Supervisory Scenario Controls
12.5%
Pre-stress baseline Tier 1 Common Equity ratio (Q3 jump-off point).
8.2%
Fed projected aggregate 9-quarter loan loss provisioning percentage.
40.0%
Peak-to-trough decline in commercial property price index.
-6.5%
Severe economic downturn trajectory over 9-quarter test horizon.
10.0%
Supervisory domestic labor market distress benchmark.
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Published Model Equation & Capital Projections
Federal Reserve Board 12 CFR Part 252Projected Post-Stress CET1
7.4%
Regulatory threshold: 4.5% min
Total Capital Depletion
5.1%
Drawdown from initial 12.5%
Supervisory Regulatory Status
Meets Minimum Post-Stress Requirement
Capital conservation buffer intact
Supervisory Capital Depletion Function (Published Specification)
Auditable FormulaCET1_post = CET1_start - (LoanLossRate * 0.75) - (CRE_Shock * 0.25) + NetRevenueBuffer
CET1_post = 12.5% - (8.2% × 0.75 = 6.15%) - (4.0% × 0.25 = 1.00%) + 2.05% PPNR = 7.4%
Portfolio Vulnerability & Risk Contribution Matrix
| Risk Vector | Scenario Stress | Fed Model Sensitivity | CET1 Impact | Supervisory Attribution |
|---|---|---|---|---|
| Aggregate Loan Losses | 8.2% | 0.75x Provision Multiplier | -6.15% | Commercial & Consumer Defaults |
| CRE Concentration Shock | 40.0% Property Drop | 0.25x Direct Portfolio Load | -1.00% | Office & Multifamily Valuation Deficits |
| Pre-Provision Net Revenue (PPNR) | GDP -6.5% / Unemp 10.0% | Dynamic Yield Curve Attenuation | +2.05% | Net Interest Margin Operational Buffer |
| Net Stress Impact | Severely Adverse 2026 | Baseline: 12.5% | -5.10% Depletion | Ending CET1: 7.4% |
Supervisory Methodology Note: Under the Federal Reserve's enhanced transparency rules, models and formulas previously shielded from banks under supervisory privilege are published for notice and comment. Stress Capital Buffers (SCB) are sized from the maximum depletion between the starting CET1 ratio and minimum projected CET1 during the 9-quarter projection window.