Methodologies and CECL Calculation

There are five major ready-to-use Methodologies available in the product. You can choose the methodology that is applicable for every set of accounts or instruments based on any combination of dimensions through a Rule, with the standard product feature of using Customer Type, Product Type, and Default status. The five ready-to-use methodologies are the following:

• Cash Flow
• Forward Exposure
• Provision Matrix
• Specific Provision
• Roll Rate

Collective Assessment: The CECL run can also determine the stage, collectively, at an aggregated level. For more information about collective assessment, see the Collective Assessment section.

For CECL calculation:

• Segments via the Segmentation Run and applicable only for Roll Rate methodology
• EIR, depending on the methodology
• Transition matrices, either via the Historical Transition matrix run or UI, and applicable only for Roll Rate methodology
• Loss rates via the Historical Loss rate run, and applicable only for Roll Rate methodology
• PD term structure, either as download or through execution of PD Model
• LGD Values, as a download, are required.