CCAR
WHAT IS THIS? The Comprehensive Capital Analysis and Review (CCAR) is a stress test carried out by the US Federal Reserve. It aims to establish whether the largest banks have enough capital to cope with a severe economic shock, and vets their risk modelling practices – creating an annual cycle that has driven huge investments in staff and systems at many banks.
Fed DFAST models project huge credit card losses
Losses of over 57% estimated for high-risk accounts
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Foreign banks expect Fed proposal imminently
New framework for tiering FBO requirements could come as early as this week
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Fed stress tests tougher in 2019
Severely adverse scenario projects US economy to shrink 9.4%
Charles River purchase drains State Street’s capital
Depleted CET1 capital ratio spells trouble for 2019 stress tests
Goldman restores capital buffer after Trump tax hit
CET1 ratio hits two-year high
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
We need a different approach to supervisory stress-testing
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
Is operational risk regulation forward looking and sensitive to current risks?
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
Fed could soften CECL impact on stress tests, banks say
Risk USA: Firms may be allowed to spread impact of projected losses across CCAR cycle
Banks warned of capital add-ons for legacy Libor contracts
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia
Regional banks prepare CECL proposal for FASB
Bank executive says FASB open to weighing concrete proposal, and banks scramble to make one
Not so DFAST: slim Mizuho avoids stress
Mizuho Americas has remained lean to head off CCAR, and, post-Crapo, it’s clear of DFAST, too
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
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
Goldman, Morgan Stanley push for CCAR changes
Balance sheets will shrink in a crisis, not grow, trading houses argue
Banks call for revamped G-Sib surcharge
Fears surcharge will raise post-stress capital requirements under proposed new buffer
Regulatory arbitrage: a crime, or a warning?
It could be unwise to ignore disproportionate regulatory impacts on specific business lines