CCAR disclosure sheds new light on modelling default losses

Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough

Lightbulb moment

More than a year after the US Federal Reserve pledged to provide greater insight into the models it uses in its annual stress-testing programme, banks claim they still don’t have enough information to make effective capital planning decisions.

In a regulatory filing last month which detailed the methodology for its 2019 Dodd-Frank Act stress tests (DFAST), the Fed provided modelled loss rates for corporate loan and credit card portfolios, and promised to release information on two more models

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