FederalReserveSystem

ComprehensiveCapitalAnalysisandReview

SummaryInstructionsandGuidance

November22,2011

TableofContents
Background...................................................................................................................................................3
1.

SummaryInstructions..........................................................................................................................4

1.1.

SubmissionTimeline,FormatandQuestions..............................................................................4

1.2.

CoverageoftheSubmission.........................................................................................................5

1.3.

SupervisoryScenarios..................................................................................................................6

1.4.

CompletionofFRY14ASchedules..............................................................................................7

1.5.

IncompleteData...........................................................................................................................7

2.

MandatoryElementsofaCapitalPlan................................................................................................8
2.1.

AssessmentofUsesandSourcesofCapitaloverPlanningHorizon...........................................9

2.1.1.

EstimatesofProjectedRevenues,Losses,Reserves,andProFormaCapitalLevels........10

2.1.2.

SupportingDocumentationforAnalysesusedinCapitalPlans.......................................14

2.2.

ADescriptionofAllPlannedCapitalActionsoverthePlanningHorizon.................................15

2.3.

ExpectedChangestoBusinessPlanAffectingCapitalAdequacyorLiquidity..........................15

2.4.

SupervisoryExpectationsforaBHCsCapitalAdequacyProcess.............................................16

3.

AssessmentofPlannedCapitalDistributions....................................................................................16

3.1.

SupervisoryAssessmentofProposedCapitalActions..............................................................17

3.2.

RobustnessofProposedCapitalDistributions..........................................................................17

3.2.1.

CommonDividendPayouts................................................................................................18

3.2.2.

BaselIIITransitionPlans....................................................................................................18

3.2.3.

SurchargeforSystemicallyImportantFinancialInstitutions............................................19

4.

FederalReserveResponsestoProposedCapitalActions.................................................................19

5.

DisclosureofSupervisoryPostStressCapitalAnalysis.....................................................................21

6.

IncrementalCapitalRequests............................................................................................................21

AppendixI:SupervisoryExpectationsforCapitalPolicies.......................................................................23
AppendixII:SupervisoryExpectationsforaCapitalAdequacyProcess.................................................26
AppendixIII:TheFederalReserveCCAR2012MacroeconomicScenarios.............................................30

Background

Asindicatedinthefinalruleregardingcapitalplans(thecapitalplansrule),1theFederal
ReservesassessmentofcapitaladequacyforU.S.domiciled,toptierbankholdingcompanies
(BHCs)withtotalconsolidatedassetsof$50billionormore2willincludeconsiderationofa
BHCsoverallfinancialcondition,riskprofileandcapitaladequacy.Assessmentswillalsobe
madeontheoverallcontentofacapitalplanandthestrengthoftheBHCscapitaladequacy
process,includingitscapitalpolicies.3Pursuanttothis,eachofthe19largestBHCs4isrequired
tosubmitacapitalplanapprovedbytheBHCsboardofdirectors,oracommitteethereof
(comprehensivecapitalplan),forthe2012ComprehensiveCapitalAnalysisandReview(CCAR
2012)byJanuary9,2012,irrespectiveofwhethertheBHCintendstoundertakeanycapital
distributionsovertheplanninghorizoncoveredinitscomprehensivecapitalplan.5

Asoutlinedinthecapitalplansrule,supervisoryreviewofaBHCscomprehensivecapitalplan
willspecificallyassess:

1) Thecomprehensivenessofthecapitalplan,includingtheextenttowhichtheanalysis
underlyingtheplancapturesandappropriatelyaddressespotentialrisksstemmingfromall
activitiesacrosstheBHCunderbaselineandstressedoperatingconditions;
2) ThereasonablenessoftheBHCsassumptionsandanalysisunderlyingthecapitalplananda
reviewoftherobustnessofitscapitaladequacyprocess;
3) TheBHCscapitalpolicy;and
4) TheBHCsabilitytomaintaincapitalaboveeachminimumregulatorycapitalratioand
aboveatier1commonratioof5percentonaproformabasisunderexpectedandstressful
conditionsthroughouttheplanninghorizon.6
Asapartofthesupervisoryreviewofthecomprehensivecapitalplans,supervisorswillalso
assessBHCsstrategiesforaddressingproposedrevisionstotheregulatorycapitalframework

Thecapitalplansrulewillbecodifiedat12CFR225.8.

Assetsizewillbeasmeasuredoverthepreviousfourcalendarquarters.

Seesection225.8(e)(1)(i)ofthecapitalplansrule.

The19bankholdingcompaniesparticipatinginthe2012CCARare:AllyFinancialInc.,AmericanExpress
Company,BankofAmericaCorporation,TheBankofNewYorkMellonCorporation,BB&TCorporation,CapitalOne
FinancialCorporation,CitigroupInc.,FifthThirdBancorp,TheGoldmanSachsGroup,Inc.,JPMorganChase&Co.,
Keycorp,MetLife,Inc.,MorganStanley,ThePNCFinancialServicesGroup,Inc.,RegionsFinancialCorporation,
StateStreetCorporation,SunTrustBanks,Inc.,U.S.Bancorp,andWellsFargo&Company.These19firmsalso
participatedinthe2011CCARandthe2009SCAP.

5
ThecapitalplansrulerequirescapitalplanstobesubmittedbyJanuary5;however,theFederalReservehas
extendedthisdeadlinetoJanuary9forCCAR2012only.Seesection225.8(d)(1)(ii)ofthecapitalplansrule.
6

Seesection225.8(e)(1)(i)ofthecapitalplansrule.

agreeduponbytheBaselCommitteeonBankingSupervision(BCBS),commonlyknownas
BaselIII,andchangesarisingfromtheDoddFrankWallStreetReformandConsumerProtection
Actof2010(DoddFrank).7TheFederalbankingagencieshavebeguntheprocessforadopting
theBaselIIIframeworkagreedtobytheBCBS,andtheFederalReserveexpectstoissuefor
commentrulesforU.S.implementationinthecomingmonths.Inlinewiththiseffort,the
FederalReserveexpectsthataBHCwilldemonstratethatitcanachievereadilyandwithout
difficultytheratiosrequiredbytheBaselIIIframeworkastheywouldcomeintoeffectinthe
UnitedStates.Theseprojectionsshouldincludeanycapitalsurchargeforsystemically
importantfinancialinstitutions(SIFIs)andanyplannedcapitalactionsincludingdividendsand
otherdistributions.8

Thisinstructionsdocumentprovides1)generallogisticsforBHCscapitalplansubmissions,
2)guidelinessurroundingthemandatoryelementsofacomprehensivecapitalplan,3)
informationonwhattheFederalReservewillassessduringCCAR2012andadescriptionofhow
theFederalReservewillquantitativelyassesstheplannedcapitaldistributions,4)information
ontheFederalReservesresponsetocapitalplansandplannedactions,5)adiscussionof
planneddisclosureattheendofCCAR2012,and6)informationforBHCsrequesting
incrementalcapitalrequestsfollowingCCAR2012.Inaddition,AppendixIprovidessupervisory
expectationsforBHCscapitalpolicies,AppendixIIoutlinesexpectationsforeffectivecapital
adequacyprocesses,andAppendixIIIdescribesthemacroeconomicscenariosusedinCCAR
2012.

InstructionsforthoseBHCssubjecttothecapitalplansrulethathavenotpreviously
participatedinCCARarebeingprovidedunderseparatecovertotherelevantinstitutions.

1. SummaryInstructions

1.1. SubmissionTimeline,FormatandQuestions

Inconnectionwithitsreviewofcapitalplans,theFederalReservewillusethedataand
informationprovidedintheFRY14AandFRY14Qregulatoryreports.9Thesereportshave
beenmadeavailabletoCCAR2012participants,alongwiththeseinstructionsandthebaseline
andadversemacroeconomicandfinancialmarketscenariosdevelopedbytheFederalReserve.
(seeAppendixIIIforFederalReserveCCAR2012MacroeconomicScenarios.)
DatareportedonFRY14Qschedules,whichcollectBHCspecificdataonpositionsand
exposures,willbeusedasinputtosupervisorystresstestmodelsandtomonitoractualversus
forecastedinformationonaquarterlybasis.BHCswillreportontheFRY14Aschedulestheir

SeeBCBS,BaselIII:Aglobalframeworkformoreresilientbanksandbankingsystems(December2010),available
atwww.bis.org/publ/bcbs189.pdf;Pub.L.No.111203,124Stat.1376(2010).
8

SeeBCBS,Globalsystemicallyimportantbanks:assessmentmethodologyandtheadditionallossabsorbency
requirement(rulestext)(November2011),availableathttp://www.bis.org/publ/bcbs207.htm.
9

http://www.federalreserve.gov/reportforms/

quantitativeprojectionsoflosses,resourcesavailabletoabsorbthoselosses,balancesheet
positionsandcapitalcompositiononaquarterlybasisoverthedurationofthescenarioand
planninghorizon.BHCsarealsorequiredtosubmitqualitativeinformationsupportingtheir
projections,includingdescriptionsofthemethodologiesusedtodeveloptheprojectionsand
otheranalysesthatsupporttheircomprehensivecapitalplans(seesection2.1.2).
BHCsarerequiredtosubmitFRY14QschedulestotheFederalReserveonorbefore
December15,201110.BHCsshouldsubmitFRY14Aschedulesaspartoftheircomprehensive
capitalplansubmission.BHCscomprehensivecapitalplansalongwithanyproposalsfor
plannedcapitalactionsshouldbeapprovedbytheBHCsboardofdirectorsandsubmittedto
theFederalReservenolaterthanJanuary9,2012.

EachBHCmustsubmititscomprehensivecapitalplanandanysupportinginformation,including
theFRY14AandFRY14Q,totheFederalReservethroughtheBHCCCAR2012IntraLinks
collaborationsitethathasbeenestablishedtofacilitateexchangesofinformation.The
IntraLinkssiteallowsdocumentstobemanagedinasecureenvironment.Registeredmembers
ofeachBHCwillhaveaccesstoonlytheirBHCsfolderanddocuments.Thesitealsocontains
folderswithgeneralinformationavailabletoallprojectparticipants.

Allcorrespondenceandquestionsregardingthisrequestandrelatedissuesshouldbedirected
toasecuremailboxtobeprovideddirectlytothe19CCARBHCs.Questionswillbecatalogued
and,whereappropriate,writtenresponses(removinganyBHCidentifyinginformation)willbe
providedtoallBHCsviaemailandpostedtotheIntraLinkssite.AnyBHCspecificquestions
submittedtothesecuremailboxwillbeaddressedonlywiththerelevantBHCviathesame
securemailbox.Conferencecallsmaybescheduledtodiscussandbetterunderstand
submittedquestions;however,allofficialresponsestoquestionswillcomefromthesecure
mailbox.

1.2. CoverageoftheSubmission

CCAR2012isacomprehensiveassessmentandwilltakeintoaccountallrelevantriskstothe
BHC,includinganyestimatesofpotentiallossesthatarenotexplicitlyrequestedintheFRY14A
andFRY14Q.Inotherwords,itistheresponsibilityofeachBHCtocaptureallpotentiallosses
fromallonandoffbalancesheetpositions,aswellasanyothereventsthathavethepotential
toimpactcapitalandcapitalneedsinbothbaselineandstressenvironments.The
completenessofeachBHCscomprehensivecapitalplanwillbeakeyevaluationpointfor
supervisorsduringCCAR2012.11

10

WithrespecttotheFRY14Q,BHCsarenotrequiredtosubmittheBaselIIIandDoddFrankscheduleandthe
RegulatoryCapitalInstrumentsscheduleonDecember15,2011;datafortheseareaswillbecollectedviatheFRY
14AandareduewiththecomprehensivecapitalplansonJanuary9,2012.

11

Seesection225.8(e)(1)(i)(A)ofthecapitalplansrule.

BHCsubmissionsofproforma,poststresscapitalestimatesintheircomprehensivecapital
plans,inclusiveofplannedcapitalactions,mustbeginwithpositioninformationasof
September30,2011,andspantheperiodbeginninginthefourthquarterof2011and
concludingattheendofthefourthquarterof2013(December31,2013)exceptionfortrading
andcounterpartypositionsandtheBaselIIIandDoddFrankschedules.

Tradingandcounterpartypositionsshouldbebasedonbalancesasofthecloseofbusiness,
November17,2011.ABHCmayprovidethesedataasofthemostrecentdatethat
correspondstotheirweeklyriskreportingcycleaslongasitfallsbeforeNovember17,
2011.

TheBaselIIIandDoddFrankschedulesrequiredundertheFRY14Ashouldbereportedas
ofSeptember30,2011withforecaststhroughDecember31,2016underbaselinescenarios.

Forthepurposesofthisexercise,BHCsmustsubmitcomprehensivecapitalplanssupportedby
theirinternalcapitaladequacyassessmentandcapitalplanningprocesses.EachBHCmust
includeproformacapitalanalyses,includingsupportingprojections,basedonatleastfour
scenarios:

i. BHCBaselineaBHCdefinedbaselinescenario
ii. SupervisoryBaselineabaselinescenarioprovidedbytheFederalReserve
iii. BHCStressatleastoneBHCdefinedadversescenario
iv.
SupervisoryStressanadversescenarioprovidedbytheFederalReserve

1.3. SupervisoryScenarios

BHCsarereceivingthesupervisorybaselineandsupervisorystressscenariosaspartofthis
instructionspackage.(SummarystatisticsandabriefdescriptionoftheSupervisoryBaseline
andSupervisoryStressscenariosareprovidedinAppendixIII.)Thescenariosshowquarterly
trajectoriesforkeymacroeconomicandfinancialvariables.Broadlyspeaking,theSupervisory
BaselinescenariofollowstheconsensusoutlookfromtheBlueChipEconomicIndicatorsand
othersourcesasofmidNovember.Thesupervisorystressscenariofeaturesadeeprecession
thatbeginsinthefourthquarterof2011inwhichtheunemploymentrateincreasesbyan
amountsimilartothatexperienced,onaverage,insevererecessionssuchasthosein1973
1975,198182,and20072009,withasizableshortfallinU.S.economicactivityand
employment,accompaniedbyanotabledeclineinglobaleconomicactivity.Thescenarioalso
includeshypotheticalassetpricedeclinesandriskpremiaincreasesthataredesigned,forthe
purposesofthisexercise,tostartinthefourthquarterof2011.
ItisimportanttonotethatthescenariosprovidedbytheFederalReservearenotforecasts,
butratherhypotheticalscenariostobeusedtoassessthestrengthandresilienceofBHC
capitalinabaselineeconomicenvironmentandinaparticularlyadverseone.Anoutcome
likethesupervisorystressscenario,whileunlikely,mayprevailiftheU.Seconomywereto

experiencearecessionwhileatthesametimeeconomicactivityinothermajoreconomies
werealsotocontractsignificantly.
SixBHCswithlargetradingoperationswillberequiredtorunaglobalmarketshock.12The
FederalReservewillprovideasetofhypotheticalshockstotheriskfactorsmostrelevanttothe
tradingandcounterpartypositionsofselectedBHCs(seesection2.1.1formoredetails).These
shockswillbegenerallybasedonthepriceandratemovementsthatoccurredinthesecond
halfof2008,aperiodfeaturingseveremarketdislocationsandthefailureofamajor,globally
activefinancialinstitution.Inaddition,themarketshockswillreflect,whereappropriate,
additionalstressesrelatedtotheongoingsituationinEurope.
1.4. CompletionofFRY14ASchedules

Asnotedabove,exceptfortheBaselIIIandDoddFrankschedules,whichaskforannual
forecasts,theFRY14Aistobeusedtoreportquarterbyquarterresultsandprojections.A
BHCmustcompleteaseparateFRY14Areportforeachofthefourscenariosusedinthecapital
plan.Thecompletedscheduleswillinclude:

Currentandprojectedbalancesforbalancesheetandoffbalancesheetpositionsand
exposuresforanumberofidentifiedcategoriesundereachscenario.Submissionsshould
demonstratethatthecurrentbalancesforeachcategorytietothecorrespondingcategory
oftheFRY9C,ortheBHCshouldprovideareconciliationthatclearlydemonstratesthatall
balanceshavebeenaccountedforintheanalysis;

Lossestimatesasspecifiedineachschedule;

Lossesandexposuresthatmightnotfitneatlyintoanyofthespecifiedcategories.Any
potentiallossesorexposuresnotcapturedinotherlineitemsshouldbeincludedinthe
completedschedules,andadescriptionofthesourceofthelossesshouldbeattached;and

Estimatesofresourcesavailabletoabsorblosses,includingpreprovisionnetrevenue,the
allowanceforloanandleaselosses,andcapital.
Asnotedabove,theresultsofaBHCsanalysesshouldencompassallpotentiallossestheBHC
mightexperienceunderthefourscenariosusedforthisexercise.Inallcases,BHCsshould
substantiatethattheirresultsareconsistentwiththespecifiedmacroeconomicenvironment,
andthatthecomponentsoftheirresultsareinternallyconsistentwithineachscenario.

1.5. IncompleteData

Ingeneral,allBHCsarerequiredtoreportalldataelementsintheFRY14AandFRY14Q
schedulestosupportCCAR2012.Certainschedules,worksheets,ordataelementsmaybe

12

The6bankholdingcompaniesparticipatingintradingshockare:BankofAmericaCorporation,CitigroupInc.,
TheGoldmanSachsGroup,Inc.,JPMorganChase&Co.,MorganStanley,andWellsFargo&Company.

optionalforaBHC.TheinstructionsfortheFRY14AandFRY14Qschedulesprovidedetailson
whetherornotaBHCmustsubmitaspecificschedule,worksheet,ordataelement.
Underthecapitalplansrule,failuretosubmitcompletedatatotheFederalReserveinatimely
mannermaybeabasisforobjectiontoacapitalplan.13ABHCsinabilitytoproviderequired
databytheduedatesmayaffectsupervisoryestimatesoflossesandPPNRfortheBHCandwill
influencetheFederalReservesqualitativeassessmentoftheinternalriskmeasurementand
managementpracticessupportingaBHCscapitaladequacyprocesses(seesection3.1).
FortheFRY14Qschedules,BHCsmaybeaskedtoresubmitdataeitherinwholeorinpart
aftertheDecember15,2011,duedateifrequireddataelementsaremissingorerrorsare
foundduringthedatavalidationprocess.Allresubmissionsofdatawillbedueonorbefore
January9,2012,andthereisnoguaranteethatdatasubmittedafterthatdatewillbeincluded
insupervisorymodelestimates.AfterJanuary9,2012,theFederalReservewilladheretothe
followingguidelinesonanyremainingFRY14Qdatarelatedissues,forthepurposeof
producingsupervisoryestimatesforCCAR2012.

Missingdataordatadeficiency:Intheeventdatathataredirectinputstosupervisory
modelsaremissing,orifaBHCssubmitteddataqualityisdeemedtobetoodeficientto
producearobustsupervisorymodelestimateforaparticularportfolio,thehighestlossrate
estimatedorthemostconservativePPNRestimateforotherBHCsfortheportfoliowillbe
assigned.

Immaterialportfolio:TheBHCwillhaveanoptiontoeithersubmitornotsubmitthe
relevantdatascheduleforaportfolio(asdefinedinY14Qinstructions)thatdoesnotmeet
amaterialitythreshold.IftheBHCdoesnotsubmitdataonitsimmaterialportfolio(s),a
conservativelossrate(e.g.,75thpercentile),basedontheestimatesforotherBHCs,willbe
assigned.Otherwise,losseswouldbeestimatedusingtheBHCsubmitteddata

TheFederalReservehasmadeaFrequentlyAskedQuestions(FAQ)documentontheFRY14A
andFRY14Qavailableonthepublicwebsite.14TheFederalReservewillupdatethisFAQ
documentasnecessary.

2. MandatoryElementsofaCapitalPlan

Thecapitalplansruledefinesacapitalplanasawrittenpresentationofacompanyscapital
planningstrategiesandcapitaladequacyprocessthatincludescertainmandatoryelements.
Thesemandatoryelementsareorganizedintofivemaincomponents:

13

Seesection225.8(e)(2)(ii)ofthecapitalplansrule.

14

http://www.federalreserve.gov/newsevents/files/UpdatedFrequentlyAskedQuestionsPertainingtoDraft
ReportingFormsforCapitalAssessmentsandStressTesting.pdf.

1) Anassessmentoftheexpectedusesandsourcesofcapitalovertheplanninghorizon(see
section2.1);
2) adescriptionofallplannedcapitalactionsovertheplanninghorizon(seesection2.2);
3) adiscussionofanyexpectedchangestotheBHCsbusinessplanthatarelikelytohavea
materialimpactontheBHCscapitaladequacyorliquidity(seesection2.3);
4) adetaileddescriptionoftheBHCsprocessforassessingcapitaladequacy(seesection2.4);
and
5) aBHCscapitalpolicy(seeAppendixI).15

Theremainderofthisdocumentprovidesadditionaldetailforeachofthemandatoryelements
ofacapitalplanforCCAR2012.

2.1. AssessmentofUsesandSourcesofCapitaloverPlanningHorizon

Acompanyisrequiredtoconductanassessmentoftheexpectedusesandsourcesofcapital
overtheplanninghorizonassumingbothexpectedandstressfulconditions.

Thisassessmentmustcontainthefollowingelements:

Estimatesofprojectedrevenues,losses,reserves,andproformacapitallevels,including
anyminimumregulatorycapitalratios(e.g.,leverage,tier1riskbased,andtotalriskbased
capitalratios)andanyadditionalcapitalmeasuresdeemedrelevantbytheBHC,overthe
planninghorizonunderexpectedandstressedconditionsasspecifiedbytheFederal
ReserveandbytheBHCsinternalscenarios.Thisshouldincludeanyscenariosprovidedby
theFederalReserveandatleastonestressedscenariodevelopedbytheBHCappropriateto
itsbusinessmodelandportfolios;

Acalculationoftheproformatier1commonratioovertheplanninghorizonunder
expectedandstressfulconditionsanddiscussionofhowthecompanywillmaintainapro
formatier1commonratioabove5percentunderthestressedscenariosrequiredbythe
capitalplansrule;

Adiscussionoftheresultsofanystresstestrequiredbylaworregulation,andan
explanationofhowthecapitalplantakestheseresultsintoaccount;and

Adescriptionofallplannedcapitalactionsovertheplanninghorizon.

Theremainderofsection2.1providesadditionaldetailontheseelements.

15

Seesection225.8(d)(2)ofthecapitalplansrule.

2.1.1. EstimatesofProjectedRevenues,Losses,Reserves,andProFormaCapitalLevels

Asnotedabove,forthepurposesofCCAR2012,BHCsaretosubmitcapitalplanssupportedby
theirinternalcapitaladequacyassessmentandcapitalplanningprocessesandincludepro
formaanalysesbasedonatleastfourscenariosincludingtheBHCBaseline,Supervisory
Baseline,(atleast)oneBHCStress,andaSupervisoryStressscenario.Supervisorswillbe
assessingtheprocessesandpracticestheBHCshaveinplacetocarryoutthisanalysis,including
theriskcapture,measurementandmanagementpracticessupportingtheanalysis.

PleasenotethattheformatusedbytheFederalReserveintheFRY14AandFRY14Qdoes
notimplythatanyspecificmethodologyshouldbeusedbyBHCsintheirlossandrevenue
estimationpracticesoranyotherinternalanalysisusedtosupporttheircapitalplans;rather,
aBHCssubmissionsforeachscenarioshouldbebasedonitsownprocessesandanalyses.
TheFederalReservesqualitativeassessmentofthecapitalplanswillfocusontherobustness
ofaBHCsinternalprocesses.Inaddition,supervisorsoverallassessmentofthecapitalplans
willbeinformedbysupervisoryestimatesoflosses,revenues,loanlossreserves,andpro
forma,poststresscapitalratios.

Inallcases,BHCsshouldsubstantiatethattheirresultsareconsistentwiththespecified
macroeconomicandfinancialenvironment,andthatthevariouscomponentsoftheirresults
areinternallyconsistent.Forexample,itmightbeinconsistenttoprojectashrinkingbalance
sheetwhilealsoprojectinglargeincreasesinnetincomeinastressorbaselineenvironment.
BHCsshouldsubmitbackgroundinformationonthemethodologiessupportingtheirestimates.
Thismaterialshouldincludediscussionofkeyapproachesandassumptionsusedtomeasure
BHCwideexposuresandtoarriveatstresslossestimates,alongwithrelevantbackgroundon
positionsorbusinesslinesthatcouldhaveamaterialinfluenceonoutcomes.

ABHCshouldclearlyidentifyanddocumentinitscapitalplananyaspectofitsportfolio(e.g.,
acontractuallossmitigationarrangement)thatisnotadequatelycapturedintheFRY14Q
thatitbelievesismaterialtolossestimatesforthatportfolio,aswellastheBHCsestimateof
thepotentialimpactofsuchitemonlossestimatesunderthebaselineandstressscenarios.
Ingeneral,BHCsshouldincorporatethefollowingintotheirproformaestimates:

DefinitionofLossesforLoans:Thelossestobeestimatedforloansheldinaccrualportfoliosin
thisexercisearegenerallycreditlossesduetofailuretopayobligations(cashflowlosses),
ratherthandiscountsrelatedtomarktomarketvalues.Insomecases,BHCsmayhaveloans
thatarebeingheldforsaleorwhicharesubjecttopurchaseaccountingadjustments.Inthese
cases,theanalysisshouldanticipatethechangeinvalueoftheunderlyingasset,applythe
appropriateaccountingtreatment,anddeterminetheincrementallosses.

CommitmentsandContingentObligations:Theanalysisshouldreflectexpectationsofcustomer
drawdownsonunusedcreditcommitmentsundereachscenario,aswellasanyassetsand
exposuresthatmightbetakenbackonthebalancesheetorotherwisegeneratelossesunder
10

stressfuleconomicconditions(e.g.,assetsheldinABCPconduitsandotheroffbalancesheet
fundingvehiclestowhichtheBHCprovidessupport).UnconsolidatedentitiestowhichtheBHC
haspotentialexposurearealsowithinthescopeofthisexerciseandshouldbeconsidered.Ifit
isenvisionedthatnoncontractualsupportmaybeprovidedduringastressfulenvironmentfor
certainobligationsofsponsoredorthirdpartyentities,theseshouldbeincludedinaBHCs
analysisofcontingentobligations.

LoanLossEstimates:BHCsshoulddescribetheunderlyingmodelsandmethodsusedintheir
lossestimatecalculationsforloans,andprovidebackgroundontheirderivation.Factorsthat
couldbecitedassupportingevidenceforlossestimatesinclude(butarenotlimitedto)
compositionoftheloanportfolioswithinabroadcategory(e.g.,distributionamongPrime,Alt
A,andsubprimeloanswithinfirstlienresidentialmortgages)andspecificcharacteristicsofthe
portfoliowithincategoriesand/orsubcategories(e.g.,vintage,FICO,LTVs,regional
distribution,industrymix,ratingsdistribution,orcollateraltype).Hypotheticalbehavioral
responsesbyBHCmanagementshouldnotbeconsideredasmitigatingfactorsforthepurposes
ofthisanalysis.Forexample,hedgesalreadyinplaceshouldbeaccountedforaspotential
mitigatingfactors,butnotassumptionsaboutpotentialfuturehedgingactivities.

LossesonAFSandHTMSecurities:EachBHCshouldprovideprojectedotherthantemporary
impairments(OTTI)foravailableforsale(AFS)andheldtomaturity(HTM)securities.OTTI
projectionsshouldbebasedonSeptember30,2011,positionsandshouldbeconsistentwith
specifiedmacroeconomicassumptionsandstandardaccountingtreatment.Themethodfor
derivingthebifurcationofcreditlossesfromotherlossesshouldbeprovidedinsupporting
documentation.BHCsshouldalsoprovideestimatedfairvaluesofAFSandHTMsecurities
basedonarepricingofSeptember30,2011positionstoreflectchangesinmarketpricing
variablesthatarethesameasthoseusedfortheglobalmarketshockscenario,asdescribed
earlierandwhichwillbeprovidedtoeachBHC.

NonU.S.Exposures:Loss,revenue,andloanlossreserveprojectionsshouldcoverpositionsand
businessesfortheBHConaglobalconsolidatedbasis.Totheextentthatlossexperienceon
foreignpositionsisprojectedtodifferfromthatonU.S.positions,institutionsshouldprovide
supportinginformationtoexplainthosedifferences.Forexample,iftheinstitutionisusing
differentlossratesforforeignpositions,thoseforeignpositionsshouldbeexplicitlyidentified
andreportedseparately,byposition/loantype,intheBHCssupportingdocumentation.

TradingAccount/MTMPositionsandCounterpartyCreditExposures:AllBHCswithtrading
activitiesandprivateequityinvestmentsshouldestimateanypotentiallossesthattheir
positionsmightexperienceunderthespecifiedscenarios,includingthosestemmingfrom
potentialdefaultsoncreditsensitivepositionsheldinthetradingaccountandfrom
counterpartycreditexposures.Lossestimatesshouldincludethosetakenthroughvaluation
declinesonloans,securitiesandothertradingormarktomarket(MTM)positions,aswellas
onprivateequityinvestments(regardlessoftheportfolioinwhichaprivateequitypositionis
booked).Privateequityrelatedlossestimatesshouldbebrokenoutfromothertrading/MTM
loss.
11

Undereachscenario,potentiallossesfromcounterpartycreditexposuresderivingfromtrading
orfinancingtransactionsshouldalsobeincludedintheanalysis.Lossesassociatedwithcredit
valuationadjustmentsrelatedtotheseexposuresandanyadditionallossesstemmingfrom
potentialdefaultsshouldbeincluded.Theanalysisshouldbebasedonestimatesofthe
potentialsizeoftheseexposuresineachscenario.

SixBHCswithlargetradingoperationswillalsoconductastresstestoftheirtradingbook,
privateequitypositionsandcounterpartycreditexposuresasofmarketcloseonNovember17,
2011.TheseBHCsshouldincludethisadditionalanalysisintheoverallresultsoftheSupervisory
Stressscenario.Lossesshouldbecalculatedbasedonaninstantaneousrepricingoftradingand
privateequitypositionsforthechangesinmarketpricingvariablesthatoccurredoverthe
periodJune30,2008,toDecember31,2008.Thisdaterangerepresentsaperiodofsignificant
stressacrossaverybroadrangeofmarketsandassetclasses.Inaddition,themarketshocks
willreflect,whereappropriate,additionalstressesrelatedtotheongoingsituationinEurope.
Privateequityrelatedlossestimatesshouldalsoincludeconsiderationofdrawdownsagainst
commitments.Asnotedaboveforallscenarios,theanalysisofcounterpartycreditexposures
underthisstresstestshouldincludeestimatesofchangesinthesizeofcounterpartyexposures
andoftheimpactofdeteriorationofcounterpartiescreditworthinessinthescenario,including
creditvaluationadjustmentsandanyadditionalpotentiallossesfromdefaults.

PreProvisionNetRevenue:Forpurposesofthisexercise,preprovisionnetrevenue(PPNR)is
definedasnetinterestincomeplusnoninterestincomeminusnoninterestexpense,excluding
certainitems.AspresentedonthePPNRschedules,excludeditemsincludevaluation
adjustmentsforaBHCsowndebtunderthefairvalueoption(DVA),lossesresultingfromthe
tradingshockexercise(whereapplicable),goodwillimpairment,onetimeitemexclusions,and
operationalriskexpenseadjustmentsrequiredforPPNRpurposes.

AssumptionsunderlyingPPNRestimatesshouldbeclearlyexplained,especiallythoseregarding
businessormarketsharegrowth.Theseshouldbeconsistentwiththeeconomicenvironment
specifiedintherelevantscenario.Especiallyinthemoreadversescenario(s),PPNRestimates
materiallyexceedingrecentlyrealizedvaluesshouldincludesubstantialsupportingevidence.
Additionally,BHCsshouldprovidesufficientdetailandtransparencyregardinghowchanging
assetandliabilitybalancesandcomposition,andassociatedinterestrateassumptions,
impactednetinterestincomeprojections.BHCsshouldensurethatPPNRforecastsare
explicitlybasedon,anddirectlytieto,balancesheetandotherexposureassumptionsusedfor
relatedlossforecasting.Inaddition,BHCsshouldapplyassumptionsconsistentwiththe
scenarioandresultingbusinessstrategywhenforecastingPPNRforfeebasedlinesofbusiness
(e.g.,assetmanagement),whileensuringthatexpensesareappropriatelytakingintoaccount
projectedrevenues.

BHCswillbeexpectedtoestimatelossesassociatedwithrequestsbymortgageinvestors,
includingbothGSEsandprivatelabelsecuritiesholders,torepurchaseloansdeemedtohave
breachedrepresentationsandwarranties,orwithinvestorlitigationthatbroadlyseeks
12

compensationfromBHCsforlosses.Firmsshouldconsidernotonlyhowthemacroscenarios
couldimpactrepurchaselosses,butalsohowarangeoflegalprocessoutcomes,including
worsethanexpectedresolutionsofthevariouscontractclaimsorthreatenedorpending
litigationagainsttheBHCandagainstvariousindustryparticipants.Firmsshouldprovide
appropriatesupportoftheadverseoutcomesconsideredintheiranalysis.

MortgageServicingRights:Allrevenueandexpensesrelatedtomortgageservicingrights
(MSRs)andtheassociatednoninterestincomeandnoninterestexpenselineitemsshouldbe
reportedonthePPNRschedules.BHCsshouldnotreportchangesinvalueoftheMSRassetor
hedgeswithinthetradingshock.Therefore,ifMSRderivativeorotherhedgesareplacedinthe
tradingbookforFRY9CandGAAPaccountingpurposesdonot,forCCARpurposes,include
thesehedgesinthetradingshockexercise.Also,anyBHCsthathaveadoptedfairvalue
accountingforallorpartoftheMSRmustnotincludetheMSRinthetradingshockexercise.

BHCsshouldprovidedetailedassumptionsregardingcostofserviceandtheresultingimpacton
servicingincome.BHCsshouldprovideperiodbyperiodsize,composition,delinquencies,
defaults,andforeclosuresintheservicedforothersportfolio,aswellashowthesetranslate
intotheservicingcostassumption(e.g.,assumptionssurroundingbaselinecosttoservice,
delinquencycosts,foreclosurecosts,foreclosuretimelines,etc.).Thiswouldincludenotonly
thecosttoserviceassumptionembeddedintheMSRvaluation,butalsoanyliabilityorcosts
theBHCincursfromservicingloansnotownedrelatedtounreimbursedforeclosurecosts,
whichtypicallyrelatestoVAnobids;first60daysinterestonGNMAs;FNMA/FHLMCattorney
fees,propertypreservationcosts,andpropertyinspectionfees;FNMA/FHLMCfinesfor
untimelyforeclosures;etc.

BHCsshouldprovidesufficientdetailregardingMSRvaluationandhedgingassumptionsfor
eachoftheninequartersintheplanninghorizon.Suchdetailshouldincludemacroeconomic
andfinancialmarketfactors,suchasyieldcurvelevelandslope,interestratevolatility,primary
tosecondaryspreads,andotherpertinentfactorsnotexplicitlysupplied.Suchdetailshould
alsoincludekeyassumptionsformaterialservicingstratums,includingbutnotlimitedto,
servicingfeerates,prepaymentrates,ancillaryincome,anddiscount/OASrates.BHCsshould
alsodocumenttheirhedgerebalancingrules,hedgerolloverassumptions,andhowsuch
hedgingrulesareconsistentwithcurrentlimits/risktolerance.

AllowanceforLoanLosses:BHCsshouldestimatetheportionofthecurrentallowanceforloan
lossesavailabletoabsorbcreditlossesontheloanportfolioforeachquarterundereach
scenario,whilemaintaininganadequateallowancealongthescenariopathandattheendof
thescenariohorizon.Loanlossreserveadequacyshouldbeassessedagainstthelikelysize,
composition,andriskcharacteristicsoftheloanportfoliothroughouttheplanninghorizonina
mannerthatisconsistentwiththeBHCsprojectionsoflossesoverthatscenario.

FortheperiodendingDecember31,2013,BHCsshouldincludeestimatesofadequatereserves
tocoverexpectedlossesfortheyear2014inmannerthatisconsistentwitheachscenario.

13

BaselIII:BHCsshouldincludeestimatesofcapitallevelsandcomposition,riskweightedassets,
exposuresusedtocalculateminimumratios,buffers,andanySIFIsurchargethatmaybe
requiredbytheBaselIIIframeworkagreedtobytheBCBS,underboththeBHCBaselineand
theSupervisoryBaselinescenarios.EachBHCshouldincludeitsBaselIIIcapitalcomposition,
riskweightedassets,leverageexposuresandplannedactionsintheFRY14A,beginning
September30,2011,andthroughDecember31,2016.TheBHCssubmissiondocumentation
shouldincludeallmaterialplannedactions,including,butnotlimitedto,therollofforsaleof
existingportfolio(s),theissuanceofregulatorycapitalinstrumentsandotherstrategic
corporateactionstomeettheproposedBaselIIItargetratiosastheywouldcomeintoeffectin
theUnitedStates.EachBHCshouldincludeitsbestestimatesofitslikelySIFIsurcharge
includinganexplanationforitsestimateinthecomprehensivecapitalplan.

RegulatoryCapital:BHCsshouldsupplyquarterlyestimatesofregulatorycapitalundercurrent
U.S.capitaladequacyguidelines(aswellastier1commonasitisdefinedinthecapitalplans
rule)overtheplanninghorizonthatreflectsestimatedlossesandresourcesavailabletoabsorb
thoselosses.16Institutionsshouldalsosupplyaquarterlyestimateofriskweightedassetsfor
eachscenarioandaverageassetsappropriateforthecalculationofthetierIleverageratio.

BHCScenarios:BHCsareexpectedtodeveloptheirownbaselineandstressscenarios,and
providedetailsofthosescenariostotheFederalReserveintheFRY14AScenarioschedule.The
BHCBaselinescenarioshouldreflecttheBHCsviewofthemostlikelypathoftheeconomy
overtheforecasthorizon.TheBHCStressscenarioshouldbebasedonacoherent,logical
narrativeofastressfuleconomicenvironment.BHCstressscenariosshouldreflecttheBHC's
uniquevulnerabilitiestofactorsthataffectitsexposures,activities,andrisks.Asnotedabove,
BHCsshouldsubmitaseparate,completeFRY14Aforeachsubmittedscenario.

2.1.2. SupportingDocumentationforAnalysesusedinCapitalPlans

DocumentationofRiskMeasurementPractices:Capitalplansubmissionsshouldinclude
documentationofkeyriskidentificationandmeasurementpracticessupportingtheBHCwide
stresstestingrequiredinthecapitalplans.Asnotedabove,anassessmentoftherobustnessof
thesepracticesisacriticalaspectofthesupervisoryassessmentofcapitaladequacyprocesses.

DocumentationofInternalStressTestingMethodologies:BHCsshouldincludeintheircapital
plansubmissionsthoroughdocumentationthatdescribeskeymethodologiesandassumptions
forperformingstresstestingontheirportfolios.Documentationshouldclearlydescribethe
modelingdevelopmentprocess,thederivationofoutcomes,andvalidationprocedures,aswell
asassumptionsconcerningnewgrowthandchangestocreditpolicy.Supporting
documentationshouldtransparentlydescribeinternalgovernancearoundthedevelopmentof
comprehensivecapitalplans.Seniormanagementshouldprovideboardsofdirectorswith
sufficientinformationtofacilitatetheboardsfullunderstandingofthestresstestingusedby
thefirmforcapitalplanningpurposes.

16

See12CFRpart225,AppendicesA,D,E,andG;seealsosection225.8(c)ofthecapitalplansrule.

14

AssumptionsandApproaches:BHCsshouldprovidecrediblesupportforBHCspecific
assumptions,includinganyknownweaknessesinthetranslationofassumptionsintolossand
resourceestimates.Anoverrelianceonpastpatternsofcreditmigration(thebasisforrollrate
andratingstransitionmodels)maybeaweaknesswhenconsideringstressscenarios.BHCs
shoulddemonstratethattheirapproachesareclearlyconditionedonthescenariounderstudy.
Whilejudgmentisanessentialpartofriskmeasurementandriskmanagement,includingfor
lossforecasting,BHCsshouldnotbeoverreliantonjudgmenttopreparetheirlossestimations
withoutprovidingdocumentationorevidenceoftransparencyanddisciplinearoundthe
process.BHCsshouldbetransparentabouttheuseofjudgmentandbeadequatelysupported
andinlinewithscenarioconditions.Theyshouldbeconsistentlyconservativeinthe
assumptionstheymaketoarriveatlossrates.Inaddition,thereshouldbeappropriate
challengeofassumptionsbyseniormanagementandtheboardofdirectors.

ValidationandIndependentReview:Inadditiontobeingproperlydocumented,models
employedbyBHCsshouldbeindependentlyvalidatedorotherwisereviewedinlinewithmodel
riskmanagementexpectationspresentedinexistingsupervisoryguidance.

Whileuseofexistingriskmeasurementmodelsandprocessesprovidesausefulreferencepoint
forconsideringstressscenariopotentiallossestimates,BHCsshouldconsiderwhetherthese
processesgenerateoutputsthatarerelevantinastressfulscenario.Useofmodelsmayneed
tobesupplementedwithotherdataelementsandalternativemethodologies.Itiscriticalthat
BHCsassessthevulnerabilityoftheirmodelstoerror,understandanyoftheirotherlimitations,
andconsidertherisktotheBHCshouldestimatesbasedonthosemodelsprovematerially
inaccurate.

2.2. ADescriptionofAllPlannedCapitalActionsoverthePlanningHorizon

Initsassessmentoftheusesandsourcesofcapital,aBHCscapitalplanmustdescribeall
plannedcapitalactionsovertheplanninghorizon.Asdescribedinthecapitalplansrule,a
capitalactionisanyissuanceofadebtorequitycapitalinstrument,capitaldistribution,andany
similaractionthattheFederalReservedeterminescouldimpactaBHCsconsolidatedcapital.A
capitaldistributionisaredemptionorrepurchaseofanydebtorequitycapitalinstrument,a
paymentofcommonorpreferredstockdividends,apaymentthatmaybetemporarilyor
permanentlysuspendedbytheissueronanyinstrumentthatiseligibleforinclusioninthe
numeratorofanyminimumregulatorycapitalratio,andanysimilartransactionthattheFederal
Reservedeterminestobeinsubstanceadistributionofcapital.Asdescribedbelow,the
plannedcapitalactionsunderconsiderationbytheFederalReservewillbethoseproposedin
theBHCBaselinescenario.

2.3. ExpectedChangestoBusinessPlanAffectingCapitalAdequacyorLiquidity

EachBHCshouldincludeinitscomprehensivecapitalplanadiscussionofanyexpectedchanges
totheBHCsbusinessplanthatarelikelytohaveamaterialimpactontheBHCscapital
15

adequacyorliquidity.Examplesofchangestoabusinessplanthatmayhaveamaterialimpact
couldincludeaproposedmergerordivestiture,changesinkeybusinessstrategies,or
significantinvestments.Inthisdiscussion,thecompanyshouldconsider,inparticular,potential
adverseconsequencesfromtheactivitiesdescribedabove,suchasafailedmerger,aborted
businessstrategy,orlossonasignificantinvestment.

2.4. SupervisoryExpectationsforaBHCsCapitalAdequacyProcess

AnimportantcomponentofanyBHCscapitalplanisadescriptionoftheBHCsprocessfor
assessingcapitaladequacy(CAP).(SeeAppendixIIforadetaileddescriptionofsupervisory
expectationsforCAP.)AnorganizationsCAPshouldreflectafullunderstandingofitsrisksand
ensurethatitholdscapitalcorrespondingtothoseriskstomaintainoverallcapitaladequacy.
ThedetaileddescriptionofacompanysCAPshouldincludeadiscussionofhow,understressful
conditions,theBHCwillmaintaincapitalcommensuratewithitsrisks,maintaincapitalabove
theminimumregulatorycapitalratios,andserveasasourceofstrengthtoitsdepository
institutionsubsidiaries.Thedescriptionshouldalsocontainadiscussionofhow,understressful
conditions,theBHCwillcontinueitsoperationsbymaintainingreadyaccesstofunding,
meetingitsobligationstocreditorsandothercounterparties,andcontinuingtoserveasa
creditintermediary.

NOTE:Aninternalcapitaladequacyassessmentprocess(ICAAP)undertheFederalReserves
advancedapproachescapitalguidelinesforBHCsconstitutesaninternalcapitaladequacy
processforpurposesofthecapitalplansrule.17BHCsthathaveasatisfactorycapitaladequacy
processasassessedinCCARgenerallywouldbeconsideredtohaveasatisfactoryinternal
capitaladequacyprocessforpurposesoftherule.ThesevenprinciplesarticulatedinAppendix
IItothisdocumentareconsistentwiththeU.S.Federalbankingagenciessupervisoryguidance
relatingtotheICAAP.18

3. AssessmentofPlannedCapitalDistributions

CCAR2012willuseplannedcapitalactionsdevelopedbytheBHCandembeddedintheBHC
Baselinescenarioastheplannedactionsthataresubjecttosupervisoryevaluationinboth
baselinescenariosandintheSupervisoryStressscenario.Aquantitativeassessmentofthe
appropriatenessoftheseactionswillbeevaluated,inpart,bytheimplicationsfortheBHCspro
forma,poststresscapitalratiosundertheBHCandSupervisoryStressscenarios,itscommon
dividendpayoutratio(commondividendsrelativetonetincomeavailabletocommon
shareholders)inthebaselinescenarios,anditsprojectedpathtocompliancewithBaselIIIin
thebaselinescenarios.

17

See12CFRpart225,AppendixG.

18

73Fed.Reg.44620(July31,2008).

16

AnychangetoproposedcapitaldistributionsafterJanuary9,2012,mayrequiresubmissionofa
revisedplaninasubsequentquarter.19TheFederalReservewillrelyonthedollaramountof
distributionscontainedinaBHCsFRY14Awhenassessingcomprehensivecapitalplans.The
FederalReservesdecisiontoobject,orissueanoticeofnonobjection,toacomprehensive
capitalplanwillbespecifictotheBHCsproposeddistributions.

3.1. SupervisoryAssessmentofProposedCapitalActions

ThecapitalactionsproposedbyeachBHCthatparticipatesinCCAR2012shouldbeconsistent
withtheBHCscapitalpoliciesandthebaselinemacroeconomicscenariothatitdevelopsfor
internalcapitalplanningpurposes(i.e.,theBHCBaselinescenario).TheparticipatingBHCswill
beevaluatedagainstthefactorsdescribedinthecapitalplansrule.ThiswillincludeaBHCs
abilitytomaintaincapitalaboveeachminimumregulatorycapitalratio(leverage,tier1risk
based,andtotalriskbased)andaboveatier1commonratioof5percentonaproformabasis
underbaselineandstressconditionsthroughouttheplanninghorizon.

Tosupportthisassessment,theFederalReservewillreviewthesupportinganalysesinaBHCs
comprehensivecapitalplan,includingitsstresstestresults,andwillgeneratesupervisory
estimatesoflosses,revenues,loanlossreserves,andproforma,poststresscapitalratiosusing
internallydevelopedsupervisorymodelsandassumptionswhereverpossible.Supervisory
modelsandassumptionswillbeappliedinaconsistentmanneracrossallBHCs.Whereitmay
notbefeasibletodevelopresultsdirectlythroughtheuseofsupervisorymodels,theFederal
Reservemayincorporateintoitssupervisoryestimatesoneormoreofthefollowing:BHC
estimates,reviewedandadjusted(whereapplicable)bysupervisorstoensurethescenariowas
appliedasspecifiedandBHCsassumptionsofpotentiallossesandearningsreflectacredible
andconservativetranslationoftheimpactsfromthestressscenario;industrymodels;and
simpledecisionrulesusingconservativeassumptionsconsistentlyappliedacrossallBHCs.

3.2. RobustnessofProposedCapitalDistributions

InCCAR2012,theFederalReservewillassesstherobustnessoftheBHCscapitaladequacy
inclusiveofitsplannedcapitalactionsinavarietyofways.Inparticular,thesupervisory
assessmentwillevaluatethecombinationofstressperformancemeasures(revenues,losses,
andreserves)withplannedcapitalactions(e.g.,dividends,issuance,andrepurchasesfromthe
BHCBaselinescenario)againsteachminimumregulatorycapitalratioanda5percenttier1
commonratio.ThisconservativeapproachasksifaBHCwouldbecapableofcontinuingto
meetsupervisoryexpectationsforcapitalratiosevenifstressconditionsemergedandtheBHC
didnotreducedistributions.Inaddition,supervisorswillusethesameplannedcapitalactions
toevaluatecommondividendpayoutratiosandtheBaselIIItransitionpathusingperformance
measuresfromtheBHCBaselineandtheSupervisoryBaselinescenarios.Thevarioustypesof
assessmentsthatsupervisorsexpecttoconsideraredescribedinthefollowingtable.

19

Seesections225.8(d)(4)and(f)ofthecapitalplansrule.

17

3.2.1. CommonDividendPayouts

TheFederalReserveexpectsthatcapitalplanswillreflectconservativecommondividend
payoutratios.Inparticular,requeststhatimplycommondividendpayoutratiosabove30
percentofprojectedaftertaxnetincomeavailabletocommonshareholderswillreceive
particularlyclosescrutiny.

3.2.2. BaselIIITransitionPlans

AspartofCCAR2012,theFederalReservewillcontinuetoevaluatewhethertheproposed
capitalactionsareappropriateinlightofmanagementsplanstomeettheproposedBaselIII
requirements.Aspartofitscapitalplansubmission,aBHCshouldprovideatransitionplanthat
includesproformaestimatesunderbaselineconditionsoftheBHCsregulatorycapitalratios
undertheproposedBaselIIIcapitalframework.20AsstatedintheSeptember2010Groupof
GovernorsandHeadsofSupervisionagreements,BHCsthatmeettheminimumratio
requirementduringtheBaselIIItransitionperiodbutremainbelowthe7percenttier1
commonequitytarget(minimumplusconservationbuffer)willbeexpectedtomaintain
prudentearningsretentionpolicieswithaviewtomeetingtheconservationbufferassoonas
reasonablypossible.

20

SeeBaselCommitteeonBankingSupervision,BaselIII:Aglobalframeworkformoreresilientbanksandbanking
systems(December2010),availableatwww.bis.org/publ/bcbs189.pdf.

18

3.2.3. SurchargeforSystemicallyImportantFinancialInstitutions

InNovember2011,theBCBSpublisheditsmethodologyforassessinganadditionalloss
absorbencyrequirementforglobalsystemicallyimportantbanks(SIFIsurcharge)that
effectivelyextendsthecapitalconservationbuffer.21EachBHCstransitionplanshould
incorporatemanagementsbestestimateofthelikelySIFIsurchargethatwouldbeassessed
underthismethodologyandadescriptionofhowthisestimatewasderived.TheFederal
ReserveexpectsthatBHCswilldemonstratewithgreatassurancethat,assumingthe
frameworkisadoptedintheformagreedbytheBaselCommitteeinclusiveofaSIFIsurcharge,
theycanachievetherequiredratiosreadilyandwithoutdifficultyoverthetransitionperiod,
inclusiveofanyplannedcapitalactions.

Inmakingthatassessment,theFederalReserveexpectsthatBHCsthathaveachievedfull
compliancewiththefullyphasedinBaselIIIratioswouldnotbeconstrainedondistributionsby
BaselIIIconsiderations,providedtheBHCsforecastsuggeststhatitwouldmaintainfull
complianceduringtheplanninghorizonthroughDecember31,2016.

TheFederalReserveexpectsthatanyBHCperformanceprojectionsthatsuggestthatratios
wouldfallbelowthetransitionalBaselIIItargetsatanypointovertheBaselIIIprojectionperiod
wouldbeaccompaniedbyproposedactionsthatreflectaffirmativestepstoimprovetheBHCs
capitalratios,includingactionssuchasexternalcapitalraises,toprovidegreatassurancethat
theBHCwouldcontinuetomeettheBaselIIItransitiontargets.

SomeBHCsmayexceedthetransitiontargetsoverthenearterm,butnotyetmeetthefully
phasedintargets.ThoseBHCsareexpectedtosubmitplansreflectingsteadyaccretionof
capitalatasufficientpacetodemonstratecontinualprogresstowardfullcompliancewiththe
proposedBaselIIIframework,avoidingtheneedtoattempttoachievebackloadedincreasesin
capitalratiosinanuncertainfutureenvironment.Inparticular,aBHCshould,throughitscapital
plan,demonstrateanabilitytomaintainnolessthansteadyprogressalongapathbetweenits
existingcapitalratiosandthefullyphasedinBaselIIIrequirementin2019.TheFederalReserve
willcloselyscrutinizeplansthatfallshortofthissupervisoryexpectation.

4. FederalReserveResponsestoProposedCapitalActions

Afterperformingappropriateanalysis,theFederalReservewillbyMarch15,2012,eitherobject
orprovideanoticeofnonobjectiontothesubmittedcomprehensivecapitalplanbasedonan
assessmentofthecomprehensivenessandqualityoftheplan,proforma,poststresscapital
ratiosunderthescenarios,BaselIIItransitionplanassessments,andobjectinwholeorinpart
totheproposedcapitalactionsassubmitted.BHCswishingtoamendtheirsubmissionduring
theprocess(e.g.,requestasmallerdividendincrease)mayresubmitarevisedcapitalplan,but

21

SeeBaselCommitteeonBankingSupervision,GlobalSystemicallyImportantBanks:AssessmentMethodology
andTheAdditionalLossAbsorbencyRequirement(November2011),availableat
http://www.bis.org/publ/bcbs207.htm.

19

thesupervisoryreviewoftherevisedrequestmaybenotcompleteduntilthesubsequent
calendarquarter.

Submissionsthatarelate,incomplete,orotherwiseunclearcouldresultinanobjectiontothe
planandamandatoryresubmissionofanewplan,whichmaynotberevieweduntilthe
followingquarter.UpontheFederalReservesobjectiontoacomprehensivecapitalplan,the
BHCmaynotmakeanycapitaldistribution,otherthanthosecapitaldistributionswithrespect
towhichtheFederalReservehasindicatedinwritingitsnonobjection.22

SomeBHCsmaydesiretoannounceortakecapitalactionspriortoMarch15,2012.BHCs
shouldgivepriornoticetotheFederalReserveoftheirintenttocarryovercertaincapital
actionsthatwerepreviouslynotobjectedtothrough2011duringtheCCARexercisein2011,
butnotyetfullyexecutedin2011.Thiscarryoverappliestoactionssuchassharerepurchases
andredemptionsoftrustpreferredsecurities.Inaddition,BHCswishingtomakeacommon
dividenddeclarationpriortotheMarch15,2012decisionmayretainthesamepershare
dividendsasinthefourthquarterof2011,unlesstheFederalReserveexplicitlyinformstheBHC
otherwise.

AnoticefromaBHCseekingtoexerciseapprovedbutnotyetfullyexecutedsharerepurchases
orredemptionsin2011shouldbeprovidedtotheappropriateReserveBanknolaterthan
December9,2011.AresponsetosuchrequestswillbeprovidednolaterthanDecember31,
2011.AfterCCAR2012,theperiodofnonobjectionwillincludethesecondquarterofthe
currentyearthroughthefirstquarterofthesubsequentyear.Consequently,andasexplained
inthepreambletothecapitalplansrule,thistreatmentofthecarryoverofcapitalactionsinto
thefirstquarter2012isuniquetoCCAR2012andwillnotexistinfutureyears.

BasedonareviewofaBHC'scapitalplan,supportinginformation,anddatasubmissions,the
FederalReservemayrequireadditionalsupportinginformationoranalysisfromaBHC,or
requireittoreviseandresubmititsplan.Anyofthesemayalsoresultinthedelayofevaluation
ofcapitalactionsuntilasubsequentcalendarquarter.

TheFederalReservewillprovidefeedbackonitsbroaderassessmentsoftheBHCs
comprehensivecapitalplansandcapitaladequacyprocessestoall19BHCsbyApril30,2012.

TheFederalReserveatalltimesretainstheabilitytoultimatelyobjecttopaymentsinfuture
quartersifaBHCexhibitsamaterialdeclineinperformanceoradeterioratingoutlook
materiallyincreasesBHCspecificrisks.

Asdetailedinthecapitalplansrule,aBHCmustupdateandresubmititscapitalplanifit
determinestherehasbeenorwillbeamaterialchangeintheBHCsriskprofile(includinga
materialchangeinitsbusinessstrategyoranymaterialriskexposures),financialcondition,or
corporatestructuresincetheBHCadoptedthecapitalplan.Further,theFederalReservemay

22

Seesection225.8(e)(2)(iv)ofthecapitalplansrule.

20

directaBHCtoreviseandresubmititscapitalplanforanumberofreasons,includingifastress
scenariodevelopedbyaBHCisnotappropriatetoitsbusinessmodelandportfolios,orchanges
infinancialmarketsorthemacroeconomicoutlookthatcouldhaveamaterialimpactona
BHCsriskprofileandfinancialconditionrequirestheuseofupdatedscenarios.

5. DisclosureofSupervisoryPostStressCapitalAnalysis

AttheendoftheCCAR2012process,theFederalReserveintendstopublishtheresultsofthe
supervisorystresstestcomponentofCCAR2012onaBHCspecificbasis.Thepurposeof
releasingthisinformationistoprovideinsighttomarketparticipantsintotheresiliencyofthe
BHCsverystressfulhypotheticalenvironmentsandtoprovideinformationaboutthepoststress
capitalanalysisperformedbysupervisorsduringtheCCAR2012process.

Inreleasingthisinformation,theFederalReservenotesthatsupervisorystresstestresultsare
notthesolebasisuponwhichthecoveredBHCscapitalplansarebeingassessedduringCCAR
2012.Infact,thesupervisorystresstestforagivenBHCcouldresultinapoststresstier1
commoncapitalratioexceeding5percent,andotherregulatorycapitalratiosremainingabove
theminimums,buttheFederalReservecouldnonethelessobjecttothatBHCscapitalplanfor
otherreasons,includingmaterialunresolvedsupervisoryissues;anassessmentthat
assumptionsandanalysesunderlyingtheBHCscomprehensivecapitalplanareinadequate;an
assessmentthattheBHCscapitaladequacyprocess,includingthecriticalriskmeasurement
andmanagementpracticessupportingthisprocess,arenotrobust;oradeterminationthata
BHCscapitalplanningprocessorproposedcapitaldistributionswouldotherwiseconstitutean
unsafeorunsoundpractice,orwouldviolateanylaw,regulation,Boardorder,directive,orany
conditionimposedby,orwrittenagreementwith,theBoard.23

TheinformationtobereleasedwillincludeBHCspecificinformationaboutproforma,post
stresscapitalratiosleverage,tier1riskbased,andtotalriskbasedcapitalratiosandthetier1
commonratioincludingtheminimumvalueoftheseratiosovertheplanninghorizon.In
addition,theFederalReservewillreleaseinformationaboutstresslossprojectionsandloss
ratesformajorloancategories,stresslossprojectionsforsecuritiesheldintheavailablefor
saleandheldtomaturityportfolios,stresslossesonthetradingportfolioandfrom
counterpartycreditriskpositions,stresspreprovisionnetrevenue(PPNR)andnetincome,and
othermajorfactorsaffectingtheevolutionofcapitaloverthestresstesthorizon.

6. IncrementalCapitalRequests

ThecapitalplansruleprovidesthataBHCmustrequestpriorapprovalofacapitaldistributionif
thedollaramountofthecapitaldistributionwillexceedtheamountdescribedinthecapital
planforwhichanonobjectionwasissuedunlessanexception(i.e.,1percentoftier1capital)
ismet.24Supervisorswillexamineperformancerelativetotheinitialprojectionsandthe

23

Seesection225.8(e)(2)(ii)ofthecapitalplansrule.

24

Seesection225.8(f)ofthecapitalplansrule.

21

rationalefortherequest.Anysuchrequestforpriorapprovalshouldincorporateafully
updatedcapitalplan,includingrelevantFRY14schedulesreflectingupdatedbaselineand
supervisorystressscenariosprovidedbytheFederalReserve,unlessotherwisedirectedbythe
FederalReserve.

22

AppendixI:SupervisoryExpectationsforCapitalPolicies

InthecapitalplansruleacapitalpolicyisdefinedasaBHCswrittenassessmentofthe
principlesandguidelinesusedforcapitalplanning,capitalissuance,usageanddistributions,
includinginternalcapitalgoals;thequantitativeorqualitativeguidelinesfordividendandstock
repurchases;thestrategiesforaddressingpotentialcapitalshortfalls;andtheinternal
governanceproceduresaroundcapitalpolicyprinciplesandguidelines.Thefirmscapitalpolicy
establishesthecapitalplanningframeworkinplacetoaddressexpectationsunderprinciples4
and5oftheoverallcapitaladequacyprocess(CAP)aslaidoutintheSupervisoryExpectations
foraCapitalAdequacyProcesssection(AppendixII)oftheCCAR2012instructions.

ABHCsinternalcapitalgoalsshouldapplythroughouttheplanninghorizonintheformof
capitallevelsandratios.ABHCshouldbeabletodemonstratethatachievingitsstatedinternal
capitalgoalswillallowittocontinueitsoperationsduringandaftertheimpactofthestressed
scenariosincludedinitscomprehensivecapitalplan.Thepolicyshouldalsoincludeadetailed
explanationofthecircumstancesinwhichitwillnotconsideradividendorrepurchase,orwill
notexecuteapreviouslyplannedcapitalaction.

AspartofthecontinuationofaBHCsoperations,theFederalReserveexpectstheBHCto
maintainreadyaccesstofunding,meetitsobligationstocreditorsandothercounterparties,
andcontinuetoserveasacreditintermediary,includingunderanadversestressenvironment.
Similarly,aBHCscapitalpolicyshouldreflectstrategiesforaddressingpotentialcapital
shortfalls,suchasbyreducingoreliminatingcapitaldistributions,raisingadditionalcapital,or
preservingitsexistingcapital,tosupportcircumstanceswheretheBHChasunderestimatedits
risksorwhereitsperformancehasnotmetitsexpectations.

TheFederalReserveexpectsthataBHCscapitalpolicywillleadtoanunderstandingofhowthe
BHCmanages,monitorsandmakesdecisionsregardingallaspectsofcapital,includingcapital
planning,issuance,usageanddistributions.TheFederalReservewillevaluatetheBHCscapital
policyusingthefollowingstandards:

Capitalpolicyobjectives:TheBHCscapitalpolicyshouldclearlyarticulatetheBHCsprinciples
withrespecttocapitalplanning,capitalissuance,usageanddistributions(i.e.,provideclarity
abouttheBHCsobjectivesinmanagingitscapitalposition).Thepolicyshouldexplainhowthe
BHCsprinciplesalignwiththeimperativeofmaintainingastrongcapitalposition.

Capitalgoals:ThepolicyshouldlayouttheBHCscapitalgoalsovertime,providingspecific
targetsforthelevelandqualityofcapital.Thecapitalgoalsshouldreflectforwardlooking
elementsrelatedtotheeconomicoutlook,exposurestolossesunderadverseeconomic
scenarios,futureregulatoryrequirements,aswellastheexpectationsofstakeholders(e.g.,
shareholders,ratingagencies,counterpartiesandregulators).EachBHCshouldensurethatits
internalcapitalgoalsreflectanyrelevantminimumregulatorycapitalratiolevels,anyhigher
levelsofregulatorycapitalratios(aboveregulatoryminimums),andanyadditionalcapital
measuresthat,whenmaintained,willallowtheBHCtocontinueitsoperations.
23

Proposedcapitalactions:Thepolicyshoulddescribethegovernanceandprocesses
surroundinghowcommonstockdividendandrepurchasedecisionsaremade,includingan
explanationoftherolesandresponsibilitiesofkeydecisionmakers.Thepolicyshoulddescribe
theprocesstheBHCfollowstoarriveatitsplannedcapitaldistributionamount(bothdividends
andrepurchases).Specifically,thepolicyshouldleadtoaclearunderstandingofthefollowing:

Themainfactors/keymetricsthatinfluenceboththesizeandformatoftheBHCs
distribution;

Theanalyticalmaterialsusedinmakingcapitaldistributiondecisions(e.g.,keymetrics,
reports,earnings,ratios,stresstestresults);

Whohasresponsibilityforproducingtheanalyticalmaterialreferencedabove;and

Whotheanalysisispresentedtoandtherequiredapprovalsuptoandincludingtheboard
ofdirectors.

Frequencyofpolicyreevaluation:Thepolicyshouldincludeaminimumfrequencywithwhich
thecapitalplanisreevaluated.TheFederalReserveexpectsthatBHCswillreviewtheircapital
policiesatleastannually.

Quantitativemetrics:Thepolicyshouldincludequantitativemetricssuchascommonstock
dividend(andother)payoutratiosasmaximums/targetsforcapitaldistributions
(dividend/repurchase).Thepolicyshouldincludeanexplanationofhowmanagement
concludedthattheseratiosareappropriate,sustainable,andconsistentwithitscapital
objectives,businessmodelandcapitalplan.

Capitalpreservationscenarios:Thepolicyshouldincludeasetofeconomicconditionsthat
wouldcausetheBHCtotakeactiontopreservecapital.Specifically,thepolicyshould
enumerateanytriggersorcircumstancesthatwouldcallfortheBHCtorevieworconsider
reducing,deferring,oreliminatingdividendsorrepurchases.

Capitalaccretion:Animportantaspectofanycomprehensivecapitalplanisthecareful
considerationofhowretentionofearningswillsupportandrespondtothevariedcapitalneeds
oftheBHCinachievingitscapitaltargets.Inestablishingdividendandrepurchaselevels,
institutionsshouldconsiderthestrength,volatilityandsustainabilityoftheirearningsrelative
toshortandlongertermdemandstobuildtheBHCscapitalbaseovertime.Thesettingof
capitaldistributionlevelsshouldbeconsistentwithadegreeofcapitalaccretionthatsupport
achievingtheBHCscapitaltargetsinitscapitalpolicynotedabove.

Accordingly,insettingthelevelsofcapitaldistributions,BHCsshouldexplicitlytakeinto
accountgeneraleconomicconditionsandtheirplanstogrowtheironandoffbalancesheet
sizeandriskorganicallyorthroughacquisitions.Inaddition,theresultsoftheBHCscapital
24

adequacyanalysis,includinginternalstresstestsandthoserunfortheFederalReserve,should
influencethelevelofcapitaldistributionstheBHCbelievesareprudent.Further,BHCsshould
explicitlytakeintoaccountshort,intermediateandlongertermcapitaldemandsdueto
expectedchangesinregulatorycapitalstandards(e.g.,changesarisingfromBaselIIIorDodd
Frank),includingrecognitionoftheuncertaintyoftheprecisedetailsofthosefuturestandards.

ABHCscapitaldistributionframeworkshouldbesufficientlyflexibletopromptlyrespondto
adversechangesintheenvironmentandearnings.Institutionsshouldbemindfultosetcapital
dividendpayoutlevelsasashareofearningsthatisbelievedtobesustainablethroughgeneral
fluctuationsintheBHCsearnings,consistentwiththedegreetowhichtheBHCseeksto
addressinvestorsensitivitytothereliabilityandsustainabilityofdividends.

Asnotedinthecapitalpolicysectionabove,policytriggersshouldbesetthatprompt
managementtoreconsider,reduceorsuspendcapitalactions.Triggerscouldincludefactors
suchasanactualorexpecteddeclineinearningsorchangesinforwardlookinganalysis,
includingstressteststhatsuggestagrowingrisktotheBHCachievingthetargetsofitscapital
plan.

25

AppendixII:SupervisoryExpectationsforaCapitalAdequacyProcess

ABHCscapitaladequacyprocess(CAP)shouldadheretothefollowingprinciples:

Principle1:TheBHChasasoundriskmanagementinfrastructurethatsupportsthe
identification,measurement,andassessmentofallmaterialrisksarisingfromitsexposuresand
businessactivities.

AsatisfactoryCAPrequires(1)acomprehensiveriskidentificationprocess,and(2)complete
andaccuratemeasurementandassessmentofallmaterialrisks.

ABHCshouldmeasureorassessthefullspectrumofrisksthatfacetheorganization,using
bothquantitativeandqualitativemethods,whereapplicable.

Quantitativeprocessesformeasuringrisksshouldmeetsupervisoryexpectationsformodel
effectivenessandbesupportedbyrobustmodeldevelopment,documentation,and
validationpractices.Bothqualitativeandquantitativeprocessesforassessingriskshould
betransparent,repeatable,andreviewablebyanindependentparty.

Anyidentifiedweaknessesinriskmeasuresusedasinputstothecapitaladequacyprocess
shouldbereportedtoanddiscussedwithseniormanagementandtheboardofdirectors.
Thepotentialimplicationsofriskmeasurementweaknessesshouldalsobereportedand
addressed.

Principle2:TheBHChaseffectiveprocessesfortranslatingriskmeasuresintoestimatesof
potentiallossesoverarangeofadversescenariosandenvironmentsandforaggregatingthose
estimatedlossesacrosstheBHC.

ACAPshouldincludelossforecastingmethodologiesthatgenerateestimatesofpotential
losses,oneofwhichshouldbeanenterprisewidestresstestusingscenarioanalysis.
Methodologiesutilizedshouldbecomplementaryinthattheydonotsufferfromcommon
limitationsanddonotallrelyoncommonassumptions.

Usingitsvariousmeasures,aBHCshoulddevelopconsistentandrepeatableprocessesto
aggregateestimatesofstresslossesonafirmwidebasisacrosstheBHC.

ABHCshouldrecognizethatitslossforecastsareestimatesanddocumentuncertainty
aroundthoseestimates,includingananalysisoftheimpactofchangesinassumptions.

ABHCshoulddemonstratethatitslossforecastingtoolsareappropriateforthemannerin
whichtheyarebeingemployed,andthatthemostrelevantlimitationsareclearlyidentified,
documented,andcommunicatedtoseniormanagementandtheboardofdirectors.

26

Principle3:TheBHChasacleardefinitionofavailablecapitalresourcesandaneffective
processforforecastingavailablecapitalresources(includinganyforecastedrevenues)overthe
samerangeofadversescenariosandenvironmentsusedforlossforecasting.

Managementandtheboardofdirectorsshouldunderstandthelossabsorptioncapabilities
ofthecomponentsoftheBHCscapitalbase.

Inforecastingavailablecapitalresources,aBHCwillneedtoconsidernotonlyitscurrent
positionsandmixofcapitalinstruments,butalsohowitscapitalresourcesmayevolveover
timeundervaryingcircumstancesunderstressscenarios.

Asisthecaseinconsideringthepathofcapitalresourcesovertime,PPNRforecastsshould
beconsistentwithbalancesheetandotherexposureassumptionsusedforrelatedloss
forecasting.Thisiscriticalformeasuringtheimpactofearningassetsandinterestbearing
liabilities(inadditiontorateassumptions)onnetinterestincome.

Principle4:TheBHChasprocessesforconsideringtheimpactoflossandresourceestimateson
capitaladequacy,inlinewiththeBHCsstatedgoalsforthelevelandcompositionofcapital,
andtakingintoaccountanylimitationsoftheBHCscapitaladequacyprocess.

ABHCshouldhaveawellestablishedandconsistentlyexecutedprocessforaggregatingloss
andresourceestimatestoassessthepoststressimpactofthoseestimatesoncapital.A
BHCshoulduseavarietyofcapitalmeasuresthatrepresentbothleverageandriskat
specifiedtimehorizons.

Theboardofdirectorsisresponsibleforestablishingcapitalgoalscommensuratewiththe
riskprofile,financialcondition,andeconomicandmarketcircumstancesoftheBHC.Such
decisionsshouldalsoincludeanassessmentoflimitationsofunderlyingriskmeasurement
andmanagementpracticessupportingriskevaluationandlossandrevenueforecasting.

Additionaldetailonexpectationsforestablishingappropriatecapitaltargetscanbefoundin
theSupervisoryExpectationsforCapitalPoliciessection(AppendixII)oftheCCAR2012
instructions.

Principle5:TheBHChasaprocess,supportedbyitscapitalpolicy,touseitsassessmentsofthe
impactoflossandresourceestimatesoncapitaladequacytomakekeydecisionsregardingthe
currentlevelandcompositionofcapital,specificcapitalactions,andcapitalcontingencyplans.

ABHCsprocessesformakingkeydecisionsaboutcapitaladequacyinvolve:(1)the
establishmentofapolicyframeworkthatincludesspecifiedtriggersforwhencertain
decisionsneedtobeconsideredorreconsidered,(2)anassessmentoftheadequacyofthe
BHCscapitalwhichincorporatesavarietyofBHCwideanalytics,and(3)contingencyplans
thatinformmanagementactionswhenspecifiedtriggersarebreached.
27

Additionaldetailonexpectationsforestablishingappropriatecapitaltargetscanbefoundin
theSupervisoryExpectationsforCapitalPoliciessection(AppendixI)oftheCCAR2012
instructions.

Principle6:TheBHChasrobustinternalcontrolsgoverningcapitaladequacyprocess
components,including:sufficientdocumentation;changecontrol;modelvalidationand
independentreview;andaudittesting.

Consistentwithgeneralsafetyandsoundnesssupervisoryexpectations,theinternalcontrol
environmentgoverningtheCAPshouldbecomprisedofeffectiveboardandsenior
managementoversight,policiesandprocedures,managementinformationsystems,and
independentvalidationorverification.

TheinternalcontrolframeworkshouldencompasstheentireCAP,includingtherisk
managementsystemsusedtoproduceinputdata,themodelsandothertechniquesusedto
projectlossandresourceestimates,theprocessformakingcapitaladequacydecisions,and
theaggregationandreportingframeworkusedtoproducemanagementandboard
reporting.

Policiesandproceduresshouldensureaconsistentandrepeatableprocessandprovide
transparencytothirdpartiesfortheirunderstandingofaBHCsCAPprocessesand
practices.Policiesandproceduresshouldbecomprehensive,relevanttotheiruseinthe
CAP,beperiodicallyupdated,andcovertheentireprocessandallofitscomponents.

SpecifictotheCAP,aBHCshouldhaveinternalcontrolsthatensuretheintegrityof
reportedresultsandthatallmaterialchangestotheprocessanditscomponentsare
appropriatelyreviewedandapproved.

ABHCshouldhavecontrolstoensurethatmanagementinformationsystemsarerobust
enoughtosupportmodels,stresstests,andotherquantitativetoolsusedfortheCAP,with
sufficientflexibilitytorunadhocanalysisasneeded.Ensuringthequalityandintegrityof
dataandotherinputsisofvitalimportance.

ExpectationsforvalidationandindependentreviewforcomponentsoftheCAPare
consistentwithexistingsupervisoryguidanceonmodelriskmanagement.ABHCsinternal
auditshouldplayastrongroleinevaluatingtheCAPanditscomponents.Afullreviewof
theCAPshouldbedoneperiodicallytoensurethatasawholeitisfunctioningasexpected.

Principle7:TheBHChaseffectiveboardandseniormanagementoversightoftheCAP,
includingperiodicreviewofcapitalgoals,assessmentoftheappropriatenessofadverse
scenariosconsideredincapitalplanning,regularreviewofanylimitationsanduncertaintiesin
theprocess,andapprovalofplannedcapitalactions.
28

TheboardofdirectorsshouldmakeinformeddecisionsoncapitaladequacyforitsBHCby
receivingsufficientinformationdetailingtheriskstheBHCfaces,andtheimpactthatloss
andresourceestimatesmayhaveonthecapitalpositionoftheorganization.This
informationshouldbeframedagainstthecapitalgoalsestablishedbytheBHCand
obligationstoexternalstakeholders,andconsidercapitaladequacyfortheBHCwith
respecttothecurrentcircumstancesaswellasonaproforma,poststressbasis.

Additionally,theinformationtheboardreviewsshouldincludearepresentationof
weaknessesanduncertaintieswithinthecapitaladequacyprocess,enablingtheboardto
havetheperspectivetoeffectivelyunderstandandchallengereportedresults.Supervisors
expecttheboardtoactappropriatelywhenweaknessesintheprocessareidentified,giving
fullconsiderationtotheimpactofthoseweaknessesintheircapitaldecisions.

Usingappropriateinformation,seniormanagementshouldmakeinformed
recommendationstotheboardabouttheBHCscapital,includingcapitalgoalsand
distributiondecisions.

ABHCshouldappropriatelydocumentthekeydecisionsmadebytheboardofdirectorsand
seniormanagementandtheinformationusedtomakethosedecisions.

29

AppendixIII:TheFederalReserveCCAR2012MacroeconomicScenarios

Aspartofthe2012ComprehensiveCapitalAnalysisandReview(CCAR12),BHCsarebeing
askedtoprojecttheirrevenues,losses,andproformacapitalpositionsthroughtheendof2013
underfourscenarios:
i.
ii.
iii.
iv.

BHCBaselineaBHCdefinedbaselinescenario
SupervisoryBaselineabaselinescenarioprovidedbytheFederalReserve
BHCStressatleastoneBHCdefinedadversescenario
SupervisoryStressanadversescenarioprovidedbytheFederalReserve

ItisimportanttonotethatthescenariosprovidedbytheFederalReservearenotforecasts,
butratherhypotheticalscenariostobeusedtoassessthestrengthandresilienceofBHC
capitalinabaselineeconomicenvironmentandinaparticularlyadverseone.Anoutcome
likethesupervisorystressscenario,whileunlikely,mayprevailiftheU.Seconomywereto
experiencearecessionwhileatthesametimeeconomicactivityinothermajoreconomies
werealsotocontractsignificantly.
ThisAppendixprovidesadescriptionofthetwoscenariosprovidedbytheFederalReserve.
Allscenariosstartinthefourthquarterof2011andextendthroughthefourthquarterof2014,
whichpermitsthecalculationofloanlossreservesattheendof2013.ThetwoFederalReserve
scenariosaredefinedover25variables.ForthedomesticU.S.variables,eachFederalReserve
scenarioincludes:

Fivemeasuresofeconomicactivityandprices:RealandnominalGrossDomesticProduct
(GDP),theunemploymentrateoftheciviliannoninstitutionalpopulationaged16andover,
nominaldisposablepersonalincome,andtheConsumerPriceIndex(CPI);
Fouraggregatemeasuresofassetpricesorfinancialconditions:TheCoreLogicNational
HousePriceIndex,theNationalCouncilforRealEstateInvestmentFiduciariesCommercial
RealEstatePriceIndex,theDowJonesTotalStockMarketIndex,andtheChicagoBoard
OptionsExchangeMarketVolatilityIndex;and,
Fourmeasuresofinterestrates:therateonthethreemonthTreasurybill,theyieldonthe
10yearTreasurybond,theyieldona10yearBBBcorporatesecurity,andtheinterestrate
associatedwithaconforming,conventional,fixedrate,30yearmortgage.

Fortheinternationalvariables,eachFederalReservescenarioincludesthreevariablesinfour
countries/countryblocks.

Thethreevariablesforeachcountry/countryblockarethepercentchangeinrealGDP,the
percentchangeintheConsumerPriceIndexorlocalequivalent,andtheU.S./foreign
currencyexchangerate.
Thefourcountries/countryblocksincludedaretheeuroarea,theUnitedKingdom,
developingAsia,andJapan.TheeuroareaisdefinedastheseventeenEuropeanUnion
memberstatesthathaveadoptedtheeuroastheircommoncurrencyanddevelopingAsia
isdefinedastheaggregateofChina,India,HongKong,andTaiwan.

30

Attachments
Theprecedingdiscussiondescribesthebroadcontoursofthebaselineandadversescenario
overtheperiodfrom2012to2014.Thespecificvaluesforallthevariablesincludedinthe
scenariosareshownonthefollowingpagesandwillbeprovidedtoBHCsinanaccompanying
spreadsheet.

31

SupervisoryStressScenario(USprojections)

OBS
Q12001
Q22001
Q32001
Q42001
Q12002
Q22002
Q32002
Q42002
Q12003
Q22003
Q32003
Q42003
Q12004
Q22004
Q32004
Q42004
Q12005
Q22005
Q32005
Q42005
Q12006
Q22006
Q32006
Q42006
Q12007
Q22007
Q32007
Q42007
Q12008
Q22008
Q32008
Q42008
Q12009
Q22009
Q32009
Q42009
Q12010
Q22010
Q32010
Q42010
Q12011
Q22011
Q32011
Q42011
Q12012
Q22012
Q32012
Q42012
Q12013
Q22013
Q32013
Q42013
Q12014
Q22014
Q32014
Q42014

Real
Nominal
RealGDP NominalGDP disposable disposable Unemploym CPIinflation
growth
growth
income
income
entrate
rate
growth
growth
1.31
1.40
3.05
5.96
4.23
3.88
2.65
5.47
1.08
0.82
4.41
2.86
1.10
0.15
10.58
10.66
4.81
1.08
1.41
2.66
4.59
4.38
5.53
0.25
3.46
4.93
11.23
12.25
5.70
1.25
2.14
3.99
2.21
5.44
5.84
3.20
2.04
3.82
1.37
0.64
5.72
2.15
0.14
2.46
0.95
2.86
5.84
2.40
1.68
4.55
1.48
4.43
5.87
4.13
3.43
4.64
6.19
6.50
6.15
0.59
6.75
9.14
5.71
8.47
6.10
2.99
3.67
5.80
2.32
4.22
5.81
1.57
2.66
6.28
1.79
5.19
5.68
3.43
2.60
6.11
4.01
7.11
5.58
3.16
3.01
6.03
2.70
5.25
5.43
2.58
3.31
6.43
5.71
9.15
5.38
4.39
4.19
8.09
4.79
2.51
5.27
2.05
1.79
4.55
2.85
5.40
5.10
2.68
3.21
7.52
2.41
7.10
4.95
6.24
2.07
5.54
2.21
5.84
4.94
3.72
5.15
8.31
7.71
9.52
4.71
2.13
1.63
5.24
3.60
6.70
4.64
3.68
0.05
3.11
1.94
4.90
4.63
3.83
2.75
4.59
5.35
5.26
4.44
1.69
0.54
5.23
1.82
5.83
4.49
3.92
3.65
6.50
0.60
4.08
4.47
4.76
4.34
1.59
3.85
4.65
2.44
2.96
1.70
3.64
2.23
6.52
4.80
4.92
1.76
0.58
5.90
10.00
4.95
4.51
1.32
4.03
8.22
13.11
5.31
5.31
3.66
0.57
8.82
4.86
6.03
6.46
8.89
8.43
0.23
5.79
6.91
9.07
6.67
5.23
3.81
5.42
8.22
2.50
0.69
1.14
0.25
2.15
9.29
1.97
1.70
1.93
5.42
2.57
9.69
3.67
3.80
4.88
0.58
2.18
10.01
2.72
3.94
5.52
4.86
6.81
9.70
1.28
3.79
5.43
5.57
5.91
9.66
0.51
2.51
3.86
2.27
3.27
9.59
1.42
2.35
4.16
1.50
3.47
9.63
2.68
0.36
3.09
1.24
5.19
8.93
5.25
1.34
3.96
0.59
3.91
9.06
4.02
2.46
5.04
1.73
0.59
9.09
3.09
4.84
1.70
6.02
3.37
1.90
9.68
7.98
5.39
6.81
5.30
10.58
2.00
4.23
2.54
4.29
3.46
11.40
1.90
3.51
2.24
3.16
2.44
12.16
2.20
0.00
0.09
0.57
0.36
12.76
2.10
0.72
0.58
0.74
0.84
13.00
2.11
2.21
2.01
1.66
1.74
13.05
2.27
2.32
2.14
2.69
2.88
12.96
2.38
3.45
3.26
2.27
2.48
12.76
2.44
3.36
2.94
2.77
2.62
12.61
2.40
3.71
3.18
3.53
3.25
12.36
2.40
4.64
4.09
2.82
2.53
12.04
2.40
4.64
4.00
4.48
4.01
11.66
2.41

3month
Treasury
yield
4.82
3.66
3.19
1.91
1.72
1.72
1.64
1.34
1.16
1.04
0.93
0.92
0.92
1.08
1.49
2.01
2.54
2.86
3.36
3.83
4.39
4.71
4.91
4.90
4.98
4.74
4.31
3.40
2.07
1.62
1.49
0.30
0.21
0.17
0.16
0.06
0.11
0.15
0.16
0.14
0.13
0.05
0.02
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10

10year
Treasury
yield

BBB
corporate
yield

5.30
5.50
5.26
5.06
5.39
5.35
4.55
4.29
4.16
3.80
4.40
4.44
4.14
4.75
4.45
4.30
4.39
4.24
4.29
4.60
4.67
5.15
4.96
4.70
4.76
4.92
4.84
4.41
3.87
4.09
4.05
3.72
3.23
3.65
3.81
3.69
3.87
3.62
2.90
2.97
3.53
3.28
2.48
2.07
1.94
1.76
1.67
1.76
1.74
1.84
1.98
1.98
1.97
1.88
1.86
1.89

7.44
7.49
7.26
7.19
7.58
7.61
7.28
7.04
6.47
5.65
6.02
5.84
5.45
6.08
5.77
5.44
5.43
5.46
5.48
5.88
5.97
6.48
6.43
6.12
6.11
6.30
6.54
6.37
6.54
6.84
7.19
9.39
8.96
8.15
6.76
6.13
5.78
5.55
5.07
5.04
5.40
5.15
4.87
5.65
6.83
6.81
6.75
6.45
6.07
5.83
5.74
5.51
5.28
4.94
4.72
4.58

Mortgage
rate
7.24
7.37
7.19
7.00
7.20
7.03
6.48
6.25
5.99
5.65
6.18
6.09
5.75
6.31
6.06
5.89
5.91
5.87
5.92
6.40
6.42
6.80
6.77
6.43
6.40
6.55
6.75
6.41
6.04
6.26
6.50
6.03
5.18
5.14
5.28
5.03
5.11
5.02
4.54
4.50
4.95
4.76
4.40
4.65
5.12
5.16
5.17
5.08
4.93
4.82
4.77
4.66
4.54
4.38
4.26
4.17

Notes:
Sourcesfordatathrough2011: Q3(asreleasedthrough11/08/2010).2011:Q3internationalGDPdatabasedonstaffcalculations.
Valuesafterthatdateequalassumptionsforthesupervisorystressscenario.
Variablesreportedasgrowthratesareexpressedaspercentchangesatanannualrate.
RealGDPgrowth:GrossDomesticProduct,billionsofchainweighted2005dollars,BureauofEconomicAnalysis
NominalGDPgrowth:GrossDomesticProduct,billionsofdollars,BureauofEconomicAnalysis
CPIinflationrate:BureauofLaborStatistics
RealDisposablePersonalIncomegrowth:Billionsofchainweighted2002dollars,equalsnominaldisposablepersonalincomedividedbythepriceindexfor
personalconsumptionexpenditures,BureauofEconomicAnalysis
NominalDisposablePersonalIncomegrowth:Billionsofdollars,BureauofEconomicAnalysis
UnemploymentRate:BureauofLaborStatistics(quarterlyaverageofmonthlydata)
3MonthTBillRate:Quarterlyaverageof3monthTreasurybillsecondarymarketratediscountbasis,FederalReserveBoard
10yrTreasuryBondRate:Quarterlyaverageofyieldon10yrU.S.Treasurybond,constructedforFRB/USmodelbyFederalReservestaff
BBBCorporateBondRate:Yieldon10yrBBBratedcorporatebond,constructedforFRB/USmodelbyFederalReservestaff
MortgageRate:FreddieMac
DowJonesTotalStockMarketIndex:Endofquartervalue,DowJones
NationalHousePriceIndex:CoreLogic(seasonallyadjustedbyFederalReservestaff)
CREPriceIndex:Composite index created by Federal Reserve staff using the office, retail, and industrial NCREIF Transaction Based Indexes.
VIX:ChicagoBoardOptionsExchange
EuroAreaRealGDPGrowth:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunitiesviaHaver
EuroAreaInflation:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunityviaHaver
DevelopingAsiaRealGDPGrowth:staffcalculationsbasedonBankofKoreaviaHaver,ChineseNationalBureauofStatisticsviaCEIC,Indian
CentralStatisticalOrganizationviaCEIC,CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,
AccountingandStatisticsviaCEIC.
DevelopingAsiaInflation:staffcalculationsbasedonBankofKoreaviaCEIC,ChineseStatisticalInformationandConsultancyServiceviaCEIC,
andIMFRecentEconomicDevelopments,LabourBureauofIndiaviaCEICandIMF,CensusandStatisticDepartmentofHongKongviaCEIC,
CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,AccountingandStatisticsviaCEIC.
JapanRealGDPGrowth:CabinetOfficeviaHaver
JapanInflation:MinistryofInternalAffairsandCommunicationsviaHaver
UKRealGDPGrowth:OfficeofNationalStatisticsviaHaver
UKInflation:OfficeofNationalStatistics(usesRetailPriceIndextoextendseriesbackto1960)viaHaver
ExchangeRates:Bloomberg

DowJones
Market
Commercial
TotalStock
HousePrice
Volatility
RealEstate
Market
Index
Index(VIX)
PriceIndex
Index
10,645.85
32.84
113.46
130.98
11,407.15
34.72
115.20
130.12
9,562.95
43.74
117.58
129.20
10,707.68
35.31
119.99
127.36
10,775.74
26.09
122.44
129.05
9,384.03
28.42
125.74
129.24
7,773.63
45.08
129.10
130.49
8,343.19
42.64
131.56
131.77
8,051.86
34.69
134.59
134.63
9,342.42
29.13
137.48
135.93
9,649.68
22.72
141.68
137.10
10,799.63
21.07
146.32
139.04
11,039.42
21.58
152.67
141.22
11,138.91
19.96
159.10
143.52
10,895.48
19.34
164.33
146.53
11,971.14
16.58
170.25
147.61
11,638.27
14.65
180.11
148.12
11,876.74
17.74
186.45
174.64
12,289.26
14.17
192.51
175.76
12,517.69
16.47
197.07
186.38
13,155.44
14.56
201.82
195.50
12,849.29
23.81
199.55
198.00
13,345.97
18.64
198.29
199.43
14,257.55
12.67
198.93
215.76
14,409.27
19.63
196.43
222.91
15,210.65
18.89
191.35
229.81
15,362.02
30.83
185.77
221.46
14,819.58
31.09
179.99
222.88
13,332.01
32.24
173.04
223.71
13,073.54
31.01
165.31
217.79
11,875.41
46.72
158.25
217.11
9,087.17
80.86
149.51
189.54
8,113.14
56.65
142.77
186.93
9,424.92
42.28
143.51
154.64
10,911.69
31.30
144.81
157.50
11,497.41
30.69
145.34
152.24
12,160.97
27.31
146.66
157.50
10,750.01
45.79
146.10
171.27
11,947.14
32.86
141.78
160.45
13,290.03
23.54
139.61
178.95
14,036.43
29.40
137.93
177.17
13,968.11
22.73
137.56
173.82
11,771.86
48.00
136.86
174.08
9,501.48
75.86
135.13
168.40
7,576.38
90.50
131.61
161.04
7,089.87
80.00
127.50
153.42
5,705.55
81.23
123.12
146.53
5,668.34
69.82
119.08
139.36
6,082.47
62.75
115.15
136.75
6,384.32
57.76
111.92
135.20
7,084.65
53.82
109.77
134.02
7,618.89
49.84
108.48
134.36
8,014.71
45.87
108.08
134.45
9,925.73
34.96
108.40
135.91
10,874.38
24.22
109.24
139.53
12,005.11
17.51
110.29
143.35

SupervisoryStressScenario(internationalprojections)

OBS

Q12001
Q22001
Q32001
Q42001
Q12002
Q22002
Q32002
Q42002
Q12003
Q22003
Q32003
Q42003
Q12004
Q22004
Q32004
Q42004
Q12005
Q22005
Q32005
Q42005
Q12006
Q22006
Q32006
Q42006
Q12007
Q22007
Q32007
Q42007
Q12008
Q22008
Q32008
Q42008
Q12009
Q22009
Q32009
Q42009
Q12010
Q22010
Q32010
Q42010
Q12011
Q22011
Q32011
Q42011
Q12012
Q22012
Q32012
Q42012
Q12013
Q22013
Q32013
Q42013
Q12014
Q22014
Q32014
Q42014

EuroArea
RealGDP
Growth

3.70
0.32
0.16
0.50
0.91
2.01
1.34
0.20
0.11
0.06
2.03
2.48
2.27
2.12
1.65
1.30
0.67
3.02
2.41
2.38
3.86
4.27
2.67
3.95
3.53
1.91
2.42
1.51
2.36
1.54
2.10
7.21
10.81
0.85
1.77
1.54
1.32
3.69
1.62
1.07
3.10
0.65
1.33
1.03
3.49
5.40
6.91
4.92
2.64
0.88
0.35
1.11
1.50
1.68
1.74
1.72

EuroArea
Inflation

1.06
4.03
1.44
1.69
2.97
2.01
1.62
2.38
3.24
0.34
2.17
2.16
2.32
2.34
2.00
2.40
1.50
2.13
3.12
2.46
1.62
2.44
1.99
0.94
2.21
2.24
2.07
4.87
4.14
3.10
3.04
1.26
1.07
0.11
0.96
1.92
1.76
1.68
1.53
3.01
3.59
2.75
1.24
2.53
1.69
0.29
0.99
0.92
0.49
0.02
0.43
0.71
0.87
0.99
1.11
1.23

Developing
EuroArea
AsiaBilateral
Bilateral
Developing Developing
Dollar
Dollar
JapanReal
AsiaReal
Asia
Exchange
Exchange
GDPGrowth
GDPGrowth Inflation Rate(F/USD,
Rate
Index,Base=
($/Euro)
2000Q1)
0.88
0.85
0.91
0.89
0.87
0.99
0.99
1.05
1.09
1.15
1.16
1.27
1.23
1.22
1.23
1.35
1.30
1.20
1.20
1.19
1.22
1.28
1.27
1.32
1.33
1.35
1.43
1.47
1.59
1.56
1.41
1.39
1.33
1.41
1.47
1.43
1.35
1.23
1.35
1.33
1.41
1.45
1.35
1.32
1.30
1.25
1.19
1.18
1.18
1.18
1.19
1.19
1.20
1.20
1.20
1.21

3.82
5.69
4.45
6.50
7.16
8.73
4.71
6.06
6.63
2.59
12.51
11.00
4.57
5.98
8.32
7.44
7.81
6.90
9.31
9.92
11.60
7.53
8.36
9.89
13.97
9.72
8.50
9.25
8.73
6.50
4.21
0.53
5.33
12.71
12.11
7.26
10.74
7.10
8.78
6.36
9.05
7.54
7.52
5.76
4.93
4.69
4.67
6.86
7.91
8.23
8.25
8.18
8.15
8.16
8.21
8.28

1.59
1.98
1.20
0.25
0.32
0.65
1.44
0.71
3.14
1.16
0.01
5.38
4.11
3.92
3.84
0.71
2.80
1.68
2.44
1.77
2.37
2.96
1.77
3.96
3.75
4.63
7.22
6.17
7.65
5.99
2.72
1.27
1.25
2.16
4.46
5.25
4.71
3.09
3.97
7.98
6.18
4.75
5.38
6.12
4.75
3.18
2.07
1.22
1.08
1.12
1.21
1.32
1.44
1.57
1.73
1.89

105.90
105.99
106.29
106.74
107.20
104.67
105.41
104.39
105.40
103.93
102.59
103.31
101.39
102.73
102.67
98.97
98.66
99.00
98.55
98.12
96.84
96.73
96.32
94.58
93.97
91.93
90.62
89.38
87.94
88.55
91.24
91.95
94.02
92.05
91.12
90.55
89.79
90.89
88.27
87.19
86.44
85.25
87.66
89.53
91.49
94.91
100.27
98.96
97.48
95.89
94.26
92.66
91.15
89.75
88.45
87.25

1.79
2.36
4.63
1.75
1.19
3.24
3.09
0.36
1.57
2.54
2.95
5.47
4.55
1.05
2.47
1.79
2.92
4.55
2.79
1.15
0.01
4.51
1.30
2.50
4.60
1.10
1.18
2.50
2.79
4.66
5.38
11.81
19.91
7.79
1.75
6.54
8.91
0.66
3.96
2.41
3.77
2.17
1.01
1.63
0.48
1.29
3.94
4.23
3.51
2.66
1.77
0.92
0.14
0.44
0.83
1.05

Japan
Inflation

Japan
Bilateral
UKBilateral
Dollar
UKRealGDP
Dollar
UKInflation
Exchange
Growth
ExchangeRate
Rate
(USD/Pound)
(Yen/USD)

0.55
2.00
0.59
1.85
1.11
0.08
0.44
0.59
0.04
0.24
0.64
0.72
0.60
0.36
0.04
1.75
0.91
1.19
1.36
0.68
1.31
0.00
0.40
0.40
0.24
0.00
0.12
2.26
1.30
1.69
3.28
2.34
3.14
1.74
1.83
1.36
1.36
1.20
2.68
1.32
0.40
0.80
0.08
0.76
1.53
2.43
3.85
3.44
3.19
2.78
2.34
1.93
1.56
1.25
0.99
0.76

125.54
124.73
119.23
131.04
132.70
119.85
121.74
118.75
118.07
119.87
111.43
107.13
104.18
109.43
110.20
102.68
107.22
110.91
113.29
117.88
117.48
114.51
117.99
119.02
117.56
123.39
114.97
111.71
99.85
106.17
105.94
90.79
99.15
96.42
89.49
93.08
93.40
88.49
83.53
81.67
82.76
80.64
77.04
77.20
77.94
78.25
78.95
79.14
79.25
79.32
79.38
79.43
79.51
79.58
79.63
79.62

5.38
1.68
2.66
1.60
3.31
2.60
3.17
2.75
2.73
4.77
4.07
4.79
3.06
1.40
0.53
1.92
1.27
3.19
3.38
3.32
3.08
1.50
0.90
2.72
4.23
4.65
4.79
2.56
0.10
5.09
7.92
9.12
6.32
0.81
0.93
2.94
0.64
4.20
2.47
2.05
1.58
0.41
0.70
0.29
1.60
2.93
4.25
3.61
2.41
1.19
0.10
0.76
1.39
1.83
2.12
2.30

Notes:
Sourcesfordatathrough2011:Q3(asreleasedthrough11/08/2010).2011:Q3internationalGDPdatabasedonstaffcalculations.
Valuesafterthatdateequalassumptionsforthesupervisorystressscenario.
Variablesreportedasgrowthratesareexpressedaspercentchangesatanannualrate.
RealGDPgrowth:GrossDomesticProduct,billionsofchainweighted2005dollars,BureauofEconomicAnalysis
NominalGDPgrowth:GrossDomesticProduct,billionsofdollars,BureauofEconomicAnalysis
CPIinflationrate:BureauofLaborStatistics
RealDisposablePersonalIncomegrowth:Billionsofchainweighted2002dollars,equalsnominaldisposablepersonalincomedividedbythepriceindexfor
personalconsumptionexpenditures,BureauofEconomicAnalysis
NominalDisposablePersonalIncomegrowth:Billionsofdollars,BureauofEconomicAnalysis
UnemploymentRate:BureauofLaborStatistics(quarterlyaverageofmonthlydata)
3MonthTBillRate:Quarterlyaverageof3monthTreasurybillsecondarymarketratediscountbasis,FederalReserveBoard
10yrTreasuryBondRate:Quarterlyaverageofyieldon10yrU.S.Treasurybond,constructedforFRB/USmodelbyFederalReservestaff
BBBCorporateBondRate:Yieldon10yrBBBratedcorporatebond,constructedforFRB/USmodelbyFederalReservestaff
MortgageRate:FreddieMac
DowJonesTotalStockMarketIndex:Endofquartervalue,DowJones
NationalHousePriceIndex:CoreLogic(seasonallyadjustedbyFederalReservestaff)
CREPriceIndex:Composite index created by Federal Reserve staff using the office, retail, and industrial NCREIF Transaction Based Indexes.
VIX:ChicagoBoardOptionsExchange
EuroAreaRealGDPGrowth:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunitiesviaHaver
EuroAreaInflation:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunityviaHaver
DevelopingAsiaRealGDPGrowth:staffcalculationsbasedonBankofKoreaviaHaver,ChineseNationalBureauofStatisticsviaCEIC,Indian
CentralStatisticalOrganizationviaCEIC,CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,
AccountingandStatisticsviaCEIC.
DevelopingAsiaInflation:staffcalculationsbasedonBankofKoreaviaCEIC,ChineseStatisticalInformationandConsultancyServiceviaCEIC,
andIMFRecentEconomicDevelopments,LabourBureauofIndiaviaCEICandIMF,CensusandStatisticDepartmentofHongKongviaCEIC,
CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,AccountingandStatisticsviaCEIC.
JapanRealGDPGrowth:CabinetOfficeviaHaver
JapanInflation:MinistryofInternalAffairsandCommunicationsviaHaver
UKRealGDPGrowth:OfficeofNationalStatisticsviaHaver
UKInflation:OfficeofNationalStatistics(usesRetailPriceIndextoextendseriesbackto1960)viaHaver
ExchangeRates:Bloomberg

0.09
3.02
1.02
0.04
1.90
0.88
1.34
1.92
1.58
0.29
1.70
1.65
1.31
0.98
1.02
2.36
2.55
1.85
2.68
1.35
1.90
2.95
3.21
2.60
2.70
1.53
0.19
3.92
3.81
5.33
5.59
0.51
0.33
1.82
3.29
3.08
4.58
2.57
1.96
4.27
7.22
3.68
3.28
2.64
1.50
0.26
0.90
0.70
0.35
0.12
0.57
0.95
1.25
1.49
1.69
1.84

1.43
1.41
1.47
1.45
1.43
1.52
1.56
1.61
1.59
1.67
1.67
1.79
1.85
1.82
1.82
1.92
1.89
1.79
1.75
1.72
1.75
1.85
1.89
1.96
1.96
2.00
2.04
2.00
2.00
2.00
1.79
1.47
1.43
1.64
1.61
1.61
1.52
1.49
1.56
1.54
1.61
1.61
1.56
1.56
1.56
1.55
1.53
1.54
1.53
1.53
1.53
1.52
1.52
1.52
1.52
1.52

SupervisoryBaselineScenario(USprojections)

OBS
Q12001
Q22001
Q32001
Q42001
Q12002
Q22002
Q32002
Q42002
Q12003
Q22003
Q32003
Q42003
Q12004
Q22004
Q32004
Q42004
Q12005
Q22005
Q32005
Q42005
Q12006
Q22006
Q32006
Q42006
Q12007
Q22007
Q32007
Q42007
Q12008
Q22008
Q32008
Q42008
Q12009
Q22009
Q32009
Q42009
Q12010
Q22010
Q32010
Q42010
Q12011
Q22011
Q32011
Q42011
Q12012
Q22012
Q32012
Q42012
Q12013
Q22013
Q32013
Q42013
Q12014
Q22014
Q32014
Q42014

Real
Nominal
3month
RealGDP
Nominal disposable disposable Unemploym CPIinflation
Treasury
growth
GDPgrowth
income
income
entrate
rate
yield
growth
growth
1.31
1.40
3.05
5.96
4.23
3.88
4.82
2.65
5.47
1.08
0.82
4.41
2.86
3.66
1.10
0.15
10.58
10.66
4.81
1.08
3.19
1.41
2.66
4.59
4.38
5.53
0.25
1.91
3.46
4.93
11.23
12.25
5.70
1.25
1.72
2.14
3.99
2.21
5.44
5.84
3.20
1.72
2.04
3.82
1.37
0.64
5.72
2.15
1.64
0.14
2.46
0.95
2.86
5.84
2.40
1.34
1.68
4.55
1.48
4.43
5.87
4.13
1.16
3.43
4.64
6.19
6.50
6.15
0.59
1.04
6.75
9.14
5.71
8.47
6.10
2.99
0.93
3.67
5.80
2.32
4.22
5.81
1.57
0.92
2.66
6.28
1.79
5.19
5.68
3.43
0.92
2.60
6.11
4.01
7.11
5.58
3.16
1.08
3.01
6.03
2.70
5.25
5.43
2.58
1.49
3.31
6.43
5.71
9.15
5.38
4.39
2.01
4.19
8.09
4.79
2.51
5.27
2.05
2.54
1.79
4.55
2.85
5.40
5.10
2.68
2.86
3.21
7.52
2.41
7.10
4.95
6.24
3.36
2.07
5.54
2.21
5.84
4.94
3.72
3.83
5.15
8.31
7.71
9.52
4.71
2.13
4.39
1.63
5.24
3.60
6.70
4.64
3.68
4.71
0.05
3.11
1.94
4.90
4.63
3.83
4.91
2.75
4.59
5.35
5.26
4.44
1.69
4.90
0.54
5.23
1.82
5.83
4.49
3.92
4.98
3.65
6.50
0.60
4.08
4.47
4.76
4.74
4.34
1.59
3.85
4.65
2.44
4.31
2.96
1.70
3.64
2.23
6.52
4.80
4.92
3.40
1.76
0.58
5.90
10.00
4.95
4.51
2.07
1.32
4.03
8.22
13.11
5.31
5.31
1.62
3.66
0.57
8.82
4.86
6.03
6.46
1.49
8.89
8.43
0.23
5.79
6.91
9.07
0.30
6.67
5.23
3.81
5.42
8.22
2.50
0.21
0.69
1.14
0.25
2.15
9.29
1.97
0.17
1.70
1.93
5.42
2.57
9.69
3.67
0.16
3.80
4.88
0.58
2.18
10.01
2.72
0.06
3.94
5.52
4.86
6.81
9.70
1.28
0.11
3.79
5.43
5.57
5.91
9.66
0.51
0.15
2.51
3.86
2.27
3.27
9.59
1.42
0.16
2.35
4.16
1.50
3.47
9.63
2.68
0.14
0.36
3.09
1.24
5.19
8.93
5.25
0.13
1.34
3.96
0.59
3.91
9.06
4.02
0.05
2.46
5.04
1.73
0.59
9.09
3.09
0.02
2.33
5.22
0.48
2.01
9.10
1.90
0.10
1.92
4.76
1.62
3.50
9.10
2.00
0.10
2.22
4.60
2.09
3.88
9.00
1.90
0.10
2.43
4.82
1.99
4.09
8.90
2.20
0.10
2.63
4.77
2.39
4.40
8.90
2.10
0.10
2.69
4.80
2.77
4.80
8.69
2.11
0.10
2.81
5.09
2.89
5.09
8.48
2.27
0.10
2.90
5.28
2.96
5.28
8.27
2.38
0.10
2.96
5.39
3.01
5.39
8.06
2.44
0.55
2.94
5.38
3.04
5.38
7.93
2.40
0.99
2.95
5.42
3.08
5.42
7.78
2.40
1.44
2.95
5.46
3.11
5.46
7.63
2.40
1.88
2.94
5.48
3.12
5.48
7.48
2.41
2.33

10year
Treasury
yield
5.30
5.50
5.26
5.06
5.39
5.35
4.55
4.29
4.16
3.80
4.40
4.44
4.14
4.75
4.45
4.30
4.39
4.24
4.29
4.60
4.67
5.15
4.96
4.70
4.76
4.92
4.84
4.41
3.87
4.09
4.05
3.72
3.23
3.65
3.81
3.69
3.87
3.62
2.90
2.97
3.53
3.28
2.48
2.20
2.30
2.40
2.60
2.80
3.10
3.31
3.50
3.69
3.88
4.04
4.18
4.30

BBB
corporate
yield
7.44
7.49
7.26
7.19
7.58
7.61
7.28
7.04
6.47
5.65
6.02
5.84
5.45
6.08
5.77
5.44
5.43
5.46
5.48
5.88
5.97
6.48
6.43
6.12
6.11
6.30
6.54
6.37
6.54
6.84
7.19
9.39
8.96
8.15
6.76
6.13
5.78
5.55
5.07
5.04
5.40
5.15
4.87
4.52
4.55
4.59
4.74
4.89
5.15
5.32
5.48
5.65
5.83
5.96
6.08
6.18

DowJones
Market
Commercial
Mortgage TotalStock
HousePrice
Volatility
RealEstate
rate
Market
Index
Index(VIX)
PriceIndex
Index
7.24 10,645.85
32.84
113.46
130.98
7.37 11,407.15
34.72
115.20
130.12
7.19
9,562.95
43.74
117.58
129.20
7.00 10,707.68
35.31
119.99
127.36
7.20 10,775.74
26.09
122.44
129.05
7.03
9,384.03
28.42
125.74
129.24
6.48
7,773.63
45.08
129.10
130.49
6.25
8,343.19
42.64
131.56
131.77
5.99
8,051.86
34.69
134.59
134.63
5.65
9,342.42
29.13
137.48
135.93
6.18
9,649.68
22.72
141.68
137.10
6.09 10,799.63
21.07
146.32
139.04
5.75 11,039.42
21.58
152.67
141.22
6.31 11,138.91
19.96
159.10
143.52
6.06 10,895.48
19.34
164.33
146.53
5.89 11,971.14
16.58
170.25
147.61
5.91 11,638.27
14.65
180.11
148.12
5.87 11,876.74
17.74
186.45
174.64
5.92 12,289.26
14.17
192.51
175.76
6.40 12,517.69
16.47
197.07
186.38
6.42 13,155.44
14.56
201.82
195.50
6.80 12,849.29
23.81
199.55
198.00
6.77 13,345.97
18.64
198.29
199.43
6.43 14,257.55
12.67
198.93
215.76
6.40 14,409.27
19.63
196.43
222.91
6.55 15,210.65
18.89
191.35
229.81
6.75 15,362.02
30.83
185.77
221.46
6.41 14,819.58
31.09
179.99
222.88
6.04 13,332.01
32.24
173.04
223.71
6.26 13,073.54
31.01
165.31
217.79
6.50 11,875.41
46.72
158.25
217.11
6.03
9,087.17
80.86
149.51
189.54
5.18
8,113.14
56.65
142.77
186.93
5.14
9,424.92
42.28
143.51
154.64
5.28 10,911.69
31.30
144.81
157.50
5.03 11,497.41
30.69
145.34
152.24
5.11 12,160.97
27.31
146.66
157.50
5.02 10,750.01
45.79
146.10
171.27
4.54 11,947.14
32.86
141.78
160.45
4.50 13,290.03
23.54
139.61
178.95
4.95 14,036.43
29.40
137.93
177.17
4.76 13,968.11
22.73
137.56
173.82
4.40 11,771.86
48.00
136.86
174.08
4.21 11,936.09
35.97
137.21
172.17
4.17 12,090.22
35.08
137.55
173.29
4.15 12,242.03
31.83
137.89
175.43
4.19 12,401.69
31.35
138.24
177.65
4.24 12,562.14
29.59
138.58
178.87
4.34 12,725.49
28.43
138.93
182.28
4.41 12,899.23
30.74
139.28
185.64
4.49 13,080.73
30.48
139.63
189.10
4.63 13,268.17
30.10
139.97
192.64
4.82 13,458.04
27.47
140.32
195.52
5.03 13,651.75
24.68
140.68
198.63
5.25 13,849.28
20.84
141.03
201.80
5.48 14,050.55
18.55
141.38
205.03

Notes:
Sourcesfordatathrough2011: Q3(asreleasedthrough11/08/2010).2011:Q3internationalGDPdatabasedonstaffcalculations.
Valuesafterthatdateequalassumptionsforthesupervisorystressscenario.
Variablesreportedasgrowthratesareexpressedaspercentchangesatanannualrate.
RealGDPgrowth:GrossDomesticProduct,billionsofchainweighted2005dollars,BureauofEconomicAnalysis
NominalGDPgrowth:GrossDomesticProduct,billionsofdollars,BureauofEconomicAnalysis
CPIinflationrate:BureauofLaborStatistics
RealDisposablePersonalIncomegrowth:Billionsofchainweighted2002dollars,equalsnominaldisposablepersonalincomedividedbytheprice
indexforpersonalconsumptionexpenditures,BureauofEconomicAnalysis
NominalDisposablePersonalIncomegrowth:Billionsofdollars,BureauofEconomicAnalysis
UnemploymentRate:BureauofLaborStatistics(quarterlyaverageofmonthlydata)
3MonthTBillRate:Quarterlyaverageof3monthTreasurybillsecondarymarketratediscountbasis,FederalReserveBoard
10yrTreasuryBondRate:Quarterlyaverageofyieldon10yrU.S.Treasurybond,constructedforFRB/USmodelbyFederalReservestaff
BBBCorporateBondRate:Yieldon10yrBBBratedcorporatebond,constructedforFRB/USmodelbyFederalReservestaff
MortgageRate:FreddieMac
DowJonesTotalStockMarketIndex:Endofquartervalue,DowJones
NationalHousePriceIndex:CoreLogic(seasonallyadjustedbyFederalReservestaff)
CREPriceIndex:Composite index created by Federal Reserve staff using the office, retail, and industrial NCREIF Transaction Based Indexes.
VIX:ChicagoBoardOptionsExchange
EuroAreaRealGDPGrowth:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunitiesviaHaver
EuroAreaInflation:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunityviaHaver
DevelopingAsiaRealGDPGrowth:staffcalculationsbasedonBankofKoreaviaHaver,ChineseNationalBureauofStatisticsviaCEIC,
IndianCentralStatisticalOrganizationviaCEIC,CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorate
GeneralofBudget,AccountingandStatisticsviaCEIC.
DevelopingAsiaInflation:staffcalculationsbasedonBankofKoreaviaCEIC,ChineseStatisticalInformationandConsultancyService
viaCEIC,andIMFRecentEconomicDevelopments,LabourBureauofIndiaviaCEICandIMF,CensusandStatisticDepartmentofHong
KongviaCEIC,CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,Accountingand
StatisticsviaCEIC.
JapanRealGDPGrowth:CabinetOfficeviaHaver
JapanInflation:MinistryofInternalAffairsandCommunicationsviaHaver
UKRealGDPGrowth:OfficeofNationalStatisticsviaHaver
UKInflation:OfficeofNationalStatistics(usesRetailPriceIndextoextendseriesbackto1960)viaHaver
ExchangeRates:Bloomberg

SupervisoryBaselineScenario(internationalprojections)

OBS

Q12001
Q22001
Q32001
Q42001
Q12002
Q22002
Q32002
Q42002
Q12003
Q22003
Q32003
Q42003
Q12004
Q22004
Q32004
Q42004
Q12005
Q22005
Q32005
Q42005
Q12006
Q22006
Q32006
Q42006
Q12007
Q22007
Q32007
Q42007
Q12008
Q22008
Q32008
Q42008
Q12009
Q22009
Q32009
Q42009
Q12010
Q22010
Q32010
Q42010
Q12011
Q22011
Q32011
Q42011
Q12012
Q22012
Q32012
Q42012
Q12013
Q22013
Q32013
Q42013
Q12014
Q22014
Q32014
Q42014

EuroArea
RealGDP
Growth

3.70
0.32
0.16
0.50
0.91
2.01
1.34
0.20
0.11
0.06
2.03
2.48
2.27
2.12
1.65
1.30
0.67
3.02
2.41
2.38
3.86
4.27
2.67
3.95
3.53
1.91
2.42
1.51
2.36
1.54
2.10
7.21
10.81
0.85
1.77
1.54
1.32
3.69
1.62
1.07
3.10
0.65
1.33
1.32
0.81
0.41
0.30
0.48
0.86
1.17
1.34
1.38
1.30
1.22
1.16
1.12

EuroArea
Bilateral
Asiaex
EuroArea
Dollar
JapanReal
Inflation
Exchange
GDPGrowth
Rate
(USD/Euro)
1.06
4.03
1.44
1.69
2.97
2.01
1.62
2.38
3.24
0.34
2.17
2.16
2.32
2.34
2.00
2.40
1.50
2.13
3.12
2.46
1.62
2.44
1.99
0.94
2.21
2.24
2.07
4.87
4.14
3.10
3.04
1.26
1.07
0.11
0.96
1.92
1.76
1.68
1.53
3.01
3.59
2.75
1.24
2.82
2.49
1.80
1.45
1.45
1.72
1.96
2.09
2.11
2.06
2.01
1.99
1.99

0.88
0.85
0.91
0.89
0.87
0.99
0.99
1.05
1.09
1.15
1.16
1.27
1.23
1.22
1.23
1.35
1.30
1.20
1.20
1.19
1.22
1.28
1.27
1.32
1.33
1.35
1.43
1.47
1.59
1.56
1.41
1.39
1.33
1.41
1.47
1.43
1.35
1.23
1.35
1.33
1.41
1.45
1.35
1.36
1.38
1.37
1.35
1.33
1.32
1.32
1.32
1.32
1.32
1.31
1.31
1.30

3.82
5.69
4.45
6.50
7.16
8.73
4.71
6.06
6.63
2.59
12.51
11.00
4.57
5.98
8.32
7.44
7.81
6.90
9.31
9.92
11.60
7.53
8.36
9.89
13.97
9.72
8.50
9.25
8.73
6.50
4.21
0.53
5.33
12.71
12.11
7.26
10.74
7.10
8.78
6.36
9.05
7.54
7.52
7.48
7.43
7.41
7.43
7.47
7.54
7.59
7.62
7.63
7.62
7.61
7.60
7.58

Asiaex
Japan
Inflation

1.59
1.98
1.20
0.25
0.32
0.65
1.44
0.71
3.14
1.16
0.01
5.38
4.11
3.92
3.84
0.71
2.80
1.68
2.44
1.77
2.37
2.96
1.77
3.96
3.75
4.63
7.22
6.17
7.65
5.99
2.72
1.27
1.25
2.16
4.46
5.25
4.71
3.09
3.97
7.98
6.18
4.75
5.38
6.32
5.42
4.34
3.65
3.32
3.28
3.28
3.26
3.22
3.17
3.13
3.10
3.09

Developing
AsiaBilateral
Dollar
JapanReal
Exchange
GDPGrowth
Rate(F/USD,
Index,Base=
2000Q1)
105.90
105.99
106.29
106.74
107.20
104.67
105.41
104.39
105.40
103.93
102.59
103.31
101.39
102.73
102.67
98.97
98.66
99.00
98.55
98.12
96.84
96.73
96.32
94.58
93.97
91.93
90.62
89.38
87.94
88.55
91.24
91.95
94.02
92.05
91.12
90.55
89.79
90.89
88.27
87.19
86.44
85.25
87.66
86.34
84.68
83.71
83.12
82.64
82.08
81.43
80.75
80.07
79.45
78.86
78.31
77.77

1.79
2.36
4.63
1.75
1.19
3.24
3.09
0.36
1.57
2.54
2.95
5.47
4.55
1.05
2.47
1.79
2.92
4.55
2.79
1.15
0.01
4.51
1.30
2.50
4.60
1.10
1.18
2.50
2.79
4.66
5.38
11.81
19.91
7.79
1.75
6.54
8.91
0.66
3.96
2.41
3.77
2.17
1.01
2.53
2.65
2.42
2.08
1.65
1.17
0.80
0.57
0.50
0.55
0.59
0.60
0.57

Japan
Inflation

0.55
2.00
0.59
1.85
1.11
0.08
0.44
0.59
0.04
0.24
0.64
0.72
0.60
0.36
0.04
1.75
0.91
1.19
1.36
0.68
1.31
0.00
0.40
0.40
0.24
0.00
0.12
2.26
1.30
1.69
3.28
2.34
3.14
1.74
1.83
1.36
1.36
1.20
2.68
1.32
0.40
0.80
0.08
0.08
0.15
0.13
0.09
0.03
0.04
0.11
0.17
0.22
0.26
0.30
0.33
0.35

Japan
Bilateral
UKBilateral
Dollar
UKReal
Dollar
UKInflation
Exchange GDPGrowth
ExchangeRate
Rate
(USD/Pound)
(Yen/USD)
125.54
124.73
119.23
131.04
132.70
119.85
121.74
118.75
118.07
119.87
111.43
107.13
104.18
109.43
110.20
102.68
107.22
110.91
113.29
117.88
117.48
114.51
117.99
119.02
117.56
123.39
114.97
111.71
99.85
106.17
105.94
90.79
99.15
96.42
89.49
93.08
93.40
88.49
83.53
81.67
82.76
80.64
77.04
77.70
78.97
79.71
80.06
80.20
80.26
80.30
80.32
80.34
80.39
80.43
80.44
80.39

Notes:
Sourcesfordatathrough2011:Q3(asreleasedthrough11/08/2010).2011:Q3internationalGDPdatabasedonstaffcalculations.
Valuesafterthatdateequalassumptionsforthesupervisorystressscenario.
Variablesreportedasgrowthratesareexpressedaspercentchangesatanannualrate.
RealGDPgrowth:GrossDomesticProduct,billionsofchainweighted2005dollars,BureauofEconomicAnalysis
NominalGDPgrowth:GrossDomesticProduct,billionsofdollars,BureauofEconomicAnalysis
CPIinflationrate:BureauofLaborStatistics
RealDisposablePersonalIncomegrowth:Billionsofchainweighted2002dollars,equalsnominaldisposablepersonalincomedividedbythepriceindexfor
personalconsumptionexpenditures,BureauofEconomicAnalysis
NominalDisposablePersonalIncomegrowth:Billionsofdollars,BureauofEconomicAnalysis
UnemploymentRate:BureauofLaborStatistics(quarterlyaverageofmonthlydata)
3MonthTBillRate:Quarterlyaverageof3monthTreasurybillsecondarymarketratediscountbasis,FederalReserveBoard
10yrTreasuryBondRate:Quarterlyaverageofyieldon10yrU.S.Treasurybond,constructedforFRB/USmodelbyFederalReservestaff
BBBCorporateBondRate:Yieldon10yrBBBratedcorporatebond,constructedforFRB/USmodelbyFederalReservestaff
MortgageRate:FreddieMac
DowJonesTotalStockMarketIndex:Endofquartervalue,DowJones
NationalHousePriceIndex:CoreLogic(seasonallyadjustedbyFederalReservestaff)
CREPriceIndex:Composite index created by Federal Reserve staff using the office, retail, and industrial NCREIF Transaction Based Indexes.
VIX:ChicagoBoardOptionsExchange
EuroAreaRealGDPGrowth:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunitiesviaHaver
EuroAreaInflation:staffcalculationsbasedonStatisticalOfficeoftheEuropeanCommunityviaHaver
DevelopingAsiaRealGDPGrowth:staffcalculationsbasedonBankofKoreaviaHaver,ChineseNationalBureauofStatisticsviaCEIC,IndianCentral
StatisticalOrganizationviaCEIC,CensusandStatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,Accountingand
StatisticsviaCEIC.
DevelopingAsiaInflation:staffcalculationsbasedonBankofKoreaviaCEIC,ChineseStatisticalInformationandConsultancyServiceviaCEIC,andIMF
RecentEconomicDevelopments,LabourBureauofIndiaviaCEICandIMF,CensusandStatisticDepartmentofHongKongviaCEIC,Censusand
StatisticsDepartmentofHongKongviaCEIC,andTaiwanDirectorateGeneralofBudget,AccountingandStatisticsviaCEIC.
JapanRealGDPGrowth:CabinetOfficeviaHaver
JapanInflation:MinistryofInternalAffairsandCommunicationsviaHaver
UKRealGDPGrowth:OfficeofNationalStatisticsviaHaver
UKInflation:OfficeofNationalStatistics(usesRetailPriceIndextoextendseriesbackto1960)viaHaver
ExchangeRates:Bloomberg

5.38
1.68
2.66
1.60
3.31
2.60
3.17
2.75
2.73
4.77
4.07
4.79
3.06
1.40
0.53
1.92
1.27
3.19
3.38
3.32
3.08
1.50
0.90
2.72
4.23
4.65
4.79
2.56
0.10
5.09
7.92
9.12
6.32
0.81
0.93
2.94
0.64
4.20
2.47
2.05
1.58
0.41
0.70
0.91
1.03
1.14
1.26
1.37
1.48
1.55
1.59
1.59
1.56
1.54
1.53
1.54

0.09
3.02
1.02
0.04
1.90
0.88
1.34
1.92
1.58
0.29
1.70
1.65
1.31
0.98
1.02
2.36
2.55
1.85
2.68
1.35
1.90
2.95
3.21
2.60
2.70
1.53
0.19
3.92
3.81
5.33
5.59
0.51
0.33
1.82
3.29
3.08
4.58
2.57
1.96
4.27
7.22
3.68
3.28
3.42
3.11
2.75
2.52
2.42
2.43
2.45
2.46
2.46
2.46
2.45
2.45
2.45

1.43
1.41
1.47
1.45
1.43
1.52
1.56
1.61
1.59
1.67
1.67
1.79
1.85
1.82
1.82
1.92
1.89
1.79
1.75
1.72
1.75
1.85
1.89
1.96
1.96
2.00
2.04
2.00
2.00
2.00
1.79
1.47
1.43
1.64
1.61
1.61
1.52
1.49
1.56
1.54
1.61
1.61
1.56
1.56
1.57
1.58
1.58
1.58
1.58
1.58
1.57
1.57
1.57
1.56
1.56
1.57