February 2018

CCAR 2018 Summary Instructions and Scenarios Overviewhttps://www.federalreserve.gov/newsevents/pressreleases/bcreg20180201a.htm

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Executive Summary

CCAR Participants and Requirements

38 CCAR Participants; 4 IHCs (Barclays, Credit Suisse, RBC and UBS) will submit for the first time; BNP and DB USA will submit as IHC for the first time (previous submissions were done by the respective BHCs)

CFOs of 4 IHCs (Barclays, Credit Suisse, DB USA and UBS) will attest to the FR Y-14 submission for the first time

6 IHCs (Barclays, Credit Suisse, DB USA, HSBC, RBC, UBS) will be subject to Interim Market Risk components and a Simplified Global Market Shock (GMS) for supervisory assessment

18 firms will undergo full CCAR assessment (quantitative + qualitative); 20 firms will be subject to quantitative assessmentalone (these firms will undergo Horizontal Capital Review (HCR) beginning Q3 2018)

Advanced Approaches institutions will need to comply to Supplementary Leverage Ratio starting Q1 2018

Non-advanced Approaches institutions can continue to apply certain transition provisions in the capital rules

Firms need to include tax-cut in their projections; FRB will allow issuance of common stock in capital adjustments; relief with reduced supporting documentation requirements

Supervisory Scenarios –

Salient Features

Supervisory Severely Adverse Scenario:

Features a more severe downturn in the U.S. economy; steepening yield curve; global aversion to long term fixed assets that includes deeper correction in asset prices (equities, housing, and commercial real estate)

U.S., Asia and Japan’s economic downturn is noticeably more severe in CCAR 2018 vs. 2017; economic scenario is less severe in Euro Area and UK

Dollar is projected to stay strong against the Euro, Pound, and currencies of developing Asia (except Yen)

Supervisory Adverse Scenario:

Lower long-term interest rates due to less pronounced decline in U.S. equity prices; Flatter yield curves across all economies

GMS under the Severely Adverse Scenario:

Compared to 2017, a rise and steepening U.S. yield curve; greater depreciation in the Dollar vs. currencies of other advancedeconomies; more muted shocks to credit sensitive assets (e.g., non-agency RMBS)

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Key Differences in CCAR 2018 vs. 2017 Instructions (1/2)On February 2nd, 2018 the Federal Reserve Board (FRB) released the “Comprehensive Capital Analysis and Review 2018 Summary Instructions” containing information including CCAR 2018 requirements.

The following are key differences between the CCAR 2018 and 2017 instructions:

FRB extended certain transition provisions in the capital rules for non-advanced approaches firms; accordingly these firms will continue to apply the transition rules as applicable in 2017

Advanced approaches firms are not impacted by this change

Firms must reflect the impact of the new tax law, which was enacted on December 22, 2017, in their December 31, 2017 financial statements and regulatory reports and CCAR 2018 projections, as applicable

In order to support the transition of GMS for six FBOs (Barclays, Credit Suisse, DB USA, HSBC, RBC, UBS), FRB is implementing Interim Market Risk components in Supervisory Severely Adverse and Adverse scenarios

Supervisory Assessment will include a simplified GMS for these institutions

These institutions will be subject to full GMS from next year

1. Changes to Regulatory Capital Rules

2. Impact on Tax Cut

and Jobs Act

3. Mark Risk Component for certain IHCs

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Key Differences in CCAR 2018 vs. 2017 Instructions (2/2)

Beginning with the FR Y-14 reports with data as-of December 31, 2017, LISCC firms that are BHCs mustattest to the effectiveness of internal controls for FR Y-14 submissions filed throughout the year

LISCC firms are required to attest to the material accuracy of the actual data submitted on FR Y-14,conformance to the FR Y-14 instructions, effectiveness of internal controls for FR Y-14 reports and atleast an annual audit performed for the controls

LISCC firms are required to report material weaknesses in the internal controls and any material errorsor omissions in the data submitted to the FRB

Starting this year firms may increase their planned common stock issuances in PQ3 in making one-time adjustment to their capital plan, subject to certain conditions that include reducing planned capital distributions to zero in PQ2-PQ9.

In an effort to reduce burden associated with the submission of supporting documentation, firms will only be required to submit documentation related to the planned scope of CCAR 2018

FRB will be issuing letters to firms notifying them of planned scope of CCAR 2018

6. Reduced Supporting

Documentation

5. Limited adjustments to planned capital

actions

4. Attestation Requirements for

LISCC firms

A firm should not reflect the adoption of new accounting standards in its projections unless the firm has already adopted the accounting standards for financial reporting purposes (FRB will be issuing letters to firms notifying the planned scope of CCAR 2018)

All firms should exclude the potential effect of CECL for CCAR 2018 and 2019, even if a firm chooses to early adopt CECL for financial reporting purposes in 2019 (FRB will provide further guidance on reflecting CECL in CCAR 2020.

7. Accounting Standards

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Simplified Market Shock for IHCs As per the rule finalized on December 15, 2017, 6 IHCs (Barclays, Credit Suisse, DB USA, HSBC, RBC, UBS ) with significant trading activity

will be subject to the global market shock component in their adverse and severely adverse scenario starting 2019

In 2018, these firms will be subject to Interim Market Risk components to assess the potential losses and capital impact in connection with their trading and counterparty activity:

— What is required for IHCs: Each IHC is required to reflect counterparty and trading losses in their scenarios using a company run market risk component (further details in a separate letter by FRB to the institution)

— Supervisory Stress Test and Assessment: The Federal Reserve will apply a simplified version of the global market shock and large counterparty default scenario component in the assessment of the results

• Following loss rates will be applied to the applicable measure of exposures as of December 31, 2017

Products Adverse Scenario (% Loss Rate)

Severely Adverse Scenario (% Loss Rate)

Securitized Product Loss(Loans and Credits HFT) 22.1 46.4

Trading MtM and Trading incremental default loss(Market risk-weighted assets)

1.4 1.8

Credit Valuation Adjustments (CVA)(OTC Derivatives risk-weighted assets) 1.3 2.8

Large Counterparty Default losses(Repo Style transactions and OTC Derivative risk-weighted assets)

1.0 1.5

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Capital Transition Provisions for Non-Advanced Firms The Federal Reserve extended certain transition provisions in the capital rules for non-advanced approaches firms for CCAR (this is viewed as a

relief provided to non-advanced approaches firms while the FRB is working on finalizing the “Simplification of Capital Rules NPR (82 FR 49984)”

Non-advanced approaches firms are required to apply the transition provisions applicable for calendar year 2017 for certain items through the projection quarters

There is no impact for advanced approaches firms

Firms should not reflect in their company-run stress tests any other potential changes to the regulatory capital framework that have not been adopted by the Federal Reserve by December 31, 2017 (One of the proposed changes that impacts advanced and non-advanced approaches firms includes replacement of High Volatility Commercial Real Estate (HVCRE) with High Volatility Acquisition, Development, or Construction (HVADC) exposures along with revision of risk weights.

Transition Provisions

Continue to apply 100% risk weight to portion not deducted from Common Equity Tier 1 for items such as DTAs, MSAs and Significant Investments that are subject to 10 and 15% Threshold

Capital line Items Transition Provision to be applied for CCAR 2018 projections

Mortgage Serving Assets 80%

Deferred Tax Assets arising from temporary differences that could not be realized through net operating loss carrybacks 80%

Significant and Non-significant investments in the Capital of Instruments of Unconsolidated Financial Institutions (Common Stock, Additional Tier 1, Tier 2) 80%

Minority interest capital (surplus portion of minority interest) – includable in CET1, Tier 1, Tier 2) 20%

Investments in own shares not excluded as part of Treasury Stock, Additional tier 1 capital instruments, Tier 2 80%

Reciprocal cross holdings (Common Stock, Tier 1, Tier 2) 80%

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Summary of 2018 Supervisory Scenario

2018 CCAR supervisory scenario macro variables(9Q Mean vs. Peak/Trough)

The box shows the 9Q mean and the peak/trough value over the nine-quarter horizon in parenthesis under each scenario by variable categories

Severely adverse: “Global recession and aversion to long-term fixed-income assets”

— Unemployment rate increases to almost 10 percent by 3Q19

— Spread on yields between investment-grade corporate bonds and long term Treasury securities widens to 5 ¾ percent by start of 2019

— Equity prices fall 65 percent by early 2019 with large volatility

— House prices and commercial real estate prices falls around 30 percent to 40 percent by 3Q19

— Heightened stress in corporate loan and commercial real estate markets

— U.S. real GDP declines in the first quarter of 2018 and hits bottom in Q3 19, that is about 7½ percent below the pre-recession peak

Adverse: “Moderate recession”

— House prices and commercial real estate prices falls around 12 percent to 15 percent by 1Q20

— Moderate recession in Euro area with protracted recession in Japan

— U.S. real GDP declines by more than 2¼ percent in the 1Q19 with steady increase in unemployment rate peaking at 7 percent in 3Q19

Base Adverse Sev Adverse

| | |

Real GDP % (T) 2.4 (2.0) -0.3 (-3.5) -2.7 (-8.9)| | |

Nominal GDP % (T) 4.5 (4.2) 1.7 (-1.4) -0.9 (-7.1)| | |

Real DPI % (T) 2.8 (2.2) 0.2 (-1.8) -1.9 (-5.1)| | |

Nominal DPI % (T) 4.8 (4.3) 1.9 (-0.2) -0.5 (-3.8)| | |

Unemployment (P) 3.8 (4.0) 6.3 (7.0) 8.5 (10.0)| | |

CPI Inflation (P) 2.2 (2.4) 1.8 (2.1) 1.4 (1.8)| | |

DWCF (T) 29,464 (28,019) 21,470 (19,718) 11,331 (9,689)| | |

HPI (T) 200.7 (196.0) 176.9 (171.0) 150.8 (136.0)| | |

CRE Price (T) 296.6 (282.0) 247.4 (237.0) 195.3 (167.0)| | |

VIX (P) 20.2 (23.5) 28.7 (33.7) 42.6 (62.4)| | |

3-mo Treasury (P) 2.2 (2.7) 0.2 (0.6) 0.1 (0.1)| | |

5-yr Treasury (P) 2.7 (3.0) 0.4 (0.7) 1.9 (1.9)| | |

10-yr Treasury (P) 3.0 (3.5) 1.1 (1.6) 2.4 (2.4)| | |

BBB Spread (P) 4.6 (5.1) 4.5 (4.8) 7.6 (8.1)| | |

Mortgage Rate (P) 4.6 (5.1) 3.7 (4.0) 5.7 (6.0)| | |

Prime Rate (P) 5.3 (5.7) 3.3 (3.8) 3.2 (3.3)

Base Adverse Sev Adverse

| | |

Euro Real GDP % (T) 1.9 (1.8) -0.9 (-3.4) -1.5 (-5.2)| | |

Euro Inflation (P) 1.6 (1.8) 0.1 (0.8) -0.4 (0.6)| | |

USD/Euro (T) 1.2 (1.2) 1.1 (1.1) 1.1 (1.1)| | |

Asia Real GDP % (T) 5.9 (5.7) 4.7 (2.1) 3.5 (-1.5)| | |

Asia Inflation (P) 2.7 (2.9) 0.5 (1.3) -1.3 (0.3)| | |

Asia (F/USD) (P) 93.0 (94.0) 100.1 (102.1) 103.9 (107.5)| | |

Japan Real GDP % (T) 1.1 (0.8) -2.8 (-5.1) -6.6 (-11.4)| | |

Japan Inflation (P) 1.2 (1.4) -1.5 (-0.3) -4.0 (-2.3)| | |

Yen/USD (P) 112.4 (112.8) 108.7 (110.7) 102.0 (108.6)| | |

UK Real GDP % (T) 1.4 (1.4) -1.3 (-3.9) -2.2 (-5.1)| | |

UK Inflation (P) 2.2 (2.6) 0.7 (1.3) -0.1 (0.7)| | |

USD/Pound (T) 1.3 (N/A) 1.3 (N/A) 1.3 (N/A)

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Peak/Trough vs. Last Quarter Actual 2013-2018

For each variable: Greatest Peak/ Trough% Change since 2013 Smallest Peak/ Trough % Change since 2013Percentage Change of Peak/Trough over the nine-quarter horizon((P/T-Actual)/Actual) are shown by variable categories under Severely Adverse from 2013 to 2018

2018 Severely Adverse features compared to past years:

— Decline in Housing Price Index and CRE prices are the highest across CCAR cycles

— Similarly Unemployment Rate and Corporate Yield record the highest change in CCAR 2018 cycle

— Equity prices also exhibit the highest change in CCAR 2018 cycle

2013 – 2018 Supervisory severely adverse macro variable change(% Change – Peak/trough vs. last quarter actual)

2014

2015

2016

2017

2018

| | | | |Euro Real GDP % (T) -1483% -980% -438% -600% -326%

| | | | |Euro Inflation (P) -74% 533% -500% -68% -65%

| | | | |USD/Euro (T) -21% -14% -14% -12% -11%

| | | | |Asia Real GDP % (T) -143% -149% -123% -102% -125%

| | | | |Asia Inflation (P) -64% 284% -96% -80% -88%

| | | | |Asia (F/USD) (P) 20% 13% 18% 19% 18%

| | | | |Japan Real GDP % (T) -515% -1160% -1060% -1288% -733%

| | | | |Japan Inflation (P) -145% -81% 467% -633% -356%

| | | | | Yen/USD (P) 2% -6% -3% -3% -4%

| | | | |UK Real GDP % (T) -213% -245% -283% -571% -464%

| | | | |UK Inflation (P) -65% -6% -300% -60% -76%

| | | | |USD/Pound (T) -13% -4% -4% -9% -6%

2013

2014

2015

2016

2017

2018

| | | | | |Real GDP % (T) -405% -405% -297% -495% -342% -430%

| | | | | |Nominal GDP % (T) -194% -185% -224% -421% -190% -242%

| | | | | |Real DPI % (T) -938% -241% -263% -229% -350% -368%

| | | | |Nominal DPI % (T) -327% -144% -164% -192% -160% -168%

| | | | |Unemployment (P) 49% 55% 66% 100% 113% 144%

| | | | |CPI Inflation (P) -22% -30% 291% 850% -44% -51%

| | | | |DWCF (T) -52% -50% -58% -51% -50% -65%

| | | | |HPI (T) -21% -25% -25% -24% -25% -30%

| | | | |CRE Price (T) -21% -35% -35% -30% -35% -40%

| | | | |VIX (P) 287% 299% 365% 200% 205% 376%

| | | | |3-mo Treasury (P) 0% N/A N/A -100% -75% -92%

| | | | |5-yr Treasury (P) N/A -47% -47% -81% -41% -10%

| | | | |10-yr Treasury (P) 19% -41% -24% -45% -32% 0%

| | | | |BBB Spread (P) 62% 27% 50% 39% 56% 103%

| | | | |Mortgage Rate (P) 37% 0% 22% 5% 18% 54%

| | | | |Prime Rate (P) N/A 0% 0% 0% -6% -23%

| | | | | |Corporate Spread (P) 115% 132% 194% 142% 184% 256%

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Horizontal Capital Review for Large Non- complex (LNC) FirmsFRB will assess the strength of the capital planning processes of BHCs and U.S. IHCs of FBOs that are Large and Non-complex (LNC) through a horizontal review of specific areas of capital planning, referred to as HCR, beginning Q3 2018.

LNC firms are required to submit capital plans

LNC firms are subjected to the quantitative assessment alone

LNC firms are required to submit their capital plans to the FRB by April 5, 2018

Supporting information will be requested several weeks later through a separate letter, based on the scope of the HCR

Upon completion of the supervisory stress test, but before disclosure of the final CCAR results, the FRB will provide an LNC firm with the results of its post-stress capital analysis, and the firm will have the opportunity to make a one-time adjustment to its planned capital distributions

Reasons for any objection to a firm’s capital plan will be published on or before June 30, 2018

Restrictions on capital distributions for firms receiving an objection to its capital plan based on quantitative assessment other than those for which FRB has indicated its non-objection in writing

The firm may choose to resubmit its plan in advance of the next CCAR exercise in the following year

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Appendix I - Real GDP Growth and Unemployment Rate

— For 2018 CCAR, Real GDP and Unemployment Rate macroeconomic factors align reasonably closely with 2017 scenarios but with some more severity in 2018

— Absolute GDP change (severity) for Severely Adverse scenario is very severe. BHCs with broad exposure to national economy will be affected – especially their lending portfolios

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— For 2018, the DJIA experiences a very severe drop for the Adverse scenario and Severely Adverse Scenarios.

— CPI inflation rate for all scenarios is more or less in line with the 2017 scenarios. Inflation drops quickly but levels off through the rest of the 9Q forecast

Appendix II - Dow Jones and U.S. CPI Inflation Rate

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Appendix III - 2018 CCAR Participants# Firm Short

Name Type LISCC Advanced Approaches

Simplified GMS for IHCs

Counterparty default

Quantitative Assessment Only

1 Ally Financial Inc. ALLY Regional 2 American Express Company AXP Credit Card 3 Bank of America Corporation BAC Money Center / Securities

4 The Bank of New York Mellon Corporation BK Custodian

5 Barclays US LLC BCS FBO 6 BB&T Corporation BBT Regional 7 BBVA Compass Bancshares, Inc. BBVA FBO 8 BMO Financial Corp. BMO FBO 9 BNP Paribas USA, Inc. BNP FBO 10 Capital One Financial Corporation COF Credit Card 11 CIT Group Inc. CIT Regional 12 Citigroup Inc. C Money Center / Securities 13 Citizens Financial Group, Inc. CFG Regional 14 Comerica Incorporated CMA Regional 15 Credit Suisse Holdings (USA) CS FBO 16 DB USA Corporation DB FBO 17 Discover Financial Services DFS Credit Card 18 Fifth Third Bancorp FITB Regional 19 The Goldman Sachs Group, Inc. GS Money Center / Securities 20 HSBC North America Holdings Inc. HSBC FBO 21 Huntington Bancshares Incorporated HBAN Regional 22 JPMorgan Chase & Co. JPM Money Center / Securities 23 KeyCorp KEY Regional 24 M&T Bank Corporation MTB Regional 25 Morgan Stanley MS Money Center / Securities 26 MUFG Americas Holdings Corporation MTU FBO 27 Northern Trust Corporation NTRS Custodian 28 The PNC Financial Services Group, Inc. PNC Regional 29 RBC USA Holdco Corporation RY FBO 30 Regions Financial Corporation RF Regional 31 Santander Holdings USA, Inc. SAN Regional/ FBO 32 State Street Corporation STT Custodian 33 SunTrust Banks, Inc. STI Regional 34 TD Group US Holdings LLC TD FBO35 UBS Americas Holdings LLC UBS FBO 36 U.S. Bancorp USB Regional 37 Wells Fargo & Company WFC Money Center / Securities 38 Zions Bancorporation ZION Regional

12 13 12 8 20

CCAR 2018 New Participants

FRANK MANAHANManaging Director, AdvisoryTel. 949-354-1077fjmanahan@kpmg.com

CONNIE KANGManager, AdvisoryTel. 858-539-6970shukang@kpmg.com

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The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity. Although we endeavor to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future. No one should act on such information without appropriate professional advice after a thorough examination of the particular situation.

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STEVE ARNOLDPrincipal, AdvisoryTel. 716-380-9596stevenarnold@kpmg.com

SHIBESH KUMARManager, AdvisoryTel. 201-899-8642shibeshkumar4@kpmg.com

PUNEET SEKHSARIASenior Associate, AdvisoryTel. 704-620-4720psekhsaria@kpmg.com