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Timeline
We will publish our regulatory scenarios for the following databases or services as follows (counting in calendar days, all times in ET). Be advised that this timeline may change if the Federal Reserve Board issues corrections (as in 2017).
| Day | Target | Product | Status? | Date/time |
|---|
| 0 |
1 Feb. |
FRB releases its CCAR supervisory scenarios |
RELEASED |
1 Feb. 4:00 pm |
| 2 |
3 Feb. |
U.S. macro forecast (Q) |
RELEASED |
3 Feb. 11:00 am |
| 2 |
3 Feb. |
U.S. macro forecast (M) |
RELEASED |
3 Feb. 11:00 am |
| 2 |
3 Feb. |
U.S. eModel |
RELEASED |
3 Feb. 2:00 pm |
| 4 |
5 Feb. |
U.S. state forecast |
RELEASED |
5 Feb. 11:00 am |
| 4 |
5 Feb. |
U.S. narratives |
RELEASED |
5 Feb. 4:00 pm |
| 4.5 |
6 Feb. |
Global macro forecast |
RELEASED |
6 Feb. 11:00 am |
| 6 |
7 Feb. |
U.S. metro area forecast |
RELEASED |
6 Feb. 5:00 pm |
| 6 |
7 Feb. |
Global financial markets database |
RELEASED |
7 Feb. 1:00 am |
| 6 |
7 Feb. |
Bank call report forecasts |
RELEASED |
6 Feb. 1:00 am |
| 7 |
8 Feb. |
Case-Shiller® Home Price Index Forecast |
RELEASED |
8 Feb. 11:00 am |
| 8 |
9 Feb. |
CreditForecast.com |
RELEASED |
8 Feb. 11:00 am |
| 9 |
10 Feb. |
AutoCycle |
RELEASED |
8 Feb. 4:00 pm |
| 15 |
16 Feb. |
U.S. commercial real estate database (RCA CPPI™) |
RELEASED |
13 Feb. 9:00 am |
Following our initial update we will re-run the regulatory scenarios for each product (apart from CreditForecast.com) in April, June and October.
Notices
In response to our inquiry about the U.S. 5-year treasury yield forecast in the adverse scenario, the OCC has confirmed to us that the forecast path is correct and intentional.
Our forecast of the RCA Commercial Property Price Index is based on a last historical value from 2017Q2, because the product was redefined by RCA in mid-2017 (see related article), and we have not yet modified our forecast to align with its new definitions.
Background
The U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 stipulates that the Board of Governors of the Federal Reserve System (“FRB”) shall conduct an annual Comprehensive Capital Analysis and Review (“CCAR”) in which certain banks evaluate their forward-looking capital planning processing to account for unique risks and to ensure they have adequate capital to continue operations during periods of economic and financial stress (that is, “perform stress tests”).
As part of this exercise, FRB publishes three “supervisory scenarios,” each consisting of some 30 time series with history and a short future horizon. These constitute a snapshot, and Data Buffet stores them separately from the “live” series actively updated by respective sources. Our “regulatory scenarios” use the FRB data as assumptions, and are distinct from our standard monthly scenarios: their concept codes, update schedule and pricing are separate.
The Moody’s Analytics regulatory scenarios are an add-on product; for details, please contact your sales representative.
See also
Updates
- 31 Jan. - Initial version.
- 1 Feb. 5:00 pm - FRB has released CCAR scenarios.
- 1 Feb. 6:15 pm - Anomaly re: yield curve in adverse scenario.
- 2 Feb. 1:15 pm - OCC has confirmed that the adverse scenario paths are correct and intentional.
- 9 Feb. - Entries added for U.S. narratives and U.S. CRE database. Times changed to hourly precision.
- 13 Feb. - Notice re: RCA CPPI forecast.
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