This research paper discusses the credit risk premium adjustment required for constructing discount rates specified by the IFRS 17 accounting rules. Calculating the credit risk premium is a key requirement in the ‘top down' yield curve method. It may also be a useful input in computing (or benchmarking) the illiquidity premium for ‘bottom up' discount rate construction.
US Agencies (FDIC, FED, and OCC) proposed a rule to increase the threshold level at or below which appraisals would not be required for the residential real estate transactions from USD 250,000 to USD 400,000. Comments will be accepted for 60 days from publication in the Federal Register.
This week one answer was published as part of the Single Rulebook Questions and Answers (Q&A).
Both the sell-off of equities and the very limited and slight inversion of the Treasury yield curve at the three- and five-year maturities hint of a possible pause for the latest series of Fed rate hikes. Since September 26's last hiking of fed funds to 2.125%, the 10-year Treasury yield has dropped from 3.05% to a recent 2.87%, and the five-year Treasury yield has sunk from 2.95% to 2.74%.
With the economy now facing its most vulnerable window of growth since the global financial crisis, it appears the latter is again more of a priority.
FED published the updated reporting form FR Y-14Q for Capital Assessment and Stress Testing, along with the associated instructions.
In this paper, we provide empirical support for the conclusion that the CECL standard will be less procyclical than the incurred loss standard.
PRA published the policy statement PS30/18, which contains the final policy following a consultation (CP16/18) on certain amendments to regulatory reporting.
Agustín Carstens, the General Manager (GM) of BIS, during the keynote address at the FT Banking Summit in London, spoke about new challenges and policy implications of big tech in finance.
ACPR notified that version 2.8.1 of the Capital Requirements Directive (CRD) IV Data Point Model taxonomy and version 2.1.0 of the Anti-Money Laundering and Terrorist Financing (LCB-FT) taxonomy have been made available.
European Council endorsed the agreement achieved between the presidency and the Parliament on the key measures of a comprehensive legislative package aimed at reducing risks in the banking sector in EU.
BCBS published a report that identifies, describes, and compares the range of observed bank, regulatory, and supervisory cyber-resilience practices across jurisdictions.
EIOPA published new sets of questions and answers (Q&A) on guidelines, implementing regulations, and delegated regulations applicable to insurers in Europe.
ESMA, the direct supervisor of credit rating agencies (CRAs) in EU, has registered A.M. Best (EU) Rating Services B.V. as a CRA under the CRA Regulation, with effect from December 03, 2018.
ECB published the final cyber resilience oversight expectations for financial market infrastructures (FMIs).
ESAs (EBA, EIOPA, and ESMA) published a statement in response to the industry concerns about severe operational challenges in meeting the transitional provisions of the Securitization Regulation disclosure requirements.
OSFI released a revised Minimum Capital Test (MCT) Guideline for federally regulated property and casualty (P&C) insurers.
EBA updated all the information disclosed by the competent authorities in EU according to the implementing technical standards on supervisory disclosure, which was published in the Official Journal of the European Union on June 04, 2014.
Profitability will have the final say regarding the future direction of the corporate credit cycle. Each of the five deep and extended contractions by profits since 1982 helped to lift the high-yield default rate well above 5%. Moreover, three of the five pronounced downturns by profits overlapped each of the recessions since 1982. For now, the outlook for corporate earnings benefits from the surprising containment of employee compensation notwithstanding the lowest unemployment rate in 49 years.
The Group of Central Bank Governors and Heads of Supervision (GHOS) met, on November 26–27, in Abu Dhabi to discuss a range of policy and supervisory topics. GHOS represents nearly 80 jurisdictions and is the governing body of BCBS.
FED proposed a rule that would establish risk-based categories for determining prudential standards for large U.S. banking organizations, consistent with section 401 of the Economic Growth, Regulatory Relief, and Consumer Protection Act (EGRRCP Act).
DNB issued the banking and insurance newsletters for November 2018.
We asked attendees of the 2018 Moody's Analytics Summit their thoughts on four key questions in preparation for the new standard.
The Financial Policy Committee (FPC) of BoE published the financial stability report for 2018, including the results of its 2018 stress test for the banking sector in the UK.
EIOPA published the draft technical advice on possible amendments to the delegated acts under Solvency II and the Insurance Distribution Directive (IDD) with respect to the integration of sustainability risks and factors.
FSB published its fourth annual report on the implementation and effects of the G20 financial regulatory reforms.
ECB published results of the financial stability review in November 2018. The financial stability review assesses developments relevant for financial stability, including identifying and prioritizing the main sources of systemic risk and vulnerabilities for the euro area financial system.
IAIS published the updated timeline on the development of Common Framework for the Supervision of Internationally Active Insurance Groups (ComFrame) and on the revision of Insurance Core Principles (ICPs).
European Council reached an agreement on the stance on a harmonized EU framework for covered bonds.
APRA is consulting on revisions to the prudential standard on capital adequacy (APS 110) and on the new reporting standard on leverage ratio (ARS 110.1).