoans 2.7 7.4%
CreditCardLoans 19.9 23.0%
Securities(AFSandHTM) 2.9 na
Trading&Counterparty 22.4 na
Other(1) 20.4 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 49.0
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 92.6
Less:Capital
Actions
and
Effects
of
Q1
2009
Results
(3) 29.0
OtherCapitalActions(4) 58.1
SCAPBuffer 5.5
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
(4)IncludesimpactofpreferredexchangeoffersannouncedonFebruary27,2009
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforCitigroup,Inc.fortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
Citigroup,Inc.
MoreAdverseScenario
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25
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 11.9 10.6%
Tier1CommonCapital 4.9 4.4%
RiskWeightedAssets 112.6
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 9.1
FirstLienMortgages 1.1 10.3%
Second/JuniorLienMortgages 1.1 8.7%
Commercialand
Industrial
Loans 2.8 11.0%
CommercialRealEstateLoans 2.9 13.9%
CreditCardLoans 0.4 22.3%
Securities(AFSandHTM) 0.05 na
Trading&Counterparty na na
Other(1) 0.9 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 5.5
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAP
Buffer
as
of
December
31,
2008 2.6
Less: CapitalActionsandEffectsofQ12009Results(3) 1.5
SCAPBuffer 1.1
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
SupervisoryCapitalAssessmentProgram
EstimatesforFifthThirdBancorpfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
FifthThirdBancorp
MoreAdverseScenario
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26
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 17.4 10.1%
Tier1CommonCapital 11.1 6.4%
RiskWeightedAssets 172.7
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses 9.2
FirstLienMortgages 2.0 10.2%
Second/JuniorLienMortgages 1.1 21.2%
CommercialandIndustrialLoans 1.0 2.7%
CommercialRealEstateLoans 0.6 33.3%
CreditCardLoans na na
Securities(AFSandHTM) 0.5 na
Trading&Counterparty na na
Other(1) 4.0 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 0.5
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 6.7
Less:
CapitalActions
and
Effects
of
Q1
2009
Results
(3)
4.8
SCAPBuffer(4) 11.5
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
(4)Firmneedstoaugmentthecapitalbufferwith$11.5billionofTier1Common/contingentCommon
ofwhich$9.1billionmustbenewTier1capital
Note:Numbersmaynotsumduetorounding
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
MoreAdverseScenario
GMACLLC
SupervisoryCapitalAssessmentProgram
EstimatesforGMACLLCfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
8/14/2019 Stress Test Results
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27
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 55.9 12.6%
Tier1CommonCapital 34.4 7.7%
RiskWeightedAssets 444.8
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 17.8
FirstLienMortgages na na
Second/JuniorLienMortgages na na
CommercialandIndustrialLoans 0.01 1.2%
CommercialRealEstateLoans na na
CreditCard
Loans
na
na
Securities(AFSandHTM) 0.1 na
Trading&Counterparty 17.4 na
Other(1) 0.3 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 18.5
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less: CapitalActionsandEffectsofQ12009Results(3) 7.0
SCAPBuffer No
Need
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforTheGoldmanSachsGroup,Inc.fortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
TheGoldman
Sachs
Group,
Inc.
MoreAdverseScenario
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28
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 136.2 10.2%
Tier1CommonCapital 87.0 6.5%
RiskWeightedAssets 1,337.5
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 97.4
FirstLienMortgages 18.8 10.2%
Second/JuniorLienMortgages 20.1 13.9%
CommercialandIndustrialLoans 10.3 6.8%
CommercialRealEstateLoans 3.7 5.5%
CreditCardLoans 21.2 22.4%
Securities(AFSandHTM) 1.2 na
Trading&Counterparty 16.7 na
Other(1) 5.3 na
Memo:PurchaseAccountingAdjustments 19.9
ResourcesOtherThanCapitaltoAbsorbLosses(2) 72.4
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less:
CapitalActions
and
Effects
of
Q1
2009
Results
(3) 2.5
SCAPBuffer NoNeed
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforJPMorganChase&Co.fortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
JPMorganChase
&
Co.
MoreAdverseScenario
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29
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 11.6 10.9%
Tier1CommonCapital 6.0 5.6%
RiskWeightedAssets 106.7
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 6.7
FirstLienMortgages 0.1 3.4%
Second/JuniorLienMortgages 0.6 6.3%
CommercialandIndustrialLoans 1.7 7.9%
CommercialRealEstateLoans 2.3 12.5%
CreditCard
Loans 0.002 37.9%
Securities(AFSandHTM) 0.1 na
Trading&Counterparty na na
Other(1) 1.8 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 2.1
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 2.5
Less: CapitalActionsandEffectsofQ12009Results(3) 0.6
SCAPBuffer 1.8
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforKeyCorpfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
KeyCorp
MoreAdverseScenario
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30
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 30.1 9.2%
Tier1CommonCapital 27.8 8.5%
RiskWeightedAssets 326.4
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 9.6
FirstLienMortgages 0.03 5.0%
Second/JuniorLienMortgages 0.01 14.1%
CommercialandIndustrialLoans 0.0 0.0%
CommercialRealEstateLoans 0.8 2.1%
CreditCard
Loans
na
na
Securities(AFSandHTM) 8.3 na
Trading&Counterparty na na
Other(1) 0.5 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 5.6
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less: CapitalActionsandEffectsofQ12009Results(3) 0.6
SCAPBuffer No
Need
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforMetLife,Inc.fortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
MetLife,Inc.
MoreAdverseScenario
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AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 47.2 15.2%
Tier1CommonCapital 17.8 5.7%
RiskWeightedAssets 310.6
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 19.7
FirstLienMortgages na na
Second/JuniorLienMortgages na na
Commercialand
Industrial
Loans 0.1 2.4%
CommercialRealEstateLoans 0.6 45.2%
CreditCardLoans na na
Securities(AFSandHTM) na na
Trading&Counterparty 18.7 na
Other(1) 0.2 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 7.1
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAP
Buffer
as
of
December
31,
2008 8.3
Less: CapitalActionsandEffectsofQ12009Results(3) 6.5
SCAPBuffer 1.8
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforMorganStanleyfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
MorganStanley
MoreAdverseScenario
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AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 24.1 9.6%
Tier1CommonCapital 11.7 4.7%
RiskWeightedAssets 250.9
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 18.8
FirstLienMortgages 2.4 8.1%
Second/JuniorLienMortgages 4.6 12.7%
CommercialandIndustrialLoans 3.2 6.0%
CommercialReal
Estate
Loans 4.5 11.2%
CreditCardLoans 0.4 22.3%
Securities(AFSandHTM) 1.3 na
Trading&Counterparty na na
Other(1) 2.3 na
Memo:PurchaseAccountingAdjustments 5.9
ResourcesOtherThanCapitaltoAbsorbLosses(2) 9.6
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
Indicated
SCAP
Buffer
as
of
December
31,
2008 2.3Less: CapitalActionsandEffectsofQ12009Results(3) 1.7
SCAPBuffer 0.6
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforPNCFinancialServicesGroup,Inc.fortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
PNCFinancial
Services
Group,
Inc.
MoreAdverseScenario
8/14/2019 Stress Test Results
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33
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 12.1 10.4%
Tier1CommonCapital 7.6 6.6%
RiskWeightedAssets 116.3
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses 9.2
FirstLienMortgages 1.0 4.1%
Second/JuniorLienMortgages 1.1 11.9%
CommercialandIndustrialLoans 1.2 7.0%
CommercialRealEstateLoans 4.9 13.7%
CreditCardLoans na na
Securities(AFSandHTM) 0.2 na
Trading&Counterparty na na
Other(1) 0.8 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 3.3
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 2.9
Less: CapitalActionsandEffectsofQ12009Results(3) 0.4
SCAPBuffer(4) 2.5
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
Note:Numbersmaynotsumduetorounding
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
(4)Firmneedstoaugmentthecapitalbufferwith$2.5billionofTier1Common/contingentCommonofwhich$400millionmustbenewTier1
capital
MoreAdverseScenario
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
Regions
Financial
Corporation
SupervisoryCapitalAssessmentProgram
EstimatesforRegionsFinancialCorporationfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
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AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 14.1 20.2%
Tier1CommonCapital 10.8 15.5%
RiskWeightedAssets 69.6
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 8.2
FirstLienMortgages na na
Second/JuniorLienMortgages na na
CommercialandIndustrialLoans 0.04 22.8%
CommercialRealEstateLoans 0.3 35.5%
CreditCard
Loans
na
na
Securities(AFSandHTM) 1.8 na
Trading&Counterparty na na
Other(1) 6.0 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 4.3
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less: CapitalActionsandEffectsofQ12009Results(3) 0.2
SCAPBuffer No
Need
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforStateStreetCorporationfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
StateStreet
Corporation
MoreAdverseScenario
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35
AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 17.6 10.9%
Tier1CommonCapital 9.4 5.8%
RiskWeightedAssets 162.0
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 11.8
FirstLienMortgages 2.2 8.2%
Second/JuniorLienMortgages 3.1 13.7%
CommercialandIndustrialLoans 1.5 5.2%
CommercialRealEstateLoans 2.8 10.6%
CreditCard
Loans 0.1 17.4%
Securities(AFSandHTM) 0.02 na
Trading&Counterparty na na
Other(1) 2.1 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 4.7
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 3.4
Less: CapitalActionsandEffectsofQ12009Results(3) 1.3
SCAPBuffer 2.2
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforSunTrustBanks,Inc.fortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
SunTrustBanks,
Inc.
MoreAdverseScenario
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AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 24.4 10.6%
Tier1CommonCapital 11.8 5.1%
RiskWeightedAssets 230.6
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 15.7
FirstLienMortgages 1.8 5.7%
Second/JuniorLienMortgages 1.7 8.8%
CommercialandIndustrialLoans 2.3 5.4%
CommercialRealEstateLoans 3.2 10.2%
CreditCard
Loans 2.8 20.3%
Securities(AFSandHTM) 1.3 na
Trading&Counterparty na na
Other(1) 2.8 na
Memo:PurchaseAccountingAdjustments na
ResourcesOtherThanCapitaltoAbsorbLosses(2) 13.7
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 NoNeed
Less: CapitalActionsandEffectsofQ12009Results(3) 0.3
SCAPBuffer No
Need
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforU.S.BancorpfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadversethan
expected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
U.S.Bancorp
MoreAdverseScenario
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AtDecember31,2008 $Billions As%ofRWA
Tier1Capital 86.4 8.0%
Tier1CommonCapital 33.9 3.1%
RiskWeightedAssets 1,082.3
Estimatedfor2009and2010fortheMoreAdverseScenario $Billions As%ofLoans
TotalEstimatedLosses(Beforepurchaseaccountingadjustments) 86.1
FirstLienMortgages 32.4 11.9%
Second/JuniorLienMortgages 14.7 13.2%
CommercialandIndustrialLoans 9.0 4.8%
CommercialRealEstateLoans 8.4 5.9%
CreditCardLoans 6.1 26.0%
Securities(AFSandHTM) 4.2 na
Trading&Counterparty na na
Other(1) 11.3 na
Memo:PurchaseAccountingAdjustments 23.7
ResourcesOtherThanCapitaltoAbsorbLosses(2) 60.0
SCAPBufferAddedforMoreAdverseScenario
(SCAPbufferisdefinedasadditionalTier1Common/contingentCommon)
IndicatedSCAPBufferasofDecember31,2008 17.3
Less:
CapitalActions
and
Effects
of
Q1
2009
Results
(3) 3.6
SCAPBuffer 13.7
(1)Includesotherconsumerandnonconsumerloansandmiscellaneouscommitmentsandobligations
(3)CapitalactionsincludecompletedorcontractedtransactionssinceQ42008
Note:Numbersmaynotsumduetorounding
SupervisoryCapitalAssessmentProgram
EstimatesforWellsFargo&CompanyBankHoldingCompanyfortheMoreAdverseEconomicScenario
Theestimatesbelowrepresentahypothetical'whatif'scenariothatinvolvesaneconomicoutcomethatismoreadverse
thanexpected. Theseestimatesarenotforecastsofexpectedlossesorrevenues.
(2)Resourcestoabsorblossesincludepreprovisionnetrevenuelessthechangeintheallowanceforloanandleaselosses
WellsFargo
&
Company
MoreAdverseScenario