SAS^® Solution for CECL

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.

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.