Moody's Analytics Insights
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).
HKMA intends to adopt a revised implementation schedule for the margin requirements for non-centrally cleared derivatives.
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).
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).
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%.
The global economy is navigating troubled waters. The unresolved and significant geopolitical risks plaguing the global economy are exacerbating the slowdown in demand.
Presented at the Credit Union National Association, Ohio Credit Union League
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.
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.
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.
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.
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.
APRA is consulting on amendments to the prudential standard CPS 226 on margin and risk mitigation requirements for non-centrally cleared derivatives.
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.
BCBS published the first set of frequently asked questions (FAQs) to facilitate consistent global implementation of the standardized approach for operational risk capital.
MAS published Notice 656 on rules to measure and limit exposures to a single counterparty group for banks incorporated in Singapore.
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.
SEC adopted amendments that codify an existing exemption for credit rating agencies registered with SEC as nationally recognized statistical rating organizations (NRSROs).
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.
EC signed a memorandum of understanding (MoU) with SRB on the modalities for their cooperation and information exchange on bank resolution.
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).
FED extends for three years, with revision, the market risk capital rule (FR 4201; OMB No. 7100-0314).
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.
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.
EBA published answers to six questions under the Single Rulebook question and answer (Q&A) tool this week.
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.
APRA updated the frequently asked questions (FAQs) on the management of liquidity risk by the authorized deposit-taking institutions.
EBA updated data used for the identification of global systemically important institutions (G-SIIs).