The model risk management standards issued more than five years ago by the Federal Reserve and OCC will be a key element for CECL implementation, same as for any quantitative risk management process.
Firms may need to increase their ALLL by as much as 50% over current levels when CECL is implemented, although results will be driven by ultimate portfolio composition and current approach to loan and lease loss allowance.
CECL affects three groups of financial assets: assets carried at amortized cost, purchased credit-deteriorated assets, and available-for-sale securities.
62% of surveyed banks expect to increase their provisions as a result of CECL implementation.
Under CECL, entities must disclose credit quality indicators for a period of up to five years, depending on the portfolio.
A Moody’s Analytics survey found that more than 40% of respondents planned to integrate IFRS 9 requirements into their existing Basel infrastructure.
Small business loans constitute more than a quarter of the lending volume in the US.
In our industry balance sheet forecast model, three principal components can account for more than 85% of the total variance of all the macroeconomic variables.
The cutoff: Financial institutions with more than $250 billion in assets and more than $10 billion in foreign exposure must report net credit exposures to unaffiliated counterparties on a daily basis.
The financial industry has invested $12 billion to $15 billion in risk technology and data infrastructure in recent years.
For mezzanine tranches, shift to standardized approaches can increase capital requirements by as much as 38%.
The supervisory weighting factors for the current exposure method and SA-CCR differ by as much as 26 percentage points.