Current Expected Credit Loss Model (CECL)

CECL, which governs recognition and measurement of credit losses for loans and debt securities, presents several challenges for institutions trying to determine how to measure expected credit losses.

Financial institutions transitioning to CECL need robust systems to aggregate data, calculate expected credit losses, derive provisions, and report on key risk drivers. For many institutions, the process to calculate and approve the allowance will also change. Furthermore, CECL might require the use of additional data, more refined credit risk models, and greater internal modeling resources.

The Moody's Analytics Credit Loss and Impairment Analysis Suite provides solutions for the most crucial aspects of the impairment calculation process and can support various approaches taken by small and large institutions for estimating losses.

Expertly developed economic scenarios and comprehensive, granular data

CECL requires institutions to account for forecasts of future economic conditions, using internal or third-party economic scenarios. Our team of economists provides standard and bespoke macroeconomic data, forecasts, and scenarios to help you at every step of this process.

Moody’s Analytics also provides comprehensive and granular credit risk and financial data to help capture and collect historical data for each exposure in the portfolio. When combined, these datasets create a powerful foundation on which to develop loss estimation models, quantitative credit risk models, and benchmarking.

Best-in-class modeling, analytical expertise and powerful impairment calculation software

Our solutions offer standard and customizable credit risk rating models for major asset classes. Modify existing models to extend forecasting horizons or implement internally developed or off-the-shelf models for forward-looking estimates of credit risk throughout the life of the exposure.

Impairment calculation software helps reduce manual processes and ensure that calculations are carried out in a controlled environment with auditability, reporting, and archiving capabilities. Enhancing governance and controls over the impairment calculation process helps facilitate the flow of information to managers and auditors of uncertainties around estimates and their impact on financial statements. The calculation environment supports workflow and overlay management for model governance and integrates the scenarios, data, models and provision calculations to ensure interactivity and auditability.