ICAAP/ILAAP & Stress Testing
Internal capital and liquidity adequacy assessment documentation, stress scenario modelling
Scenarios Modelled (YTD)
28
Worst-Case CET1 (Severe)
9.6%
Scenarios In Progress
1
ICAAP Sign-Off Due
21d
| Scenario | Horizon | CET1 Impact | Trough CET1 | Status |
|---|---|---|---|---|
| Base Case (Central Forecast) | 3-Year | +0.4pp | 13.9% | Complete |
| Severe Recession (BoE Annual CST) | 5-Year | -4.1pp | 9.6% | Complete |
| Rapid Rate Shock (+300bps) | 2-Year | -1.8pp | 11.9% | Complete |
| Reverse Stress Test (Point of Failure) | Open | to 7.0% trigger | 7.0% | In Progress |
| Climate Transition Risk (NGFS Delayed) | 10-Year | pending | pending | Not Started |
About This Agent
Data on This Page
Stress scenarios (base case, regulatory CST, rate shocks, reverse stress test, climate transition) with their projected horizon, CET1 ratio impact and trough ratio, plus completion status. Stat tiles cover scenarios modelled year-to-date (28), worst-case CET1 under the severe scenario (9.6%), scenarios in progress, and days until ICAAP sign-off is due.
What This Agent Does
Projects the capital and liquidity path under regulator-mandated and internally defined scenarios by feeding macro variables through the RWA and Capital Adequacy agents' models, identifies the point-of-failure capital ratio for reverse stress testing, and compiles the resulting narrative and quantitative annexes into the ICAAP/ILAAP document for board and regulator review.
Worked Examples
- The BoE's severe recession scenario troughs group CET1 at 9.6%, still 1.6pp above the 8.0% hurdle rate used in the bank's own risk appetite framework.
- The reverse stress test is still solving for the combination of losses that would drive CET1 down to the 7.0% resolution trigger.
- A +300bps rapid rate shock cuts CET1 by 1.8pp, driven mostly by AFS bond portfolio mark-to-market losses rather than credit impairment.