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  • Institution-specific Stress Scenarios

    • LM-9.2.6

      An institution-specific stress scenario must cover situations that could arise from a bank experiencing either real or perceived problems (e.g. asset quality problems, solvency concerns, credit rating downgrade, rumours relating to the bank's credibility or management fraud, etc.) which affect public confidence in the bank and its firm-wide or group-wide operations. It must represent the bank's view of the behaviour of its cash flows in a sufficiently severe stress scenario. A key assumption is that many of the bank's liabilities cannot be rolled-over or replaced, resulting in the need to utilise its liquidity cushion.

      August 2018

    • LM-9.2.7

      This scenario will likely entail an acute deposit run. Such a scenario would typically include the following characteristics:

      (a) Significant daily run-off rates for deposits particularly at the initial stage of the stress scenario, with increasing requests from customers to redeem their time deposits before maturity;
      (b) Interbank deposits repaid at maturity;
      (c) No new unsecured or secured funding obtainable from the market; and
      (d) Forced sale of marketable securities at discounted prices.
      August 2018