The series reside in the historical catalog (United States » Banking » Federal Reserve Board (FRB) » Comprehensive Capital Analysis and Review (CCAR) » Supervisory scenarios) and include, for example, the following. These series are frozen until the next exercise. They run from as early as 1976Q1 to 2019Q1.
- JCCARGDP$%Q_B.IUSA = Real GDP growth - Baseline scenario
- JCCARCPI%Q_FEDM.IUSA = CPI - Adverse scenario
- JCCARIRBBBCQ_FEDS.IUSA = BBB corporate yield - Severely adverse scenario
For reference, the adjoining "Historical" catalog node contains "live" versions of each variable (or the closest proxy), which we republish separately from the CCAR exercises. These may have more history than provided by FRB. Because they are regularly updated, they will eventually diverge from the supervisory scenarios; moreover, for some of the series, past periods are subject to revision.
- GDP$.IUSA = Real GDP
- CPIU.IUSA = CPI
- XZFL073163013Q.IUSA = BBB corporate yield
On February 1, we published the corresponding special alternative scenarios ("regulatory scenarios") of the Moody's Analytics U.S. macro forecast. They include all variables from our macro model (nearly 2,000 concepts) including those not directly related to banking, for example:
- FYPQ_FEDB.IUSA = Personal income, (Bil. USD, SAAR) - CCAR 2016 baseline scenario
- FXPPINM6_FEDM.IUSA = PPI: Nonmetallic mineral products - Asphalt felts and coatings, (Index 1982=100, NSA) - CCAR 2016 adverse scenario
- FMBAD60_FEDS.IUSA = MBA: Mortgages past due 60 days, (%, SA) - CCAR 2016 severely adverse scenario
A concordance between series (CCAR snapshots, Data Buffet "live" historical, and Moody's Analytics regulatory scenarios) is attached.
Please note that:
- All CCAR mnemonics now use the IUSA geo code, as part of ongoing standardization (see related article).
- The manner in which FRB packages the supervisory scenarios, and the length of the historical segment, varies by year. We have spliced all provided periods into our "JCCAR·" series.
- Most of the provided series start at 1976Q1. A few, for non-U.S. geos, start at 1996Q3 or 1999Q1.
- Although there are 28 series in each scenario (16 "domestic" and 12 "international" variables) there are only 18 distinct concept codes, because some of them have up to five geos. In the catalog, these are marked with an asterisk.
Updates:
- Feb. 4 - Initial publication
- Feb. 9 - Separate supervisory scenarios from historical; dissemination date of Moody's Analytics regulatory scenarios
- Jul. 28 - 5-Year and 10-Year Treasury yields used by the FRB are no longer based on the H15 reports; H15 proxies are provided.
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