Description of Economic Scenarios at December 31, 2023 and Other Changes During the Year Ended December 31, 2023 Although economic conditions improved during 2023 driven by better than expected economic growth, economic uncertainty remains due to elevated interest rates, inflation levels and the expectation for slowing economic growth. 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 December 31, 2023. Each of the four scenarios were assigned weightings with the majority of the weighting placed on the Central scenario, lower equal weights placed on the Upside and Downside scenarios and the lowest weighting placed on the Alternative Downside scenario. 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 December 31, 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 is slower in 2024 compared to 2023, under the assumption that diminishing excess household savings and the lagged effects of higher interest rates constrain expenditure. With modest economic growth, the unemployment rate increases slightly, but remains near historic lows, while residential housing prices grow modestly driven by a low inventory of existing homes for sale. In the financial markets, growth in financial asset prices remains modest while the FRB's policy rate remains elevated with a gradual drop in 2024 and 2025.

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 and remains lower than in the Central scenario, while 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 re-accelerates and the economy enters into a mild recession, with the unemployment rate increasing 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 raises its policy rate initially to tackle inflation and the equity price index goes through a substantial correction by the third quarter of 2025 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 more severe inflationary pressures accompanied by tighter monetary policy lead the U.S. economy into a deep recession in 2024, followed by a very anemic recovery starting in 2025. 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
	June 30, 2024		December 31, 2024
Unemployment rate (quarterly average):
Forecast at December 31, 2023	4.3	%	4.3	%

Forecast at December 31, 2022	4.5		4.4
GDP growth rate (year-over-year):
Forecast at December 31, 2023	1.2		1.1

Forecast at December 31, 2022	1.4		1.9

In addition to the updates to the economic scenarios, during 2023, we increased our commercial allowance for credit losses associated with individually assessed loans due to downgrades. During 2023, we also increased 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.

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, inflation and elevated 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 elevated interest rates, inflation levels and the expectation for slowing 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.


At December 31,	2023		2022
	(in millions)
Allowance for credit losses:
Loans	$	591	$	584
Securities held-to-maturity(1)	—		—
Other financial assets measured at amortized cost(2)	—		—
Securities available-for-sale(1)	—		—
Total allowance for credit losses	$	591	$	584

Liability for off-balance sheet credit exposures	$	111	$	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)


















Year Ended December 31, 2023
Allowance for credit losses – beginning of period	$	200	$	230	$	120	$	1	$	11	$	2	$	16	$	4	$	584


Provision charged (credited) to income	(56)		111		7		—		(19)		4		4		—		51
Charge-offs	—		(48)		—		—		(4)		(1)		(8)		(1)		(62)
Recoveries	—		9		—		—		3		2		4		—		18
Net (charge-offs) recoveries	—		(39)		—		—		(1)		1		(4)		(1)		(44)

Allowance for credit losses – end of period	$	144	$	302	$	127	$	1	$	(9)	$	7	$	16	$	3	$	591

Year Ended December 31, 2022
Allowance for credit losses – beginning of period	$	73	$	243	$	100	$	4	$	8	$	5	$	14	$	—	$	447


Provision charged (credited) to income	129		(8)		29		(3)		—		(6)		(2)		4		143
Charge-offs	(3)		(9)		(9)		—		(2)		(1)		(1)		(1)		(26)
Recoveries	1		4		—		—		5		4		5		1		20
Net (charge-offs) recoveries	(2)		(5)		(9)		—		3		3		4		—		(6)

Allowance for credit losses – end of period	$	200	$	230	$	120	$	1	$	11	$	2	$	16	$	4	$	584


	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)
Year Ended December 31, 2021
Allowance for credit losses – beginning of period	$	145	$	375	$	287	$	7	$	(9)	$	22	$	161	$	27	$	1,015


Provision charged (credited) to income(1)	(72)		(107)		(174)		(3)		21		(18)		(66)		(18)		(437)
Charge-offs(1)	—		(29)		(13)		—		(19)		(5)		(89)		(10)		(165)
Recoveries	—		4		—		—		15		6		8		1		34
Net (charge-offs) recoveries	—		(25)		(13)		—		(4)		1		(81)		(9)		$	(131)

Allowance for credit losses – end of period	$	73	$	243	$	100	$	4	$	8	$	5	$	14	$	—	$	447

(1)For loans that are transferred to held for sale, the existing allowance for credit losses at the time of transfer is recognized as a charge-off to the extent fair value is less than amortized cost and attributable to credit. Any remaining allowance for credit losses is released to the provision for credit losses.

During the second quarter of 2021, we made the decision to exit our mass market retail banking business which resulted in the transfer of certain loans to held for sale. As a result of transferring these loans to held for sale, we recognized $56 million of the existing allowance for credit losses on consumer loans as charge-offs, primarily related to non-performing credit cards, and released $100 million of the existing allowance for credit losses on consumer loans as reductions to the provision for credit losses, primarily related to credit cards. The existing commercial allowance for credit losses on the retail business banking loan portfolio transferred to held for sale was not material. See Note 4, "Sale of Certain Branch Assets and Liabilities." During the fourth quarter of 2021, a portfolio of Premier credit cards was transferred back to held for investment which resulted in increases to the allowance for credit losses and provision for credit losses of $14 million.

During the third quarter of 2021, we transferred certain commercial real estate loans to held for sale and, as a result, we released $24 million of the existing allowance for credit losses as a reduction to the provision for credit losses.

During the fourth quarter of 2021, we also transferred certain non-performing mortgage loans and government-backed mortgage loans to held for sale. As a result, we recognized $4 million of the existing allowance for credit losses as charge-offs and released $22 million of the existing allowance for expected recoveries on these loans as an increase to the provision for credit losses.

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 6, "Securities," and Note 7, "Loans."


At December 31,	2023		2022
	(in millions)
Accrued interest receivables:
Loans	$	259	$	227
Securities held-to-maturity	57		20
Other financial assets measured at amortized cost	19		11
Securities available-for-sale	87		82
Total accrued interest receivables	422		340
Allowance for credit losses	—		—
Accrued interest receivables, net	$	422	$	340