Stress scenarios
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
Barclays and Lloyds improve resilience to stress tests, HSBC falls back
Capital headroom above pass/fail thresholds increases to 250bp at lenders
IFRS 9 transition eases UK banks’ path through stress tests
Aggregate CET1 ratio 130bp lower without transitional relief
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Ice changing margin model for move into options
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Deutsche, Barclays breach leverage ratios in EBA stress tests
Five banks fall below 3% regulatory minimum level
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
Liquidity risk of non-systemic US banks differs from G-Sibs
PNC, US Bancorp, Capital One cannot rely on cash inflows in a market panic
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
US banks more cramped by stress tests than global peers
Five out of six US dealers adjust capital based on stress scenarios
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio
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
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
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
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