CCAR benchmark 2020
- 17 March 2020
Every year, ORX conducts a benchmarking study specific to CCAR banks, which is gaining popularity year on year. We had 25 banks take part last year, which is the majority of banks in the CCAR pool. The participants found the combination of quantitative information, such as high-level benchmark ratio of models, and qualitative information, such as how many scenarios are included in the submission and how they are selected, particularly useful. We also set up phone calls to discuss the outcomes of the study and an in-person roundtable event focused on CCAR methodology, which is not offered by any other organisation to the level that we deliver. We are the leaders in this area.
What is CCAR?
Under the supervision of the US Federal Reserve Board (FRB), the Comprehensive Capital Adequacy Review (CCAR) is a key annual exercise for banks conducting business in the United States. It is one of the most complex stress testing requirements that assess the capital adequacy of the largest bank holding companies (BHCs).
As part of this year's exercise, the adverse scenario has been dropped, leaving only the baseline and severely adverse scenarios, the latter of which will now also include two additional components. These components focus on a global market shock and counterparty default, and institutions may be subject to take one or both of them into account depending on their business activities.
Last year, the Federal Reserve issued letters of regulatory relief, this caused shifts in institutions’ forecasting methodologies, scenario analysis, and material risk identification. This year, there is no relief from CCAR requirements, and we will observe how firms have readjusted. As part of the study, we will also provide individual benchmarks of methodology and model outputs for 2020 CCAR submissions.
Alongside the benchmarks, a report will be published to participants which will take a closer look at forecasting methods, scenario analysis, material risk identification, challenges, and much more!
You can download the CCAR benchmark 2019 summary report and individual factsheet sample below. Only participants from last year's study can access the full report, which is available to download on our member website.
There is no charge for ORX members. The cost for non-members is $3,000, which is refundable if you become a member of ORX in 2020.
If you are interested in participating, please get in touch.