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2018 Federal Reserve Comprehensive Capital Analysis and Review (CCAR)…
2018 Federal Reserve Comprehensive Capital Analysis and Review (CCAR) Stress Tests
Scenarios (nine quarter horizon)
Supervisory Baseline
Supervisory Adverse
Supervisory Severely Adverse
Firm-defined Baseline
Firm-defined Stress
"Add-on" global shock and counterparty default tests
Securitized product loss rate of 46.4%
Trading MTM and incremental default risk loss rate of 1.8% of RWA's
Credit valuation adjustments of 2.8% to OTC derivatives RWA's
Large counterparty default loss rate of 1.5% to repo-style transactions and OTC derivatives RWA's
Firms (with consolidated assets >=$50B)
Subject to only quantitative test
Ally Financial
American Express
BB&T
BBVA Compass
BMO Financial
BNP Paribas USA
CIT Group
Citizens Financial
Comerica
Discover Financial Svcs
Fifth Third
Huntington
KeyCorp
M&T
MUFG Americas
Northern Trust
Regions Financial
Santander USA
SunTrust
Zions
Also subject to "add-on"
global market shock test
(resulting in instantaneous losses and capital reduction in the first quarter of the planning horizon) and/or an "add-on"
counterparty default test
(instantaneous
and unexpected default of the counterparty that
would generate the largest losses across its derivatives
and securities financing transactions)
**
Bank of America
Bank of NY Mellon
Barclays US
Citigroup
Credit Suisse USA
DB USA
Goldman Sachs
HSBC North America
JPMorgan Chase
Morgan Stanley
RBC USA
State Street
UBS Americas
Wells Fargo
Subject to quantitative and qualitative tests
Capital One
PNC
TD
US Bancorp
Required Minimum Capital Ratios
Common Equity Tier 1 Capital Ratio = 4.5%
Tier 1 Risk-Based Capital Ratio = 6.0%
Total Risk-Based Capital Ratio = 8.0%
Tier 1 Leverage Ratio = 4.0%
Supplementary Leverage Ratio = 3.0%
Qualitative Review Considerations
Assessment of strength of firm's ability to identify, measure, and determine appropriate amount of capital for its risks
Assessment of controls and governance supporting capital planning
Assessment of firm's capital planning processes that are undertaken throughout the year
Governance
Risk Management
Internal Controls
Capital policies
Incorporating stressful conditions & events and estimating the impact on capital positions
Key Dates
April 5, 2018:
Deadline for submission of capital plans
June 30, 2018:
Fed decisions published for all participating firms
February 15, 2018:
Fed provides firms with description of supervisory macroeconomic scenarios