Financial Services · Moraph software

Stress Testing & Capital Planning (DFAST)

Run economic scenarios through your models and see what they do to capital

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Overview

What you are buying

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.

  • Scenarios, model outputs and capital calculations live in disconnected spreadsheets
  • Management overlays and late adjustments are not recorded with their reasons
  • Re-running a scenario after a change means repeating manual steps
  • Results are hard to trace back to inputs for validators, the board and examiners

Who uses it

  • 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

Requirements it supports

Dodd-Frank Act Section 165(i) (company-run stress tests)Federal Reserve Regulation YY (12 CFR Part 252)Federal Reserve Capital Plan Rule (12 CFR 225.8)OCC and FDIC stress testing rules (12 CFR Part 46; 12 CFR Part 325, Subpart C)NCUA capital planning and stress testing (12 CFR Part 702, Subpart E)Interagency Guidance on Model Risk Management (SR 11-7)

The product supports these requirements; meeting them remains your organization’s responsibility.

See how it works

A short walkthrough

Illustrative screens with fictional sample data. They show the workflow, not any client’s data or configuration, and the layout of the product itself differs. A live demonstration uses the product with sample data.

  1. Step 1

    The scenario library

    Supervisory and internal scenarios sit together, each with its status and version.

    ScenarioSourceVersionHorizonStatus
    BaselineInternalv39 quartersApproved
    Supervisory severely adverse (sample)Supervisoryv19 quartersApproved
    Regional downturnInternalv29 quartersAwaiting approval
    Commercial real estate shockInternalv19 quartersDraft
    Rate spikeInternalv49 quartersApproved
    Supervisory and internal scenarios sit together, each with its status and version.

  2. Step 2

    Designing a scenario

    An internal scenario records its narrative and each variable's path, so reviewers can see why it is severe for your institution.

    Regional downturn · v2 (fictional sample)

    Based on
    Baseline v3
    Unemployment rate
    Rises 5 points over 6 quarters
    House prices
    Fall 18% peak to trough
    Commercial property prices
    Fall 30%
    Short-term rates
    Cut 2 points
    Status
    Awaiting CFO approval

    Narrative

    • Loss of a major employer in the institution's main market
    • Local property values fall faster than national averages
    • Deposit outflows to larger institutions
    An internal scenario records its narrative and each variable's path, so reviewers can see why it is severe for your institution.

  3. Step 3

    Projected capital

    Each run projects capital ratios quarter by quarter, with the minimum and the level your policy sets.

    QuarterCET1 ratioTier 1 leverageLosses in quarterPre-provision net revenue
    Starting point11.8%9.4%--
    Q111.2%9.0%$14.2m$9.8m
    Q310.1%8.3%$21.6m$7.1m
    Q59.2%7.7%$18.4m$6.5m
    Q99.6%8.0%$8.9m$8.2m
    Each run projects capital ratios quarter by quarter, with the minimum and the level your policy sets.

  4. Step 4

    An overlay and its approval

    A management adjustment is entered beside the model result, with its reason and approver, never as an edited number.

    Overlay OV-311 · Commercial real estate losses, Run R-2026-14

    1. Model result reviewed against prior cycleModel owner
    2. Overlay proposed: higher losses on office loans, with rationaleStress testing analyst
    3. Challenge recorded: size of adjustmentModel risk reviewer
    4. Rationale and sizing updated in responseStress testing analyst
    5. Overlay approvedChief financial officer
    A management adjustment is entered beside the model result, with its reason and approver, never as an edited number.

  5. Step 5

    Run lineage

    Every run shows exactly what went into it, so it can be reproduced and explained.

    Run R-2026-14 · Regional downturn v2

    Data as of
    Quarter-end (fictional sample)
    Credit loss models
    Consumer v5, Commercial v3, CRE v4
    Revenue model
    Net interest income v2
    Capital actions
    Planned dividends, no repurchases
    Overlays
    OV-311 approved
    Status
    Locked

    Validation status of models used

    • Consumer v5: validated
    • Commercial v3: validated
    • !CRE v4: validation findings open
    Every run shows exactly what went into it, so it can be reproduced and explained.

  6. Step 6

    Comparing cycles

    Two runs compared line by line show which input moved the result.

    DriverLast cycleThis cycleEffect on minimum CET1
    Starting capital11.5%11.8%+0.3 points
    Commercial real estate losses$41m$58m-0.6 points
    Net interest income$62m$59m-0.1 points
    Planned dividendsUnchangedUnchangedNone
    Two runs compared line by line show which input moved the result.

Workflows

The principal workflows

  1. Define scenarios

    Supervisory 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.

    • Supervisory scenario variables loaded from the published files
    • Internal scenarios built from a baseline, with narrative and variable paths
    • Variables mapped to the drivers each model uses
    • Scenario reviewed and approved before it can be used in a run
    • Approved scenario locked as a version

  2. Project

    Each 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.

    • Starting balance sheet and portfolio data loaded as of the run date
    • Model versions selected for losses, revenue and balance sheet
    • Model outputs calculated in the product or loaded from the model owner
    • Planned capital actions such as dividends applied
    • Capital ratios projected for each quarter of the horizon

  3. Challenge and adjust

    Results 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.

    • Model owners review their projections against prior runs
    • Reviewers record challenges and the responses to them
    • Overlays entered with rationale and sent for approval
    • Sensitivity runs show the effect of key assumptions
    • Final run selected and locked

  4. Plan and report

    The locked results feed the capital plan, the board pack and, where required, the public disclosure, with each figure traceable to its run.

    • Capital plan drafted from the locked results and planned actions
    • Board and committee pack assembled from approved results
    • Public disclosure summary prepared where your institution is required to publish one
    • Board approval recorded against the plan
    • Run, inputs and approvals archived for the cycle

Roles and permissions

Who does what in the product

Each role below is a starting point. During implementation we set them up to match your teams, and every action anyone takes is recorded in the audit trail.

Stress testing analyst

Stress testing analyst, capital planning analyst, treasury analyst

Builds scenarios and runs, assembles results from model owners, and prepares the capital plan and reporting.

Sees

  • All scenarios and their versions
  • Runs, projections and lineage
  • Overlays and challenges
  • Data loads and reconciliation results

Does

  • Drafts internal scenarios and maps variables to model drivers
  • Sets up and executes runs
  • Proposes overlays with rationale and sizing
  • Responds to challenges from reviewers
  • Assembles board packs and disclosure summaries
  • Runs sensitivity and reverse stress tests

Cannot

  • Approve scenarios, overlays or final runs
  • Change a locked run
  • Change a model version owned by a model owner
Approvals
Scenarios, overlays and the final run they prepare are approved by the chief financial officer or treasurer.
Notified about
Model outputs loaded, challenges raised, and approvals given or returned.

Model owner

Credit risk modeler, portfolio analytics lead, ALM analyst

Maintains the models for their portfolio and stands behind the projections they produce.

Sees

  • Scenario variables their models use
  • Projections from their models in each run
  • Challenges raised about their models
  • Validation status of their models

Does

  • Registers new model versions with documentation
  • Loads or runs model outputs for each run
  • Reviews projections against prior runs
  • Responds to challenges about their models

Cannot

  • Approve overlays on their own projections
  • Approve scenarios
  • Change models owned by others
Approvals
New model versions are used in a run only once the analyst selects them, and their validation status is shown on every run.
Notified about
Runs that need their outputs, challenges on their models, and validation findings recorded.

Chief financial officer or treasurer

Chief financial officer, treasurer, chief risk officer, head of capital management

Owns the capital plan and approves the scenarios, overlays and results that go to the board.

Sees

  • Every scenario, run, overlay and challenge
  • Capital projections against policy levels
  • Cycle progress and open items
  • The full audit trail

Does

  • Approves or returns scenarios
  • Approves or returns overlays
  • Approves the final run for the cycle
  • Approves capital actions included in the plan
  • Presents results to the board and records its decision

Cannot

  • Approve an overlay they proposed; a second approver is required
  • Edit or delete entries in the audit trail
  • Change a locked run
Approvals
Approves scenarios, overlays, final runs and the capital plan; their own proposals need a second designated approver.
Notified about
Scenarios, overlays and runs waiting for approval, and projected ratios below the levels your policy sets.

Model risk reviewer

Model validator, model risk manager, independent review function

Provides effective challenge to models, scenarios, assumptions and overlays, independently of the people who produce them.

Sees

  • Scenarios, runs, projections and overlays
  • Model documentation and versions
  • The challenge log

Does

  • Raises challenges on scenarios, model results and overlays
  • Records whether responses are accepted
  • Records validation findings and status for models
  • Reviews sensitivity results

Cannot

  • Change scenarios, runs or overlays
  • Approve their own challenges as resolved without the response recorded
  • Approve the final run
Approvals
Their challenges must be answered before a run can be locked, unless the approver records why it proceeds.
Notified about
Runs ready for review, responses to their challenges, and new model versions.

Auditor or examiner (read-only)

Internal auditor, external auditor, regulatory examiner (under temporary access)

Reviews how results were produced without being able to change anything.

Sees

  • Scenarios, runs, overlays and challenges within the scope granted
  • Run lineage and comparisons
  • The audit trail

Does

  • Searches and reads records within their scope
  • Exports lineage and reports, with each export logged
  • Leaves review notes where the institution enables them

Cannot

  • Change, approve, run or delete anything
  • See records outside the scope and dates granted
  • Keep access after it expires
Approvals
Their access is approved by the chief financial officer or an administrator, with a scope and an end date.
Notified about
Nothing by default; access granted and expiring is confirmed to the person who approved it.

Administrator

Application administrator, finance systems administrator

Manages users, roles, data connections and configuration on behalf of the stress testing team.

Sees

  • Users, roles and approval settings
  • Data connection and load status
  • The record of permission changes

Does

  • Adds and removes users, or maps them from single sign-on groups
  • Assigns roles
  • Monitors data loads and resolves connection errors
  • Runs access review reports

Cannot

  • Change scenarios, runs, overlays or results
  • Approve anything in the cycle
  • Grant themselves an approver role without the chief financial officer
Approvals
Role changes that grant approval rights are approved by the chief financial officer.
Notified about
Data loads that fail, access reviews coming due and accounts not used for a period your policy sets.

Permissions at a glance

ActionAnalystModel ownerCFOModel riskAuditorAdmin
Draft scenariosFullNo accessFullView onlyView onlyNo access
Approve scenariosNo accessNo accessApprovesNo accessNo accessNo access
Register model versionsNo accessOwn work onlyView onlyView onlyView onlyNo access
Set up and execute runsFullView onlyFullView onlyView onlyNo access
Propose overlaysFullOwn work onlyFullNo accessView onlyNo access
Approve overlaysNo accessNo accessApprovesNo accessNo accessNo access
Raise and resolve challengesView onlyView onlyView onlyFullView onlyNo access
Lock the final runNo accessNo accessApprovesNo accessNo accessNo access
Export board and disclosure packsFullNo accessFullView onlyView onlyNo access
View audit trailNo accessNo accessView onlyView onlyView onlyView only
Manage users and rolesNo accessNo accessApprovesNo accessNo accessFull
  • Full
  • Own work only
  • Approves
  • View only
  • No access

How access is controlled

  • Four-eyes rules are built in: nobody approves a scenario, overlay or final run they prepared themselves, and model owners cannot approve adjustments to their own projections.
  • Roles are configured with you during implementation. You can rename them, add roles such as a business line contributor, and limit model owners to the portfolios they are responsible for.
  • Every permission change is recorded in the audit trail with who made it and when, and access review reports list each person's roles for periodic certification.
  • Staff sign in through your identity provider, and roles can follow its groups. Validators, auditors and examiners get read-only access with a defined scope and an end date, rather than shared accounts.

Features

What it does

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.

Integrations

How it connects to your systems

Connects toHowWhat flows
General ledger and finance dataStarting balance sheet, income statement and regulatory capital figures from your finance systems.In: balances, income and capital as of the run date.
Loan and deposit systemsPortfolio data at the level your models need, such as loan segments, balances, rates and risk grades.In: portfolio and account-level data.
Model platformsModels run in your own environment can send their outputs, and receive the scenario variables they need.Out: scenario variables. In: model projections by segment and quarter.
Economic dataSupervisory scenario files and economic data your institution subscribes to, loaded into the scenario library.In: scenario variables and historical economic series.
Model inventoryModel versions, owners and validation status shared with Moraph's Model Risk Management (MRM) Validator or your own inventory.Out: models used in each run. In: validation status and findings.
Single sign-onStaff sign in through your identity provider (SAML or OpenID Connect).In: user identity and group membership for role assignment.
Work APIRun results and lineage available to your data warehouse and reporting tools through the Moraph Work API.Out: scenarios, runs, projections and overlays.

Each integration is confirmed in discovery and specified in the design. See how an engagement progresses.

Security and privacy

How your data is protected

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.

Company-wide controls, independent audits (SOC 2 Type II and ISO/IEC 27001) and data residency are described in our Trust Center, where you can request the evidence pack.

Reporting

What you can report on

12 standard reports, grouped by who uses them. Each shows who it is for, how it can be broken down, how it is delivered and what it is used for. The data behind them is also available to your own reporting tools.

Operational

Cycle status

For stress testing analysts and the chief financial officer

Each step of the current cycle, from scenario approval to board approval, with owners, open items and approvals outstanding.

Break down by
Step, Owner, Status, Scenario
Delivered as
Live dashboard; scheduled email
Used for
Keeping the cycle on track and seeing what is blocking it.

Data load and reconciliation

For stress testing analysts and administrators

Each data load with its as-of date, record counts and reconciliation to finance totals.

Break down by
Source, As-of date, Result
Delivered as
Live view; CSV export
Used for
Confirming the starting point before any run is trusted.

Open challenges

For analysts, model owners and model risk reviewers

Challenges raised in the cycle, who raised them, the responses and whether they are resolved.

Break down by
Run, Model or scenario, Reviewer, Status
Delivered as
Live dashboard; CSV export
Used for
Making sure every challenge is answered before results are final.

Management and board

Capital projection summary

For chief financial officer, senior management and the board

Projected capital and leverage ratios by scenario and quarter, the minimum point and the levels your policy sets.

Break down by
Scenario, Quarter, Ratio
Delivered as
PDF for board packs; live dashboard
Used for
Giving the board the results it needs to approve the capital plan.

Loss and revenue projections

For chief financial officer, chief risk officer, business line heads

Projected losses, revenue and balances by portfolio, scenario and quarter.

Break down by
Portfolio, Scenario, Quarter, Model
Delivered as
Live dashboard; PDF; CSV export
Used for
Seeing which portfolios drive the result under stress.

Capital actions under stress

For chief financial officer and the board

Planned dividends, repurchases and issuances and their effect on projected ratios under each scenario.

Break down by
Action, Scenario, Quarter
Delivered as
PDF; live dashboard
Used for
Deciding whether planned capital actions remain prudent under stress.

Regulatory and audit

Run lineage

For model risk, internal audit, examiners

For a selected run, the scenario version, model versions, data snapshot, overlays, approvals and user.

Break down by
Run, Component, Version
Delivered as
On request in the product; PDF and CSV export
Used for
Showing exactly how a result was produced and that it can be reproduced.

Overlay register

For chief financial officer, model risk, examiners

Every overlay with its size, rationale, challenges, approver and the run it applies to.

Break down by
Run, Portfolio, Approver, Cycle
Delivered as
Live view; PDF and CSV export
Used for
Evidencing that judgment applied to model results was reasoned and approved.

Public disclosure summary

For chief financial officer and investor relations

Summary results in the form your institution publishes, generated from the locked run.

Break down by
Scenario, Measure
Delivered as
PDF; CSV export
Used for
Preparing the public summary where your institution is required to publish one.

Audit trail extract

For internal audit and examiners

Who did what, when and why for a selected scenario, run, overlay or period.

Break down by
Record, User, Action, Date range
Delivered as
On request in the product; CSV and PDF export
Used for
Answering examiner requests for evidence without assembling it by hand.

Analysis

Run and cycle comparison

For analysts, chief financial officer, model risk

Two runs or cycles side by side, with the differences attributed to scenario, data, model and overlay changes.

Break down by
Driver, Portfolio, Quarter
Delivered as
Live view; PDF and CSV export
Used for
Explaining why results moved between cycles.

Sensitivity results

For analysts, chief risk officer, model risk

The effect on projected ratios of changing individual assumptions, and the conditions found by reverse stress tests.

Break down by
Assumption, Scenario, Ratio
Delivered as
Live dashboard; CSV export
Used for
Understanding which assumptions matter most to the result.

Exports, access and evidence

  • Every report can be exported to CSV, and summary and evidence reports to PDF. Reports can be scheduled to arrive by email for the people entitled to see them.
  • Each report can be filtered and the filters saved. Reports that need a different shape can be built in your own tools from the data described below.
  • Scenario, run, projection and overlay data is available through the Moraph Work API, and can be delivered to your data warehouse or business intelligence tool.
  • Reports respect each viewer's role: model owners see their portfolios, the chief financial officer sees the whole cycle, and validators and examiners can be given read-only access.
  • Reports on locked runs give the same result each time they are run. Running and exporting a report is itself recorded in the audit trail.

Deployment

Where and how it runs

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.

Security controls, independent audits and data residency are set out in our Trust Center. Engagement models and what drives a quotation are on Working with Moraph.

Implementation

What a rollout involves

The general phases are on Working with Moraph. For this product, they involve the following.

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.

Limitations

What it does not do

Worth knowing before you evaluate it.

  • 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.

Evaluation checklist

What to test in a demonstration or pilot

Questions worth putting to us, and to any other vendor you are considering.

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

Questions

Frequently asked questions

Who owns the data and models in the product?

Your institution does. How data is returned to you and deleted at the end of the agreement is set out in the contract.

Do we have to rebuild our models in the product?

No. Models can keep running in your own environment and send their outputs, or simpler models can be set up in the product's calculation templates. Either way, the version used in each run is recorded.

Is it only for institutions required to run DFAST?

No. Institutions below regulatory thresholds use the same workflows for capital planning and the stress testing examiners expect as part of sound risk management.

How is it priced?

As a subscription, usually measured by the size of the institution and the number of portfolios modeled, with implementation charged separately. See Working with Moraph for what drives a quotation.

How do examiners and validators see our work?

Read-only roles show scenarios, runs, overlays, challenges and the audit trail, and any run's lineage can be exported.

Is there an accessibility conformance report?

Ask for one through the procurement request form at /how-to-buy/request, naming the version you are evaluating.

Next steps

Evaluate Stress Testing & Capital Planning (DFAST)

Book a demonstration

See the product working with sample data, focused on your workflows.

Request a demonstration

Request a technical briefing

Architecture, integrations, security and hosting, with our engineers and your technical team.

Request a briefing

Factsheet

This page on two sides, to share with colleagues or add to your evaluation file.

Open the factsheet

Buying through a formal procurement? See How to buy for purchasing routes, accessibility conformance reports and company information. Documentation: Stress Testing & Capital Planning (DFAST) guides on docs.moraph.com (getting started and security guides are public; setup, administration and integration guides are for client accounts). Support: Stress Testing & Capital Planning (DFAST) support guide.

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