CCAR
WHAT IS THIS? The Comprehensive Capital Analysis and Review (CCAR) is a stress test carried out by the US Federal Reserve. It aims to establish whether the largest banks have enough capital to cope with a severe economic shock, and vets their risk modelling practices. CCAR was initially devised as a stand-alone stress test regime but in 2020 the Fed merged it into the wider DFAST stress test.
Deutsche Bank fails CCAR; Goldman and Morgan Stanley scrape by
DB USA hit with qualitative fail, while Goldman and Morgan Stanley face dividend and buyback freeze
Fed stress tests stretch State Street, Goldman, Morgan Stanley
State Street worst performer among complex firms on capital; Goldman and Morgan Stanley on SLR
CCAR winners and losers 2012–17
American Express came off worst under CCAR total capital ratio measure among large and complex firms three years out of six
New US buffer triggers fresh focus on CCAR transparency
Banks fear capital volatility and may also push for changes to US G-Sib surcharge
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
Citi CRO: stress tests now vital part of bank strategy
Bank has leveraged CCAR to build culture of constant internal stress testing, says Brad Hu
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
CCAR compels CET1 build-up at Capital One
The bank is targeting a CET1 capital ratio of 11% in 2018
Fed risk rating system unifies stress testing and 3LOD
Some banks have qualms over potential downgrades and overlap between first and second lines
CCAR threatens BNY Mellon dividend payout
Fed's test "noticeably more stringent" - BNY Mellon's Santomassimo
US Bancorp unfazed by Fed’s new capital buffer
Lender targets dividend payout ratio of 40%
Quarles: Fed would recalibrate eSLR if Crapo bill passes
Senate or House changes to CCAR could also affect Fed’s new stress capital buffer
Goldman shakes off tax reform capital effects
Stronger regulatory ratios support capital distributions
Fed’s new capital buffer refocuses on risk
Low-risk activities and larger management buffers likely to become more attractive
ECL regimes a volatile brew of risk and accounting
Fed asks banks to propose a solution to address CECL-CCAR mismatch
CCAR gives op risk modelling a new lease of life
OpRisk North America: Fed’s annual stress tests are rehabilitating ‘black box’ op risk modelling
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
Trump tax reform sours US banks’ CCAR outlook
Tax changes hit bank capital ratios; Goldman, AmEx could fail Fed’s annual tests
JP, Citi may not see capital benefit from new op risk rules
Collins floor may also prevent Morgan Stanley, State Street and Wells Fargo from realising SMA savings
Fed backtracks on CCAR cleared swaps exposure
Regulator had also postponed plan to feed cleared client exposure into G-Sib rankings
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance