Author: Edwina Lister, Director - Risk Management, Moody's
We are nearing the end of the second week of the U.K. Prudential Regulation Authority (PRA) Dynamic General Insurance Stress Test (DyGIST) exercise, with the PRA issuing its fourth scenario inject on May 14.
Each stress test scenario features simulated catastrophic events, such as a hurricane, cyber attack, and earthquake; these are not actual live events. Since the start of the DyGIST exercise on May 5, our Moody's RMS™ Event Response teams have been helping our clients involved with DyGIST, responding to each event as if it were live, and have been kept busy as new information comes in regularly.
With each PRA inject delivering new events or additional data updates, we assess whether new event selections are required or whether additional guidance would be helpful to our clients involved with the exercise.
Latest scenario
The fourth scenario inject delivered on May 14 now closes out all the scenarios except one, with the 'Manufacturing Downtime (Cyber)' event still live.
All modeling information and guidance are available to licensing clients on the Moody's Support Center here.
Here's a summary of where each of the five scenarios stands:
- 'Market Downturn': The PRA asked participants to assume a severe global market stress event had taken place. In response, Moody's released a market stress calibration to our Moody's Scenario Generator clients, incorporating instantaneous stresses for swap rates, government bond yields, inflation, and credit spreads. This scenario was marked complete in the DyGIST inject three on May 12.
- 'Manufacturing Downtime (Cyber)': This supply chain cyber attack scenario continues to unfold, with further updates arriving in the latest DyGIST inject. Our teams are currently assessing whether these require changes to previously released event IDs and guidance. This event remains open, so further updates are expected.
- 'Pacific Northwest Earthquake': The major earthquake and tsunami scenario —announced in the very first inject on May 5—has been marked complete with no further information expected from the PRA. Given its alignment with the Lloyd's Extreme Disaster Scenario (EDS), we were able to issue guidance to clients based on the same EDS modeling approach, making this one of the more straightforward responses for the exercise.
- 'Taurus: North Atlantic Hurricane': Taurus kept us watching with trepidation during the first week of DyGIST—making landfall only after the first inject, with final post-landfall information arriving in the May 7 update. Our Moody's RMS™ Event Response team rose to the challenge, releasing both pre-landfall and post-event stochastic event selections, with a final set of 10 events calibrated around the reported industry loss and observed footprint. No further updates are now expected for this scenario.
- 'Nevis: U.K. Windstorm': Nevis had us waiting with bated breath over the first weekend of DyGIST, as a vicious forecast was provided, bringing red weather warnings across swathes of the country. The storm duly delivered—post-landfall information arrived in the May 12 inject, and Moody's responded with wind-only stochastic event selections for both the Moody's RMS Europe Windstorm HD and DLM models (which include the U.K.). A further set of information was released in the latest inject, and our teams are currently assessing whether this materially changes the event selections already made. No further updates are expected from the PRA on this scenario.
We head into week three with one scenario still live and our teams ready for whatever comes next. We are pleased to support our clients across such a diverse range of events—and we're excited to see what the final week has in store.
As always, all deliverables are published to the Moody's Support Center as soon as they are available. For any questions, please reach out to your Moody's account representative or contact our support team directly.