Stress scenarios
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
US Bancorp ever more reliant on LCR relief
HQLAs would only cover 91.4% of bank’s net cash outflows without Fed’s cap
Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements
Progress on US banks’ EVE transparency grinds to a halt
No additional disclosures of key metric linked to SVB collapse in latest round of public filings
Top US dealers shun least liquid assets for HQLAs
Charles Schwab bucks trend with move toward Level 2
Why was Archegos worse than the Fed’s five-fund stress test?
Some believe Credit Suisse was an outlier, but others say the CCAR results underestimated risks
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
US banks’ performance in latest DFAST worst in six years
Fed blames higher credit card delinquencies, riskier corporate lending and lower revenue
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Capital One, Discover loan portfolios hardest hit in Fed stress test
Simulated losses wipe out more than 1/6th of respective exposures
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
Reframing the Fed’s discount window
Funding window incentives and collateralised credit lines could transform bank liquidity in a crisis, argues Bill Nelson
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Basel Committee reviewing design of liquidity ratios
Focus on LCR and NSFR after Silicon Valley Bank and Credit Suisse, but assumptions may not change
Op risk hits all-time highs at three Nordic banks
Regular updates drive record rises at Handelsbanken, Nordea and SEB
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management