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News

FED Proposes to Revise Annual, Quarterly, and Monthly FR Y-14 Forms

FED issued a proposal to revise, without extension, the annual, quarterly, and monthly Capital Assessments and Stress Testing forms (FR Y-14A/Q/M). Comments must be submitted by October 09, 2018.

August 08, 2018 WebPage Regulatory News
News

FED Releases Results of Comprehensive Capital Analysis and Review

FED released results of the Comprehensive Capital Analysis and Review (CCAR). The results show that, out of the 35 participating firms, FED objected to the capital plan from DB USA Corporation due to qualitative concerns.

June 28, 2018 WebPage Regulatory News
Webinar-on-Demand

Global Macroeconomic Model and Scenario Studio

In this webinar, Mark Zandi and the Moody's Analytics team discuss recent changes to our Global Macroeconomic Model, and provide an overview of Scenario Studio, our new platform for custom scenario development. Learn more: www.moodysanalytics.com/scenariostudio

June 2018 WebPage Mark Zandi, Mark Hopkins
News

FED Releases Results of Supervisory Stress Tests for Banks

FED published the results of the 2018 supervisory stress tests for banks. The results show that the nation's largest bank holding companies are strongly capitalized and would be able to lend to households and businesses during a severe global recession.

June 21, 2018 WebPage Regulatory News
News

FED Announces the 2018 Schedule for DFAST and CCAR Results

FED announced the schedule for the results from Dodd-Frank Act stress testing (DFAST) and Comprehensive Capital Analysis and Review (CCAR).

June 07, 2018 WebPage Regulatory News
News

FED Publishes OMB Supporting Statement on FFIEC 031, 041, 051 and 016

FED published OMB supporting statement for Call Reports FFIEC 031, FFIEC 041, and FFIEC 051, in addition to the supporting statement for FFIEC 016.

May 02, 2018 WebPage Regulatory News
News

OCC Publishes Final Rule Revising the Stress Testing Regulation

OCC published the final rule revising its stress testing regulation, following a consultation. The effective date for the final rule is March 26, 2018.

February 23, 2018 WebPage Regulatory News
News

US Agencies Submit Reporting Form FFIEC 016 to OMB for Review

The US Agencies (FDIC, FED, and OCC) are submitting the form FFIEC 016, as originally proposed, to OMB for review.

February 23, 2018 WebPage Regulatory News
News

FED Updates Technical Instructions for Reporting Form FR Y-14A

FED updated the technical instructions for annual capital assessments and stress testing (FR Y-14A). FR Y-14A is among the data collections under review by FED.

February 14, 2018 WebPage Regulatory News
Webinar-on-Demand

Briefing on the CCAR Scenarios

The Federal Reserve has released its scenarios for the 2018 CCAR stress test. Join Mark Zandi and the Moody's Analytics team as they discuss the narratives behind the Fed's scenarios under forecasts of more than 1,500 detailed economic variables.

February 2018 WebPage Mark Zandi
News

FDIC Releases Economic Scenarios for the 2018 Stress Testing Exercise

FDIC released the economic scenarios to be used by the financial entities that will undergo the 2018 stress testing.

February 06, 2018 WebPage Regulatory News
News

OCC Proposes Revisions to the Form DFAST-14A on Stress Testing

OCC is consulting on revision to a regulatory reporting requirement for national banks and federal savings associations.

February 02, 2018 WebPage Regulatory News

Moody's Analytics Webinar: Briefing on the CCAR Scenarios

The Federal Reserve has released its scenarios for the 2018 CCAR stress test. Join Mark Zandi and the Moody's Analytics team as they discuss the narratives behind the Fed's scenarios under forecasts of more than 1,500 detailed economic variables.

February 01, 2018 WebPage Mark Zandi, Ed Friedman, Dr. Sohini Chowdhury
News

FED Releases Scenarios and Instructions for the 2018 CCAR and DFAST

FED released the scenarios that banks and supervisors will use for the 2018 Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act stress test exercises.

February 01, 2018 WebPage Regulatory News
News

OSFI Issues Letter on 2016-17 ICAAP and Next ICAAP Submissions

OSFI issued a letter that provides feedback on the 2016-17 Internal Capital Adequacy Assessment Process (ICAAP) Submission.

January 17, 2018 WebPage Regulatory News
News

FED Consults on Increasing Transparency of the Stress Testing Program

FED requested comment on a package of proposals that would increase the transparency of its stress testing program while maintaining the FED's ability to test the resilience of the nation's largest and most complex banks.

December 07, 2017 WebPage Regulatory News
Webinar-on-Demand

Stress Testing Evolution: A Scalable Approach to Maximize Your Investment

This webinar discusses how to leverage stress testing processes for tactical and strategic decision-making.

November 2017 WebPage Ed Young, Joy Hart
Webinar-on-Demand

Producing Objective Income & Balance Sheet Forecasts

In this webinar, we demonstrate how forecasts based on industry data can be used to generate an objective benchmark of a bank's performance under baseline and stressed scenarios. We demonstrate results though case study of regional banks, peer groups, and larger CCAR-sized institutions.

November 2017 WebPage Brian Poi
Presentation

Producing Objective Income & Balance Sheet Forecasts Presentation Slides

In this presentation, we demonstrate how forecasts based on industry data can be used to generate an objective benchmark of a bank's performance under baseline and stressed scenarios. We demonstrate results though case study of regional banks, peer groups, and larger CCAR-sized institutions.

November 2017 Pdf Brian Poi
Webinar-on-Demand

IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios

Join Dr. Olga Loiseau-Aslanidi and Alaistair Chan as they discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios.

October 2017 WebPage Dr. Olga Loiseau-Aslanidi, Alaistair Chan
Presentation

IFRS 9 Scenario Implementation and ECL Calculation for Retail Portfolios Presentation Slides

In this presentation, Dr. Olga Loiseau-Aslanidi and Alaistair Chan discuss methods for incorporating forward-looking macroeconomic information to meet IFRS 9 impairment calculation requirements. Our economists will address the probability-weighted aspects of IFRS 9 using Moody's Analytics economic scenarios. The team will also discuss our modeling approach for calculating expected credit losses for retail lending portfolios.

October 2017 Pdf Dr. Olga Loiseau-Aslanidi, Alaistair Chan
Article

Modeling and Forecasting Interest Rate Swap Spreads

In this article, we model and forecast the term structure of swap spreads across a range of currencies using a principle component decomposition.

News

IMF Report on the 2017 Article IV Consultation with United States

Directors emphasized that the thrust of the current risk-based approach to regulation, supervision, and resolution should be preserved to safeguard financial stability while facilitating economic growth.

July 27, 2017 WebPage Regulatory News
News

OSFI Released Draft Changes to Guideline B-20 for Public Consultation

OSFI is consulting on Guideline B-20 that sets out residential mortgage underwriting practices and procedures. Comments are due by August 17, 2017.

July 06, 2017 WebPage Regulatory News
Article

Reconsidering Risk Management, Governance, and Stress Testing

This article discusses areas such as capital stress testing where simplification of regulations could improve the flow of credit while protecting the financial system.

July 2017 WebPage Dr. Deniz Tudor
News

FED Released Results of Supervisory Bank Stress Tests for 2017

The results reveal that the nation's largest bank holding companies have strong capital levels and retain their ability to lend to households and businesses during a severe recession.

June 22, 2017 WebPage Regulatory News
News

FED Consults on Capital Assessments and Stress Testing Data Collection

FED is inviting comments on a proposal to extend for three years, with revision, the mandatory Capital Assessments and Stress Testing information collection via the FR Y-14A, FR Y-14Q, and FR Y-14M reports.

June 09, 2017 WebPage Regulatory News
Presentation

Potential Bumps Ahead for US Financial Markets

How US policymakers respond to pressing fiscal challenges could have major implications for financial market conditions. These challenges, coupled with the debate surrounding the Fed's balance sheet and geopolitical issues, are of concern for those with exposure to market risk.

Whitepaper

Estimating Commercial Real Estate (CRE) Stressed Loss Measures Under Federal Reserve 2017 Comprehensive Capital Analysis and Review (CCAR) Scenarios

For the 2017 CCAR program, the Federal Reserve published three macroeconomic and financial scenarios to be used in stress testing 34 CCAR financial institutions. In this study, we analyze 27 institutions, with a total of more than $760 billion in exposures to commercial real estate loans, using Moody's CMM Stress Testing framework. This report describes how we derive credit loss estimates for the CRE loan portfolios held by CCAR firms. This is our first study leveraging the loan-level commercial banks' data collected via Moody's Analytics CRE Credit Research Database (CRD™). Our analysis estimates that the expected nine-quarter, cumulative CRE portfolio loss through the first quarter of 2019 is 6.5% under the CCAR 2017 Severely Adverse Scenario. The primary factors behind the higher loss estimate compared to last year's stressed scenario (5.1% loss) is that this year's scenario features a slightly more severe economic downturn and a significantly larger decline in commercial real estate prices.

March 2017 Pdf Megha Watugala, Dr. Jun Chen, Wenjing Wang
Whitepaper

What Do 20 Million C&I Loan Observations Say about New Origination Dynamics? — Insights from Moody's Analytics CRD Data

We construct and examine new origination of C&I loans to middle-market borrowers using the Loan Accounting System data extracted from Moody's Analytics Credit Research Database (CRD/LAS). We find that C&I loan origination declines during the Great Recession and recovers soon after. The magnitude of the decline and the speed of the recovery varies across segments. For example, new lending to the financial industry decreases more than to the non-financial industry during the recession and recovers faster afterwards. Another example, new originations during the recession consists predominantly of short-term loans, while long-term lending becomes more dominant post crisis. This finding suggests that banks are using loan tenor as a means to mitigate risk during crises, at times even more so than credit quality.

February 2017 Pdf Dr. Pierre Xu, Tomer Yahalom, May Jeng
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