Question
How will Moody's Analytics integrate the FRB's November 2012 CCAR ("CCAR 2013") into our U.S. forecasts?
Answer
The U.S. Federal Reserve Board (FRB) conducts bank stress testing through its Comprehensive Capital Analysis and Review (CCAR) of 19 financial firms, under three scenarios, featuring 26 variables. The scenarios were most recently published on November 15, 2012 (citation).
We first adapted our scenarios in November 2011, and are now expanding our use of CCAR. Three new scenarios using the updated definitions will be rolled into our U.S. Macro/Financial Alternative Scenarios, State Alternative Scenarios, Metro Alternative Scenarios, Case-Shiller Forecasts, and CreditForecast.
Expect to see email notifications and notices on our websites.
Availability:
As of November 20, the new scenarios are available only in our U.S. macro forecast. You will see them listed in the Geography Wizard when browsing the United States forecast catalog.
For example, our forecasted federal funds rate has a mnemonic of FRFED.US, and the corresponding mnemonics for scenarios under the CCAR baseline, adverse shock and severely adverse shock assumptions are, respectively, FRFED_FEDB.US, FRFED_FEDM.US and FRFED_FEDS.US.
Timing of CCAR scenarios:
- U.S. macro (USFOR) - Within seven business days of release by FRB
- U.S. regional (state and metro, STFOR and MSFOR) - Within five business days of macro scenarios, i.e., two to three weeks after release by FRB
- Case-Shiller and CreditForecast - Within five business days of regional scenarios, i.e., three to four weeks after release by FRB
See also:
Related Releases
CoreLogic Case-Shiller House Price Index Forecast
CreditForecast 4.0 - Forecast
U.S. Forecast Alternative Scenarios
U.S. MSA Alternative Scenarios
U.S. State Alternative Scenarios
Comprehensive Capital Analysis and Review (CCAR)