| ← Back to Cover | |||||||||||||
| STRESS TEST — SEVERE SCENARIO | |||||||||||||
| Deep recession — Significant credit deterioration, market dislocation | |||||||||||||
| FY2026 | FY2027 | FY2028 | FY2029 | FY2030 | FY2031 | FY2032 | FY2033 | FY2034 | FY2035 | ||||
| SCENARIO PARAMETERS | |||||||||||||
| Loan Growth Shock | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | |||
| NCO Rate Increase | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | |||
| Provision Multiplier | 3.5x | 3.5x | 3.5x | 3.5x | 3.5x | 3.5x | 3.5x | 3.5x | 3.5x | 3.5x | |||
| NII Impact | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | -4.0% | |||
| Fee Income Impact | -1.0% | -1.0% | -1.0% | -1.0% | -1.0% | -1.0% | -1.0% | -1.0% | -1.0% | -1.0% | |||
| Securities Haircut | -25.0% | -25.0% | -25.0% | -25.0% | -25.0% | -25.0% | -25.0% | -25.0% | -25.0% | -25.0% | |||
| OpEx Increase | 10.0% | 10.0% | 10.0% | 10.0% | 10.0% | 10.0% | 10.0% | 10.0% | 10.0% | 10.0% | |||
| STRESSED INCOME STATEMENT | |||||||||||||
| Base NII | $775 | $932 | $1,210 | $1,723 | $2,707 | $4,628 | $8,422 | $15,958 | $30,976 | $60,955 | |||
| NII Stress Impact | ($31) | ($37) | ($48) | ($69) | ($108) | ($185) | ($337) | ($638) | ($1,239) | ($2,438) | |||
| Stressed NII | $744 | $895 | $1,161 | $1,654 | $2,598 | $4,443 | $8,085 | $15,320 | $29,737 | $58,516 | |||
| Base Provision | $157 | $165 | $174 | $184 | $194 | $205 | $216 | $228 | $240 | $253 | |||
| Stressed Provision | $548 | $578 | $610 | $643 | $679 | $716 | $756 | $797 | $841 | $887 | |||
| Base Non-II | $392 | $403 | $414 | $425 | $436 | $448 | $460 | $472 | $485 | $498 | |||
| Stressed Non-II | $388 | $399 | $409 | $420 | $432 | $443 | $455 | $468 | $480 | $493 | |||
| Base OpEx | $863 | $892 | $922 | $954 | $986 | $1,020 | $1,054 | $1,090 | $1,127 | $1,166 | |||
| Stressed OpEx | $949 | $981 | $1,015 | $1,049 | $1,085 | $1,121 | $1,160 | $1,199 | $1,240 | $1,283 | |||
| Stressed Pre-Tax Income | ($366) | ($266) | ($54) | $382 | $1,267 | $3,049 | $6,625 | $13,791 | $28,136 | $56,840 | |||
| Stressed Net Income | ($274) | ($199) | ($40) | $287 | $950 | $2,286 | $4,969 | $10,343 | $21,102 | $42,630 | |||
| STRESSED CAPITAL IMPACT | |||||||||||||
| Base CET1 Ratio | 11.53% | 11.06% | 10.56% | 10.01% | 9.36% | 8.54% | 7.48% | 6.13% | 4.60% | 3.11% | |||
| Stressed CET1 (Net Income chg) | 9.52% | 9.01% | 8.47% | 7.87% | 7.14% | 6.20% | 4.96% | 3.37% | 1.53% | -0.28% | |||
| Min Regulatory CET1 | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | |||
| CET1 Buffer Over Minimum | 5.02% | 4.51% | 3.97% | 3.37% | 2.64% | 1.70% | 0.46% | -1.13% | -2.97% | -4.78% | |||
| Note: Severe scenario represents deep recession with significant credit deterioration. | |||||||||||||