STATUS: GENERATED & DIGITALLY ATTESTED
SHA-256 Attribution: 498bb029886ac356adb9ab3480539571dad14b6c96933e7a7e588dfd2f4d1460
1. Executive Capital Adequacy & PCA Category
PCA POSTURE
WELL_CAPITALIZED
2. SR 11-7 Active Model Inventory & Population Stability
| MODEL ID |
MODEL NAME |
PURPOSE |
VER |
PSI DRIFT |
STATUS |
| MDL-001 |
DFAST Wholesale PPNR Shock Engine |
9-Quarter Macroeconomic Capital Depletion |
2.4.1 |
0.012 |
STABLE |
| MDL-002 |
CECL Multi-Segment Allowance Matrix |
Life-of-Loan Wholesale Loss Reserves |
3.1.0 |
0.018 |
STABLE |
| MDL-003 |
Single-Name RVC Option B Underwriter |
Risk-Adjusted Obligor Valuation & Pricing |
1.9.0 |
0.009 |
STABLE |
| MDL-004 |
Tab 6 NPL Workout Decision Allocator |
Special Asset Recovery NPV Optimization |
2.0.2 |
0.021 |
STABLE |
| MDL-005 |
Portfolio Capital (CRP) Whale Curve Engine |
Economic Profit (EP) & RAROC Allocation |
1.7.5 |
0.015 |
STABLE |
3. DFAST Severely Adverse Macroeconomic Shock Projections
| HORIZON |
STRESSED CET1 RATIO (%) |
CUMULATIVE NET LOSS ($M) |
MINIMUM BUFFER SPREAD |
| Q1 2027 |
11.8%
|
$12.4M |
+7.30% |
| Q2 2027 |
11.2%
|
$28.1M |
+6.70% |
| Q3 2027 |
10.4%
|
$45.3M |
+5.90% |
| Q4 2027 |
9.6%
|
$64.0M |
+5.10% |
| Q1 2028 |
8.9%
|
$78.5M |
+4.40% |
| Q2 2028 |
8.42%
|
$91.2M |
+3.92% |
| Q3 2028 |
8.8%
|
$98.4M |
+4.30% |
| Q4 2028 |
9.3%
|
$102.1M |
+4.80% |
| Q1 2029 |
10.1%
|
$104.5M |
+5.60% |