Moody's Corporation · NYSE:MCO

Moody's — CCAR 2016 Webinar

16 slides from Moody's's conference presentation, Feb 2, 2016

  1. Slide 1: CCAR 2016: A Straightforward Stress Test

    CCAR 2016: A Straightforward Stress Test MARK ZANDI, CHIEF ECONOMIST

  2. Slide 2: Moody's Analytics CCAR Scenario Timeline

    Moody’s Analytics CCAR Scenario Timeline Due Date U.S. Macroeconomic February 1 55 Countries February 3 9 Global Regions February 4 U.S. Metro Areas and States February 5 U.S. House Prices February 6 CreditForecast February 12 Source: Moody’s Analytics 2

  3. Slide 3: GDP Falls More in Severely Adverse Than Crisis…

    GDP Falls More in Severely Adverse Than Crisis… Real GDP, % change, annual rate 8 6 Baseline Adverse Severely Adverse 4 2 0 -2 -4 Peak-to-trough Peak-to-trough -6 % decline = % decline = 4.2% 6.2% -8 -10 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: BEA, Federal Reserve, Moody’s Analytics 3

  4. Slide 4: …But the Peak in Unemployment Is Similar

    …But the Peak in Unemployment Is Similar Unemployment rate, % 11 Baseline Adverse Severely Adverse 10 9 8 7 6 5 4 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: BLS, Federal Reserve, Moody’s Analytics 4

  5. Slide 5: A Similar Housing Crash…

    A Similar Housing Crash… House prices, index 200 Baseline Adverse 180 Severely Adverse 160 140 Peak-to-trough % Peak-to-trough % decline = 30.5% decline = 25.0% 120 05 06 07 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: Federal Reserve, Moody’s Analytics 5

  6. Slide 6: …But Less Severe Commercial RE Downturn

    …But Less Severe Commercial RE Downturn CRE prices, index 320 Baseline 300 Adverse Peak-to-trough % 280 Severely Adverse decline = 40.2% 260 240 220 200 180 Peak-to-trough % 160 decline = 30.5% 140 05 06 07 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: Federal Reserve, Moody’s Analytics 6

  7. Slide 7: Comparing CCAR 2016 with CCAR 2015

    Comparing CCAR 2016 with CCAR 2015 Nominal disposable income, cumulative % chg from scenario start 20 Baseline (2016) Baseline (2015) 15 Adverse (2016) Adverse (2015) 10 Severe Adverse (2016) Severe Adverse (2015) 5 0 -5 1 2 3 4 5 6 7 8 9 10 11 12 13 Qtrs into scenario Sources: BEA, Federal Reserve,

  8. Slide 8: Fewer Foreclosures…

    Fewer Foreclosures… Foreclosures started, %, severely adverse scenario 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 Sources: BLS, Federal Reserve, Moody’s Analytics 8

  9. Slide 9: …And Weaker Deposits

    …And Weaker Deposits M2 growth, % change yr ago, severely adverse scenario 12 10 8 6 4 2 0 -2 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 Sources: BLS, Federal Reserve, Moody’s Analytics 9

  10. Slide 10: Flat Yield Curve

    Flat Yield Curve 10-yr Treasury yield less 3-mo Treasury bill, ppts 4 Baseline Adverse Severely Adverse 3 2 1 0 08 09 10 11 12 13 14E 15F 16F 17F 18F 19F Sources: Federal Reserve, Moody’s Analytics 10

  11. Slide 11: Negative Interest Rates

    Negative Interest Rates Severely adverse scenario, % 4 3-mo Treasury rate 3 3-mo LIBOR 3-yr Treasury yield 2 1 0 -1 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: Freddie Mac, Federal Reserve, Moody’s Analytics 11

  12. Slide 12: Mortgage Rate Spread Gaps Out

    Mortgage Rate Spread Gaps Out Mortgage rate spread to 10-yr Treasury rate, % 4.0 Baseline Adverse Severely Adverse 3.5 3.0 2.5 2.0 1.5 1.0 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: Freddie Mac, Federal Reserve, Moody’s Analytics 12

  13. Slide 13: Corporate Credit Spreads Stay Elevated

    Corporate Credit Spreads Stay Elevated 6 100 BBB Corporate rate spread, % (L) 5 Market Volatility Index (R) 80 4 60 3 40 2 20 1 0 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: S&P, Federal Reserve, Moody’s Analytics 13

  14. Slide 14: Economy Caves, but Inflation Holds Firm

    Economy Caves, but Inflation Holds Firm Severe adverse scenario, % change, annual rate 8 6 4 2 0 -2 -4 Real GDP growth -6 CPI inflation -8 -10 08 09 10 11 12 13 14 15F 16F 17F 18F 19F Sources: BLS, Federal Reserve, Moody’s Analytics 14

  15. Slide 15: www.economy.com

    www.economy.com United States United Kingdom 121 North Walnut Street One Canada Square Suite 500 Canary Wharf West Chester PA 19380 London E14 5FA +1.610.235.5299 +44.20.7772.5454 Australia Level 10 Prague 1 O'Connell Street Washingtonova 17 Sydney, NSW, 2000 110 00 Prague 1 Australia Czech Republic

  16. Slide 16: © 2016, Moody's Analytics, Inc. copyright notice

    © 2016, Moody's Analytics, Inc. and/or its licensors and affiliates (together, "Moody's"). All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATE

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