2026 Dodd-Frank Act Stress Test: all pass

Research evidence excerpt

2026 Dodd-Frank Act Stress Test: all pass

UpdateMLoan loss rates by bank: spotlight on DBK & CRE. We think loan loss rates by bank

give useful colour on levels and composition of potential credit risks. UBS is the

most resilient at 2.5% (among the lowest in the test), which makes sense, given its

skew to wealth, followed by DBK at 4.2% and Barclays at 14.3%. On DBK

specifically, we think the 8.1% CRE loss rate (although up from 7.2% last year) is

somewhat reassuring for two reasons: first because it is a bit below the average of

the sample (at 8.8%), and second because an 8.1% loss rate on a €11bn US CRE

portfolio (assuming the loss rate is indicative and the mix similar to Group split)

would translate into a €890mn loss, which is roughly what we already factor into

our base case.

Exhibit 2: Projected loan loss rates (% of average loan balances) by type of loan

for 2026:Q1–2028:Q1 under the severely adverse scenario

30 Barclays US Santander 32 banks HSBC DB USA UBS Americas

Loan Losses First-lien Junior liens and Commercial and Commercial real Credit cards Other consumer Other loans

mortgages, HELOCs, domestic industrial estate, domestic

domestic

Source: Fed DFAST Results

Does CCAR matter for European banks? As a reminder, IHCs represent 7-13% of

total group assets for these banks, hence over/under-capitalisation of each bank's

IHC marginally interferes with overall capitalisation of the group and dividend

distribution potential. IHCs do not comprise 100% of a bank's US-related business,

particularly for the investment banks, which also have large branches and – in the

case of Deutsche Bank – are bigger by assets than the IHC itself. For this reason, the

CCAR process on an IHC alone gives us only limited insight into a European bank's

business in the US.