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US banks' stress test capital ratios tighten since 2018

Created at 9 Jul · 3:35 AM1 source↑ Market-relevant
IN SHORT

Analysis of Dodd-Frank Act stress test results shows that the projected minimum Common Equity Tier 1 ratios for large US banks have increased and become more tightly clustered since 2018. The median projected minimum CET1 ratio rose from 7.7% in 2018 to 11.6% in 2026 for firms participating in every test.

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Key Numbers

390bprise in weakest projected capital ratio since 2018
16firms in every stress test since 2018
7.7%median projected minimum CET1 ratio in 2018
11.6%median projected minimum CET1 ratio in 2026

Who's Involved

Federal Reserve
Conducts annual stress tests for large US banks
Risk Quantum
Conducted analysis of Dodd-Frank Act stress test results

↳ Why This Matters

The increasing and tightening of capital ratios in stress tests indicates a strengthening of the banking sector's resilience against potential economic downturns, suggesting a reduced likelihood of systemic risk impacting financial markets.

Key facts

  • Projected minimum Common Equity Tier 1 (CET1) ratios for large US banks have increased since 2018.
  • The projected minimum CET1 ratios have become more tightly clustered.
  • For 16 firms participating in every stress test, the median projected minimum CET1 ratio rose from 7.7% in 2018 to 11.6% in 2026.

Large US banks' projected minimum Common Equity Tier 1 (CET1) ratios in the Federal Reserve’s annual stress tests have risen and become more tightly clustered since 2018, a Risk Quantum analysis of Dodd-Frank Act stress tests (DFAST) results found. For the 16 firms that took part in the tests every year, the median projected minimum CET1 ratio rose from 7.7% in 2018 to 11.6% in 2026.

Frequently asked questions

DFAST are annual tests mandated by the Dodd-Frank Act to assess whether large financial institutions have sufficient capital to absorb losses and continue operating during severe economic and financial market conditions.

CET1 ratio is a measure of a bank's core equity capital relative to its risk-weighted assets, serving as a key indicator of its financial strength and ability to withstand losses.

A tighter cluster suggests greater uniformity in capital buffers across major banks, potentially indicating a more stable and predictable banking system, but could also imply less differentiation in risk management strategies.

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How It Developed

Large US banks' projected minimum CET1 ratios have risen since 2018.
The projected minimum CET1 ratios have become more tightly clustered.
The median projected minimum CET1 ratio increased from 7.7% in 2018 to 11.6% in 2026 for 16 firms.
This analysis is based on Dodd-Frank Act stress test results.

Sources

T1
US banks cluster at stronger DFAST capital lowsRisk.net

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