2019.2.12.( ) 현지정보 연준의 2019 년스트레스테스트시행관련주요발표내용 2.5 (CCAR: Comprehensive Capital Analysis and Review) 1. 시나리오에포함되는경제변수및내용 28 o ( ), ( ),, CPI, (3, 5 10 ), (10, BBB ), (30 ),,,, VIX 16 o, *,, 12 *,,,, (baseline), (adverse) (severely adverse) 3 *,, * < > 3 o 19 2 9.4% 18 2 8.9% 20 3 18 4 8.0% 19 3 17 4 7.5% - 1/8 -
o 7 * 10% * 20 3, 19 3 2017 2018 (5.9%p 6.2%p) 실질 변화 ( 심각한위기시나리오 ) 실업률변화 ( 심각한위기시나리오 ) 자료 : 연준, Bank of America 자료 : 연준, Bank of America o 19 4 18 4 50% 19 1 17 4 65% o (10 ) 18 4 3.0% 19 1 0.75% 22 1 1.75% 2.4% 주가변화 ( 심각한위기시나리오 ) (10 년 ) 변화 ( 심각한위기시나리오 ) 자료 : 연준, Bank of America 자료 : 연준, Bank of America - 2/8 -
o 6.5%(19.2Q) 5.2%(18.2Q) 0.8%(19.1Q) 1.5%(18.1Q) 유로지역의실질 변화 ( 심각한위기시나리오 ) 신흥아시아지역의실질 변화 ( 심각한위기시나리오 ) 자료 : 연준, Bank of America 자료 : 연준, Bank of America (custodian) (global market shock) (counterparty default component) 2019 1 o * (sell-off) * 500 10% o (largest counterparty) (default) 2018 (severe) o - 3/8 -
2. 스트레스테스트모형관련정보제공확대 2017.12, * - * (modification to their business), o, o (group) (estimated loss rates) (summary statistics) o (portfolio of hypothetical loans) (supervisory projected loss rates) 1 3. 향후계획 4.5, 6.30-4/8 -
o (CCAR instructions) (at a later date) * * ( 9 ), o 1,000 2,500 * 2019 ( ) 2018 * Ally Financial Inc., AMEX, BB&T, BBVA, BMO Financial Corp., BNP Paribas USA, Citizens Financial Group, Discovery, Fifth Third, Huntington, Keycorp, M&T Bank, MUFG, RBC USA, Santander USA, SunTrust Bank 17 5 (10.31 ) * * 1,000 2,500 o ( : Stress Testing: A Discussion and Review) (7.9 ) - 5/8 -
< 참고 > 1) 실질 명목 실질가처분소득증감률 명목가처분소득증감률 실업률 시나리오별주요경제변수의변화추이 CPI 상승률 (3개월) (5년) 18Q4 2.7 4.6 2.7 4.4 3.8 1.8 2.3 2.9 3.0 5.0 4.6 5.3 25,725 205.0 287.0 36.1 19Q1 2.2 4.2 2.8 4.2 3.7 1.5 2.5 2.8 2.9 4.6 4.5 5.5 26,026 206.5 292.8 28.3 19Q2 2.5 4.8 2.3 4.5 3.6 2.3 2.6 2.9 3.0 4.8 4.6 5.6 26,367 207.8 296.4 27.0 19Q3 2.2 4.4 2.3 4.4 3.6 2.3 2.7 3.0 3.1 4.9 4.6 5.7 26,687 209.1 300.2 25.3 19Q4 2.0 4.2 2.2 4.3 3.6 2.3 2.8 3.0 3.2 4.9 4.7 5.8 26,998 210.4 303.9 24.5 20Q1 1.7 4.0 2.1 4.3 3.6 2.4 2.8 3.0 3.2 4.9 4.7 5.8 27,299 211.7 307.8 23.9 20Q2 1.6 4.0 2.1 4.0 3.6 2.1 2.8 3.0 3.2 4.9 4.7 5.8 27,603 213.0 311.6 23.5 20Q3 1.5 3.7 1.9 4.0 3.7 2.2 2.8 3.0 3.2 4.9 4.7 5.8 27,894 214.3 315.6 23.7 20Q4 1.6 3.8 1.9 3.8 3.8 2.1 2.8 3.1 3.2 4.9 4.7 5.8 28,193 215.7 319.5 23.9 21Q1 2.2 4.3 2.3 4.4 3.9 2.2 2.8 3.3 3.4 5.2 4.9 5.8 28,529 217.3 321.9 24.6 21Q2 2.0 4.1 2.2 4.2 4.0 2.2 2.8 3.3 3.5 5.1 5.0 5.8 28,858 219.0 324.3 23.8 21Q3 2.0 4.1 2.2 4.2 4.0 2.2 2.8 3.4 3.5 5.2 5.0 5.8 29,191 220.6 326.8 23.7 21Q4 2.0 4.1 2.2 4.2 4.0 2.2 2.8 3.4 3.5 5.2 5.0 5.8 29,527 222.3 329.3 23.6 22Q1 2.0 4.1 2.2 4.2 4.1 2.2 2.8 3.4 3.6 5.2 5.1 5.8 29,868 223.9 331.7 23.6 유로실질 유로인플레이션 유로환율 신흥아시아실질 신흥아시아인플레이션 신흥아시아환율 (10년) 일본실질 회사채금리 (BBB) 모기지금리 일본인플레이션 프라임금리 일본환율 다우지수 영국실질 주택지수 영국인플레이션 상업용부동산지수 18Q4 1.6 0.9 1.146 5.9 2.6 96.2 0.9 0.7 109.7 1.4 1.9 1.276 19Q1 1.6 1.6 1.155 5.9 2.6 96.6 0.8 1.1 109.9 1.4 2.1 1.294 19Q2 1.7 1.6 1.164 5.9 2.5 97.0 0.8 1.1 110.1 1.4 2.1 1.311 19Q3 1.7 1.6 1.172 5.9 2.5 97.4 0.8 1.1 110.3 1.5 2.1 1.328 19Q4 1.6 1.6 1.181 5.8 2.6 97.7 0.7 1.1 110.4 1.5 2.1 1.345 20Q1 1.6 1.6 1.188 5.8 2.7 97.4 0.7 1.1 110.0 1.5 2.0 1.35 20Q2 1.5 1.7 1.194 5.7 2.8 97.1 0.7 1.1 109.6 1.5 2.0 1.354 20Q3 1.5 1.7 1.200 5.7 2.8 96.8 0.7 1.0 109.2 1.5 2.0 1.358 20Q4 1.4 1.7 1.206 5.7 2.9 96.5 0.7 1.0 108.7 1.5 2.0 1.362 21Q1 1.4 1.8 1.206 5.7 2.9 96.5 0.7 1.0 108.7 1.5 2.0 1.362 21Q2 1.4 1.8 1.206 5.7 2.8 96.5 0.6 1.0 108.7 1.6 2.0 1.362 21Q3 1.4 1.9 1.206 5.7 2.8 96.5 0.6 1.0 108.7 1.6 2.0 1.362 21Q4 1.3 1.9 1.206 5.6 2.9 96.5 0.6 1.0 108.7 1.6 2.0 1.362 22Q1 1.3 1.9 1.206 5.6 2.9 96.5 0.6 1.0 108.7 1.6 2.0 1.362 영국환율 VIX 지수 - 6/8 -
2) 실질 명목 실질가처분소득증감률 명목가처분소득증감률 실업률 CPI 상승률 (3개월) (5년) 18Q4 2.7 4.6 2.7 4.4 3.8 1.8 2.3 2.9 3.0 5.0 4.6 5.3 25,725 205.0 287.0 36.1 19Q1-1.6 0.2-3.7-2.6 4.3 1.3 0.3 0.5 0.9 4.1 3.4 3.3 24,068 201.4 283.3 44.4 19Q2-4.0-1.9-4.1-2.4 5.1 2.0 0.2 0.7 1.0 4.6 3.6 3.2 21,695 197.7 279.5 43.1 19Q3-2.8-0.9-2.3-0.6 5.7 1.9 0.1 0.7 1.1 4.8 3.7 3.1 20,527 194.2 274.5 39.2 19Q4-1.6 0.4-1.1 0.7 6.2 2.0 0.1 0.8 1.2 4.9 3.8 3.1 20,045 189.6 267 34.9 20Q1-1.0 1.0-0.6 1.4 6.6 2.2 0.1 0.8 1.3 4.7 3.7 3.1 20,200 185.4 259.4 30.5 20Q2 0.2 2.4 0.2 1.9 6.8 2.0 0.1 0.9 1.3 4.6 3.7 3.1 20,609 181.3 251.9 27.3 20Q3 0.9 3.0 0.5 2.5 7.0 2.1 0.1 1.0 1.3 4.4 3.6 3.1 21,024 177.5 244.4 25.3 20Q4 2.5 4.6 1.5 3.4 7.0 2.1 0.1 1.0 1.4 4.3 3.5 3.1 21,633 175.7 239.3 23.5 21Q1 2.9 4.9 2.3 4.3 6.9 2.2 0.1 1.1 1.6 4.3 3.6 3.1 22,248 175.8 236.8 22.5 21Q2 3.1 5.2 1.9 3.9 6.7 2.2 0.1 1.2 1.7 4.2 3.7 3.1 23,033 177.5 236.8 21.4 21Q3 3.3 5.3 1.9 3.9 6.6 2.1 0.1 1.2 1.8 4.1 3.7 3.1 23,792 179.3 236.9 20.8 21Q4 3.4 5.4 1.9 3.8 6.4 2.1 0.1 1.3 1.9 4.0 3.6 3.1 24,621 181.7 237.9 20.3 22Q1 3.4 5.3 1.8 3.7 6.3 2.1 0.1 1.3 1.9 3.8 3.6 3.1 25,537 184.2 239.1 20.1 유로실질 유로인플레이션 유로환율 신흥아시아실질 신흥아시아인플레이션 신흥아시아환율 (10년) 일본실질 회사채금리 (BBB) 모기지금리 일본인플레이션 프라임금리 일본환율 다우지수 영국실질 주택지수 영국인플레이션 상업용부동산지수 18Q4 1.6 0.9 1.146 5.9 2.6 96.2 0.9 0.7 109.7 1.4 1.9 1.276 19Q1-2.6 1.6 1.117 1.9 1.0 97.9-2.0-0.1 108.8-2.8 1.5 1.286 19Q2-3.3 1.0 1.104 2.1 0.2 99.8-3.5-0.5 108.5-3.4 1.1 1.273 19Q3-2.3 0.5 1.115 3.4 0.1 101.1-4.2-0.7 108.8-2.6 0.7 1.285 19Q4-1.6 0.2 1.129 4.2 0.1 102.0-4.6-1.1 108.0-1.8 0.6 1.297 20Q1-0.6 0.3 1.135 5.5 0.6 101.9-2.0-0.6 108.8-0.7 0.7 1.302 20Q2 0.2 0.5 1.14 6.1 0.6 100.9-1.0-0.4 108.7 0.2 0.8 1.306 20Q3 0.8 0.8 1.146 6.3 0.9 100.0-0.4-0.2 108.5 0.9 1.0 1.309 20Q4 1.3 1.0 1.152 6.3 1.2 99.2 0.1 0.0 108.5 1.4 1.1 1.312 21Q1 1.6 1.1 1.156 6.2 1.4 98.6 0.4 0.2 108.6 1.8 1.2 1.313 21Q2 1.7 1.3 1.16 6.1 1.5 98.2 0.7 0.3 108.7 2.0 1.3 1.314 21Q3 1.7 1.4 1.164 6.1 1.7 97.8 0.8 0.4 108.8 2.1 1.4 1.316 21Q4 1.7 1.5 1.169 6.0 1.9 97.4 0.9 0.5 108.8 2.1 1.5 1.318 22Q1 1.6 1.6 1.172 5.9 2.0 97.1 0.9 0.5 108.8 2.1 1.5 1.321 영국환율 VIX 지수 - 7/8 -
3) 실질 명목 실질가처분소득증감률 명목가처분소득증감률 실업률 CPI 상승률 (3개월) (5년) 18Q4 2.7 4.6 2.7 4.4 3.8 1.8 2.3 2.9 3.0 5.0 4.6 5.3 25,725 205.0 287.0 36.1 19Q1-5.0-3.5-5.1-4.2 4.7 1.2 0.3 0.3 0.8 5.3 3.9 3.3 17,836 199.2 279.5 67.8 19Q2-9.4-7.7-7.1-5.8 6.3 1.6 0.2 0.5 0.9 6.1 4.2 3.2 14,694 192.5 272.0 70.0 19Q3-7.2-5.7-4.8-3.4 7.5 1.7 0.1 0.6 1 6.5 4.4 3.1 13,317 185.9 261.9 61.3 19Q4-5.0-3.4-3.2-1.6 8.4 1.8 0.1 0.6 1.1 6.5 4.5 3.1 12,862 177.7 246.9 49.9 20Q1-3.8-2.1-2.4-0.7 9.2 1.9 0.1 0.7 1.2 6.2 4.3 3.1 13,462 170.0 231.8 38.4 20Q2-1.5 0.5-1.2 0.4 9.7 1.8 0.1 0.7 1.2 5.8 4.2 3.1 14,421 162.8 216.7 31.2 20Q3-0.3 1.6-0.6 1.2 10.0 2.0 0.1 0.7 1.2 5.5 4.1 3.1 15,479 155.8 201.7 26.9 20Q4 2.9 4.8 1.2 3.0 9.9 2.0 0.1 0.7 1.2 5.1 3.9 3.1 16,847 152.0 191.6 23.3 21Q1 3.6 5.4 2.3 4.3 9.7 2.1 0.1 0.9 1.5 5.0 3.9 3.1 17,788 151.1 186.6 22.5 21Q2 4.1 5.9 2.2 4.2 9.5 2.1 0.1 1.0 1.6 4.7 3.8 3.1 19,352 152.7 186.6 21.4 21Q3 4.4 6.2 2.3 4.3 9.2 2.1 0.1 1.1 1.6 4.4 3.8 3.1 21,039 154.3 186.7 20.8 21Q4 4.6 6.4 2.5 4.3 8.9 2.0 0.1 1.2 1.7 4.0 3.6 3.1 22,940 157.0 188.7 20.3 22Q1 4.6 6.3 2.4 4.2 8.6 2.0 0.1 1.2 1.8 3.7 3.5 3.1 25,137 159.9 191.2 20.1 유로실질 유로인플레이션 유로환율 신흥아시아실질 신흥아시아인플레이션 신흥아시아환율 (10년) 일본실질 회사채금리 (BBB) 모기지금리 일본인플레이션 프라임금리 일본환율 다우지수 영국실질 주택지수 영국인플레이션 상업용부동산지수 18Q4 1.6 0.9 1.146 5.9 2.6 96.2 0.9 0.7 109.7 1.4 1.9 1.276 19Q1-5.4 1.5 1.092-0.8 0.0 98.8-3.9-0.8 108.1-5.6 1.0 1.282 19Q2-6.5 0.5 1.067-0.4-1.3 101.7-6.4-1.5 107.4-6.6 0.4 1.248 19Q3-4.9-0.3 1.079 1.7-1.5 103.6-7.5-1.9 107.8-5.3-0.2 1.258 19Q4-3.8-0.8 1.095 3.1-1.6 104.9-8.2-2.5 106.4-4 -0.3 1.266 20Q1-2.1-0.6 1.100 5.3-0.8 105.0-3.8-1.7 108.1-2.2-0.2 1.271 20Q2-0.6-0.2 1.106 6.4-0.8 103.5-2.1-1.4 108.1-0.6 0.0 1.275 20Q3 0.4 0.1 1.112 6.7-0.3 102.2-1.1-1 108.1 0.5 0.3 1.277 20Q4 1.2 0.5 1.118 6.6 0.1 101.0-0.3-0.7 108.3 1.4 0.5 1.279 21Q1 1.6 0.7 1.124 6.5 0.4 100.1 0.3-0.4 108.5 1.9 0.7 1.281 21Q2 1.9 0.9 1.131 6.4 0.7 99.3 0.7-0.2 108.7 2.3 0.9 1.283 21Q3 2.0 1.0 1.138 6.3 0.9 98.6 0.9 0 108.9 2.5 1.0 1.286 21Q4 1.9 1.2 1.144 6.2 1.2 98.1 1 0.1 108.9 2.5 1.1 1.290 22Q1 1.9 1.3 1.151 6.2 1.5 97.5 1.1 0.3 108.9 2.5 1.2 1.294 주 : 붉은색은기준시점 (18.4Q) 수치대비가장괴리가큰시점의수치 영국환율 VIX 지수 - 8/8 -