| DFAST Baseline Scenario (additional variables used beyond those supplied) |
|
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| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
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Rate |
| 1 |
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|
Index |
| 2 |
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|
Level |
| 3 |
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|
Ratio |
| 4 |
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|
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|
|
|
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|
|
|
|
|
|
|
Other |
| 5 |
|
|
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|
|
|
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|
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|
|
|
|
|
|
|
|
|
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|
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|
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|
|
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|
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|
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| 6 |
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|
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|
|
|
|
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|
|
|
|
|
|
| 7 |
|
|
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|
|
|
|
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|
|
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|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
|
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|
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|
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|
|
|
|
|
|
|
|
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|
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|
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|
|
|
|
|
|
|
|
| 9 |
|
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|
|
|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
| 10 |
|
|
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|
|
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|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DFAST Adverse Scenario (additional variables used beyond those supplied) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
|
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|
|
|
|
|
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|
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|
|
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|
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|
|
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|
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|
|
|
|
|
|
| 1 |
|
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| 2 |
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| 3 |
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| 4 |
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| 5 |
|
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| 6 |
|
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|
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| 7 |
|
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|
|
| 8 |
|
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| 9 |
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|
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| 10 |
|
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|
|
|
|
|
|
| DFAST Severely Adverse Scenario (additional variables used beyond those supplied) |
|
|
|
|
|
|
|
|
|
|
|
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|
|
| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
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| 1 |
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| 2 |
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| 3 |
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| 4 |
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| 5 |
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| 6 |
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| 7 |
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| 8 |
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| 9 |
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| 10 |
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|
| Bank Baseline Scenario |
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|
| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
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| 1 |
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| 2 |
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| 3 |
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| 4 |
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| 5 |
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| 6 |
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| 7 |
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| 8 |
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| 9 |
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| 10 |
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|
|
| Bank Stress Scenario |
|
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|
|
| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
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| 1 |
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| 2 |
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| 3 |
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| 4 |
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| 5 |
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| 6 |
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| 7 |
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| 8 |
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| 9 |
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| 10 |
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|
|
| Additional Scenario #1 |
|
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|
|
| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
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| 1 |
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| 2 |
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| 3 |
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| 4 |
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| 5 |
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| 6 |
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| 7 |
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| 8 |
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| 9 |
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| 10 |
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| Additional Scenario #2 |
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| Variable Number |
Variable Name |
Variable Definition |
Variable Type |
Economic Category |
Geographic Code |
Unit of Measure |
Frequency |
Model Category: Retail - Residential Real Estate (including construction) |
Model Category: Retail - Credit Cards |
Model Category: Retail - Other |
Model Category: Wholesale - Commercial Real Estate |
Model Category: Wholesale - Commercial and Industrial |
Model Category: Wholesale - Other |
Model Category: Loans HFS and Loans Under FVO |
Model Category: AFS/HTM Securities |
Model Category: Trading |
Model Category: Counterparty Credit Risk |
Model Category: Operational Risk |
Model Category: PPNR |
Model Category: MSR |
Model Category: Other |
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| 1 |
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| 2 |
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| 4 |
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| 5 |
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| 6 |
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| 7 |
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| 8 |
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| 9 |
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| 10 |
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