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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.
- 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.
- 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.
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.
Gain insights to manage credit risk, support regulatory compliance, and make active asset allocation decisions.
Moody’s Analytics delivers award-winning credit models and expert advisory services to provide you with best-in-class credit risk modeling solutions.
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.
Moody’s Analytics offers a modular, flexible, and comprehensive IFRS 9 impairment solution that facilitates banks’ efforts to calculate and manage capital set asides for these provisions.
Quantify diversification benefits across portfolios and define risk types that inform risk management and active asset allocation decisions.