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.
• Perform post model adjustments.

Aggregation & reporting

• Enables results aggregation and detailed data preparation for EBA FINREP reports.
• Reporting templates, which can be modified as needed, automate reporting and disclosures:
  • 12-Month ECL.
  • Lifetime ECL.
  • Credit Quality.
  • Stage Allocation/Movement.
  • Reconciliation Report. 
  • IFRS 9 financial disclosure reports (e.g., stage, period-to-period changes).
• Provides an embedded dashboard with data quality and management reports.

Workflow

• 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.