Moody’s Investors Service is seeking feedback by May 10, 2021 from market participants on proposed changes to the Advanced Loss Given Failure component of its Banks Methodology. This proposal includes revisions that were proposed in a March 2020 Request for Comment as well as some additional revisions related to Advanced LGF.
The proposed changes reflects evolving regulatory approaches to resolution, changes in banks’ liabilities structures and Moody’s own reassessment of the risk of loss faced by holders of more junior instruments as well as to simplify and harmonize the analytical treatment of AT1 securities and the rating of highly integrated entities
Nick Hill, Managing Director, Financial Institutions Group
Simon Ainsworth, Associate Managing Director, Financial Institutions Group