Macroprudential Scenarios Service

Under the Comprehensive Capital Analysis and Review for 2012 (CCAR) and Capital Plan Review (CapPR), banks with assets over $50 billion are required to conduct capital stress tests as outlined by the Federal Reserve to assess whether they would have sufficient capital to continue operations and to lend to households and businesses, even under adverse conditions. The Federal Reserve has published two scenarios; a Supervisory Baseline Scenario and a Supervisory Stress Scenario, which banks are required to use to test their capital adequacy. However, the scenarios published only include a very limited number of economic variables, leaving banks to read between the lines on exactly how these scenarios would affect their portfolios. In addition, banks are required to come up with their own baseline scenario, and their own stressed scenario. These are supposed to represent scenarios which the bank sees as the “most likely” economic scenario and the “most likely” adverse scenario.

Macroeconomic Advisers’ Macroprudential Scenarios Service provides banks with over 400 economic variables that are consistent with the scenarios set forth by the Federal Reserve. In addition, MA provides the same details for the second set of scenarios developed by MA specifically for this purpose. This arms banks with model-based, internally consistent detailed data upon which to base their stress tests. Macroeconomic Advisers is known for its short-term forecasting and commentary on the Fed and markets. But, it is our disciplined, model-based approach which makes us well-equipped to assist clients in analyzing various scenarios that can be used to judge asset adequacy.

Clients will receive four excel files (one for each scenario) with all variables included in our macroeconomic model. They will also receive related documentation, including a brief overview of our proprietary macroeconometric model, used for these scenarios, and brief descriptions of each of the scenarios. Forecasts for these scenarios extend three years. Scenarios are updated in December and June.

For additional information please contact:

Sales:

Lisa Guirl, Director of Product Development
lguirl@macroadvisers.com
314-721-4747

Technical information:

Chris Varvares, Senior Managing Director and Co-Founder
varvares@macroadvisers.com
314-721-4747


Contact Macroeconomic Advisers
TweetFollow @macroadvisers