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.
How the Fed’s Covid stress test got stuck in the middle
Experts fear CCAR add-on has neither informed investors nor guided capital management
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
Banks braced for mystery coronavirus add-on to CCAR
Uncertainty surrounds scenario design and impact on stress capital buffer, dividends
Don’t let a good crisis go to waste
As supervisory stress tests take a backseat, banks look for new ways to gauge extreme risks
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
Fed missed chance to curb dividends, say ex-supervisors
Instead, changes to stress capital buffer and TLAC rules would allow larger payouts
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Fed defies coronavirus to push ahead with stress test
US diverges from Europe and forces banks to juggle CCAR with real-life operational burden
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
The Fed’s stress capital buffer: relaxed but not relaxing
Bankers welcome key methodology improvement, but final rule could still curb dividends
Fed could postpone stress buffer beyond CCAR – experts
Delays prompt speculation that new rules will only be known after stress-test results in June
Fire drills, initial margin issues and Libor replacement
The week on Risk.net, February 1–7, 2020
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Fed’s rush to complete stress buffer likely to unnerve banks
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Following Fed changes, Morgan Stanley’s leverage bind to loosen
Bank chief cannot see capital requirements going up when stress capital buffer and new SLR come into effect