The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
2014 Supervisory Scenarios for Annual Stress Tests Required under the Dodd-Frank Act Stress Testing Rules and the Capital Plan Rule November 1, 2013 BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM 2014 Supervisory Scenarios for Annual Stress Tests Required under the Dodd-Frank Act Stress Testing Rules and the Capital Plan Rule November 1, 2013 BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM Errata The Federal Reserve revised this paper on November 7, 2013, to correct a minor computational error for the projections of the 5-year Treasury yield in the baseline and adverse scenarios. The revisions are listed below. On p. 7, under Table 1.A. Supervisory baseline scenario: Domestic • 5-year Treasury yield, Q4 2013 has been revised from 2.5 to 1.8. On p. 12, under Table 2A.—continued: • 5-year Treasury yield, Q2 2015 has been revised from 4.6 to 4.4. • 5-year Treasury yield, Q3 2015 has been revised from 4.6 to 4.2. • 5-year Treasury yield, Q4 2015 has been revised from 4.6 to 4.0. • 5-year Treasury yield, Q1 2016 has been revised from 4.7 to 3.7. • 5-year Treasury yield, Q2 2016 has been revised from 4.8 to 3.5. • 5-year Treasury yield, Q3 2016 has been revised from 4.8 to 3.4. • 5-year Treasury yield, Q4 2016 has been revised from 4.8 to 3.2. v Contents Supervisory Baseline, Adverse, and Severely Adverse Scenarios ............................. 1 Supervisory Baseline Scenario .................................................................................................... 2 Supervisory Adverse Scenario ..................................................................................................... 2 Supervisory Severely Adverse Scenario ....................................................................................... 3 Additional Key Features of the Supervisory Scenarios ................................................................... 4 Global Market Shock Components for Supervisory Adverse and Severely Adverse Scenarios ........................................................................................................................... 5 Counterparty Default Component for Supervisory Adverse and Severely Adverse Scenarios ........................................................................................................................... 6 1 Supervisory Baseline, Adverse, and Severely Adverse Scenarios The Federal Reserve Board’s rules implementing the stress testing requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act require the Board to provide at least three different sets of scenarios, including baseline, adverse, and severely adverse scenarios, for both supervisory and company-run stress tests. This publication provides a description of the supervisory scenarios that should be used (1) for the current stress test cycle under the Board’s stress test rules, and (2) in connection with capital plans due January 6, 2014, under the Board’s capital plan rule (see instructions for the 2014 Comprehensive Capital Analysis and Review at www .federalreserve.gov/bankinforeg/ccar.htm). The adverse and severely adverse scenarios are not forecasts, but rather are hypothetical scenarios designed to assess the strength of banking organizations and their resilience to adverse economic environments. Further, the baseline scenario follows a contour very similar to the average projections from surveys of economic forecasters and does not represent the forecast of the Federal Reserve. All scenarios start in the fourth quarter of 2013 (2013:Q4) and extend through the fourth quarter of 2016 (2016:Q4). Each of the three scenarios includes 28 variables. For domestic variables, each scenario includes the following: • Six measures of economic activity and prices: annualized percent changes in real and nominal Gross Domestic Product (GDP), the unemployment rate of the civilian non-institutional population aged 16 and over, annualized percent changes in real and nominal disposable personal income, and the annualized percent change in the Consumer Price Index (CPI) • Four aggregate measures of asset prices or financial conditions: indexes of house prices, commercial property prices, equity prices, and U.S. stockmarket volatility • Six measures of interest rates: the rate on the 3-month Treasury bill; the yield on the 5-year Treasury bond; the yield on the 10-year Treasury bond; the yield on a 10-year BBB corporate security; the prime rate; and the interest rate associated with a conforming, conventional, fixed-rate, 30-year mortgage For international variables, each scenario includes three variables in four countries/country blocks: • The three variables for each country/country block are the annualized percent change in real GDP, the annualized percent change in the CPI or local equivalent, and the U.S. dollar/foreign currency exchange rate. • The four countries/country blocks included are the euro area, the United Kingdom, developing Asia, and Japan. The euro area is defined as the 17 European Union member states that have adopted the euro as their common currency, and developing Asia is defined as the nominal GDP-weighted aggregate of China, India, South Korea, Hong Kong SAR, and Taiwan. The 28 variables provided this year by the Federal Reserve include all of the variables provided last year and two new domestic variables—the yield on the 5-year Treasury bond and the prime rate.1 (The Federal Reserve recognizes the amount of work required for companies to incorporate the scenario variables into their stress testing models and expects to eliminate variables from the scenarios only in rare instances.) The motivation for adding the yield on the 5-year Treasury bond is that—together with the rate on the 3-month Treasury bill and the yield on the 10-year Treasury bond—it provides a more thorough 1 Equity prices in this year’s macro scenarios are measured by the Dow Jones Total Stock Market (Float Cap) Index. The Dow Jones Total Stock Market (Full Cap) Index that was used in last year’s scenarios was discontinued by Dow Jones in November 2012 in favor of the Float Cap Index. 2 Federal Reserve Supervisory Scenarios characterization of the Treasury yield curve. The motivation for adding the prime rate is that it is a commonly used base rate for many types of loan products. The Federal Reserve is also providing updated historical time series accompanying the scenarios (see www.federalreserve.gov/bankinforeg/ stress-tests-capital-planning.htm). Consistent with the moderate pace of economic activity, equity prices increase about 5 percent per year and equity-market volatility remains low. Nominal house prices increase nearly 3 percent per year, on average, over the scenario. Commercial real estate prices increase about 4 percent per year during the scenario period. The following sections describe the broad contours of the baseline scenario, the adverse scenario, and the severely adverse scenario. The specific values for all variables included in the scenarios are shown in this document and are also provided as an Excel spreadsheet on the Board’s website at www.federalreserve .gov/bankinforeg/stress-tests-capital-planning.htm. Further, the Federal Reserve is providing a summary description of the global market shocks that will be provided to some firms with significant trading activity. The Federal Reserve will provide an Excel spreadsheet of the global market shocks by November 15, 2013 on the Board’s website at www.federalreserve .gov/bankinforeg/stress-tests-capital-planning .htm.These firms will be required to apply the global market shocks to their trading and counterparty positions as of October 16, 2013. Finally, the Federal Reserve is providing a summary description of the counterparty default scenario component that will apply to certain large and interconnected firms. These firms will be required to apply the counterparty default scenario to their exposure and collateral values as of October 16, 2013. Short-term Treasury rates in the baseline scenario remain at 10 basis points for most of 2014, and then increase about 25 basis points per quarter to reach nearly 2½ percent by year-end 2016. This path is consistent with the average projections from surveys of economic forecasters. Long-term Treasury yields move up steadily over the scenario period from their third-quarter level of about 2¾ percent to more than 4¼ percent by the end of 2016. Consistent with the strengthening economy, the BBB corporate spread narrows slightly during the scenario period; as a result, corporate yields increase by a bit less than similar-maturity Treasury yields. The prime rate moves up, following the contour of short-term Treasury rates, and mortgage rates move up, following the contour of long-term Treasury yields. Supervisory Baseline Scenario The baseline scenario follows a contour very similar to the average projections from surveys of economic forecasters. For example, the outlook for U.S. real activity and inflation in the baseline is in line with the October 2013 consensus projections from Blue Chip Economic Indicators. The baseline scenario does not represent the forecast of the Federal Reserve. The baseline scenario for the United States shows a moderate expansion in economic activity. Real GDP growth increases during 2014 and averages a little less than 3 percent per year during the scenario period, while the unemployment rate edges down in 2014 and falls slowly thereafter, reaching a level slightly below 6 percent by the end of 2016. CPI inflation rises slowly over the scenario period and averages a little more than 2 percent per year. For international variables, the baseline outlook is similar to that reported in the October 2013 Blue Chip Economic Indicators and the International Monetary Fund’s World Economic Outlook, also issued in October. The baseline scenario for economic activity, inflation, and exchange rates outside the United States is characterized by an expansion in activity, albeit with divergent growth patterns across the four countries/ country blocks. There is a sustained recovery in the euro area as growth increases to about 1½ percent in 2015 and 2016, while real GDP growth in Japan slows to a little above 1¼ percent in 2016. For the United Kingdom and developing Asia, economic activity advances at a steady pace of approximately 2 percent and 6½ percent, respectively, each year. Supervisory Adverse Scenario The adverse scenario is characterized by a weakening in economic activity across all of the economies included in the scenario combined with a global aversion to long-term fixed-income assets that brings about rapid rises in long-term rates and steepening yield curves in the United States and the four November 1, 2013 countries/country blocks. It is important to note that this scenario is not a forecast, but rather is a hypothetical scenario designed to assess the strength of banking organizations and their resilience to an adverse economic environment. The adverse scenario features a moderate recession in the United States that begins in the fourth quarter of 2013 and lasts through the end of 2014; during this period, the level of real GDP declines approximately 1 percent, and the unemployment rate rises to 9¼ percent. There is an initial slowing in CPI inflation before it picks up and returns to 2 percent by the middle of 2015. Equity prices fall 36 percent by the middle of 2014 and are just below their pre-recession level by the end of the scenario. The equity market volatility index doubles from its third-quarter 2013 level to 35 percent at the start of the scenario. House prices and commercial real estate prices decline approximately 10 percent and 20 percent, respectively, before stabilizing and starting to rise in early 2016. Reflecting the weaker economy, short-term interest rates remain near zero over the scenario period. The assumed aversion to long-term debt instruments results in a sharp increase in the yield on the longterm Treasury bond to 5¾ percent by the end of 2014. With short-term interest rates flat, this increase results in a steepening of the yield curve of approximately 300 basis points by the end 2014. Corporate borrowing rates and mortgage rates both rise sharply through 2014, reflecting a moderate increase in credit spreads on top of the sharp rise in Treasury yields. A slow recovery begins in 2015, with GDP rising 2 percent that year and nearly 3¼ percent in 2016. The strengthening expansion results in the unemployment rate declining from its peak of 9¼ percent in the middle of 2015 to 8¾ percent at the end of 2016. The international component of the adverse scenario features recessions in the euro area, the United Kingdom, and Japan in the early part of the scenario period and, over the same period, below-trend growth in developing Asia. Compared to the euro area and Japan, the recession in the United Kingdom is less severe. Weaker economic activity results in a brief period of deflation with modest price declines in the euro area, while there is a sustained period of deflation with steeper price declines in Japan. 3 In this scenario, the aversion of investors to longterm fixed income assets is global, and consequently there are equivalent increases in sovereign yields across all countries. However, the euro, the pound, and the currencies of developing Asia depreciate against the dollar as a result of flight-to-safety capital flows associated with the global recession in the scenario. The yen appreciates modestly against the dollar, also reflecting flight-to-safety capital flows. This adverse scenario is qualitatively different from the 2013 adverse scenario released in November 2012. The main difference is the nature of the shock impacting the yield curve. In particular, the adverse scenario issued last year featured a sudden rise in U.S. inflation that resulted in a higher and flatter yield curve. In this year’s adverse scenario, there is a global aversion to long-term debt instruments that results in a rapid rise in long-term rates and a steeper yield curve. Supervisory Severely Adverse Scenario The severely adverse scenario is characterized by a substantial weakening in economic activity across all of the economies included in the scenario. In addition, the scenario features a significant reversal of recent improvements to the U.S. housing market and the euro area outlook. It is important to note that this scenario is not a forecast, but rather is a hypothetical scenario designed to assess the strength of banking organizations and their resilience to a severely adverse economic environment. In the United States, the severely adverse scenario features a severe recession in which the unemployment rate increases 4 percentage points from current levels (an amount similar to that seen in severe contractions over the past half-century) and peaks at 11¼ percent in the middle of 2015. Notably, the unemployment rate from late 2014 to mid-2016 remains above any level experienced during the past 70 years. Real GDP declines nearly 4¾ percent between the third quarter of 2013 and the end of 2014, and the four-quarter percent change in the CPI declines to less than 1 percent by the end of 2014 before moving back up to 1½ percent from the end of 2015 through 2016. Equity prices fall nearly 50 percent over the course of the recession and the equity market volatility index reaches a peak of 68 percent. House prices decline 25 percent during the scenario 4 Federal Reserve Supervisory Scenarios period, while commercial real estate prices decline nearly 35 percent at their trough. Short-term interest rates remain near zero through 2016. The yield on the long-term Treasury bond declines to 1 percent in 2014 before edging up approximately 1 percentage point by the end of 2016. Spreads on corporate bonds ramp up from about 200 basis points to roughly 500 basis points over the course of 2014. As a result, despite lower long-term Treasury yields, corporate borrowing rates rise and reach a peak just below 6¼ percent in mid-2014. Mortgage rates remain largely unchanged, with the decline in long-term Treasury yields offset by some widening in spreads. A slow recovery takes hold in 2015, and real GDP expands 2 percent that year and nearly 4 percent in 2016. The international component of the severely adverse scenario features recessions in the euro area, the United Kingdom, and Japan, and below-trend growth in developing Asia. The euro area slips into recession in the fourth quarter of 2013 and remains in this state until the end of 2014. During this period, the level of euro area real GDP contracts 5 ¾ percent and the level of real GDP in the United Kingdom contracts 3 percent. In addition, there is a notable weakening of conditions in developing Asia and a recession in Japan, which begins in the fourth quarter of 2013 and lasts until 2015:Q3. When combined with spillovers from developing Asia, the recession in Japan implies a contraction in Japanese real GDP that is modestly larger than in the recent financial crisis. The recoveries in the euro area, the United Kingdom, and Japan that follow their respective recessions are sluggish in this scenario: In the euro area, real GDP growth averages a little less than 2 percent per year from 2015:Q1 to 2016:Q4; in the United Kingdom, real GDP increases at a similarly modest pace of about 2 percent; in Japan, real GDP growth expands to a little more than 1¾ percent in 2016. In developing Asia, real GDP growth increases above trend by the end of 2014 and remains above trend in 2015 and 2016. In the severely adverse scenario, the U.S. dollar appreciates relative to the euro, the pound, and the currencies of developing Asia, and depreciates relative to the yen. This severely adverse scenario is similar to the 2013 severely adverse scenario released in November 2012. On the domestic side of the scenario, the most notable difference between this year’s and last year’s severely adverse scenario is a larger decline in U.S. house prices. This difference arises because the scenario this year assumes an additional reversal of some of the house price gains realized over the past year. On the international side of the scenario, the main qualitative difference between this year’s and last year’s severely adverse scenario is a moresubstantial slowdown in developing Asia and, as a consequence, Japan. The severely adverse scenario issued last year featured a sharp slowdown in economic activity in China that had substantial spillovers to activity in the rest of developing Asia. In this year’s severely adverse scenario, China continues to experience a sharp slowdown in economic activity, but other large economies in developing Asia now also experience similar sharp slowdowns that, moreover, originate in their own economies. Thus, the scenario assumes a more severe overall slowdown in developing Asia that significantly impacts Japan. These additional features of this year’s severely adverse scenario are designed to assess the effect on large U.S. banks of a sharp turnaround in current developments in U.S. housing markets and a sizeable weakening of economic activity in emerging market economies. Additional Key Features of the Supervisory Scenarios The sharp slowdown in developing Asia featured in this year’s severely adverse scenario is intended to represent a severe weakening in conditions across all emerging market economies and not simply a sharp slowdown specific to the developing Asia region. Likewise, the larger decline in U.S. house prices in this year’s severely adverse scenario—which assumes some additional reversal of recent increases in house prices—is viewed as a development that is particularly relevant for states or metropolitan statistical areas that have experienced brisk gains in house prices over the past year. Additionally, the widening of U.S. corporate borrowing spreads featured in the two supervisory stress scenarios is intended to represent a corresponding widening in spreads across all corporate borrowing rating tiers and instruments, particularly those instruments—such as high-yield corporate bonds and leveraged loans—that are at present experiencing particularly narrow spreads. The intended features of the adverse and severely adverse scenarios described above should be reflected November 1, 2013 in the paths of additional variables that companies may need to project for their company-run stress tests. Global Market Shock Components for Supervisory Adverse and Severely Adverse Scenarios By November 15, 2013, the Federal Reserve will provide certain firms with global market shock components for the supervisory adverse and severely adverse scenarios to be used (1) for the current stress test cycle under the Board’s stress test rules, and (2) in connection with capital plans due on January 6, 2014, under the Board’s capital plan rule.2 Under the DFA stress testing rules, large, complex institutions with significant trading activity must apply these components to their trading and counterparty exposures as of a specific date (October 16, 2013 for the current stress testing cycle) to project mark-tomarket losses.3 In addition, as noted below, certain large and highly interconnected companies must apply the same global market shocks to their counterparty exposures as of the same date to project losses under the counterparty default scenario components. The global market shock components are one-time, hypothetical shocks to a large set of risk factors. Generally, these shocks involve large and sudden changes in asset prices, rates, and spreads, reflecting general market dislocation and heightened uncertainty. It is important to note that global market shocks included in adverse and severely adverse scenarios are not forecasts, but rather are hypothetical scenarios designed to assess the strength and resilience of banking organizations in adverse market environments. The global market shock component for the severely adverse scenario is built around four key themes. First, globally, government and sovereign yield curves undergo marked shifts in level and shape. In most advanced economies, long-term rates rise sharply 2 3 The global market shock component includes shocks to a large number of risk factors that include a wide range of financial market variables that affect asset prices, such as a credit spread or the yield on a bond, and, in some cases, the value of the position itself (e.g., the market value of private-equity positions). Currently, six bank holding companies (BHC) are subject to global market shocks: Bank of America Corporation; Citigroup Inc.; The Goldman Sachs Group, Inc.; JPMorgan Chase & Co.; Morgan Stanley; and Wells Fargo & Company. 5 while short-term rates remain essentially unchanged. In emerging economies and some advanced economies, such as peripheral euro area economies, both short-term and long-term rates rise. The magnitudes of increases in rates differ by country. Second, emerging market sovereigns and corporates experience credit shocks that are more severe than those experienced during the second half of 2008. Third, the euro area experiences a credit-themed crisis, manifested by sharp increases in government yields, the widening of corporate credit spreads, and increases in sovereign credit default swap spreads. While these effects are most pronounced in the so-called peripheral countries, the reverberations are felt across the entire euro area, most notably in the form of a large depreciation in the euro against other major currencies. Finally, market moves in all other asset classes and risk factors—in particular, in credit and equity markets— closely mirror the experiences of the second half of 2008. The core of the global market shock component for the adverse scenario consists of market shocks that are, by and large, similar in structure, but not as severe as those assumed in the severely adverse scenario. Emerging market economies experience asset price declines and market dislocations that are similar in magnitude to those of the second half of 2008. The global market shock is a separate and additional component of the scenario applied only to the largest banks with complex trading portfolios.4 Changes to risk factors comprising the global trading shock are assumed to occur instantaneously, while the macro scenarios describe the evolution of variables over time. Taken together, the extreme movements in risk factors in the market shock and the severe economic downturn in the macro scenario describe a major financial dislocation, featuring large declines in asset prices and large increases in asset price volatility and credit spreads, followed by a severe economic contraction, circumstances reminiscent of the experience during the recent financial crisis. While interest rates generally increase in the global market shock, and most rates fall in the initial quarters in the severely adverse macroeconomic scenario, these combinations are not inconsistent with the experience during the recent financial crisis, when interest rates increased sharply on certain days even as they ultimately fell on net. Indeed, some of the largest increases observed in 4 The global market shock is a component of the macro scenario but does not need to be directionally consistent with the macro scenario. 6 Federal Reserve Supervisory Scenarios Treasury rates occurred in the depths of the financial crisis, amid an environment of reduced liquidity and heightened investor uncertainty. Counterparty Default Component for Supervisory Adverse and Severely Adverse Scenarios For CCAR 2014, certain large and highly interconnected firms5 must apply a counterparty default scenario component of the adverse and severely adverse scenarios to their securities lending, and repurchase/ reverse repurchase agreement (collectively, Securities Financing Transactions or SFTs) and derivative exposures (1) for the current stress test cycle under the Board’s stress test rules, and (2) in connection 5 Eight BHCs are subject to the counterparty default scenario component: Bank of America Corporation; The Bank of New York Mellon Corp.; Citigroup Inc.; The Goldman Sachs Group, Inc.; JPMorgan Chase & Co.; Morgan Stanley; State Street Corp.; and Wells Fargo & Company. with capital plans due on January 6, 2014, under the Board’s capital plan rule. The counterparty default scenario component is an add-on to the macroeconomic conditions and financial market environment specified in the Federal Reserve’s adverse and severely adverse stress scenarios and replaces the counterparty incremental default risk calculation from last year’s stress test. The counterparty default scenario component involves the instantaneous and unexpected default of the bank holding company’s counterparty with the largest net stressed losses. Net stressed losses for each counterparty are calculated after applying the instantaneous market shock to any non-cash SFT assets (securities/collateral) posted or received, and, for derivatives, to the value of the trade position and non-cash collateral exchanged. For more information on the counterparty default scenario component, refer to the 2014 CCAR instructions that are being issued concurrently with the scenarios. November 1, 2013 7 Table 1A. Supervisory baseline scenario: Domestic Date Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Q1 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Nominal Real UnBBB 3-month 5-year 10-year CPI dispoNominal dispoMortgage employReal GDP inflation Treasury Treasury Treasury corporate sable sable GDP rate ment growth yield yield yield rate rate growth income income rate growth growth -1.1 2.1 -1.2 1.0 3.8 2.2 1.9 0.2 2.0 3.8 6.9 4.6 2.4 3.1 3.6 3.4 4.4 2.2 3.3 2.2 4.9 1.3 0.4 3.2 0.3 3.1 2.7 1.5 -2.7 2.0 -2.0 -8.3 -5.4 -0.4 1.3 3.9 1.6 3.9 2.8 2.8 -1.3 3.2 1.4 4.9 3.7 1.2 2.8 0.1 1.1 2.5 2.0 2.4 2.6 2.8 1.4 5.0 0.1 2.2 5.1 3.8 3.8 2.4 4.6 5.1 9.4 6.7 6.0 6.6 6.2 6.4 8.3 5.1 7.3 5.5 8.2 4.6 3.2 4.6 4.8 5.4 4.1 3.3 -0.5 4.0 0.7 -7.8 -4.5 -1.1 1.2 5.1 3.0 5.8 4.7 4.9 0.3 5.9 3.9 5.4 5.8 3.0 4.9 1.6 2.8 3.1 4.7 3.8 4.7 4.3 3.5 -0.3 9.8 -4.9 10.1 2.0 -0.5 1.9 1.2 5.9 6.7 1.6 2.9 4.0 2.1 5.1 -3.8 3.2 2.1 3.3 9.5 0.6 1.2 5.3 2.7 0.8 1.0 0.3 2.9 8.7 -8.8 2.5 -1.4 3.0 -4.0 -0.1 0.3 5.3 1.9 2.6 5.0 -0.4 1.6 -0.6 4.6 1.8 -0.6 9.0 -7.9 3.5 1.7 2.4 2.6 2.6 6.3 1.6 10.1 -4.6 10.9 5.2 1.5 3.8 4.1 6.3 9.3 3.3 6.1 7.0 4.5 8.4 -1.8 6.0 6.6 6.6 11.5 3.7 4.1 4.6 6.5 4.0 3.3 4.4 6.5 13.3 -5.0 -3.2 -3.6 4.9 -1.6 2.6 1.7 5.8 3.1 4.8 8.2 3.3 3.9 0.8 6.9 2.9 1.1 10.7 -7.0 3.4 4.3 3.8 4.2 4.2 4.2 4.4 4.8 5.5 5.7 5.8 5.7 5.9 5.9 6.1 6.1 5.8 5.7 5.6 5.4 5.4 5.3 5.1 5.0 5.0 4.7 4.6 4.6 4.4 4.5 4.5 4.7 4.8 5.0 5.3 6.0 6.9 8.3 9.3 9.6 9.9 9.8 9.6 9.5 9.5 9.0 9.0 9.0 8.7 8.3 8.2 8.0 7.8 7.7 7.6 7.3 7.3 7.1 7.0 3.9 2.8 1.1 -0.3 1.3 3.2 2.2 2.4 4.2 -0.7 3.0 1.5 3.4 3.2 2.6 4.4 2.0 2.7 6.2 3.8 2.1 3.7 3.8 -1.6 4.0 4.6 2.6 5.0 4.4 5.3 6.3 -8.9 -2.6 2.0 3.5 3.1 0.7 -0.2 1.4 3.0 4.4 4.7 2.9 1.4 2.3 1.0 2.1 2.2 1.4 0.0 2.3 1.7 1.9 1.9 4.8 3.7 3.2 1.9 1.7 1.7 1.6 1.3 1.2 1.0 0.9 0.9 0.9 1.1 1.5 2.0 2.5 2.9 3.4 3.8 4.4 4.7 4.9 4.9 5.0 4.7 4.3 3.4 2.1 1.6 1.5 0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 4.9 4.9 4.6 4.2 4.5 4.5 3.4 3.1 2.9 2.6 3.1 3.2 3.0 3.7 3.5 3.5 3.9 3.9 4.0 4.4 4.6 5.0 4.8 4.6 4.6 4.7 4.5 3.8 2.8 3.2 3.1 2.2 1.9 2.3 2.5 2.3 2.4 2.3 1.6 1.5 2.1 1.8 1.1 1.0 0.9 0.8 0.7 0.7 0.8 0.9 1.5 1.8 2.0 2.1 5.3 5.5 5.3 5.1 5.4 5.4 4.5 4.3 4.2 3.8 4.4 4.4 4.1 4.7 4.4 4.3 4.4 4.2 4.3 4.6 4.7 5.2 5.0 4.7 4.8 4.9 4.8 4.4 3.9 4.1 4.1 3.7 3.2 3.7 3.8 3.7 3.9 3.6 2.9 3.0 3.5 3.3 2.5 2.1 2.1 1.8 1.6 1.7 1.9 2.0 2.7 2.8 2.9 3.0 7.4 7.5 7.3 7.2 7.6 7.6 7.3 7.0 6.5 5.7 6.0 5.8 5.5 6.1 5.8 5.4 5.4 5.5 5.5 5.9 6.0 6.5 6.4 6.1 6.1 6.3 6.5 6.4 6.5 6.8 7.2 9.4 9.0 8.2 6.8 6.1 5.8 5.6 5.1 5.0 5.4 5.1 4.9 5.0 4.7 4.5 4.2 3.9 4.0 4.1 4.9 5.0 4.9 5.0 7.0 7.1 7.0 6.8 7.0 6.8 6.3 6.1 5.8 5.5 6.0 5.9 5.6 6.2 5.9 5.7 5.8 5.7 5.8 6.2 6.2 6.6 6.6 6.2 6.2 6.4 6.6 6.2 5.9 6.1 6.3 5.8 5.1 5.0 5.1 4.9 5.0 4.9 4.4 4.4 4.8 4.7 4.3 4.0 3.9 3.8 3.6 3.4 3.5 3.7 4.4 4.5 4.6 4.7 Prime rate Dow Jones Total Stock Market Index House Price Index Commercial Market Real Volatility Index Estate (VIX) Price Index 8.6 7.3 6.6 5.2 4.8 4.8 4.8 4.5 4.3 4.2 4.0 4.0 4.0 4.0 4.4 4.9 5.4 5.9 6.4 7.0 7.4 7.9 8.3 8.3 8.3 8.3 8.2 7.5 6.2 5.1 5.0 4.1 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.2 3.2 3.2 10645.9 11407.2 9563.0 10707.7 10775.7 9384.0 7773.6 8343.2 8051.9 9342.4 9649.7 10799.6 11039.4 11144.6 10893.8 11951.5 11637.3 11856.7 12282.9 12497.2 13121.6 12808.9 13322.5 14215.8 14354.0 15163.1 15317.8 14753.6 13284.1 13016.4 11826.0 9056.7 8044.2 9342.8 10812.8 11385.1 12032.5 10645.8 11814.0 13131.5 13908.5 13843.5 11676.5 13019.3 14627.5 14100.2 14894.7 14834.9 16396.2 16771.3 17718.3 17169.2 17386.8 17594.4 112.4 114.5 116.7 119.1 121.3 124.3 127.8 130.4 133.3 136.0 139.7 144.3 149.9 156.2 161.9 167.5 175.7 183.3 189.5 194.4 198.9 199.0 196.9 197.3 195.6 191.3 185.9 180.2 174.1 166.3 159.6 152.0 144.3 142.3 143.8 144.6 145.3 145.3 142.3 140.2 138.9 137.5 137.2 136.3 138.5 141.4 143.9 146.8 152.6 157.8 158.8 159.7 160.7 161.8 140.8 140.0 143.7 137.9 139.7 137.4 140.9 144.2 148.7 151.2 152.2 150.1 155.8 162.6 173.9 178.4 179.6 186.5 190.8 199.6 203.0 211.9 224.2 221.1 233.3 241.5 257.8 260.2 253.6 242.1 246.8 231.9 211.2 175.4 158.7 158.0 153.2 168.8 171.1 177.8 184.8 181.8 182.0 195.2 193.5 193.7 201.1 203.2 205.4 214.3 217.0 219.7 222.4 225.2 32.8 34.7 43.7 35.3 26.1 28.4 45.1 42.6 34.7 29.1 22.7 21.1 21.6 20.0 19.3 16.6 14.6 17.7 14.2 16.5 14.6 23.8 18.6 12.7 19.6 18.9 30.8 31.1 32.2 24.1 46.7 80.9 56.7 42.3 31.3 30.7 27.3 45.8 32.9 23.5 29.4 22.7 48.0 45.5 23.0 26.7 20.5 22.7 19.0 20.5 17.0 19.0 17.0 18.1 (continued on next page) 8 Federal Reserve Supervisory Scenarios Table 1A.—continued Date Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Nominal Real UnBBB 3-month 5-year 10-year CPI dispoNominal dispoMortgage employReal GDP inflation Treasury Treasury Treasury corporate sable sable GDP rate ment growth yield yield yield rate rate growth income income rate growth growth 2.9 2.9 2.9 2.9 2.9 2.9 2.8 2.8 2.8 2.8 4.8 4.8 5.0 4.9 5.0 5.1 5.0 5.0 5.0 5.1 2.7 2.7 3.1 2.9 2.8 2.8 2.7 2.8 2.8 2.8 4.6 4.6 5.2 4.9 4.9 4.9 4.9 5.0 5.0 5.0 6.9 6.8 6.7 6.6 6.4 6.3 6.2 6.1 6.1 6.0 2.1 2.1 2.3 2.2 2.3 2.3 2.3 2.3 2.4 2.4 Note: Refer to “Data Notes” on page 19 for more information on variables. 0.1 0.2 0.4 0.6 0.8 1.1 1.6 1.9 2.2 2.4 2.2 2.3 2.4 2.6 2.7 2.8 2.9 3.1 3.1 3.2 3.1 3.3 3.4 3.5 3.7 3.8 4.0 4.2 4.3 4.4 5.1 5.2 5.3 5.4 5.5 5.6 5.8 5.9 6.0 6.1 4.8 5.0 5.0 5.2 5.3 5.5 5.7 5.8 5.9 6.0 Prime rate Dow Jones Total Stock Market Index House Price Index Commercial Market Real Volatility Index Estate (VIX) Price Index 3.2 3.3 3.5 3.7 3.9 4.2 4.7 5.0 5.3 5.5 17822.3 18054.1 18298.6 18540.8 18790.7 19045.8 19301.5 19560.6 19825.7 20096.0 162.8 163.8 165.0 166.3 167.5 168.8 170.0 171.3 172.6 173.9 228.1 230.9 232.7 234.4 236.2 238.0 239.8 241.6 243.4 245.2 18.0 18.3 18.2 18.9 19.0 19.2 19.5 19.8 20.0 20.1 November 1, 2013 9 Table 1B. Supervisory baseline scenario: International Date Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Q1 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Euro area real GDP growth 3.7 0.3 0.4 0.7 0.5 2.3 1.1 0.2 -0.3 0.3 1.8 2.9 2.0 2.2 1.5 1.3 0.9 2.8 2.6 2.6 3.7 4.5 2.6 4.4 3.2 1.9 2.4 1.6 2.3 -1.6 -2.4 -6.7 -10.9 -1.1 1.6 1.8 1.6 3.6 1.7 2.1 3.1 0.3 0.3 -0.8 -0.4 -1.2 -0.5 -2.0 -0.9 1.1 0.6 Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) 1.1 4.1 1.4 1.7 3.0 2.0 1.6 2.4 3.3 0.3 2.2 2.2 2.3 2.4 2.0 2.4 1.5 2.2 3.2 2.5 1.7 2.5 2.0 0.9 2.2 2.3 2.1 4.9 4.2 3.2 3.2 -1.4 -1.1 0.0 1.2 1.6 1.7 2.0 1.8 2.5 3.5 3.2 1.7 3.3 2.5 2.4 2.1 2.2 0.7 0.6 1.9 0.9 0.8 0.9 0.9 0.9 1.0 1.0 1.0 1.1 1.2 1.2 1.3 1.2 1.2 1.2 1.4 1.3 1.2 1.2 1.2 1.2 1.3 1.3 1.3 1.3 1.4 1.4 1.5 1.6 1.6 1.4 1.4 1.3 1.4 1.5 1.4 1.4 1.2 1.4 1.3 1.4 1.5 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.4 3.9 6.0 4.7 7.0 7.4 9.0 4.9 6.4 7.0 2.8 13.4 11.9 4.6 6.2 8.7 8.1 7.9 7.3 9.8 10.8 12.0 7.9 8.7 11.0 14.7 10.0 8.9 10.7 8.6 7.5 3.8 0.4 3.4 15.9 12.8 8.4 9.2 9.3 8.7 8.3 9.4 6.8 7.2 5.9 5.8 6.5 6.6 6.8 5.5 6.3 6.5 1.6 2.0 1.3 -0.2 0.3 0.7 1.5 0.7 3.2 1.2 0.1 5.5 4.2 3.9 4.0 0.7 2.9 1.6 2.6 1.7 2.4 3.3 2.0 4.0 3.7 5.1 7.6 5.8 7.9 6.2 2.8 -0.6 -1.2 2.4 4.9 5.2 5.0 3.4 3.9 7.8 6.4 5.9 5.9 2.9 2.8 4.0 2.7 3.5 3.9 3.0 3.9 105.9 106.0 106.3 106.7 107.2 104.7 105.4 104.4 105.4 103.9 102.6 103.3 101.4 102.7 102.7 99.0 98.7 99.0 98.6 98.1 96.8 96.8 96.4 94.6 94.0 92.0 90.7 89.4 88.0 88.6 91.3 92.0 94.0 92.1 91.1 90.5 89.7 90.8 88.2 87.3 86.4 85.2 87.2 87.1 86.2 87.9 86.1 85.8 86.1 87.0 87.2 Japan real GDP growth 2.7 -0.9 -4.3 -0.5 -0.7 4.0 2.6 1.6 -2.1 4.9 1.7 4.3 4.3 -0.3 0.6 -1.0 0.9 5.2 1.5 0.7 1.8 1.6 -0.2 5.2 4.1 0.5 -1.4 3.4 2.7 -4.8 -4.0 -12.4 -15.0 6.7 0.4 7.5 5.9 3.7 6.0 -1.3 -7.6 -3.4 10.7 1.4 5.0 -1.2 -3.5 1.1 4.1 3.8 2.6 Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound) -1.2 -0.3 -1.1 -1.4 -2.7 1.7 -0.7 -0.4 -1.6 1.7 -0.7 -0.6 -0.9 1.1 0.1 1.7 -2.7 -1.3 -1.1 0.6 1.3 -0.1 0.5 -0.4 -0.2 0.0 0.1 2.2 1.3 1.4 3.8 -2.2 -3.6 -1.7 -1.2 -1.5 0.7 -1.0 -1.7 1.2 -0.8 -0.5 0.7 -0.4 1.2 -0.7 -1.5 0.0 -0.4 0.8 3.1 125.5 124.7 119.2 131.0 132.7 119.9 121.7 118.8 118.1 119.9 111.4 107.1 104.2 109.4 110.2 102.7 107.2 110.9 113.3 117.9 117.5 114.5 118.0 119.0 117.6 123.4 115.0 111.7 99.9 106.2 105.9 90.8 99.2 96.4 89.5 93.1 93.4 88.5 83.5 81.7 82.8 80.6 77.0 77.0 82.4 79.8 77.9 86.6 94.2 99.2 98.3 3.1 2.7 1.9 0.5 2.2 3.0 3.4 4.3 2.1 5.4 5.2 5.3 2.7 1.8 0.3 2.7 3.1 5.3 3.9 5.3 1.5 1.4 1.0 3.1 4.0 5.3 5.0 0.4 0.6 -3.6 -5.6 -8.3 -9.5 -1.7 0.0 1.7 2.1 4.1 1.6 -0.8 1.9 0.4 2.4 -0.4 0.0 -1.8 2.5 -1.2 1.5 2.7 3.2 0.1 3.1 1.0 0.0 1.9 0.9 1.4 1.9 1.6 0.3 1.7 1.7 1.3 1.0 1.1 2.4 2.6 1.9 2.7 1.4 1.9 3.0 3.3 2.6 2.6 1.6 0.3 4.0 3.7 5.5 5.9 0.6 -0.1 2.0 3.7 3.1 4.0 3.0 2.6 4.0 6.6 4.4 4.2 3.4 1.8 1.7 3.0 4.0 2.3 1.5 3.1 1.4 1.4 1.5 1.5 1.4 1.5 1.6 1.6 1.6 1.7 1.7 1.8 1.8 1.8 1.8 1.9 1.9 1.8 1.8 1.7 1.7 1.8 1.9 2.0 2.0 2.0 2.0 2.0 2.0 2.0 1.8 1.5 1.4 1.6 1.6 1.6 1.5 1.5 1.6 1.5 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.5 1.5 1.6 (continued on next page) 10 Federal Reserve Supervisory Scenarios Table 1B.—continued Date Q4 2013 Q1 2014 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Euro area real GDP growth 0.9 1.0 1.1 1.2 1.3 1.5 1.6 1.6 1.7 1.6 1.6 1.6 1.6 Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) 1.5 1.5 1.4 1.4 1.4 1.4 1.5 1.5 1.5 1.5 1.5 1.5 1.6 1.3 1.3 1.3 1.3 1.3 1.3 1.2 1.2 1.2 1.2 1.3 1.3 1.3 6.5 6.5 6.5 6.5 6.5 6.5 6.6 6.6 6.6 6.6 6.6 6.6 6.6 3.4 3.6 3.8 3.8 3.7 3.5 3.3 3.2 3.2 3.3 3.4 3.4 3.4 87.9 88.1 88.2 88.1 88.0 86.6 85.1 83.7 82.4 82.0 81.7 81.4 81.2 Note: Refer to “Data Notes” on page 19 for more information on variables. Japan real GDP growth 2.4 2.0 1.7 1.4 1.3 1.3 1.3 1.4 1.4 1.4 1.3 1.3 1.3 Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound) 1.8 2.1 2.2 2.2 2.0 1.8 1.5 1.4 1.4 1.5 1.6 1.7 1.7 101.2 103.2 104.9 106.4 107.8 107.8 107.8 107.8 107.8 107.4 107.0 106.5 106.1 2.1 2.2 2.2 2.2 2.1 2.1 2.0 2.0 2.0 2.0 2.0 2.1 2.1 2.5 2.4 2.2 2.1 2.1 2.0 2.0 2.0 2.0 2.0 1.9 2.0 2.0 1.5 1.5 1.4 1.5 1.5 1.5 1.5 1.5 1.5 1.5 1.5 1.5 1.5 November 1, 2013 11 Table 2A. Supervisory adverse scenario: Domestic Date Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Q1 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Nominal Real UnBBB 3-month 5-year 10-year CPI dispoNominal dispoMortgage employReal GDP inflation Treasury Treasury Treasury corporate sable sable GDP rate ment growth yield yield yield rate rate growth income income rate growth growth -1.1 2.1 -1.2 1.0 3.8 2.2 1.9 0.2 2.0 3.8 6.9 4.6 2.4 3.1 3.6 3.4 4.4 2.2 3.3 2.2 4.9 1.3 0.4 3.2 0.3 3.1 2.7 1.5 -2.7 2.0 -2.0 -8.3 -5.4 -0.4 1.3 3.9 1.6 3.9 2.8 2.8 -1.3 3.2 1.4 4.9 3.7 1.2 2.8 0.1 1.1 2.5 2.0 -1.0 -2.1 -0.6 1.4 5.0 0.1 2.2 5.1 3.8 3.8 2.4 4.6 5.1 9.4 6.7 6.0 6.6 6.2 6.4 8.3 5.1 7.3 5.5 8.2 4.6 3.2 4.6 4.8 5.4 4.1 3.3 -0.5 4.0 0.7 -7.8 -4.5 -1.1 1.2 5.1 3.0 5.8 4.7 4.9 0.3 5.9 3.9 5.4 5.8 3.0 4.9 1.6 2.8 3.1 4.7 0.7 0.0 0.8 3.5 -0.3 9.8 -4.9 10.1 2.0 -0.5 1.9 1.2 5.9 6.7 1.6 2.9 4.0 2.1 5.1 -3.8 3.2 2.1 3.3 9.5 0.6 1.2 5.3 2.7 0.8 1.0 0.3 2.9 8.7 -8.8 2.5 -1.4 3.0 -4.0 -0.1 0.3 5.3 1.9 2.6 5.0 -0.4 1.6 -0.6 4.6 1.8 -0.6 9.0 -7.9 3.5 1.7 2.7 1.6 2.4 6.3 1.6 10.1 -4.6 10.9 5.2 1.5 3.8 4.1 6.3 9.3 3.3 6.1 7.0 4.5 8.4 -1.8 6.0 6.6 6.6 11.5 3.7 4.1 4.6 6.5 4.0 3.3 4.4 6.5 13.3 -5.0 -3.2 -3.6 4.9 -1.6 2.6 1.7 5.8 3.1 4.8 8.2 3.3 3.9 0.8 6.9 2.9 1.1 10.7 -7.0 3.4 4.3 3.7 2.7 3.6 4.2 4.4 4.8 5.5 5.7 5.8 5.7 5.9 5.9 6.1 6.1 5.8 5.7 5.6 5.4 5.4 5.3 5.1 5.0 5.0 4.7 4.6 4.6 4.4 4.5 4.5 4.7 4.8 5.0 5.3 6.0 6.9 8.3 9.3 9.6 9.9 9.8 9.6 9.5 9.5 9.0 9.0 9.0 8.7 8.3 8.2 8.0 7.8 7.7 7.6 7.3 7.7 8.3 8.6 3.9 2.8 1.1 -0.3 1.3 3.2 2.2 2.4 4.2 -0.7 3.0 1.5 3.4 3.2 2.6 4.4 2.0 2.7 6.2 3.8 2.1 3.7 3.8 -1.6 4.0 4.6 2.6 5.0 4.4 5.3 6.3 -8.9 -2.6 2.0 3.5 3.1 0.7 -0.2 1.4 3.0 4.4 4.7 2.9 1.4 2.3 1.0 2.1 2.2 1.4 0.0 2.3 1.1 1.1 1.3 4.8 3.7 3.2 1.9 1.7 1.7 1.6 1.3 1.2 1.0 0.9 0.9 0.9 1.1 1.5 2.0 2.5 2.9 3.4 3.8 4.4 4.7 4.9 4.9 5.0 4.7 4.3 3.4 2.1 1.6 1.5 0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 4.9 4.9 4.6 4.2 4.5 4.5 3.4 3.1 2.9 2.6 3.1 3.2 3.0 3.7 3.5 3.5 3.9 3.9 4.0 4.4 4.6 5.0 4.8 4.6 4.6 4.7 4.5 3.8 2.8 3.2 3.1 2.2 1.9 2.3 2.5 2.3 2.4 2.3 1.6 1.5 2.1 1.8 1.1 1.0 0.9 0.8 0.7 0.7 0.8 0.9 1.5 2.7 3.3 3.9 5.3 5.5 5.3 5.1 5.4 5.4 4.5 4.3 4.2 3.8 4.4 4.4 4.1 4.7 4.4 4.3 4.4 4.2 4.3 4.6 4.7 5.2 5.0 4.7 4.8 4.9 4.8 4.4 3.9 4.1 4.1 3.7 3.2 3.7 3.8 3.7 3.9 3.6 2.9 3.0 3.5 3.3 2.5 2.1 2.1 1.8 1.6 1.7 1.9 2.0 2.7 3.5 4.2 5.0 7.4 7.5 7.3 7.2 7.6 7.6 7.3 7.0 6.5 5.7 6.0 5.8 5.5 6.1 5.8 5.4 5.4 5.5 5.5 5.9 6.0 6.5 6.4 6.1 6.1 6.3 6.5 6.4 6.5 6.8 7.2 9.4 9.0 8.2 6.8 6.1 5.8 5.6 5.1 5.0 5.4 5.1 4.9 5.0 4.7 4.5 4.2 3.9 4.0 4.1 4.9 6.5 7.5 8.4 7.0 7.1 7.0 6.8 7.0 6.8 6.3 6.1 5.8 5.5 6.0 5.9 5.6 6.2 5.9 5.7 5.8 5.7 5.8 6.2 6.2 6.6 6.6 6.2 6.2 6.4 6.6 6.2 5.9 6.1 6.3 5.8 5.1 5.0 5.1 4.9 5.0 4.9 4.4 4.4 4.8 4.7 4.3 4.0 3.9 3.8 3.6 3.4 3.5 3.7 4.4 5.4 6.3 7.0 Prime rate Dow Jones Total Stock Market Index House Price Index Commercial Market Real Volatility Index Estate (VIX) Price Index 8.6 7.3 6.6 5.2 4.8 4.8 4.8 4.5 4.3 4.2 4.0 4.0 4.0 4.0 4.4 4.9 5.4 5.9 6.4 7.0 7.4 7.9 8.3 8.3 8.3 8.3 8.2 7.5 6.2 5.1 5.0 4.1 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 10645.9 11407.2 9563.0 10707.7 10775.7 9384.0 7773.6 8343.2 8051.9 9342.4 9649.7 10799.6 11039.4 11144.6 10893.8 11951.5 11637.3 11856.7 12282.9 12497.2 13121.6 12808.9 13322.5 14215.8 14354.0 15163.1 15317.8 14753.6 13284.1 13016.4 11826.0 9056.7 8044.2 9342.8 10812.8 11385.1 12032.5 10645.8 11814.0 13131.5 13908.5 13843.5 11676.5 13019.3 14627.5 14100.2 14894.7 14834.9 16396.2 16771.3 17718.3 15605.5 14216.2 12815.7 112.4 114.5 116.7 119.1 121.3 124.3 127.8 130.4 133.3 136.0 139.7 144.3 149.9 156.2 161.9 167.5 175.7 183.3 189.5 194.4 198.9 199.0 196.9 197.3 195.6 191.3 185.9 180.2 174.1 166.3 159.6 152.0 144.3 142.3 143.8 144.6 145.3 145.3 142.3 140.2 138.9 137.5 137.2 136.3 138.5 141.4 143.9 146.8 152.6 157.8 158.8 157.6 155.0 152.0 140.8 140.0 143.7 137.9 139.7 137.4 140.9 144.2 148.7 151.2 152.2 150.1 155.8 162.6 173.9 178.4 179.6 186.5 190.8 199.6 203.0 211.9 224.2 221.1 233.3 241.5 257.8 260.2 253.6 242.1 246.8 231.9 211.2 175.4 158.7 158.0 153.2 168.8 171.1 177.8 184.8 181.8 182.0 195.2 193.5 193.7 201.1 203.2 205.4 214.3 217.0 219.7 216.7 208.0 32.8 34.7 43.7 35.3 26.1 28.4 45.1 42.6 34.7 29.1 22.7 21.1 21.6 20.0 19.3 16.6 14.6 17.7 14.2 16.5 14.6 23.8 18.6 12.7 19.6 18.9 30.8 31.1 32.2 24.1 46.7 80.9 56.7 42.3 31.3 30.7 27.3 45.8 32.9 23.5 29.4 22.7 48.0 45.5 23.0 26.7 20.5 22.7 19.0 20.5 17.0 35.3 31.7 33.7 (continued on next page) 12 Federal Reserve Supervisory Scenarios Table 2A.—continued Date Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Nominal Real UnBBB 3-month 5-year 10-year CPI dispoNominal dispoMortgage employReal GDP inflation Treasury Treasury Treasury corporate sable sable GDP rate ment growth yield yield yield rate rate growth income income rate growth growth -1.0 0.3 1.7 1.7 2.6 2.6 3.0 3.0 3.0 3.0 0.7 1.8 3.4 3.1 4.1 4.1 4.6 4.5 4.5 4.6 1.3 0.4 0.7 0.4 0.6 0.7 0.9 1.2 1.2 1.3 2.6 1.8 2.4 2.0 2.3 2.4 2.6 2.9 2.9 3.0 9.0 9.2 9.2 9.3 9.2 9.2 9.1 9.0 8.9 8.8 1.4 1.6 1.9 1.9 2.0 1.9 2.0 2.0 2.0 2.0 Note: Refer to “Data Notes” on page 19 for more information on variables. 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 4.5 4.6 4.5 4.4 4.2 4.0 3.7 3.5 3.4 3.2 5.7 5.8 5.7 5.5 5.3 5.1 4.9 4.8 4.7 4.6 9.2 9.1 8.8 8.5 8.1 7.7 7.5 7.3 7.0 6.8 7.8 7.8 7.8 7.6 7.4 7.2 7.1 6.9 6.8 6.6 Prime rate Dow Jones Total Stock Market Index House Price Index Commercial Market Real Volatility Index Estate (VIX) Price Index 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 11402.7 12099.4 12786.4 13475.9 14249.3 14916.7 15490.6 15952.9 16601.7 17139.0 148.7 145.5 142.5 139.9 138.4 137.3 137.1 137.3 137.9 138.7 198.5 189.5 182.2 176.4 175.2 175.3 175.9 177.3 179.0 180.9 31.4 27.2 24.6 22.6 20.2 19.2 18.7 18.8 17.5 17.4 November 1, 2013 13 Table 2B. Supervisory adverse scenario: International Date Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Q1 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Euro area real GDP growth 3.7 0.3 0.4 0.7 0.5 2.3 1.1 0.2 -0.3 0.3 1.8 2.9 2.0 2.2 1.5 1.3 0.9 2.8 2.6 2.6 3.7 4.5 2.6 4.4 3.2 1.9 2.4 1.6 2.3 -1.6 -2.4 -6.7 -10.9 -1.1 1.6 1.8 1.6 3.6 1.7 2.1 3.1 0.3 0.3 -0.8 -0.4 -1.2 -0.5 -2.0 -0.9 1.1 0.6 Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) 1.1 4.1 1.4 1.7 3.0 2.0 1.6 2.4 3.3 0.3 2.2 2.2 2.3 2.4 2.0 2.4 1.5 2.2 3.2 2.5 1.7 2.5 2.0 0.9 2.2 2.3 2.1 4.9 4.2 3.2 3.2 -1.4 -1.1 0.0 1.2 1.6 1.7 2.0 1.8 2.5 3.5 3.2 1.7 3.3 2.5 2.4 2.1 2.2 0.7 0.6 1.9 0.9 0.8 0.9 0.9 0.9 1.0 1.0 1.0 1.1 1.2 1.2 1.3 1.2 1.2 1.2 1.4 1.3 1.2 1.2 1.2 1.2 1.3 1.3 1.3 1.3 1.4 1.4 1.5 1.6 1.6 1.4 1.4 1.3 1.4 1.5 1.4 1.4 1.2 1.4 1.3 1.4 1.5 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.4 3.9 6.0 4.7 7.0 7.4 9.0 4.9 6.4 7.0 2.8 13.4 11.9 4.6 6.2 8.7 8.1 7.9 7.3 9.8 10.8 12.0 7.9 8.7 11.0 14.7 10.0 8.9 10.7 8.6 7.5 3.8 0.4 3.4 15.9 12.8 8.4 9.2 9.3 8.7 8.3 9.4 6.8 7.2 5.9 5.8 6.5 6.6 6.8 5.5 6.3 6.5 1.6 2.0 1.3 -0.2 0.3 0.7 1.5 0.7 3.2 1.2 0.1 5.5 4.2 3.9 4.0 0.7 2.9 1.6 2.6 1.7 2.4 3.3 2.0 4.0 3.7 5.1 7.6 5.8 7.9 6.2 2.8 -0.6 -1.2 2.4 4.9 5.2 5.0 3.4 3.9 7.8 6.4 5.9 5.9 2.9 2.8 4.0 2.7 3.5 3.9 3.0 3.9 105.9 106.0 106.3 106.7 107.2 104.7 105.4 104.4 105.4 103.9 102.6 103.3 101.4 102.7 102.7 99.0 98.7 99.0 98.6 98.1 96.8 96.8 96.4 94.6 94.0 92.0 90.7 89.4 88.0 88.6 91.3 92.0 94.0 92.1 91.1 90.5 89.7 90.8 88.2 87.3 86.4 85.2 87.2 87.1 86.2 87.9 86.1 85.8 86.1 87.0 87.2 Japan real GDP growth 2.7 -0.9 -4.3 -0.5 -0.7 4.0 2.6 1.6 -2.1 4.9 1.7 4.3 4.3 -0.3 0.6 -1.0 0.9 5.2 1.5 0.7 1.8 1.6 -0.2 5.2 4.1 0.5 -1.4 3.4 2.7 -4.8 -4.0 -12.4 -15.0 6.7 0.4 7.5 5.9 3.7 6.0 -1.3 -7.6 -3.4 10.7 1.4 5.0 -1.2 -3.5 1.1 4.1 3.8 2.6 Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound) -1.2 -0.3 -1.1 -1.4 -2.7 1.7 -0.7 -0.4 -1.6 1.7 -0.7 -0.6 -0.9 1.1 0.1 1.7 -2.7 -1.3 -1.1 0.6 1.3 -0.1 0.5 -0.4 -0.2 0.0 0.1 2.2 1.3 1.4 3.8 -2.2 -3.6 -1.7 -1.2 -1.5 0.7 -1.0 -1.7 1.2 -0.8 -0.5 0.7 -0.4 1.2 -0.7 -1.5 0.0 -0.4 0.8 3.1 125.5 124.7 119.2 131.0 132.7 119.9 121.7 118.8 118.1 119.9 111.4 107.1 104.2 109.4 110.2 102.7 107.2 110.9 113.3 117.9 117.5 114.5 118.0 119.0 117.6 123.4 115.0 111.7 99.9 106.2 105.9 90.8 99.2 96.4 89.5 93.1 93.4 88.5 83.5 81.7 82.8 80.6 77.0 77.0 82.4 79.8 77.9 86.6 94.2 99.2 98.3 3.1 2.7 1.9 0.5 2.2 3.0 3.4 4.3 2.1 5.4 5.2 5.3 2.7 1.8 0.3 2.7 3.1 5.3 3.9 5.3 1.5 1.4 1.0 3.1 4.0 5.3 5.0 0.4 0.6 -3.6 -5.6 -8.3 -9.5 -1.7 0.0 1.7 2.1 4.1 1.6 -0.8 1.9 0.4 2.4 -0.4 0.0 -1.8 2.5 -1.2 1.5 2.7 3.2 0.1 3.1 1.0 0.0 1.9 0.9 1.4 1.9 1.6 0.3 1.7 1.7 1.3 1.0 1.1 2.4 2.6 1.9 2.7 1.4 1.9 3.0 3.3 2.6 2.6 1.6 0.3 4.0 3.7 5.5 5.9 0.6 -0.1 2.0 3.7 3.1 4.0 3.0 2.6 4.0 6.6 4.4 4.2 3.4 1.8 1.7 3.0 4.0 2.3 1.5 3.1 1.4 1.4 1.5 1.5 1.4 1.5 1.6 1.6 1.6 1.7 1.7 1.8 1.8 1.8 1.8 1.9 1.9 1.8 1.8 1.7 1.7 1.8 1.9 2.0 2.0 2.0 2.0 2.0 2.0 2.0 1.8 1.5 1.4 1.6 1.6 1.6 1.5 1.5 1.6 1.5 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.5 1.5 1.6 (continued on next page) 14 Federal Reserve Supervisory Scenarios Table 2B.—continued Date Q4 2013 Q1 2014 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Euro area real GDP growth -4.2 -3.4 -2.0 -0.8 0.1 0.9 1.4 1.8 1.9 2.0 2.0 1.9 1.9 Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) 0.1 0.0 -0.1 0.1 0.3 0.5 0.7 0.9 1.0 1.1 1.1 1.2 1.3 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.2 1.4 3.8 5.6 6.4 6.7 6.8 6.8 6.8 6.8 6.9 6.9 7.0 7.1 2.3 1.9 1.8 1.8 1.8 1.7 1.7 1.7 1.9 2.1 2.3 2.5 2.6 96.9 96.9 96.5 96.0 95.2 93.1 91.0 88.9 87.1 86.2 85.5 85.0 84.5 Note: Refer to “Data Notes” on page 19 for more information on variables. Japan real GDP growth -3.3 -5.0 -4.3 -3.3 -2.2 -1.2 -0.3 0.4 0.9 1.3 1.5 1.7 1.8 Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound) -1.9 -1.2 -1.2 -1.0 -0.8 -0.7 -0.6 -0.4 -0.1 0.2 0.5 0.7 0.9 97.9 99.7 101.2 102.5 103.7 103.6 103.5 103.4 103.4 103.0 102.7 102.4 102.1 -0.8 -1.0 -0.5 0.1 0.6 1.1 1.5 1.9 2.1 2.3 2.4 2.5 2.5 0.9 0.7 0.6 0.7 0.8 1.0 1.2 1.4 1.5 1.6 1.7 1.7 1.8 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 November 1, 2013 15 Table 3A. Supervisory severely adverse scenario: Domestic Date Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Q1 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Nominal Real UnBBB 3-month 5-year 10-year CPI dispoNominal dispoMortgage employReal GDP inflation Treasury Treasury Treasury corporate sable sable GDP rate ment growth yield yield yield rate rate growth income income rate growth growth -1.1 2.1 -1.2 1.0 3.8 2.2 1.9 0.2 2.0 3.8 6.9 4.6 2.4 3.1 3.6 3.4 4.4 2.2 3.3 2.2 4.9 1.3 0.4 3.2 0.3 3.1 2.7 1.5 -2.7 2.0 -2.0 -8.3 -5.4 -0.4 1.3 3.9 1.6 3.9 2.8 2.8 -1.3 3.2 1.4 4.9 3.7 1.2 2.8 0.1 1.1 2.5 2.0 -3.9 -6.1 -3.2 1.4 5.0 0.1 2.2 5.1 3.8 3.8 2.4 4.6 5.1 9.4 6.7 6.0 6.6 6.2 6.4 8.3 5.1 7.3 5.5 8.2 4.6 3.2 4.6 4.8 5.4 4.1 3.3 -0.5 4.0 0.7 -7.8 -4.5 -1.1 1.2 5.1 3.0 5.8 4.7 4.9 0.3 5.9 3.9 5.4 5.8 3.0 4.9 1.6 2.8 3.1 4.7 -2.0 -4.0 -1.9 3.5 -0.3 9.8 -4.9 10.1 2.0 -0.5 1.9 1.2 5.9 6.7 1.6 2.9 4.0 2.1 5.1 -3.8 3.2 2.1 3.3 9.5 0.6 1.2 5.3 2.7 0.8 1.0 0.3 2.9 8.7 -8.8 2.5 -1.4 3.0 -4.0 -0.1 0.3 5.3 1.9 2.6 5.0 -0.4 1.6 -0.6 4.6 1.8 -0.6 9.0 -7.9 3.5 1.7 -0.5 -2.4 0.1 6.3 1.6 10.1 -4.6 10.9 5.2 1.5 3.8 4.1 6.3 9.3 3.3 6.1 7.0 4.5 8.4 -1.8 6.0 6.6 6.6 11.5 3.7 4.1 4.6 6.5 4.0 3.3 4.4 6.5 13.3 -5.0 -3.2 -3.6 4.9 -1.6 2.6 1.7 5.8 3.1 4.8 8.2 3.3 3.9 0.8 6.9 2.9 1.1 10.7 -7.0 3.4 4.3 0.1 -1.9 0.8 4.2 4.4 4.8 5.5 5.7 5.8 5.7 5.9 5.9 6.1 6.1 5.8 5.7 5.6 5.4 5.4 5.3 5.1 5.0 5.0 4.7 4.6 4.6 4.4 4.5 4.5 4.7 4.8 5.0 5.3 6.0 6.9 8.3 9.3 9.6 9.9 9.8 9.6 9.5 9.5 9.0 9.0 9.0 8.7 8.3 8.2 8.0 7.8 7.7 7.6 7.3 8.1 9.2 9.9 3.9 2.8 1.1 -0.3 1.3 3.2 2.2 2.4 4.2 -0.7 3.0 1.5 3.4 3.2 2.6 4.4 2.0 2.7 6.2 3.8 2.1 3.7 3.8 -1.6 4.0 4.6 2.6 5.0 4.4 5.3 6.3 -8.9 -2.6 2.0 3.5 3.1 0.7 -0.2 1.4 3.0 4.4 4.7 2.9 1.4 2.3 1.0 2.1 2.2 1.4 0.0 2.3 0.5 0.4 0.8 4.8 3.7 3.2 1.9 1.7 1.7 1.6 1.3 1.2 1.0 0.9 0.9 0.9 1.1 1.5 2.0 2.5 2.9 3.4 3.8 4.4 4.7 4.9 4.9 5.0 4.7 4.3 3.4 2.1 1.6 1.5 0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 4.9 4.9 4.6 4.2 4.5 4.5 3.4 3.1 2.9 2.6 3.1 3.2 3.0 3.7 3.5 3.5 3.9 3.9 4.0 4.4 4.6 5.0 4.8 4.6 4.6 4.7 4.5 3.8 2.8 3.2 3.1 2.2 1.9 2.3 2.5 2.3 2.4 2.3 1.6 1.5 2.1 1.8 1.1 1.0 0.9 0.8 0.7 0.7 0.8 0.9 1.5 0.8 0.6 0.6 5.3 5.5 5.3 5.1 5.4 5.4 4.5 4.3 4.2 3.8 4.4 4.4 4.1 4.7 4.4 4.3 4.4 4.2 4.3 4.6 4.7 5.2 5.0 4.7 4.8 4.9 4.8 4.4 3.9 4.1 4.1 3.7 3.2 3.7 3.8 3.7 3.9 3.6 2.9 3.0 3.5 3.3 2.5 2.1 2.1 1.8 1.6 1.7 1.9 2.0 2.7 1.0 1.0 1.1 7.4 7.5 7.3 7.2 7.6 7.6 7.3 7.0 6.5 5.7 6.0 5.8 5.5 6.1 5.8 5.4 5.4 5.5 5.5 5.9 6.0 6.5 6.4 6.1 6.1 6.3 6.5 6.4 6.5 6.8 7.2 9.4 9.0 8.2 6.8 6.1 5.8 5.6 5.1 5.0 5.4 5.1 4.9 5.0 4.7 4.5 4.2 3.9 4.0 4.1 4.9 5.0 5.8 6.1 7.0 7.1 7.0 6.8 7.0 6.8 6.3 6.1 5.8 5.5 6.0 5.9 5.6 6.2 5.9 5.7 5.8 5.7 5.8 6.2 6.2 6.6 6.6 6.2 6.2 6.4 6.6 6.2 5.9 6.1 6.3 5.8 5.1 5.0 5.1 4.9 5.0 4.9 4.4 4.4 4.8 4.7 4.3 4.0 3.9 3.8 3.6 3.4 3.5 3.7 4.4 4.4 4.4 4.4 Prime rate Dow Jones Total Stock Market Index House Price Index Commercial Market Real Volatility Index Estate (VIX) Price Index 8.6 7.3 6.6 5.2 4.8 4.8 4.8 4.5 4.3 4.2 4.0 4.0 4.0 4.0 4.4 4.9 5.4 5.9 6.4 7.0 7.4 7.9 8.3 8.3 8.3 8.3 8.2 7.5 6.2 5.1 5.0 4.1 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 10645.9 11407.2 9563.0 10707.7 10775.7 9384.0 7773.6 8343.2 8051.9 9342.4 9649.7 10799.6 11039.4 11144.6 10893.8 11951.5 11637.3 11856.7 12282.9 12497.2 13121.6 12808.9 13322.5 14215.8 14354.0 15163.1 15317.8 14753.6 13284.1 13016.4 11826.0 9056.7 8044.2 9342.8 10812.8 11385.1 12032.5 10645.8 11814.0 13131.5 13908.5 13843.5 11676.5 13019.3 14627.5 14100.2 14894.7 14834.9 16396.2 16771.3 17718.3 13016.5 11402.6 9769.1 112.4 114.5 116.7 119.1 121.3 124.3 127.8 130.4 133.3 136.0 139.7 144.3 149.9 156.2 161.9 167.5 175.7 183.3 189.5 194.4 198.9 199.0 196.9 197.3 195.6 191.3 185.9 180.2 174.1 166.3 159.6 152.0 144.3 142.3 143.8 144.6 145.3 145.3 142.3 140.2 138.9 137.5 137.2 136.3 138.5 141.4 143.9 146.8 152.6 157.8 158.8 156.4 151.3 145.4 140.8 140.0 143.7 137.9 139.7 137.4 140.9 144.2 148.7 151.2 152.2 150.1 155.8 162.6 173.9 178.4 179.6 186.5 190.8 199.6 203.0 211.9 224.2 221.1 233.3 241.5 257.8 260.2 253.6 242.1 246.8 231.9 211.2 175.4 158.7 158.0 153.2 168.8 171.1 177.8 184.8 181.8 182.0 195.2 193.5 193.7 201.1 203.2 205.4 214.3 217.0 219.7 211.2 194.5 32.8 34.7 43.7 35.3 26.1 28.4 45.1 42.6 34.7 29.1 22.7 21.1 21.6 20.0 19.3 16.6 14.6 17.7 14.2 16.5 14.6 23.8 18.6 12.7 19.6 18.9 30.8 31.1 32.2 24.1 46.7 80.9 56.7 42.3 31.3 30.7 27.3 45.8 32.9 23.5 29.4 22.7 48.0 45.5 23.0 26.7 20.5 22.7 19.0 20.5 17.0 67.9 61.3 65.7 (continued on next page) 16 Federal Reserve Supervisory Scenarios Table 3A.—continued Date Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Nominal Real UnBBB 3-month 5-year 10-year CPI dispoNominal dispoMortgage employReal GDP inflation Treasury Treasury Treasury corporate sable sable GDP rate ment growth yield yield yield rate rate growth income income rate growth growth -4.0 -1.5 1.2 1.1 3.0 3.0 3.9 3.9 3.9 3.9 -2.6 -0.3 2.5 2.2 4.1 4.0 4.9 4.8 4.8 4.7 -1.1 -0.5 1.2 1.0 1.4 1.6 2.0 2.2 1.8 2.0 -0.2 0.5 2.5 2.2 2.8 2.9 3.2 3.4 3.0 3.1 10.7 11.1 11.2 11.3 11.2 11.1 10.9 10.8 10.6 10.4 0.8 1.1 1.5 1.4 1.6 1.6 1.6 1.6 1.6 1.5 Note: Refer to “Data Notes” on page 19 for more information on variables. 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 0.6 1.1 1.3 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2.0 6.2 6.1 5.8 5.6 5.3 5.1 5.1 5.1 4.9 4.8 4.4 4.4 4.3 4.3 4.2 4.2 4.3 4.3 4.3 4.3 Prime rate Dow Jones Total Stock Market Index House Price Index Commercial Market Real Volatility Index Estate (VIX) Price Index 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 3.3 8943.3 9616.9 10314.4 11061.2 11987.2 12775.4 13434.8 13927.1 14769.2 15436.8 139.1 133.2 127.7 123.0 120.3 118.5 118.0 118.5 119.5 120.8 175.5 161.3 150.3 143.9 141.6 141.5 142.3 144.5 147.2 150.2 57.9 42.1 34.1 27.7 21.8 19.3 17.9 17.8 15.2 14.9 November 1, 2013 17 Table 3B. Supervisory severely adverse scenario: International Date Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Q1 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Euro area real GDP growth 3.7 0.3 0.4 0.7 0.5 2.3 1.1 0.2 -0.3 0.3 1.8 2.9 2.0 2.2 1.5 1.3 0.9 2.8 2.6 2.6 3.7 4.5 2.6 4.4 3.2 1.9 2.4 1.6 2.3 -1.6 -2.4 -6.7 -10.9 -1.1 1.6 1.8 1.6 3.6 1.7 2.1 3.1 0.3 0.3 -0.8 -0.4 -1.2 -0.5 -2.0 -0.9 1.1 0.6 Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) 1.1 4.1 1.4 1.7 3.0 2.0 1.6 2.4 3.3 0.3 2.2 2.2 2.3 2.4 2.0 2.4 1.5 2.2 3.2 2.5 1.7 2.5 2.0 0.9 2.2 2.3 2.1 4.9 4.2 3.2 3.2 -1.4 -1.1 0.0 1.2 1.6 1.7 2.0 1.8 2.5 3.5 3.2 1.7 3.3 2.5 2.4 2.1 2.2 0.7 0.6 1.9 0.9 0.8 0.9 0.9 0.9 1.0 1.0 1.0 1.1 1.2 1.2 1.3 1.2 1.2 1.2 1.4 1.3 1.2 1.2 1.2 1.2 1.3 1.3 1.3 1.3 1.4 1.4 1.5 1.6 1.6 1.4 1.4 1.3 1.4 1.5 1.4 1.4 1.2 1.4 1.3 1.4 1.5 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.4 3.9 6.0 4.7 7.0 7.4 9.0 4.9 6.4 7.0 2.8 13.4 11.9 4.6 6.2 8.7 8.1 7.9 7.3 9.8 10.8 12.0 7.9 8.7 11.0 14.7 10.0 8.9 10.7 8.6 7.5 3.8 0.4 3.4 15.9 12.8 8.4 9.2 9.3 8.7 8.3 9.4 6.8 7.2 5.9 5.8 6.5 6.6 6.8 5.5 6.3 6.5 1.6 2.0 1.3 -0.2 0.3 0.7 1.5 0.7 3.2 1.2 0.1 5.5 4.2 3.9 4.0 0.7 2.9 1.6 2.6 1.7 2.4 3.3 2.0 4.0 3.7 5.1 7.6 5.8 7.9 6.2 2.8 -0.6 -1.2 2.4 4.9 5.2 5.0 3.4 3.9 7.8 6.4 5.9 5.9 2.9 2.8 4.0 2.7 3.5 3.9 3.0 3.9 105.9 106.0 106.3 106.7 107.2 104.7 105.4 104.4 105.4 103.9 102.6 103.3 101.4 102.7 102.7 99.0 98.7 99.0 98.6 98.1 96.8 96.8 96.4 94.6 94.0 92.0 90.7 89.4 88.0 88.6 91.3 92.0 94.0 92.1 91.1 90.5 89.7 90.8 88.2 87.3 86.4 85.2 87.2 87.1 86.2 87.9 86.1 85.8 86.1 87.0 87.2 Japan real GDP growth 2.7 -0.9 -4.3 -0.5 -0.7 4.0 2.6 1.6 -2.1 4.9 1.7 4.3 4.3 -0.3 0.6 -1.0 0.9 5.2 1.5 0.7 1.8 1.6 -0.2 5.2 4.1 0.5 -1.4 3.4 2.7 -4.8 -4.0 -12.4 -15.0 6.7 0.4 7.5 5.9 3.7 6.0 -1.3 -7.6 -3.4 10.7 1.4 5.0 -1.2 -3.5 1.1 4.1 3.8 2.6 Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound) -1.2 -0.3 -1.1 -1.4 -2.7 1.7 -0.7 -0.4 -1.6 1.7 -0.7 -0.6 -0.9 1.1 0.1 1.7 -2.7 -1.3 -1.1 0.6 1.3 -0.1 0.5 -0.4 -0.2 0.0 0.1 2.2 1.3 1.4 3.8 -2.2 -3.6 -1.7 -1.2 -1.5 0.7 -1.0 -1.7 1.2 -0.8 -0.5 0.7 -0.4 1.2 -0.7 -1.5 0.0 -0.4 0.8 3.1 125.5 124.7 119.2 131.0 132.7 119.9 121.7 118.8 118.1 119.9 111.4 107.1 104.2 109.4 110.2 102.7 107.2 110.9 113.3 117.9 117.5 114.5 118.0 119.0 117.6 123.4 115.0 111.7 99.9 106.2 105.9 90.8 99.2 96.4 89.5 93.1 93.4 88.5 83.5 81.7 82.8 80.6 77.0 77.0 82.4 79.8 77.9 86.6 94.2 99.2 98.3 3.1 2.7 1.9 0.5 2.2 3.0 3.4 4.3 2.1 5.4 5.2 5.3 2.7 1.8 0.3 2.7 3.1 5.3 3.9 5.3 1.5 1.4 1.0 3.1 4.0 5.3 5.0 0.4 0.6 -3.6 -5.6 -8.3 -9.5 -1.7 0.0 1.7 2.1 4.1 1.6 -0.8 1.9 0.4 2.4 -0.4 0.0 -1.8 2.5 -1.2 1.5 2.7 3.2 0.1 3.1 1.0 0.0 1.9 0.9 1.4 1.9 1.6 0.3 1.7 1.7 1.3 1.0 1.1 2.4 2.6 1.9 2.7 1.4 1.9 3.0 3.3 2.6 2.6 1.6 0.3 4.0 3.7 5.5 5.9 0.6 -0.1 2.0 3.7 3.1 4.0 3.0 2.6 4.0 6.6 4.4 4.2 3.4 1.8 1.7 3.0 4.0 2.3 1.5 3.1 1.4 1.4 1.5 1.5 1.4 1.5 1.6 1.6 1.6 1.7 1.7 1.8 1.8 1.8 1.8 1.9 1.9 1.8 1.8 1.7 1.7 1.8 1.9 2.0 2.0 2.0 2.0 2.0 2.0 2.0 1.8 1.5 1.4 1.6 1.6 1.6 1.5 1.5 1.6 1.5 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.5 1.5 1.6 (continued on next page) 18 Federal Reserve Supervisory Scenarios Table 3B.—continued Date Q4 2013 Q1 2014 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Euro area real GDP growth -8.3 -7.0 -4.5 -2.5 -0.9 0.4 1.3 1.9 2.2 2.3 2.3 2.2 2.2 Euro area inflation Euro area bilateral dollar exchange rate ($/euro) Developing Asia real GDP growth Developing Asia inflation Developing Asia bilateral dollar exchange rate (F/USD, index, base = 2000 Q1) -1.0 -1.2 -1.3 -1.0 -0.6 -0.3 0.1 0.3 0.5 0.7 0.8 0.9 1.0 1.2 1.1 1.1 1.1 1.1 1.1 1.1 1.1 1.1 1.1 1.2 1.2 1.2 -2.8 1.6 4.9 6.4 6.8 7.0 7.0 7.0 7.0 7.1 7.2 7.3 7.4 1.4 0.5 0.2 0.2 0.2 0.2 0.3 0.5 0.8 1.2 1.5 1.8 2.0 105.0 104.7 103.9 102.9 101.6 98.8 96.1 93.5 91.1 89.8 88.8 88.0 87.3 Note: Refer to “Data Notes” on page 19 for more information on variables. Japan real GDP growth -8.0 -10.8 -9.1 -7.1 -5.1 -3.2 -1.6 -0.4 0.5 1.2 1.7 2.0 2.2 Japan inflation Japan bilateral dollar exchange rate (yen/USD) U.K. real GDP growth U.K. inflation U.K. bilateral dollar exchange rate (USD/pound) -4.9 -3.9 -3.9 -3.5 -3.1 -2.7 -2.4 -1.9 -1.4 -0.9 -0.4 -0.1 0.2 95.3 96.9 98.2 99.4 100.5 100.3 100.1 100.0 99.9 99.6 99.4 99.2 99.0 -3.2 -3.6 -2.6 -1.6 -0.6 0.4 1.1 1.7 2.2 2.5 2.7 2.8 2.9 -0.4 -0.6 -0.7 -0.5 -0.2 0.2 0.5 0.8 1.1 1.3 1.4 1.5 1.7 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 November 1, 2013 Data Notes Sources for data through 2013:Q3 (as released through 10/25/2013). The 2013:Q3 values of variables marked with an asterisk (*) are projected. *U.S. real GDP growth: Percent change in real Gross Domestic Product at an annualized rate, Bureau of Economic Analysis. *U.S. nominal GDP growth: Percent change in nominal Gross Domestic Product at an annualized rate, Bureau of Economic Analysis. *U.S. real disposable income growth: Percent change in nominal disposable personal income divided by the price index for personal consumption expenditures at an annualized rate, Bureau of Economic Analysis. *U.S. nominal disposable income growth: Percent change in nominal disposable personal income at an annualized rate, Bureau of Economic Analysis. 19 structed for FRB/U.S. model by Federal Reserve staff using a Nelson-Siegel smoothed yield curve model; see Charles R. Nelson and Andrew F. Siegel (1987), “Parsimonious Modeling of Yield Curves,” Journal of Business, vol. 60, pp. 473–89). Data prior to 1997 is based on the WARGA database. Data after 1997 is based on the Merrill Lynch database. U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data. U.S. prime rate: Quarterly average of monthly series, Federal Reserve Board. U.S. Dow Jones Total Stock Market (Float Cap) Index: End of quarter value, Dow Jones. *U.S. House Price Index: CoreLogic, index level, seasonally adjusted by Federal Reserve staff. U.S. unemployment rate: Quarterly average of monthly data, Bureau of Labor Statistics. *U.S. Commercial Real Estate Price Index: From the Financial Accounts of the United States, Federal Reserve Board (Z.1 release); the series corresponds to the data for price indexes: Commercial Real Estate Price Index (series FI075035503.Q) *U.S. CPI inflation: Percent change in the Consumer Price Index at an annualized rate, Bureau of Labor Statistics. U.S. Market Volatility Index (VIX): Chicago Board Options Exchange, converted to quarterly by using the maximum value in any quarter. U.S. 3-month Treasury rate: Quarterly average of 3-month Treasury bill secondary market rate discount basis, Federal Reserve Board (FRB). *Euro area real GDP growth: Staff calculations based on Statistical Office of the European Communities via Haver, extended back using ECB Area Wide Model dataset (ECB Working Paper series no. 42). U.S. 5-year Treasury yield: Quarterly average of the yield on 5-year U.S. Treasury bonds, constructed for FRB/U.S. model by Federal Reserve staff based on the Svensson smoothed term structure model; see Lars E. O. Svensson (1995), “Estimating Forward Interest Rates with the Extended Nelson-Siegel Method,” Quarterly Review, no. 3, Sveriges Riksbank, pp. 13–26. U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury bonds, constructed for FRB/U.S. model by Federal Reserve staff based on the Svensson smoothed term structure model; see Lars E. O. Svensson (1995), “Estimating Forward Interest Rates with the Extended Nelson-Siegel Method,” Quarterly Review, No. 3, Sveriges Riksbank, pp. 13-26. U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate bonds, con- Euro area inflation: Staff calculations based on Statistical Office of the European Community via Haver. *Developing Asia real GDP growth: Staff calculations based on Bank of Korea via Haver; Chinese National Bureau of Statistics via CEIC; Indian Central Statistical Organization via CEIC; Census and Statistics Department of Hong Kong via CEIC; and Taiwan Directorate-General of Budget, Accounting, and Statistics via CEIC. Developing Asia inflation: Staff calculations based on Chinese National Bureau of Statistics via CEIC; Indian Ministry of Statistics and Programme Implementation via Haver; Labour Bureau of India via CEIC; National Statistical Office of Korea via CEIC; Census and Statistic Department of Hong Kong via CEIC; and Taiwan Directorate-General of Budget, Accounting, and Statistics via CEIC. 20 Federal Reserve Supervisory Scenarios *Japan real GDP growth: Cabinet Office via Haver. Japan inflation: Ministry of Internal Affairs and Communications via Haver. U.K. inflation: Staff calculations based on Office for National Statistics (uses Retail Price Index to extend series back to 1960) via Haver. Exchange rates: Bloomberg. U.K. real GDP growth: Office for National Statistics via Haver. www.federalreserve.gov 1113
@FedFRASER