Podcast: Are CCAR Shocks to the Trading Book Plausible?

A decade ago, the Federal Reserve implemented the Comprehensive Capital Analysis and Review (CCAR) process as part of its stress testing framework to assess and regulate capital sufficiency at large bank holding companies. A new study released by SIFMA uses statistical analysis of stress testing scenarios to answer a simple question: does the available evidence indicate that the current Global Market Shock (GMS) and Large Counterparty Default (LCD) shocks from recent CCAR cycles are plausible?

In this podcast, SIFMA president and CEO, Kenneth E. Bentsen, Jr. discusses the study’s analysis and findings with Joseph Seidel, SIFMA’s Chief Operating Officer; Carter McDowell, SIFMA’s Associate General Counsel and Managing Director; and Coryann Stefansson, Senior Advisor to SIFMA.

For more on prudential regulation and its effect on the capital markets, visit www.sifma.org/prudential.

Terms to Know: Prudential Regulation

BHCBank Holding Company
G-SIBGlobal Systemically Important Bank
LEILegal Entity Identifier
QISQuantitative Impact Study
B3Basel III International Regulatory Framework for Banks
CCARComprehensive Capital Analysis and Review
CLARComprehensive Liquidity Analysis and Review
DFADodd-Frank Wall Street Reform and Consumer Protection Act
EMIREuropean Market Infrastructure Regulation
MiFIDMarkets in Financial Instruments Directive
MiFID IIMarkets in Financial Instruments Directive (revised)
MiFIRMarkets in Financial Instruments Regulation
CET1Common Equity Tier 1
T1CTier 1 Capital
AT1Additional Tier 1 Capital
T2CTier 2 Capital
TLACTotal Loss-Absorbing Capacity
RWARisk-Weighted Assets
CVACredit Valuation Adjustment
CTPCorrelation Trading Portfolio
LCRLiquidity Coverage Ratio
HQLAHigh Quality Liquid Assets
NCOFNet Cash Outflows
NSFRNet Stable Funding Ratio
ASFAvailable Amount of Stable Funding
RSFRequired Amount of Stable Funding
SLRSupplemental Leverage Ratio
TETotal Exposure
PFEPotential Future Exposure
FRTBFundamental Review of the Trading Book