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    The use of carrier approximation methods for projected capital metrics with an application to the IFRS 17 risk adjustment.

    In this paper we explore the use of the carrier approximation for the multi-year projection of risk and capital metrics. Through an annuity book run-off case study we outline the key factors influencing the performance of the carrier method when applied to the projected IFRS 17 risk adjustment and the projected Solvency II solvency capital ratio (SCR).

    August 2019 Pdf Dr. Steven Morrison
    News

    HKMA Revises Implementation Schedule for Initial Margin Rules

    HKMA intends to adopt a revised implementation schedule for the margin requirements for non-centrally cleared derivatives.

    August 16, 2019 WebPage Regulatory News
    News

    HKMA Revises Guideline on Application of Banking Disclosure Rules

    HKMA issued a revised version of the Supervisory Policy Manual module CA-D-1 on guideline on the application of the Banking (Disclosure) Rules (BDR).

    August 16, 2019 WebPage Regulatory News
    News

    ECB Decision on Recognizing Reporting Member States Under AnaCredit

    ECB has finalized the Decision 2019/1348 (ECB/2019/20) that establishes procedure for recognizing non-euro area member states as reporting member states under the AnaCredit Regulation (EU 2016/867).

    August 16, 2019 WebPage Regulatory News
    Article

    Weekly Market Outlook: Lowest Investment-Grade Industrial Company Bond Yields since 1956

    The latest rally by Treasury bonds drove Moody's long-term industrial company bond yields down to new 63-year lows. On August 14, the single-A industrial company bond yield closed at 3.30% and the Baa industrial yield ended at 4.08%.

    August 2019 Pdf John Lonski, Yukyung Choi, Katrina Ell, Barbara Teixeira Araujo, Ryan Sweet, Michael Ferlez
    Article

    Asia Economic Outlook: Navigating Uncertainty

    The global economy is navigating troubled waters. The unresolved and significant geopolitical risks plaguing the global economy are exacerbating the slowdown in demand.

    August 2019 Pdf Steven Cochrane, Katrina Ell
    Presentation

    CECL Methodologies: Loss Rate Model and Cohort Analysis

    Presented at the Credit Union National Association, Ohio Credit Union League

    August 2019 Pdf Dr. Sohini Chowdhury
    Presentation

    CECL Methodologies: Discounted Cash Flow Approach

    Presented at the Credit Union National Association, Ohio Credit Union League

    August 2019 Pdf Dr. Sohini Chowdhury
    Presentation

    CECL: Determining Correct Segments for Loss Pooling

    Presented at the Credit Union National Association, Ohio Credit Union League

    August 2019 Pdf Dr. Sohini Chowdhury
    News

    FASB Proposes to Extend CECL Standard Deadline for Certain Entities

    FASB proposed an Accounting Standards Update that would grant private companies, not-for-profit organizations, and certain small public companies additional time to implement FASB standards on current expected credit losses (CECL), leases, and hedging.

    August 15, 2019 WebPage Regulatory News
    News

    IASB Adds Phase Two of IBOR Reform to Its Work Plan

    IASB (or the Board) has added the second phase of its project focused on potential financial reporting implications linked to the interest rate benchmark reform—interbank offer rate (IBOR) reform—to its work plan.

    August 15, 2019 WebPage Regulatory News
    News

    FED Updates Draft Instructions for Proposed FR Y-14 Reporting Forms

    FED updated draft instructions for the monthly, quarterly, and annual capital assessments and stress testing reports, also known as forms FR Y-14M, FR Y-14Q, FR Y-14A, respectively.

    August 15, 2019 WebPage Regulatory News
    News

    FASB Proposes Taxonomy Changes Related to Topics 326, 815, and 842

    FASB is proposing taxonomy improvements for the proposed Accounting Standards Update on clarifying the interactions among topic 321 on investments in equity securities), topic 323 on investments under equity method and joint ventures), and topic 815 on derivatives and hedging.

    August 15, 2019 WebPage Regulatory News
    News

    OCC Updates Bank Accounting Advisory Series in August 2019

    OCC released an update to the Bank Accounting Advisory Series (BAAS), which reflects accounting standards issued by FASB, through March 31, 2019, on topics such as hedging and credit losses.

    August 15, 2019 WebPage Regulatory News
    News

    APRA Consults on Final Phase Margin Rules for Uncleared Derivatives

    APRA is consulting on amendments to the prudential standard CPS 226 on margin and risk mitigation requirements for non-centrally cleared derivatives.

    August 14, 2019 WebPage Regulatory News
    News

    APRA Applies Additional Capital Requirement for an Australian Insurer

    APRA decided to apply an additional $250 million capital requirement to Allianz Australia Limited to reflect the issues identified in the risk governance self-assessment by the insurer.

    August 14, 2019 WebPage Regulatory News
    News

    BCBS FAQs on Implementation of Operational Risk Capital Requirements

    BCBS published the first set of frequently asked questions (FAQs) to facilitate consistent global implementation of the standardized approach for operational risk capital.

    August 14, 2019 WebPage Regulatory News
    News

    MAS Publishes Rules on Single Counterparty Credit Limits for Banks

    MAS published Notice 656 on rules to measure and limit exposures to a single counterparty group for banks incorporated in Singapore.

    August 14, 2019 WebPage Regulatory News
    News

    BoE Publishes Actual and Indicative MREL for Banks in UK

    BoE published actual and indicative minimum requirements for own funds and eligible liabilities (MRELs) for UK banks and buildings societies that have bail-in or partial transfer resolution strategies.

    August 14, 2019 WebPage Regulatory News
    News

    SEC Adopts Amendments to Codify Exemption to Credit Rating Agency Rule

    SEC adopted amendments that codify an existing exemption for credit rating agencies registered with SEC as nationally recognized statistical rating organizations (NRSROs).

    August 14, 2019 WebPage Regulatory News
    News

    OSFI Sets Out Plans for Implementation of Insurance Contracts Standard

    OSFI published a letter that provides an update on the milestones completed and the activities underway with respect to the implementation of the insurance contracts standard International Financial Reporting Standard (IFRS) 17.

    August 13, 2019 WebPage Regulatory News
    News

    EC and SRB Sign MoU for Cooperation on Bank Resolution

    EC signed a memorandum of understanding (MoU) with SRB on the modalities for their cooperation and information exchange on bank resolution.

    August 13, 2019 WebPage Regulatory News
    News

    FED Revises Reporting Requirements Associated with Volcker Rule

    FED is adopting a proposal to extend for three years, with revision, the reporting requirements associated with Regulation Y (FR Y-1; OMB No. 7100-0333).

    August 13, 2019 WebPage Regulatory News
    News

    FED Extends and Revises Information Collection Under Market Risk Rule

    FED extends for three years, with revision, the market risk capital rule (FR 4201; OMB No. 7100-0314).

    August 12, 2019 WebPage Regulatory News
    Article

    Household Credit Conditions Never Better

    More than a decade after the financial crisis that was caused in significant part by debt-burdened households, there is no indication that household debt will be at the center of the next economic recession.

    August 2019 Pdf Mark Zandi
    News

    HKMA Publishes Policy Modules Under Banking Exposure Limit Rules

    HKMA published two Supervisory Policy Manual modules on Banking (Exposure Limits) Rules (BELR), in the Gazette, as statutory guidelines under section 7(3) of the Banking Ordinance.

    August 09, 2019 WebPage Regulatory News
    News

    EBA Single Rulebook Q&A: First Update for August 2019

    EBA published answers to six questions under the Single Rulebook question and answer (Q&A) tool this week.

    August 09, 2019 WebPage Regulatory News
    News

    BCBS Issues Basel III Monitoring Updates in August 2019

    BCBS updated the workbook version 4.0.2, instructions, and frequently asked questions (FAQs) on Basel III monitoring, for the collection of June 2019 data. FAQs that have been added since the previous version have been highlighted in yellow.

    August 09, 2019 WebPage Regulatory News
    News

    APRA Updates FAQs on Liquidity Risk Management Standards and Guidance

    APRA updated the frequently asked questions (FAQs) on the management of liquidity risk by the authorized deposit-taking institutions.

    August 09, 2019 WebPage Regulatory News
    News

    EBA Updates Data Used to Identify Systemically Important Banks

    EBA updated data used for the identification of global systemically important institutions (G-SIIs).

    August 09, 2019 WebPage Regulatory News
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