Stress Testing & Capital Planning (DFAST)

Stress Testing & Capital Planning runs economic scenarios, such as a rise in unemployment or a fall in property prices, through your loss, revenue and balance sheet models and projects your capital ratios over the planning horizon. Analysts assemble each run from versioned scenarios, models and assumptions, management overlays are recorded with their rationale and approval, and the results feed your capital plan and board reporting. Every number can be traced back to the inputs that produced it.

The problem it solves

Stress testing at many institutions is a chain of spreadsheets: macroeconomic scenarios in one, loss and revenue projections from several model owners in others, and a capital workbook that pulls them together. Each cycle depends on a few people who know how the files connect. Overlays and late changes are hard to see, and when the board, model validators or examiners ask how a result was produced, reconstructing it means retracing every file by hand.

Who it’s for

• Treasury, capital planning and stress testing teams at banks and credit unions
• Chief financial officers and treasurers who own the capital plan
• Model owners for credit loss, revenue and balance sheet projections
• Model risk management and validation teams who challenge the process
• Boards, internal audit and examiners, who need to see how results were produced

1. Define scenariosSupervisory scenarios published by regulators are loaded as issued, and your own baseline, adverse and institution-specific scenarios are built alongside them with each variable's path over the planning horizon.
2. ProjectEach run combines an approved scenario with versioned models, the starting balance sheet and planned capital actions, and projects losses, revenue, balances and capital ratios quarter by quarter.
3. Challenge and adjustResults are reviewed by model owners, finance and model risk. Any management overlay is entered as an adjustment with its size, rationale and approver, never as an edited number.
4. Plan and reportThe locked results feed the capital plan, the board pack and, where required, the public disclosure, with each figure traceable to its run.

Scenario library

Supervisory scenarios loaded as published and internal scenarios built alongside them, each with a narrative, variable paths and version history.

Scenario designer

Build institution-specific scenarios from a baseline by shocking variables such as unemployment, house prices or interest rates, and record why the scenario is severe but plausible for you.

Model orchestration

Connect your loss, revenue and balance sheet models, run them in the product or load their outputs, and keep the version used in each run.

Capital projection

Project regulatory capital, risk-weighted assets and capital and leverage ratios for each quarter of the planning horizon.

Capital actions

Model planned dividends, share repurchases and issuances, and see their effect on projected ratios under each scenario.

Recorded overlays

Management adjustments entered as separate, approved items with their rationale, so the model result and the adjustment can both be seen.

Sensitivity and reverse stress testing

Change one assumption at a time to see what drives the result, or search for the conditions under which a ratio would fall below the level you set.

Run lineage

Every run records the scenario, model versions, data snapshot, overlays and user, so any result can be reproduced.

Effective challenge log

Questions from reviewers and model risk, the responses and the resulting changes, kept with the run they concern.

Board and disclosure packs

Standard tables and charts for board packs and summary results for public disclosure, generated from locked runs.

Run comparison

Compare two runs or two cycles line by line and see which input caused each difference.

Exam-ready audit trail

Who changed, ran, approved or exported what, and when, for every scenario, run and overlay.

Stress testing analyst

Builds scenarios and runs, assembles results and prepares reporting

Model owner

Maintains the models for their portfolio and reviews their projections

Chief financial officer or treasurer

Approves scenarios, overlays and the capital plan, and sees everything

Model risk reviewer

Challenges models, assumptions and results independently, without changing them

Auditor or examiner (read-only)

Views scenarios, runs, overlays and the audit trail, with no ability to change them

Administrator

Manages users, roles, data connections and configuration

General ledger and finance data

Starting balance sheet, income statement and regulatory capital figures from your finance systems.

Loan and deposit systems

Portfolio data at the level your models need, such as loan segments, balances, rates and risk grades.

Model platforms

Models run in your own environment can send their outputs, and receive the scenario variables they need.

Economic data

Supervisory scenario files and economic data your institution subscribes to, loaded into the scenario library.

Model inventory

Model versions, owners and validation status shared with Moraph's Model Risk Management (MRM) Validator or your own inventory.

Single sign-on

Staff sign in through your identity provider (SAML or OpenID Connect).

Work API

Run results and lineage available to your data warehouse and reporting tools through the Moraph Work API.

Single sign-on

Staff sign in through your identity provider, so your password and multi-factor policies apply.

Role-based access

What each person can see and do follows their role; entering an overlay is separate from approving it.

Locked results

Approved scenarios and final runs are locked; any later change creates a new version rather than altering the record.

Encryption and keys

Client data is encrypted, with keys Moraph staff cannot use without explicit, time-bound authorization.

Complete audit trail

Every view, change, run, approval and export is logged with the person and time, and cannot be edited.

Data residency

Data stays in the hosting region you choose: the United States, the United Kingdom or Australia.

Moraph cloud

Hosted and operated by Moraph in the United States region. United Kingdom and Australia regions are available for institutions outside the US.

Dedicated environment

A single-tenant environment for institutions whose policies require isolation, scoped in the proposal.

With a managed service

Optionally run alongside a Moraph managed service for data loading support and platform administration during each cycle.

Process mapping

We document your current stress testing cycle, from scenarios to board approval, and agree how it will run in the product. We need your current workbooks and a contact in treasury or finance.

Data connections

Finance, loan and deposit data are mapped to the product's data model, with the as-of dates and reconciliations your process requires.

Model connection

Each model is either set up to run in the product or connected so its outputs load automatically, and documented with its owner and version.

Reconciliation run

A completed past cycle is re-run in the product and the results reconciled with your existing figures before the product is used for a live cycle.

Workflow and roles

Approval steps for scenarios, overlays and final runs, and the roles that perform them, are configured to match your governance.

Training and first cycle

Analysts, model owners and approvers are trained on their own workflows, and Moraph supports your team through its first live cycle in the product.

• The product projects capital from the scenarios, models and assumptions you approve; it does not decide what capital your institution should hold. Capital decisions are made by your management and board.
• Projections are only as sound as the models and data behind them. Your models remain your institution's responsibility and should be validated under your model risk process.
• It does not submit regulatory reporting forms or capital plans to regulators; your team files them.
• Supervisory scenarios are loaded as regulators publish them. The product does not predict or design supervisory scenarios.
• It is designed for US capital and stress testing requirements. Other jurisdictions' stress testing regimes are not included as configured templates.
• It does not calculate allowance for credit losses for accounting purposes; that is handled by a separate CECL or IFRS 9 process.
• Liquidity stress testing is not included.
• Built-in calculation templates suit simpler portfolios; complex models are connected from your own environment rather than rebuilt in the product.

• Re-run a completed past cycle with your own data and reconcile the results with your existing figures
• Build an internal scenario and check that its narrative and variable paths can be reviewed and approved in the product
• Enter an overlay and confirm the model result and the adjustment both remain visible
• Trace one projected ratio back to its scenario, models, data and overlays
• Compare two runs and check that the differences are explained by input
• Confirm role separation: who can build, run, adjust and approve