Our comprehensive CECL Scorecard solution includes capabilities for: credit risk scoring, macroeconomic forecasts, and scenario/stress testing, helping you to efficiently meet your implementation strategies.
A robust CECL solution should help meet requirements including:
Complete the form to request more information >
Dual Credit Risk Scoring used for CECL:
S&P Global Market Intelligence’s CECL Scorecard methodology consists of five steps, extending the estimation of Probability of Default (PD) and Loss Given Default (LGD) to the instrument’s remaining lifetime and using macro-economic forecasts to construct a forward-looking term structure before calculating Expected Credit Losses (ECLs).
For rated instruments, we use credit ratings in the first step of our CECL Scorecard methodology for estimating ECLs. We associate a long-term average default rate term structure (often labeled through-the-cycle) to each rating based on historical default data contained in our CreditPro® product offering.
A comprehensive Credit Assessment Scorecard or a streamlined set of inputs provided within the CECL Model can be used to provide an instrument-level PD and LGD estimates for unrated low-default portfolios (e.g. Municipals, Commercial Real Estate [CRE], Corporates, etc.)
The methodology also accounts for an industry-specific credit cycle adjustment, reflecting the industry’s current position in the credit cycle as well as quarterly forecasts (provided by S&P Global Economics) of selected asset-class-specific macroeconomic factors correlated with ECLs.
Source: S&P Global Market Intelligence; for illustrative purposes only.
Leverage current and historical default and recovery data dating back to 1981. In addition, our methodology allows for separation of the collateral from the borrower analysis, providing an opportunity to strengthen your overall risk management capabilities. Get deeper insight into loan losses and granular insights helping you to adjust for qualitative and macroeconomic changes.
Start your journey to CECL implementation with a methodology that helps you: