CECL Analysis Forecast Report

On the Analysis tab on the Current Expected Credit Loss (CECL) Details page, select the View Report link to view the Deep Future Analytics (DFA)-generated CECL Forecast report.

The report contains results for two CECL models provided by DFA: a primary model and an alternative model that is also referred to as the secondary model.

The primary CECL model is an advanced Probability of Default (PD) model that determines loan loss correlations based on unique instrument-level loan characteristics and multiple economic factors. Then, the primary model applies forecasts to those factors to estimate losses over the expected life of the individual loans.

The alternate CECL model is a Time Series model that also determines loss correlations over time but factors in less precise instrument-level detail.

The first table in the report provides loan loss estimates from the primary CECL model.

The Metric definitions are:

Outstanding Balance

This metric is the current balance of each loan product at the time of the most recent data upload.

CECL Loss Forecast

This metric is the estimated loss over the expected lifetime of the loans for each product based on the primary CECL calculation.

CECL Loss Forecast Discounted

This metric is the present value of the estimated CECL loss forecast. The discounted cash flow (DCF) option is allowed under the Financial Accounting Standards Board (FASB) CECL regulations. The losses are estimated to occur in future time frames. CECL regulations allow institutions to set reserves equal to the present value of such losses. Expected losses are discounted using the effective interest rates of the individual loan.

12-Month Loss Forecast

This metric is the estimated losses within the next 12 months. This value is used for back testing purposes. The model compares actual losses over the same 12-month span to the forecasted value. The primary CECL model is recalibrated based on the results of the comparison.

CECL Loss Rate

This metric is the percentage for the CECL Loss Forecast amount divided by the current Outstanding Balance amount.

CECL Loss Rate Discounted

This metric is the percentage for the present value of the CECL Loss Forecast amount divided by the current Outstanding Balance amount.

12-Month Loss Rate

This metric is the percentage for the 12-Month Loss Forecast amount divided by the current Outstanding Balance amount.

The second table provides loan loss estimates from the alternate CECL model.

The Metric definitions are:

Secondary CECL Loss Forecast

This metric is the estimated loss based on the alternate CECL calculation.

Secondary CECL Loss Forecast Discounted

This metric is the present value of the secondary CECL loss forecast. The DCF option is allowed under the FASB CECL regulations. The losses are estimated to occur in future time frames. CECL regulations allow institutions to set reserves equal to the present value of losses. Expected losses are discounted using the effective interest rates of the individual loan.