Large Bank Examination Workshop February 2026

Assumptions: Key to Stress Scenarios Common weaknesses found in assumptions Governance • Scenario-analysis is not enterprise-wide • Infrequent review/modification of assumptions • Assumptions not justified or documented

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Assumptions Common weaknesses found in assumptions Scenario analysis • Insufficient stress severity • Insufficient liability account segregation • Insufficient severity of haircuts to securities • Overlooking optionality in structured liabilities or potential draws on off balance sheet commitments in stress situations • Insufficient severity or lack of incorporation of increased collateral posting requirements • Missing or insufficient stress of counterparty concentrations or single large counterpart • Overly aggressive assumptions for security/loan sales

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