CCAR & DFAST Capital Stress Testing Calculator
Simulate 9-quarter supervisory stress projections, model PPNR, cumulative loan losses, post-stress minimum CET1 ratios, and calibrate the Stress Capital Buffer (SCB).
Starting Capital & 9-Q Stress Inputs
Post-Stress Capital Ratios & SCB
COMPLIANT (PASS)Supervisory Stress Test Assessment
The bank successfully passes all CCAR/DFAST hurdle minimums under the 9-quarter Severely Adverse scenario, preserving substantial capital cushion above the 4.5% statutory floor.
| Regulatory Capital Ratio | Starting Ratio | Post-Stress Min | Hurdle Floor | CCAR Status |
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Sensitivity Matrix: PPNR ($B) vs. Cumulative Loan Losses ($B)
Evaluates post-stress minimum CET1 Ratio (%) across variations in operational revenue generation and credit impairments.
CCAR & Supervisory Stress Testing Quiz
Frequently Asked Questions
What is the Federal Reserve CCAR and DFAST framework?
The Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST) are annual supervisory stress testing frameworks administered by the Federal Reserve. Large US bank holding companies are evaluated over a 9-quarter severely adverse economic downturn to ensure they maintain sufficient regulatory capital to absorb losses and continue lending.
What is Pre-Provision Net Revenue (PPNR) in bank stress testing?
Pre-Provision Net Revenue (PPNR) represents a bank's operational earnings capacity before accounting for credit loss provisions and taxes: PPNR = Net Interest Income + Non-Interest Income - Non-Interest Expense. Under stress testing, PPNR serves as the primary operational buffer offsetting cumulative credit impairments.
How is the Stress Capital Buffer (SCB) calculated?
Under Federal Reserve rules (12 CFR Part 225), the Stress Capital Buffer (SCB) integrates CCAR stress results directly into ongoing capital requirements. SCB = max(2.5%, Peak-to-Trough CET1 Drawdown + (4 quarters of planned common dividends / RWA)). The SCB replaces the static 2.5% Basel III capital conservation buffer.
What are the statutory minimum post-stress capital hurdles in CCAR?
Throughout the 9-quarter stress horizon, banks must remain above minimum regulatory hurdle ratios at all times: Common Equity Tier 1 (CET1) >= 4.5%, Tier 1 Risk-Based Ratio >= 6.0%, Total Risk-Based Capital Ratio >= 8.0%, and Tier 1 Leverage Ratio >= 4.0%.