SAS® Solution for CECL Features
Modeling & analytics
- Prepackaged templates for commonly used model types speed model development and make it easy to compute lifetime expected credit loss (ECL):
- Hazard models.
- Markov chains.
- PD curves.
- Loss given default (LGD).
- Monte Carlo simulations.
- State transition models.
- Input data model supports ECL calculations and financial disclosure reporting.
- Expected credit loss scenario attribution model computes the ECL impact of different scenarios.
Aggregation & reporting
- Easy-to-use, self-service reporting templates and out-of-the-box visualizations for quick design and deployment of CECL reports.
- Ability to aggregate or drill into results on the fly.
- Automated disclosures and posting into ledgers for enhanced accountability.
- Worksheets aggregate and merge ECL calculations with other financial data across business entities.
- CECL report templates, which can be modified as needed, include:
- Lifetime ECL.
- Credit Quality.
- Vintage Analysis.
- Reconciliation to FAS 5 and FAS 14.
- Provides CECL financial disclosure reports (e.g., loss allowance, provisions and roll forward allowance).
- Enables financial aggregation according to FASB guidelines.
- CECL project management dashboard monitors the status of monthly CECL reporting and related workflows.
- Data quality and reconciliation rules are provided in accordance with the principles of BCBS 239. Rules may be extended by business users as needed.
- Unified workflow for greater control and improved collaboration and transparency.
- Easily customizable accounting rules and data flows.
- Ability to synchronize all risk and finance processes for improved auditability, transparency and repeatability.
- Provides sample workflow templates for managing ECL computing process.
- Additional SAS scripts for added flexibility and seamless integration of the disparate parts of the CECL process.
- End-to-end data processing support, from inputting data models to reporting and generation of posting data.