SVB_2023ACTIVE
LCR_MIN100%
BASEL_CET14.50%
CCB2.50%
PRA_ILAAP_HORIZON90D
HQLA_L1_HAIRCUT0%
HQLA_L2A_HAIRCUT15%
NSFR_MIN100%
RATE_SHOCK+200BPS
EBA_GL2022/14
MC_SCENARIOS500
GFC_2008LOADED
SVB_2023ACTIVE
LCR_MIN100%
BASEL_CET14.50%
CCB2.50%
PRA_ILAAP_HORIZON90D
HQLA_L1_HAIRCUT0%
HQLA_L2A_HAIRCUT15%
NSFR_MIN100%
RATE_SHOCK+200BPS
EBA_GL2022/14
MC_SCENARIOS500
GFC_2008LOADED
Regulatory Risk Intelligence

Liquidity stress testing
built for what actually breaks banks

Independent, Basel III-aligned liquidity and capital stress validation framework. Purpose-built to model SVB-style interest rate and deposit run scenarios against your institution's balance sheet.

Request Sample Report See the framework
500
Monte Carlo Scenarios
5
Named Crisis Scenarios
6
IRRBB Rate Shock Tests
Live Stress Output — SVB_2023 Running
Status FAIL: Capital
Stressed CET1 2.07%
Required CET1 7.00%
LCR Proxy 2.43×
Survival Horizon 3 days
MTM Loss £342m
HQLA Stock £2,890m
NSFR Proxy 1.51×
Scenario Applied
SVB 2023 — 200bps rate shock, 5.5yr HTM duration, 12% deposit run
Source: Basel III (BIS 2017) · FDIC SVB Post-Mortem (May 2023) · PRA SS24/15
The Problem

SVB failed with a 15% CET1 ratio the day before collapse

Traditional stress testing missed the SVB failure entirely. Point-in-time capital ratios looked healthy. The real vulnerability — HTM securities duration, uninsured deposit concentration, and interest rate sensitivity — wasn't being stress tested in the right way.

FDIC Post-Mortem — May 2023
SVB's HTM portfolio had $91.3B in long-duration securities with a weighted average duration of 5.5 years. A 200bps rate shock produced unrealised losses of ~$15B — wiping out its entire capital base. The bank had 87.5% uninsured deposits, which ran within 48 hours.
  • 01

    Standard models miss HTM duration risk

    HTM securities are carried at amortised cost — unrealised losses are invisible until crystallised. Most stress frameworks don't model this correctly.

  • 02

    Deposit concentration is undermodelled

    Basel LCR applies blended run rates. Institutions with high uninsured or institutional deposits face 2-3× faster outflows under stress, as BIS WP 1065 (2023) documents.

  • 03

    Survival horizons aren't time-bucketed

    PRA ILAAP requires a 90-day survival horizon. Most external validation tools give a single liquidity number — not a day-by-day cash flow projection across PRA time buckets.

  • 04

    IRRBB and liquidity risk aren't modelled together

    Interest rate risk and liquidity risk are deeply correlated — the same shock that devalues your securities also triggers your deposit run. Most frameworks treat them separately.

The Framework

Every module sourced to Basel III, PRA, and EBA standards

Nine integrated modules covering capital, liquidity, interest rate risk, contagion, and regulatory reporting alignment. Each parameter traceable to its regulatory source.

01 / CAPITAL
CET1 Stress Engine
Basel III CET1 with G-SIB surcharges, RWA uplift, and MTM loss modelling sourced to BIS consolidated framework (Jan 2017).
Basel III · BIS 2017
02 / LIQUIDITY
HQLA Waterfall & LCR
Level 1 / 2A / 2B HQLA split with regulatory haircuts, 40% Level 2 cap, and differentiated insured vs uninsured deposit run rates.
EBA Delegated Act · 2015
03 / FUNDING
NSFR & Maturity Ladder
Net Stable Funding Ratio proxy and contractual cash flow projections across six PRA time buckets aligned to FSA047/048 format.
Basel III NSFR · BIS 2014
04 / RATE RISK
IRRBB
EVE and NII sensitivity across six EBA-prescribed rate shock scenarios. Parallel, steepener, flattener, and short-end shocks. Outlier flagging at 15% of Tier 1.
EBA/GL/2022/14
05 / SIMULATION
Monte Carlo
500-scenario correlated simulation using Cholesky decomposition across market, funding, and credit risk factors. VaR and CVaR at 95% and 99%.
Basel III MR · BIS 2019
06 / SECOND ORDER
Contagion Model
Social media amplification (BIS WP 1065), peer bank contagion (IMF WP/23/98), and sectoral concentration effects modelled as multipliers on deposit run rates.
BIS WP 1065 · 2023
07 / SENSITIVITY
Tornado Analysis
One-at-a-time parameter sensitivity ranking. Identifies dominant CET1 drivers across eight model parameters. Pillar 2 stress sensitivity compliant.
BCBS Pillar 2 · 2018
08 / REPORTING
Regulatory Alignment
Output cross-referenced to PRA FSA047, FSA048, EBA COREP C76.00 (LCR), C80.00 (NSFR), and Basel III Pillar 3 LCR disclosure template.
PRA FSA047/048 · COREP
09 / VALIDATION
SVB Retrospective
Model validated against SVB's actual 2022 10-K balance sheet. Correctly identifies capital and liquidity failure under SVB_2023 scenario before collapse date.
FDIC Post-Mortem · 2023
Process

From balance sheet to boardroom report in 48 hours

01
Submit Data
Provide your balance sheet via our standardised Excel template or we extract from your public annual report.
02
Scenario Selection
Choose from five named scenarios or request a bespoke scenario calibrated to your specific risk profile and jurisdiction.
03
Full Analysis Run
Capital, liquidity, IRRBB, maturity ladder, Monte Carlo, contagion, and sensitivity analysis — all computed and cross-validated.
04
Report Delivered
Professional PDF report with traffic-light indicators, regulatory alignment cross-reference, and executive summary ready for your risk committee.
Scenario Library

Five named crisis scenarios, each sourced to published regulatory data

2023
SVB Interest Rate & Deposit Run
Rate Shock+200bps
Duration5.5yr
Deposit Run12%
SourceFDIC 2023
2008
Global Financial Crisis
Asset Shock-35%
Credit Loss5%
Deposit Run15%
SourceBIS QIS 2010
2020
COVID-19 Liquidity Shock
Asset Shock-20%
Credit Loss2%
Deposit Run8%
SourceBIS WP 888
EBA
Severe Systemic Stress
Asset Shock-25%
Credit Loss3%
Deposit Run20%
SourceEBA 2023
EBA
Moderate Stress Baseline
Asset Shock-15%
Credit Loss1.5%
Deposit Run10%
SourceEBA 2023
Model Validation

The model catches SVB before March 10, 2023

SVB_RETROSPECTIVE_2022_10K.run
$ leviticus run --input svb_2022_10k.xlsx --scenario SVB_2023
 
ENTITY Silicon Valley Bank
ASSETS $211,793m
HTM_PORT $91,321m [43.1% of assets]
UNINS_DEP $151,600m [87.5% uninsured]
 
PRE-STRESS CET1 21.30%
MTM LOSS -$10,045m
STRESSED CET1 3.24% [req: 7.00%]
SURVIVAL HORIZON 2 days [req: 90d]
LCR PROXY 0.693× [req: 1.00×]
 
STATUS FAIL: Capital+Liquidity
✓ Model correctly identified SVB as FAIL
Known outcome: FDIC receivership 10 Mar 2023
✓
Validated against the real SVB balance sheet
Using SVB's actual 2022 10-K filing — total assets $211.8B, HTM portfolio $91.3B, deposits $173.1B — the model correctly flags capital and liquidity failure under the SVB_2023 scenario.
✓
Every parameter cited to a published source
The 200bps rate shock, 5.5yr HTM duration, and 12% deposit run are directly sourced to the FDIC SVB post-mortem report (May 2023) and Federal Reserve SR 23-4. Nothing is assumed without citation.
✓
Output maps to PRA and EBA regulatory returns
Every output field is cross-referenced to PRA FSA047/048, EBA COREP C76.00 and C80.00, and the Basel III Pillar 3 LCR disclosure template. Your compliance team can trace every number.
✓
Registered UK company. Independent of your internal team.
Leviticus Risk Intelligence Ltd is a registered UK company providing independent external validation — a different perspective to internal stress testing, and one regulators increasingly expect.
Pricing

External validation at a fraction of Big 4 rates

All tiers include the full nine-module framework and professional PDF report. Pricing scales by institution asset size.

Pilot Report
From £3,500
One-off external validation report. Full framework run against your balance sheet. Ideal for ILAAP preparation or board-level risk review.
  • Full nine-module stress analysis
  • Five named crisis scenarios
  • 500-scenario Monte Carlo
  • Professional PDF report
  • COREP / FSA047 alignment
  • Delivered within 48 hours
By Asset Size
Under £1B£3,500
£1B – £5B£5,000
Over £5B£7,500

Get Started
Most Popular
Annual Licence
From £10,000 / year
Ongoing external validation. Quarterly re-runs across all scenarios, updated for regulatory changes, with priority delivery and direct analyst access.
  • Everything in Pilot
  • Quarterly scenario re-runs
  • Regulatory update monitoring
  • Bespoke scenario calibration
  • Direct analyst access
  • Risk committee presentation pack
By Asset Size
Under £1B£10,000
£1B – £5B£15,000
Over £5B£25,000+

Request Quote
Monthly Retainer
From £1,500 / mo
Monthly validation runs with scenario updates. For institutions requiring frequent re-testing or operating in fast-moving rate environments.
  • Monthly full framework run
  • Scenario parameter updates
  • New scenario additions
  • Month-on-month trend analysis
  • Priority 24hr turnaround
By Asset Size
Under £1B£1,500/mo
£1B – £5B£2,000/mo
Over £5B£2,500/mo

Get Started

See what our framework finds in your balance sheet

We'll run your public annual report data through the full framework and send you a sample output — at no cost, no commitment. Most institutions receive it within 48 hours.

Request Free Sample Or book a 20-min call

Start with a conversation

We work with a small number of UK and US institutions at a time to ensure quality of output. If you're assessing your ILAAP readiness, preparing for a PRA review, or simply want an independent perspective on your liquidity position — get in touch.

Company Leviticus Risk Intelligence Ltd
Registered in Northern Ireland
Email jacob@leviticusrisk.com
Response We respond to all enquiries within one business day
Framework Basel III · PRA SS24/15 · EBA/GL/2022/14 · FDIC SVB Post-Mortem 2023
Contact

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