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The ImpairmentCalc software provides expected credit loss impairment calculations by taking user-defined asset classifications, credit risk measures, and IFRS 9 and CECL guidance to produce loss allowance. It converts internal rating or through-the-cycle probability of default (PD) to a compliant point-in-time PD term structure.

Employ a modular, flexible, and comprehensive model for IFRS 9 and CECL impairment calculations

  • Calculate one-year or lifetime expected losses based on configurable stage allocation rules, covering commercial and industrial, commercial real estate, retail, muni, and other asset classes.
  • Discount expected credit losses to the reporting date, using the effective interest rate as the discounting rate.
  • Capture all contractual terms of financial instruments, such as usage and prepayment, to generate contractual cash flows for fair value, other comprehensive income, and more.
  • Compute scenario-based loss allowances on one or more forward-looking macroeconomic scenarios, consistent with the methodology of IFRS 9 and CECL guidance.
  • Integrate the ImpairmentCalc software into Moody's Analytics Credit Loss and Impairment Analysis Suite or run in standalone mode.

Address accounting standards and internal loss recognition requirements while managing portfolio credit risk

  • Gain insight into portfolio-specific vulnerabilities and sensitivities to specific risk factors, such as a rise in interest rates or changes in the macroeconomic environment.
  • Quantify expected credit losses based on current credit cycle adjustments and forward-looking credit risk factors.
  • Access impairment calculations for different types of financial instruments from other systems, such as the ALM system, by inputting those custom cash flows into ImpairmentCalc software.
  • Leverage internal ratings and macroeconomic scenario forecasts to provide conditional point-in-time PD and LGD term structures.
  • Recognize the portion of a commitment to be drawn down on financial instruments when the commitment includes both a loan and an undrawn component, such as in revolving credit facilities.

Utilize an integrated solution combining data, scenarios, modeling, advisory services, and infrastructure

    The ImpairmentCalc software is part of Moody's Analytics Credit Loss and Impairment Analysis Suite.

    Moody’s Analytics Credit Loss and Impairment Analysis Suite improves credit loss estimation analysis and calculations. Its data integrity, analytics, and regulatory reporting solutions provide a modular, flexible, and comprehensive IFRS 9 impairment solution that facilitates a bank’s efforts to calculate, manage, and report expected credit losses.

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