Risk Quantum/Federal Reserve
Morgan Stanley SCB cut unlocks $4.2bn after rare Fed appeal win
Bank’s buffer falls 170bp, widening average cut across US banks subject to the regime to 66bp
DFAST monoculture is its own test
Drop in frequency and scope of stress test disclosures makes it hard to monitor bank mimicry of Fed models
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
RBC US inches towards category III status on assets build-up
Canadian lender’s US subsidiary on course for stricter liquidity and leverage requirements in Q3
US banks see record relief in stress capital buffers
Average buffer falls 62bp amid strong stress test showing
Foreign banks see steeper CET1 declines in US and EU stress tests
Strong starting capital buffers at overseas subsidiaries eroded by outsized hits
Citi leads US banks in lowballing capital hit in stress test
Morgan Stanley and Wells Fargo internal projections also show more capital resilience than Fed’s calculations
Foreign dealers still lag US banks in stress tests
IHCs’ CET1 depletion triples that of domestic participants, despite improved performance since 2024 exercise
Fed’s SCB proposal would blunt 2025 DFAST relief
Two-year average would raise CET1 component due to weaker 2024 stress test results
Morgan Stanley, Goldman to benefit most from TLAC and LTD reform
Fed’s eSLR overhaul slashes requirements for large US banks, ushering in lighter capital demands
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
JPM, Wells Fargo would net record AOCI windfalls in severe recession
Latest DFAST projects $58bn AOCI rebound on aggregate, with two banks driving over 60% of the recovery
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
Seven banks fall short of full capital buffers in DFAST 2025
DB USA posts largest gap, with four G-Sibs also dipping below their full requirements