Summary Document

CCAR 2015: Assessment Framework and

Results
March 2015

Agenda

Key Highlights

CCAR 2015 Requirements

Assessment Framework Qualitative and

Quantitative
Summary Results

Key Highlights
In aggregate, Tier 1 Common Ratio for 31 BHCs would decline in the severely adverse scenario
from 11.9% in 2014 Q3 to 7.1% at its minimum point of the planning horizon.
The Federal Reserved did not object to the capital plan of 29 of the 31 BHCs.
The Board of Governors objected to the capital plan of Deutsche Bank Trust Corporation and
Santander Holdings USA, Inc. due to widespread and substantial weaknesses across their
capital planning process.
The Board of Governors issued a conditional non-objection to Bank of America Corporation
and is requiring the BHC to correct weaknesses in some elements of its capital planning process
and to resubmit a capital plan by September 30, 2015.
Under quantitative assessment, three BHCs The Goldman Sachs Group, Inc; JPMorgan
Chase & Co.; and Morgan Stanleywere projected to have at least one minimum post-stress
capital ratio lower than regulatory minimum levels based on their original planned capital actions.
Post adjustment of capital plan, all were able to clear the minimum ratios.
Although all banks cleared the quantitative assessment, post stress tier 1 common ratios of Zions
Bancorporation (5.1%) and JPMorgan Chase ad Co. (5.5%) came very close to the minimum
threshold of 5%

CCAR 2015 Requirements

31 BHCs with consolidated assets of $50 billion or more were required to submit annual capital
plans to the Federal Reserve in January 2015.
Macroeconomic Scenarios

Capital Plan Mandatory Elements

1

Baseline Scenario: Supervisory & BHC

Supervisory Stress Scenarios: Adverse &
Severely Adverse
At least 1 stress scenario developed by BHC
appropriate to business model and portfolios
Global market shock and counterparty default
scenarios for specific BHCs

Assessment of expected sources and uses of

capital over planning horizon:
Estimates of projected revenues,
losses, reserves, and pro forma
capital ratios
Discussion of (1) how company will
maintain all minimum capital ratios
and (2) results of stress tests
Description of planned capital actions
over planning horizon

Minimum Regulatory Ratios

Q4 2014
Advance
Approach
BHCs

Detailed Description of BHCs process for

assessing capital adequacy
BHCs capital policy
Discussion of baseline changes to BHCs
business plan that are likely to have a
material impact on BHCs capital adequacy
or liquidity
4

2015- 2016
All BHCs

T1 Common

5%

5%

5%

CET1

4%

N/A

4.5%

5.5%

4%

6%

Total Risk
Based

8%

8%

8%

T1 1 Leverage

4%

3 or 4%

4%

T1 Risk Based
4

Q4 2014
Other
BHCs

Assessment Framework
Criteria

Key Considerations
Supervisors focus on the internal practices a BHC uses to determine the amount
and composition of capital it needs to continue to function throughout a period of
severe stress:

Qualitative

Comprehensiveness and reasonableness of BHCs capital plan, the

assumptions and analysis underlying the plan, and the strength of the firms
capital planning processes.
Whether a BHC had a comprehensive process for identifying the full range of
relevant risks arising from its exposures and business mix, including those
exposures that may become apparent only under stress.
Particular attention to the processes surrounding the development and
implementation of the BHC stress scenario
CCAR supervisory post-stress capital analysis is based on the estimates of
losses, revenues, balances, risk-weighted assets, and capital from the Federal
Reserves supervisory stress test conducted under the Dodd-Frank Act
(DFAST)

Quantitative

For the CCAR post-stress capital analysis, the Federal Reserve uses a BHCs
planned capital actions under its BHC baseline scenario, including both
proposed capital issuances and proposed capital distributions

Results Summary
Qualitative Assessment
All but 3 BHCs had no objection to their capital plan from the Federal Reserve.
Bank

Santander
Holdings
USA, Inc.

Deutsche
Bank Trust
Corporations

Bank of
America
Corporation

Result

Objection

Objection

Condition
al nonobjection

Reason

Action/Consequence

Deficiencies identified in governance,

internal controls, risk identification and
risk management, management
information systems (MIS), and
assumptions and analysis that support
the BHCs capital planning processes.

BHCs may only make

capital distributions that
are expressly permitted by
the Federal Reserve.

Deficiencies across risk-identification,

measurement, and aggregation
processes; approaches to loss and
revenue projection; and internal controls

May choose to resubmit

their capital plans to the
Federal Reserve following
substantial progress in the
remediation of the issues

Deficiencies included weaknesses in

certain aspects of Bank of Americas loss
and revenue modeling practices
and in some aspects of the BHCs
internal controls.

Remediate these
deficiencies and resubmit
its capital plan by
September 30, 2015

Results Summary
Quantitative Assessment
Quantitative Assessment
No firms were objected to on quantitative grounds in CCAR 2015
Based on original planned capital actions, the following BHCs had issues:
The Goldman Sachs Group, Inc., fell below the minimum required post stress tier 1 risk-based
and total risk-based capital ratios;
JPMorgan Chase & Co. fell below the minimum required post-stress tier 1 leverage ratio
Morgan Stanley fell below the minimum required post-stress tier 1 risk-based and total risk-based
capital ratios
However, all three BHCs were able to maintain post-stress regulatory capital ratios above
minimum requirements in the severely adverse scenario after submitting adjusted capital actions.

Bank

Regulatory Ratio

Original

Adjusted

Goldman Sachs

Tier 1 Risk Based

5.9%

6.4%

Morgan Stanley

Tier 1 Risk Based

6.0%

6.2%

Tier 1 Leverage Ratio

3.8%

4.1%

JPMorgan

Results Summary
BHC Specific Capital Ratios
Tier 1 Common Capital Ratio : Severely Adverse Scenario

55

10

15

20

25

30

35

40

Actual (2014:Q3)

Tier 1 Common Capital Ratio : Adverse Scenario

Minimum Stressed
8

55

10

15

20

25

30

35

40

APPENDIX

BHC Classification
Advanced Approaches BHCs

Other BHCs

10