Banks enlist scenario analysis to bolster creaking default models
US diverges from Europe and forces banks to juggle CCAR with real-life operational burden
This paper determines if enough data is available for forecasting or stress testing, a better measure of data length is required.
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
Bankers welcome key methodology improvement, but final rule could still curb dividends
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Experts question utility of separate bank leg that won’t feed into capital requirements
CET1 excess above institution-specific amounts slid 228bp at median G-Sib
Delays prompt speculation that new rules will only be known after stress-test results in June
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
CLOs to suffer “severe corrections” under 2020 scenario
Real GDP projected to contract –4.3% over three-year scenario horizon
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
Making the test easier to run could come at the expense of building risk management capacity
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
Officials look to regulatory reporting for better grasp of fund leverage and liquidity
CET1 capital at lowest level since Q3 2013
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult
The market survived a cocktail of hits. But is a hangover on the way?
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
Losses projected to hit overall CET1 capital ratios by 40 basis points
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
Dividend and AT1 bond coupon cuts needed to clear minimum requirements