IFRS 9 / CECL Impairment Calculator

Principal workflows

• Prepare data: Loan, security and charge-off data from your core and servicing systems is loaded for the period, checked for completeness and reconciled to the general ledger before any estimate is run.
• Estimate: Each pool is estimated with the method you have chosen for it: vintage or cohort loss rates, probability of default and loss given default, discounted cash flow, or remaining-life approaches, combined with your economic forecasts.
• Adjust and review: Qualitative adjustments are entered against the factors your policy lists, each with its rationale and supporting evidence, and reviewed by someone other than the person who proposed it.
• Approve and report: The proposed allowance goes to your controller and committee with the movement analysis and supporting reports. Once approved, the period is locked and the journal entry and disclosure data are exported.

Who uses it

• Controllers and accounting teams who own the allowance for credit losses
• Credit risk analysts who build loss estimates and forecasts
• Allowance and audit committees who approve the period's estimate
• Model risk teams who validate the methods and assumptions
• Internal and external auditors and examiners, who need to follow each figure to its source

Reporting

• Allowance and coverage by pool, stage and entity
• Movement in the allowance from the prior period, by driver
• Scenario and assumption sensitivity
• Qualitative adjustments with their rationale and approvals
• Disclosure tables and regulatory report data from the locked period
• Assumption change history and back-testing for validators and auditors

Features

• Cohort and vintage analysis: Historical losses tracked by origination cohort and pool, so loss curves come from your own experience rather than a spreadsheet rebuilt each quarter.
• Multiple estimation methods: Vintage loss rates, PD/LGD, discounted cash flow, remaining-life and WARM approaches, chosen per pool and documented with the reason for the choice.
• IFRS 9 staging: Stage 1, 2 and 3 assignment from your significant-increase-in-credit-risk criteria, with 12-month and lifetime losses calculated and stage movements explained.
• Forecast scenarios and reversion: Load your economic scenarios, weight them, set the forecast period and reversion approach, and see the effect of each on the estimate.
• Qualitative adjustments with evidence: Each adjustment is tied to a policy factor and a pool, with its rationale, attachments, preparer and reviewer recorded.
• General ledger reconciliation: Loan balances reconciled to GL control accounts before estimation, with differences listed and signed off.
• Sensitivity analysis: Run the estimate under alternative forecasts, weightings and assumptions and keep the results with the period.
• Movement analysis: The change in the allowance from the prior period broken down into volume, mix, credit quality, forecast and qualitative effects.
• Individually assessed loans: Collateral-dependent and other individually assessed loans estimated separately, with appraisals and support attached.
• Period lock and reproduction: Each approved period is locked with its data, settings and results, and can be rerun as of that date to produce the same figures.
• Assumption library: Pools, methods, forecast periods, reversion settings and qualitative factors versioned, with who changed them and when.
• Committee and disclosure packs: Committee reporting, disclosure tables and regulatory report data produced from the same approved figures.

Integrations

• Core banking and loan servicing: Loan, commitment, risk rating, collateral and payment data by scheduled file transfer or API, mapped during implementation.
• General ledger: Control account balances for reconciliation, and the approved allowance entry back to your ledger.
• Economic forecasts: Scenarios from the forecast provider you already use, or your own internal scenarios, uploaded in a standard template.
• Investment accounting: Held-to-maturity and available-for-sale securities positions, ratings and impairment inputs.
• Single sign-on: Staff sign in through your identity provider (SAML or OpenID Connect).
• Model risk management: Method documentation, assumption history and back-testing shared with Moraph's Model Risk Management (MRM) Validator or your own model inventory.
• Regulatory reporting: Allowance figures by loan category for your Call Report or 5300 Call Report, including through Moraph's Automated Call Report Filer.
• Work API: Period results, adjustments and status available to your data warehouse and reporting tools through the Moraph Work API.

Deployment

• Moraph cloud: Hosted and operated by Moraph in the United States region. United Kingdom and Australia regions are available for institutions reporting under IFRS 9 outside the US.
• Dedicated environment: A single-tenant environment for institutions whose policies require isolation, scoped in the proposal.
• With a managed service: Optionally run alongside a Moraph managed service for period-close support and platform administration.

Security and privacy

• Single sign-on: Staff sign in through your identity provider, so your password and multi-factor policies apply.
• Role-based access: What each person can see and do follows their role and entity; preparing an adjustment is separate from approving it.
• Locked periods: Approved periods cannot be changed without a recorded reopening, so reported figures stay tied to the data and settings that produced them.
• Encryption and keys: Client data is encrypted, with keys Moraph staff cannot use without explicit, time-bound authorization.
• Complete audit trail: Every data load, setting change, adjustment, approval and export is logged with the person and time, and cannot be edited.
• Data residency: Data stays in the hosting region you choose: the United States, the United Kingdom or Australia.

Limitations

• The Calculator produces an estimate; the allowance recorded in your financial statements is your institution's judgment, approved by your own controller and committee.
• Estimates depend on the quality and length of the loss history and portfolio data you provide. Where your own history is limited, peer or proxy data must be sourced and justified by you.
• It does not produce economic forecasts. You supply scenarios from your chosen provider or your own economists.
• It does not post to your general ledger directly; it exports a journal entry file for your team to post.
• It does not perform fair value measurement or hedge accounting.
• Methods and assumptions are configured to your policy during implementation; choosing them, and changing them, remains your decision.
• Using the Calculator does not replace independent model validation or your auditor's testing.
• It does not file regulatory reports; it produces the data your reporting team uses.

Next steps

Book a demonstration or a technical briefing at www.moraph.com/solutions/ifrs-9-cecl-impairment-calculator. Purchasing routes and company information: www.moraph.com/how-to-buy.