SAS® Solution for CECL
Modeling & analytics
- Configurable model templates accelerate CECL model development, implementation, and maintenance for a variety of ECL quantification methods:
- Hazard models.
- Markov chains.
- PD/LGD curves.
- ECL curves.
- Monte Carlo simulations.
- State transition models.
- Configurable input data model that supports all required CECL calculations, adjustments, and disclosure reporting.
- Attribution analysis and waterfall reporting to understand the impact of model, scenario, and portfolio changes on CECL results over time.
- Ability to apply Q-factors and perform post-model adjustments and allocations.
Aggregation & reporting
- Configurable reporting templates and out-of-the-box visualizations for quick design and deployment of CECL reports.
- Ability to aggregate data on the fly and step between pool- and instrument-level results.
- Automated CECL management reports and disclosures for enhanced accountability and faster time to completion.
- CECL disclosure report templates, which can be modified as needed, include:
- Allowance for credit losses (ACL) roll-forward, including the reserve for off-balance sheet credit exposures.
- Credit quality information.
- Past-due analysis.
- Nonaccrual analysis.
- Collateral-dependent financial assets.
- Purchased credit deteriorated (PCD) reconciliation.
- CECL cycle dashboard for easy monitoring of production activities across portfolios, lines of business and users.
- Configurable data quality checks and adjustment rules are provided in accordance with the principles of BCBS 239. Rules may be extended by users as needed.
- Unified workflows for greater control, improved collaboration and transparency around CECL calculations and reporting.
- Easily customizable data intake, processing and adjustment tasks.
- Ability to synchronize all CECL-related risk and finance processes for improved auditability, transparency and repeatability.
- Configurable workflow templates for automated and controlled CECL cycles for all financial instruments in the scope of Subtopic 326.