Muni Loss Forecast Model

Obtain expected muni credit losses (ECL) under economic scenarios.

Muni Loss Forecast Model allows users to assess future creditworthiness across the muni market by generating scenario-conditioned predictions of both probability of default (PD) and loss rates (LR) for the entire municipal market. With exclusive access to select data, Moody’s Analytics uniquely provides a comprehensive forward-looking view of municipal credit quality for CECL and other stress testing applications.

Using historical municipal ratings data spanning nearly 50 years, this econometrically-backed forecasting system allows users to visualize credit quality for individual municipal bond issuers under any Moody’s Analytics economic scenario. The models are based solely on quantitative measures of national and subnational economic and demographic data including the unemployment rate, change in per capita GDP, bond spreads, median incomes, and more.

With a straight forward user experience, client can use the following inputs: starting PD or credit rating, maturity, muni sector (airport, local government, etc.), state in which the obligor is located and customizable LGD assumptions; to:

Applications

  • Obtain cumulative PD and LR over desired lifespan of the security or loan across multiple scenarios.
  • Obtain year-ahead PD and LR at quarterly frequency for up to 30 years across multiple scenarios.

Key Features

  • Provides year-ahead and lifetime PD and LR estimates for any muni issuer under any Moody’s Analytics’ economic scenario.
  • Quarterly forecasts out to 30 years, updated monthly allow continuous monitoring of HTM and AFS portfolios.
  • Easily access model results via integrated API, Moody’s Analytics Impairment Studio, Excel add-in or other custom delivery options.
  • Results available under baseline, consensus, regulatory, or eight alternative scenarios.
  • Documented forecast model methodology and scenario documentation.