Stress scenarios
Capital One’s LCR strengthens post-Discover acquisition
Projected retail outflows rise one-third after card-business deal, but liquidity buffers hold up
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
Global CCPs suffer record IM breaches in tariff-hit Q2
JSCC leads surge ahead of Eurex, CDCC, OCC and LCH
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
No progress on US banks’ EVE transparency in H1
Less than half of banks analysed disclose figures for key measure of long-term interest rate sensitivity
US banks see record relief in stress capital buffers
Average buffer falls 62bp amid strong stress test showing
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
How some banks aced the EBA stress test
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
In more than 90% of banks, second line tackles cyber risk
But some regulators would still like to see more 2 LoD risk staffing for infosec and IT disruption
Foreign banks see steeper CET1 declines in US and EU stress tests
Strong starting capital buffers at overseas subsidiaries eroded by outsized hits
Fed’s new leverage ratio: the horse that never left the gate
Most of the biggest dealers aren’t leverage constrained now, and experts are sceptical that banks will use the extra capacity for Treasuries
Full output floor would cut average CET1 ratio by 70bp
Phased-in Basel III rules would add over €500bn to RWAs at 64 European banks in downturn
Santander loan portfolio hardest hit in EBA stress test
Simulated credit losses among 64 lenders top €394bn, up 14% from previous exercise
LBBW breaches leverage floor in EBA stress test
Adverse scenario would erode €229bn in CET1 capital across 64 banks
Why margin transparency is always somebody else’s problem
As Esma pushes for clearing clients to receive better information, no-one wants to provide it
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
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
JP Morgan’s loan losses loom ever-larger in Fed stress test
$90 billion in projected markdowns accounts for almost a fifth of total across 22 banks
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