Research terminalQ2 2026 · 4,313 institutions · refreshed 8/27/2026 · database outage
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Q2 2026 · 4,313 institutions · refreshed 8/27/2026

Free calculator · bank treasury, CFO, ALCO

Loss and reserve scenario: charge-offs, provision, and capital

Stress a bank's net charge-offs: provision needed to hold its allowance ratio and the after-tax hit to CET1 or leverage capital, with peers. No account or key needed. Every number is labelled filed, derived, or assumed.

Example

STIFEL BANK&TRUST: a 0.76% net charge-off rate on $15.22B of loans means $116.1M of charge-offs and a $116.1M provision to hold its allowance at 0.56% of loans. After tax that takes its CET1 ratio from 10.97% to 10.22% (-75 bp), and a 4.0% net charge-off rate would take it to the 7.0% floor. Inputs: Stress net charge-off rate (annual): source-derived; Change in allowance-to-loans ratio: 0; Loan growth over the year: 0; Tax rate on the provision: 21; Share of the provision absorbed by earnings: 0; Capital floor for the breakeven: source-derived.

Loss and reserve scenario: charge-offs, provision, and capital

Stress a bank's net charge-offs: provision needed to hold its allowance ratio and the after-tax hit to CET1 or leverage capital, with peers.

STIFEL BANK&TRUST · FDIC #57311Example bank. Search above to use yours.

The annual net charge-off rate to stress, as a share of loans. Leave empty to use the 90th percentile rate among banks in the same asset band as a labelled reference; enter your own for a specific scenario.
How much the bank lets its allowance ratio change, in basis points of loans. Zero holds today's allowance-to-loans ratio, which is the base case; a positive number models a reserve build as conditions deteriorate.
Growth in loans over the stress year. Growth raises the allowance needed to hold the ratio; it does not change the charge-off dollars, which are based on today's loans.
The tax shield on the provision. 21% is the U.S. federal statutory corporate rate, used as a starting reference; add state tax or set to zero if the bank cannot use the shield.
The part of the provision covered by pre-provision earnings before it reaches capital. Zero is the conservative case: every dollar of provision reduces capital.
The capital ratio to measure headroom against. Leave empty to use 7.0% for a CET1 ratio (the 4.5% minimum plus the 2.5% conservation buffer) or 5.0% for a Tier 1 leverage ratio (well capitalized). Community banks that elected the leverage framework may use 9%.

STIFEL BANK&TRUST: a 0.76% net charge-off rate on $15.22B of loans means $116.1M of charge-offs and a $116.1M provision to hold its allowance at 0.56% of loans. After tax that takes its CET1 ratio from 10.97% to 10.22% (-75 bp), and a 4.0% net charge-off rate would take it to the 7.0% floor.

Loans and leases held for investment
$15.22BFiled
Allowance for credit losses on loans
$84.6MFiled
Allowance to loans
0.56%Derived
Current annualized net charge-off rate · Schedule RI-B latest quarter annualized over Schedule RC-K average loans
0.17%Derived
Capital measure used · CET1 capital over risk-weighted assets (Schedule RC-R)
CET1 ratioDerived
CET1 ratio, before
10.97%Filed
Equity to assets, before
6.84%Filed
Stress net charge-off rate (annual) · Reference only: 90th percentile among $10B–$50B banks
0.76%Assumed
Change in allowance-to-loans ratio
+0.0 bpAssumed
Loan growth
0.00%Assumed
Tax rate on the provision
21.00%Assumed
Share of provision absorbed by earnings
0.00%Assumed
Capital floor · Reference: 4.5% CET1 minimum plus 2.5% conservation buffer
7.00%Assumed
Net charge-offs in the stress
$116.1MDerived
Provision needed to hold the allowance ratio
$116.1MDerived
Allowance after the stress
$84.6MDerived
Allowance to loans after
0.56%Derived
After-tax capital impact
$91.7MDerived
CET1 ratio, after
10.22%Derived
Change in CET1 ratio
−75.3 bpDerived
Equity to assets, after
6.37%Derived
Net charge-off rate that takes capital to the floor
4.02%Derived
Capital impact at reference and entered charge-off rates (CET1 ratio; same other assumptions)
ScenarioNet charge-off rateProvision to hold ACL/loansAfter-tax capital impactCET1 ratio afterChange
This bank's current annualized net charge-off rate0.17%$26.4M$20.9M10.80%−17.1 bp
Median among $10B–$50B banks0.11%$16.9M$13.3M10.86%−10.9 bp
90th percentile among $10B–$50B banks0.76%$116.1M$91.7M10.22%−75.3 bp
90th percentile among all banks0.31%$47.3M$37.4M10.67%−30.7 bp
Peer context: $10B–$50B banks, latest filing
MeasureThis bankPeer medianComparison pointComparison point is
Net charge-off rate, annualized0.17%0.11%0.76%90th percentile
Allowance to loans0.56%1.18%0.94%25th percentile (thinner cushion)
CET1 ratio10.97%13.00%12.24%25th percentile (thinner cushion)
Download CSVView JSON

Filed: Reported directly in the bank's FFIEC Call Report. Derived: Calculated by OptimaYield from filed figures using the method described below. Assumed: An assumption you entered or a scenario input, not a reported figure.

This is a scenario built from the assumptions above, not a recommendation, price target, or regulatory conclusion.

How it is calculated

Net charge-offs are Schedule RI-B charge-offs less recoveries, annualized over Schedule RC-K average loans (the single quarter when the prior quarter is on file, otherwise year to date annualized, which the result labels). The allowance is the allowance for credit losses on loans and leases in Schedule RC, loans are Schedule RC-C loans and leases held for investment, and capital is Schedule RC-R: CET1 capital over risk-weighted assets, or the Tier 1 leverage ratio for banks that report no risk-weighted assets and for the few banks whose CET1 capital exceeds risk-weighted assets.

The stress is an annual net charge-off rate applied to today's loans. The provision needed to hold the allowance-to-loans ratio equals the stressed charge-offs plus the change in allowance required for the target ratio on ending loans (today's ratio plus any build you enter), and is never negative.

After-tax capital impact = provision × (1 − share absorbed by earnings) × (1 − tax rate). The ratio after equals (capital − impact) divided by the same denominator: risk-weighted assets for CET1, or the average assets implied by the filed Tier 1 capital and leverage ratio for the leverage measure. The equity-to-assets ratio is shown for every bank on the same basis.

Breakeven NCO rate is the stress rate at which the capital ratio falls exactly to the floor under the same assumptions. Peer context uses banks in the same reported asset band: median and 90th percentile net charge-off rates, allowance-to-loans quartiles, and capital medians from the latest filings.

What it does not do

  • Static one-year view from filed balances. Risk-weighted assets are held constant, so loan growth, rating migration, and the capital effect of deferred tax assets, goodwill, and AOCI are not modelled.
  • The stress rate is your assumption or a peer reference, not a forecast. Charge-off rates vary by loan mix; a bank concentrated in credit cards or commercial real estate can differ greatly from its asset-band peers.
  • Holding the allowance ratio is a policy choice, not what CECL requires; a real reserve build depends on the bank's own models, economic forecasts, and qualitative factors.
  • Pre-provision earnings, dividends, and buybacks are not modelled beyond the single earnings-offset input, which is zero by default.
  • Net charge-offs can be negative (net recoveries). This tool stresses a positive rate; peers' current rates are shown for context only.
  • Not a stress test, a capital plan, or regulatory advice.

Sources

Reviewed 2026-09-30 · definition version 1

Questions and answers

How is the provision calculated?

It is the net charge-offs in the stress plus the change in the allowance needed to hold the allowance-to-loans ratio (plus any build you set) on ending loans. A provision is never negative in this tool.

Why does the tool show CET1 for some banks and the leverage ratio for others?

Banks that use the community bank leverage ratio framework report no risk-weighted assets, so a CET1 ratio cannot be computed for them. The tool uses the Tier 1 leverage ratio for those banks, and for the few special-purpose banks whose capital exceeds risk-weighted assets.

What does the breakeven NCO rate mean?

It is the annual net charge-off rate at which the bank's capital ratio would fall exactly to the capital floor, given the same tax, earnings, growth, and reserve assumptions. A higher breakeven means more loss-absorbing headroom.

Where do the peers come from?

From the latest Call Reports of banks in the same reported asset band as the selected bank: median and 90th percentile net charge-off rates, allowance ratios, and capital ratios.

Use it from code or an AI assistant

The same calculation is available as a free JSON and CSV API, an OpenAPI description, and a remote MCP server, so analysts, scripts, and AI assistants get identical numbers.

curl "https://www.optimayield.com/api/tools/loss-reserve-scenario/run?certificate=57311"