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CECL Solver for Moody’s CreditCycle solution enables users to generate forecasts of lifetime losses and their net present values (NPV) through custom econometric models under the CECL standard for “reasonable and supportable” economic scenarios. Ideal for medium-size and large consumer lending portfolios with extensive historical data, our fully documented, flexible solution enables clients to effectively analyze their portfolio under CECL standards.
- Custom models incorporating client data and macroeconomic variables.
- Uses Moody’s CreditCycle platform for visualization, estimation, and forecasting.
- Secure web-based environment with integrated national and regional economic data.
- Audit track and user-friendly options to view, adjust, and export results.
- 30-year forecast horizon, reverting to long-term trends.
- Results available under baseline, consensus, and regulatory scenarios, plus eight alternative scenarios.
- Economic scenarios updated monthly, with history updated in real time.
- Access to economists and consumer credit analysts for interpretation of results.
- Identify correlations between economic variables and credit risk.
- Calculate expected credit losses over a specified lifetime duration by segment/cohort.
- Generate NPV of lifetime losses by loan type, vintage date, and forecast date.
- Configure loss given default (LGD) and discount rate options for different loan types and economic scenarios.
- Evaluate results under multiple, defensible economic scenarios, including Moody’s Analytics or custom economic scenarios.
- Compare with incurred loss methods using flexible start/end dates for NPV calculations.
- Perform impact analysis for a future start date incorporating new originations.
- Leverage documentation, back-testing, and sensitivity analysis.
Moody’s Analytics provides tools for the most crucial aspects of the expected loss impairment model, with robust solutions to aggregate data, calculate expected credit losses, and derive and report provisions.