ST-1.5.11
Stress tests should also account for interactions between credit, funding and asset market conditions in a stressed scenario. The following interactions may be considered:
(a) Credit deterioration of obligors leading to a reduction in cash inflows;
(b) Price shocks for specific asset categories (for example, fire sales and significant mark-to-market losses) resulting in the drying up of liquidity for such assets;
(c) Reduction of eligible high quality liquid assets ('HQLA') due to issuer downgrades;
(d) Increase in bank's liquidity needs as a consequence of higher drawdown of committed credit lines (for example, higher crystallisation of undrawn credit lines);
(e) Additional posting of collateral or margin due to a downgrade of the bank's credit rating or adverse price movements; and
(f) Restricted access to secured or unsecured funding markets due to a deterioration in the bank's financial strength and credit rating.
July 2018