SAS® Solution for IFRS 9 Features
Modeling & analytics
- Enables you to fix data quality issues with customizable data quality rules.
- Business rules for IFRS 9 stage allocation accelerate implementation. Rules may be modified as needed.
- Prebuilt model templates, supporting a number of industry-standard techniques, greatly reduce coding requirements and simplify ongoing maintenance:
- Hazard models.
- Markov chains.
- Probability of default (PD) curves.
- Loss given default (LGD).
- Monte Carlo simulations.
- State transition models.
- A data model supports ECL calculations and financial disclosure reporting.
- Integrated scenario editing allows for quick changes to risk factors for what-if analysis.
- Provides query and filtering capabilities of any table for use in analysis.
- Automated attribution model computes the ECL impact of different scenarios and explains period-to-period changes.
Aggregation & reporting
- Enables financial aggregation according to IFRS guidelines and EBA FINREP.
- Reporting templates, which can be modified as needed, automate reporting and disclosures:
- 12-Month ECL.
- Lifetime ECL.
- Credit Quality.
- Stage Allocation/Movement.
- Reconciliation to IAS 39.
- IFRS 9 financial disclosure reports (e.g., stage, period-to-period changes).
- Provides an embedded dashboard with data quality and management reports.
- Project management dashboard monitors the status of monthly IFRS 9 production.
- Unified workflow provides greater control and enables improved collaboration and transparency.
- Provided workflows allow for faster implementation, while offering the ability to customize based on institution-specific requirements. Additional SAS scripts add flexibility and enable users to seamlessly integrate the disparate parts of the IFRS 9 process.
- Easily customizable workflows, accounting rules and data flows allow process to adapt and evolve over time.