We utilize a minimum of four forward-looking economic scenarios to calculate lifetime ECL when estimating the allowance for credit losses for in scope financial assets and the liability for off-balance sheet credit exposures. Three of the scenarios are termed the "Consensus Economic Scenarios" which include a 'most likely outcome' (the "Central scenario") and two less likely 'outer' scenarios, referred to as the "Upside scenario" and the "Downside scenario." The fourth scenario, referred to as the "Alternative Downside scenario," is designed to consider severe downside risks with more extreme economic outcomes. Each scenario is assigned a weighting deemed appropriate for the estimation of lifetime ECL, with the majority of the weighting typically placed on the Central scenario. At management's discretion, changes may be made to the weighting assigned to the four scenarios or additional scenarios may be included in order to consider current economic conditions.

Updates to Economic Scenarios and Other Changes During the Six Months Ended June 30, 2023 During the first quarter of 2023, uncertainties about the future economic environment remained elevated, especially around inflation, interest rates and the expectation for slowing future economic growth. We updated our Consensus Economic Scenarios and our Alternative Downside Scenario to reflect management's view of forecasted economic conditions and utilized the four updated scenarios for estimating lifetime ECL at March 31, 2023. Each of the four scenarios were assigned weightings with the majority of the weighting placed on the Central scenario, the second most weighting placed on the Downside scenario and lower equal weights placed on the Alternative Downside and Upside scenarios. This weighting was deemed appropriate for the estimation of lifetime ECL at that time.

During the second quarter of 2023, high inflation, rising interest rates and the expectation for slowing future economic growth continued to create uncertainty about the future economic environment. We updated our Consensus Economic Scenarios and our Alternative Downside Scenario to reflect management's current view of forecasted economic conditions and utilized the four updated scenarios for estimating lifetime ECL at June 30, 2023. Each of the four scenarios were assigned weightings with the majority of the weighting placed on the Central scenario, the second most weighting placed on the Downside scenario and lower equal weights placed on the Alternative Downside and Upside scenarios. This weighting was deemed appropriate for the estimation of lifetime ECL under current conditions. The following discussion summarizes the Central, Upside, Downside and Alternative Downside scenarios at June 30, 2023. The economic assumptions described in this section have been formed specifically for the purpose of calculating ECL.

In the Central scenario, U.S. Gross Domestic Product ("GDP") growth slows in 2023 and 2024, under the assumption that prevailing economic risks, including those from high inflation and interest rates, impact consumer spending and business investment. With modest economic growth, the unemployment rate upticks, but remains near historic lows, while the high interest rates cause residential housing prices to decelerate and commercial real estate prices to retreat. In the financial markets, growth in financial asset prices remains modest while the Federal Reserve Board ("FRB") continues to tackle inflation with an elevated policy rate and a gradual drop in 2024.

In the Upside scenario, the economy is assumed to grow at a faster pace than in the Central scenario as inflation wanes. As a result, the unemployment rate falls lower than in the Central scenario and both residential housing and commercial real estate prices are higher than in the Central scenario. In this scenario, the equity price index climbs with strong momentum and overall

optimism fueled by easing inflation allows the FRB to normalize its policy rate slightly faster than currently anticipated, which, combined with lower inflation expectations, drive the 10-year U.S. Treasury yield lower than in the Central scenario.

In the Downside scenario, inflation becomes entrenched and the economy enters into a recession, with the unemployment rate reversing its downward trend and remaining at a higher level, while residential housing and commercial real estate prices undergo sharp correction due to weakness in the labor market and rising inflation. In this scenario, the FRB initially tightens aggressively to tackle inflation and the equity price index goes through a substantial correction by mid-2024 driven by an overall erosion of consumer and business sentiments, which eventually results in lower interest rates than in the Central scenario.

In the Alternative Downside scenario, geopolitical tensions escalate significantly and persistent inflationary pressures accompanied by higher interest rates lead the U.S. economy into a deep recession in the second half of 2023 and the first half of 2024, followed by a very anemic recovery starting in late 2024. An extended period of economic contraction keeps the unemployment rate at an elevated level, which pressures residential housing prices to depreciate substantially, while at the same time, contracting corporate activities and rising unemployment pushes the commercial real estate market into a downturn. In this scenario, financial markets experience a major sell-off and volatility in the financial markets remains extremely high over the next year, widening corporate credit spreads substantially, and flight to safe haven assets pushes the 10-year U.S. Treasury yield lower.


	For the Quarter Ended
	December 31, 2023		June 30, 2024		December 31, 2024
Unemployment rate (quarterly average):
Forecast at June 30, 2023	4.3	%	4.6	%	4.6	%
Forecast at March 31, 2023	4.3		4.6		4.5
Forecast at December 31, 2022	4.5		4.5		4.4
GDP growth rate (year-over-year):
Forecast at June 30, 2023	0.2		0.6		1.6
Forecast at March 31, 2023	0.0		1.0		1.7
Forecast at December 31, 2022	0.3		1.4		1.9

In addition to the updates to the economic scenarios, during the three and six months ended June 30, 2023, we increased our commercial allowance for credit losses associated with individually assessed loans due primarily to the downgrade of a single client relationship. During the three and six months ended June 30, 2023, we also decreased the management judgment allowance on our commercial loan portfolio for risk factors associated with higher risk industry exposures that are not fully captured in the models. During the three months ended June 30, 2023, we decreased the management judgment allowance on our consumer loan portfolio for risk factors primarily associated with a change in New York State foreclosure law that are not fully captured in the models, while in the year-to-date period, we increased the management judgment allowance on our consumer loan portfolio for risk factors primarily associated with a change in New York State foreclosure law that are not fully captured in the models.

While we believe that the assumptions used in our credit loss models are reasonable within the parameters for which the models have been built and calibrated to operate, high inflation and rising interest rates have resulted in a macroeconomic environment that is outside the parameters for which the models have been built. As a result, adjustments to model outputs to reflect consideration of management judgment are used with stringent governance in place to ensure an appropriate lifetime ECL estimate.

The impacts of high inflation, rising interest rates and the expectation for slowing future economic growth will continue to impact our business and our allowance for credit losses in future periods, the extent of which remains uncertain. We will continue to monitor these situations closely and will continue to adapt our approach as necessary to reflect management's current view of forecasted economic conditions.


	June 30, 2023		December 31, 2022
	(in millions)
Allowance for credit losses:
Loans	$	605	$	584
Securities held-to-maturity(1)	—		—
Other financial assets measured at amortized cost(2)	—		—
Securities available-for-sale(1)	—		—
Total allowance for credit losses	$	605	$	584

Liability for off-balance sheet credit exposures	$	143	$	117


	Commercial Loans								Consumer Loans
	Real Estate, including Construction		Business and Corporate Banking		Global Banking		Other Comm'l		Residential Mortgages		Home Equity Mortgages		Credit Cards		Other Consumer		Total Loans
	(in millions)
Three Months Ended June 30, 2023
Allowance for credit losses – beginning of period	$	172	$	264	$	132	$	1	$	(2)	$	3	$	15	$	3	$	588
Provision charged (credited) to income	(26)		31		19		—		(12)		4		1		1		18
Charge-offs	—		(1)		—		—		(1)		—		(2)		(1)		(5)
Recoveries	—		1		—		—		2		—		1		—		4
Net (charge-offs) recoveries	—		—		—		—		1		—		(1)		(1)		(1)

Allowance for credit losses – end of period	$	146	$	295	$	151	$	1	$	(13)	$	7	$	15	$	3	$	605

Three Months Ended June 30, 2022
Allowance for credit losses – beginning of period	$	122	$	197	$	120	$	2	$	5	$	6	$	15	$	—	$	467
Provision charged (credited) to income	40		22		(2)		(1)		(1)		1		5		(1)		63
Charge-offs	—		(1)		—		—		—		—		—		—		(1)
Recoveries	—		—		—		—		2		—		2		1		5
Net (charge-offs) recoveries	—		(1)		—		—		2		—		2		1		4

Allowance for credit losses – end of period	$	162	$	218	$	118	$	1	$	6	$	7	$	22	$	—	$	534


	Commercial Loans								Consumer Loans
	Real Estate, including Construction		Business and Corporate Banking		Global Banking		Other Comm'l		Residential Mortgages		Home Equity Mortgages		Credit Cards		Other Consumer		Total Loans
	(in millions)
Six Months Ended June 30, 2023
Allowance for credit losses – beginning of period	$	200	$	230	$	120	$	1	$	11	$	2	$	16	$	4	$	584


Provision charged (credited) to income	(54)		69		31		—		(22)		5		1		—		30
Charge-offs	—		(6)		—		—		(4)		(1)		(4)		(1)		(16)
Recoveries	—		2		—		—		2		1		2		—		7
Net (charge-offs) recoveries	—		(4)		—		—		(2)		—		(2)		(1)		(9)

Allowance for credit losses – end of period	$	146	$	295	$	151	$	1	$	(13)	$	7	$	15	$	3	$	605

Six Months Ended June 30, 2022
Allowance for credit losses – beginning of period	$	73	$	243	$	100	$	4	$	8	$	5	$	14	$	—	$	447


Provision charged (credited) to income	89		(18)		27		(3)		(5)		1		4		(1)		94
Charge-offs	—		(9)		(9)		—		(1)		(1)		—		—		(20)
Recoveries	—		2		—		—		4		2		4		1		13
Net (charge-offs) recoveries	—		(7)		(9)		—		3		1		4		1		(7)

Allowance for credit losses – end of period	$	162	$	218	$	118	$	1	$	6	$	7	$	22	$	—	$	534


	Three Months Ended June 30,				Six Months Ended June 30,
	2023		2022		2023		2022
	(in millions)
Balance at beginning of period	$	125	$	84	$	117	$	103


Provision charged (credited) to income	18		5		26		(14)
Balance at end of period	$	143	$	89	$	143	$	89

Accrued Interest Receivables The following table summarizes accrued interest receivables associated with financial assets carried at amortized cost and securities available-for-sale along with the related allowance for credit losses, which are reported net in other assets on the consolidated balance sheet. These accrued interest receivables are excluded from the amortized cost basis disclosures presented elsewhere in these financial statements, including Note 5, "Securities," and Note 6, "Loans."


	June 30, 2023		December 31, 2022
	(in millions)
Accrued interest receivables:
Loans	$	238	$	227
Securities held-to-maturity	45		20
Other financial assets measured at amortized cost	11		11
Securities available-for-sale	82		82
Total accrued interest receivables	376		340
Allowance for credit losses	—		—
Accrued interest receivables, net	$	376	$	340