The Moody’s Analytics suite of credit risk models and data, economic forecasts, advisory services, and infrastructure solutions can assist with the implementation of expected credit loss and impairment analysis, as required by IFRS 9.
The International Accounting Standards Board reform in accounting standards for financial instruments, IFRS 9, requires recognition of loss allowance for financial assets, based on forward-looking 12-month or lifetime expected credit losses (ECL). This standard will materially influence financial institutions' financial statements, with impairment calculations most affected.
The Moody's Analytics Credit Loss and Impairment Analysis Suite provides solutions for the most crucial aspects of the impairment calculation process. Our solutions support the different approaches taken by small and large institutions for estimating losses under IFRS 9.
Expected credit loss calculation
Institutions must enhance or develop new model processes and infrastructure to accommodate provision calculations. Moody’s Analytics expertise and tools can assist firms in determining their IFRS 9 framework and interpreting the changes required to existing probability of default (PD) and loss given default (LGD) models, ensuring consistency with stress testing, internal capital adequacy assessment process (ICAAP), and pricing models.
Firms need more historical, granular data and trend information to build forward-looking impairment models and for tracking credit risk migration. Moody’s Analytics offers the world’s most comprehensive and granular credit risk, economic, and financial datasets and produces standard and custom upside and downside macroeconomic scenarios for "forward-looking" and "probability-weighted" aspects of IFRS 9 impairment calculations.
Software to support IFRS 9 compliance
To manage the end-to-end process of expected credit loss (ECL) calculations, banks must centralize data from numerous sources, coordinate and manage a wide variety of models, evaluate changes in credit risk, and calculate expected losses and provisions accordingly. Banks also have to prepare and export data required by external accounting systems.
The Moody’s Analytics solution enables high performance for granular analysis and more accurate calculations as it is designed for multiple scenarios and what-if capabilities. The software can facilitate interaction and collaboration with flexible and visual workflow management that supports impairment analysis with a repeatable, auditable, and consistent process.
Probability-weighted lifetime forecast scenarios for IFRS9 compliance requirements.
Analyze the credit risk of your auto lending portfolios under baseline and alternative scenarios.
Analyze the credit risk of all consumer lending portfolios with custom models under baseline and alternative scenarios.
Analyze the credit risk of residential mortgage portfolios and RMBS collateral.
Moody’s Analytics Credit Loss and Impairment Analysis Suite of credit risk models and data, economic forecasts, advisory services, and infrastructure solutions assists with expected credit loss calculations.
The CreditEdge platform is the premier model for managing the credit risk of your portfolio of listed firms and sovereigns, globally.
The Default & Recovery Database provides access to the most comprehensive default dataset in the market.
The ImpairmentCalc software provides expected loss impairment calculations, incorporating data and scenario analysis for forward-looking evaluation under IFRS 9 and CECL guidance.
Moody’s Analytics RiskBench solution is a global credit risk data community and data discovery platform that provides in-depth analytics and peer insights.
Moody's Analytics RiskCalc solution offers a comprehensive approach to assessing the default and recovery of private firms.
RiskConfidence ALM system offers integrated enterprise ALM, FTP, liquidity risk management, and business and regulatory reporting.
Moody’s Analytics RiskFoundation Impairment Suite is a strategic software platform that enables the end-to-end orchestration and automation of expected credit loss (ECL) calculations.
The Regulatory Module offers key data and analytical metrics on demand to help financial institutions manage their structured regulatory risk.