In this session Sageworks' Brandon Russell and Neekis Hammond explain prepayments, attrition rates, the use of FICO and data requirements for the CECL model to be used for financial institutions' ALLL or allowance for loan and lease losses.
CECL Methodology Series for Consumer Loan PoolsLibby Bierman
Recording: http://web.sageworks.com/cecl-methodology-webinar-series/
In this webinar series, Sageworks consultants review the different loss rate methodologies that will be available for banks and credit unions under CECL and their applicability for different loan segments. In this session, they look at consumer loan pools and accounting for them under CECL.
The CECL Workshop Series Part II: Vintage AnalysisLibby Bierman
This webinar covered concerns with methodologies as institutions prepare for the FASB's proposed current expected credit loss (CECL) model. This presentation covered the importance of scenario building, choosing methodologies to test, and gave a deep dive into vintage analysis CECL scenarios.
With the FASB’s current expected credit loss (CECL) model due to be released before the end of the year, there are many changes that banks and credit unions should plan for. These slides accompany a webinar, and cover a summary of the expected loss model as proposed, the do's and don'ts for bankers as they prepare, and ways that CECL will impact the ALLL calculation. View the corresponding webinar recording here: http://web.sageworks.com/cecl-prep-webinar/
CECL Methodology Series for Consumer Loan PoolsLibby Bierman
Recording: http://web.sageworks.com/cecl-methodology-webinar-series/
In this webinar series, Sageworks consultants review the different loss rate methodologies that will be available for banks and credit unions under CECL and their applicability for different loan segments. In this session, they look at consumer loan pools and accounting for them under CECL.
The CECL Workshop Series Part II: Vintage AnalysisLibby Bierman
This webinar covered concerns with methodologies as institutions prepare for the FASB's proposed current expected credit loss (CECL) model. This presentation covered the importance of scenario building, choosing methodologies to test, and gave a deep dive into vintage analysis CECL scenarios.
With the FASB’s current expected credit loss (CECL) model due to be released before the end of the year, there are many changes that banks and credit unions should plan for. These slides accompany a webinar, and cover a summary of the expected loss model as proposed, the do's and don'ts for bankers as they prepare, and ways that CECL will impact the ALLL calculation. View the corresponding webinar recording here: http://web.sageworks.com/cecl-prep-webinar/
As companies continue to evolve the role of human resource as a strategic partner is increasingly important. In this presentation you will learn the keys to being a strong strategic partner.
In this webinar, Sageaworks presents some of the methodologies that institutions are most likely to use with CRE or commercial real estate pools under the CECL model. The recording is accessible here: http://web.sageworks.com/cecl-methodology-webinar-series/
With the current expected credit loss (CECL) model for the Allowance on the horizon, bankers will be asked to create future-looking methodologies that adjust for reasonable and supportable forecasts. Without adequate modeling experience, that can be a challenge for community banks and credit unions.
Watch the full webinar here: http://web.sageworks.com/forward-looking-alll-adjustments/
Event: International Risk Management Conference - http://therisksociety.com
Lecture title: “Is the Benign Credit Cycle Over and Are Credit Markets In a Bubble?”
Date: June 15, 2016
Location: The Hebrew University of Jerusalem
As companies continue to evolve the role of human resource as a strategic partner is increasingly important. In this presentation you will learn the keys to being a strong strategic partner.
In this webinar, Sageaworks presents some of the methodologies that institutions are most likely to use with CRE or commercial real estate pools under the CECL model. The recording is accessible here: http://web.sageworks.com/cecl-methodology-webinar-series/
With the current expected credit loss (CECL) model for the Allowance on the horizon, bankers will be asked to create future-looking methodologies that adjust for reasonable and supportable forecasts. Without adequate modeling experience, that can be a challenge for community banks and credit unions.
Watch the full webinar here: http://web.sageworks.com/forward-looking-alll-adjustments/
Event: International Risk Management Conference - http://therisksociety.com
Lecture title: “Is the Benign Credit Cycle Over and Are Credit Markets In a Bubble?”
Date: June 15, 2016
Location: The Hebrew University of Jerusalem
Multi Objective Optimization of PMEDM Process Parameter by Topsis Methodijtsrd
In this study, MRR, SR, and HV in powder mixed electrical discharge machining PMEDM were multi criteria decision making MCDM by TOPSIS method. The process parameters used included work piece materials, electrode materials, electrode polarity, pulse on time, pulse off time, current, and titanium powder concentration. Some interaction pairs among the process parameters were also used to evaluate. The results showed that optimal process parameters, including ton = 20 µs, I= 6 A, tof = 57 µs, and 10 g l. The optimum characteristics were MRR = 38.79 mm3 min, SR = 2.71 m, and HV = 771.0 HV. Nguyen Duc Luan | Nguyen Duc Minh | Le Thi Phuong Thanh ""Multi-Objective Optimization of PMEDM Process Parameter by Topsis Method"" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-3 | Issue-4 , June 2019, URL: https://www.ijtsrd.com/papers/ijtsrd23169.pdf
Paper URL: https://www.ijtsrd.com/engineering/manufacturing-engineering/23169/multi-objective-optimization-of-pmedm-process-parameter-by-topsis-method/nguyen-duc-luan
Metrics that Matter: New Autotask Performance DashboardsAutotask
What if you could instantly see every aspect of your service desk operation at a glance? - What if you knew exactly where the bottlenecks were, down to the exact days of the week and types of services? - What if you could assess your sales pipeline the same way and fine tune your sales performance at the staff and opportunity level? - What if you knew at a glance exactly which products, services and clients are your most profitable – and could adjust your offerings accordingly? Your data is only as good as your ability to take action, improve productivity and profitability, and demonstrate your impact to your clients.
This special session will demonstrate a new suite of performance management and reporting dashboards that let you visualize your business data. See how you can instantly drill into your core metrics for the insight you need to refine and improve your service delivery, build more predictable revenue streams and increase your profitability.
[Presenter: Tom Teta, Autotask]
Digitizing SMB loans: Overcoming speed and borrower experience concernsLibby Bierman
Banks and Credit Unions can take a look at digitizing their business lending process, with the advantages of both improving the borrower experience and increasing scale.
In this webinar from Sageworks, attendees were able to review key standard language regarding how acquired loans would be accounting for the ALLL (allowance for loan and lease losses) under the current expected credit loss or CECL Model.
HVCRE (high volatility commercial real estate): A PrimerLibby Bierman
In this webinar from Sageworks we cover the definition of High Volatility Commercial Real Estate (HVCRE) and best practices for mitigating concentration risk at banks and credit unions. Access this and other webinars at https://www.sageworks.com/banking/resources/bank-webinars/
In a recent poll, 42% of bankers indicated that commercial real estate is the primary focus for growth in the loan portfolio. At the same time, regulators are concerned that CRE may be overheating as lending standards have eased and CRE portfolios have experienced significant growth.
CECL - The Relationship Between Credit and FinanceLibby Bierman
CECL planning requires collaboration between a bank or credit union's credit and finance functions for the aggregation and analysis of credit loss history. In these slides, find out how decisions made early in your implementation process will influence your ability to leverage results/outputs.
Migration Analysis: The Way Forward for an Effective ALLL.
Financial institutions will learn about using migration analysis as a methodology to calculate their ALLL. The content covers: the process of migration analysis, how the methodology is viewed by regulators, challenges financial institutions face in implementing the methodology, benefits of using migration analysis compared to other methods, and an overview of recommendations for a financial institution considering implementing migration analysis.
Learning Objectives:
1) To understand what Migration Analysis is, and its role in calculating the ALLL.
2) To understand how Migration Analysis differs from other methodologies used in calculating a financial institution’s ALLL.
3) To gain an understanding of how Migration Analysis works within a loan portfolio.
4) To identify key requirements a financial institution needs to implement Migration Analysis, and how they can pose challenges.
5) To learn how Migration Analysis is viewed by regulators/regulation.
6) To identify the key benefits of using Migration Analysis over other methodologies.
7) To identify preparations a financial institution can take to transition from an existing methodology to Migration Analysis.
8) To understand how the advent of automated solutions has simplified Migration Analysis for financial institutions.
CECL - Understanding Data Requirements for Expected LossesLibby Bierman
In the webinars, Sageworks presents an overview of data requirements for the expected credit losses. They look at common data pitfalls for community banks and how they can start to bridge data gaps.
In this webinar from Sageworks (see recording: http://web.sageworks.com/eliminate-manual-data-entry/), consultant Bryce Lugar reviews best practices for document management in the life of the loan, explaining how banks and credit unions can reduce paper waste, inefficiency and data risk in credit analysis.
Discounted Cash Flow Methodology for Banks and Credit UnionsLibby Bierman
As institutions prepare for the CECL or current expected credit loss model for the allowance for loan and lease losses (ALLL), institutions are prudently learning the various methodologies available to them. Discounted Cash Flow or DCF is one proposed methodology. This session presents best practices and use cases for the ALLL methodology. See the recording: http://web.sageworks.com/dcf-webinar/
Member Business Lending: Growth and Risk ManagementLibby Bierman
Sageworks and Ancin Cooley, founder and principal of Synergy Credit Union Consulting, presented a webinar (access recording http://web.sageworks.com/risk-in-mbl-cooley/) reviewing how credit unions can develop and grow member business lending programs for their commercial members. Review to find out the risks inherent in MBL as well as benefits to this concentration.
In this webinar, Sageworks consultants explained the role that forecasting can have in preparation for the FASB's CECL model and under the new accounting guidance. Access the recording at http://web.sageworks.com/cecl-methodology-webinar-series/
During the CECL Methodology Webinar Series (http://web.sageworks.com/cecl-methodology-webinar-series/) questions from attendees have been compiled and answered. Access the recording to hear all the answers and dialogue: http://web.sageworks.com/cecl-methodology-webinar-series/
CECL Methodology Series for Off-Balance-Sheet Credit ExposuresLibby Bierman
Sageworks Neekis Hammond walks attendees through the calculation and segmentation of liabilities and reserves as they may apply to this part of the portfolio under the CECL model.
Recording: http://web.sageworks.com/cecl-methodology-webinar-series/
Sageworks Steven Marting and Nick Miler from Clarity Advantage present how community banks and credit unions can make process improvements that equate to increasing demand and performance for small business lending.
CECL Methodology Series for C&I Loan PoolsLibby Bierman
In this webinar, Sageworks looks at methodologies that banks and credit unions will likely use for commercial and industrial loans when calculating the ALLL under CECL. See the recording at http://web.sageworks.com/cecl-methodology-webinar-series/
Building a Better Small Business Borrower ExperienceLibby Bierman
Recording; http://web.sageworks.com/small-business-borrower-experience/
Banks, CUs and alternative lenders alike are competing for small business loans as a potential source of growth. As a result of the competition, progressive institutions are evaluating how to improve the borrower experience for SMEs. In this webinar, we review research showing how institutions can better meet this segment's needs and expectations.
Data Quality Considerations for CECL MeasurementLibby Bierman
This webinar covers how institutions should be getting their data ready for the Current Expected Credit Loss Model, CECL, which will be the new standard for the ALLL or allowance for loan and lease losses.
Find out more at alll.com.
Maintaining Credit Quality in Banks and Credit UnionsLibby Bierman
In this session, Sageworks presented different ways that people in the bank can curb credit risk in an effort to maintain and improve credit quality of the portfolio.
Sageworks solutions help institutions grow the portfolio profitably through good loans while at the same time reducing credit and regulatory risks. By automating processes, institutions eliminate manual errors and spend more time analyzing results, strengthening their methodologies or pursuing other revenue-generating activities. These solutions also improve examiner relationships, with well-documented processes that comply with the latest guidelines.
If you are looking for a pi coin investor. Then look no further because I have the right one he is a pi vendor (he buy and resell to whales in China). I met him on a crypto conference and ever since I and my friends have sold more than 10k pi coins to him And he bought all and still want more. I will drop his telegram handle below just send him a message.
@Pi_vendor_247
Currently pi network is not tradable on binance or any other exchange because we are still in the enclosed mainnet.
Right now the only way to sell pi coins is by trading with a verified merchant.
What is a pi merchant?
A pi merchant is someone verified by pi network team and allowed to barter pi coins for goods and services.
Since pi network is not doing any pre-sale The only way exchanges like binance/huobi or crypto whales can get pi is by buying from miners. And a merchant stands in between the exchanges and the miners.
I will leave the telegram contact of my personal pi merchant. I and my friends has traded more than 6000pi coins successfully
Tele-gram
@Pi_vendor_247
What price will pi network be listed on exchangesDOT TECH
The rate at which pi will be listed is practically unknown. But due to speculations surrounding it the predicted rate is tends to be from 30$ — 50$.
So if you are interested in selling your pi network coins at a high rate tho. Or you can't wait till the mainnet launch in 2026. You can easily trade your pi coins with a merchant.
A merchant is someone who buys pi coins from miners and resell them to Investors looking forward to hold massive quantities till mainnet launch.
I will leave the telegram contact of my personal pi vendor to trade with.
@Pi_vendor_247
Poonawalla Fincorp and IndusInd Bank Introduce New Co-Branded Credit Cardnickysharmasucks
The unveiling of the IndusInd Bank Poonawalla Fincorp eLITE RuPay Platinum Credit Card marks a notable milestone in the Indian financial landscape, showcasing a successful partnership between two leading institutions, Poonawalla Fincorp and IndusInd Bank. This co-branded credit card not only offers users a plethora of benefits but also reflects a commitment to innovation and adaptation. With a focus on providing value-driven and customer-centric solutions, this launch represents more than just a new product—it signifies a step towards redefining the banking experience for millions. Promising convenience, rewards, and a touch of luxury in everyday financial transactions, this collaboration aims to cater to the evolving needs of customers and set new standards in the industry.
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the contact information for my personal pi vendor.
Telegram: @Pi_vendor_247
how to sell pi coins in all Africa Countries.DOT TECH
Yes. You can sell your pi network for other cryptocurrencies like Bitcoin, usdt , Ethereum and other currencies And this is done easily with the help from a pi merchant.
What is a pi merchant ?
Since pi is not launched yet in any exchange. The only way you can sell right now is through merchants.
A verified Pi merchant is someone who buys pi network coins from miners and resell them to investors looking forward to hold massive quantities of pi coins before mainnet launch in 2026.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
Anywhere in the world, including Africa, America, and Europe, you can sell Pi Network Coins online and receive cash through online payment options.
Pi has not yet been launched on any exchange because we are currently using the confined Mainnet. The planned launch date for Pi is June 28, 2026.
Reselling to investors who want to hold until the mainnet launch in 2026 is currently the sole way to sell.
Consequently, right now. All you need to do is select the right pi network provider.
Who is a pi merchant?
An individual who buys coins from miners on the pi network and resells them to investors hoping to hang onto them until the mainnet is launched is known as a pi merchant.
debuts.
I'll provide you the Telegram username
@Pi_vendor_247
Falcon stands out as a top-tier P2P Invoice Discounting platform in India, bridging esteemed blue-chip companies and eager investors. Our goal is to transform the investment landscape in India by establishing a comprehensive destination for borrowers and investors with diverse profiles and needs, all while minimizing risk. What sets Falcon apart is the elimination of intermediaries such as commercial banks and depository institutions, allowing investors to enjoy higher yields.
US Economic Outlook - Being Decided - M Capital Group August 2021.pdfpchutichetpong
The U.S. economy is continuing its impressive recovery from the COVID-19 pandemic and not slowing down despite re-occurring bumps. The U.S. savings rate reached its highest ever recorded level at 34% in April 2020 and Americans seem ready to spend. The sectors that had been hurt the most by the pandemic specifically reduced consumer spending, like retail, leisure, hospitality, and travel, are now experiencing massive growth in revenue and job openings.
Could this growth lead to a “Roaring Twenties”? As quickly as the U.S. economy contracted, experiencing a 9.1% drop in economic output relative to the business cycle in Q2 2020, the largest in recorded history, it has rebounded beyond expectations. This surprising growth seems to be fueled by the U.S. government’s aggressive fiscal and monetary policies, and an increase in consumer spending as mobility restrictions are lifted. Unemployment rates between June 2020 and June 2021 decreased by 5.2%, while the demand for labor is increasing, coupled with increasing wages to incentivize Americans to rejoin the labor force. Schools and businesses are expected to fully reopen soon. In parallel, vaccination rates across the country and the world continue to rise, with full vaccination rates of 50% and 14.8% respectively.
However, it is not completely smooth sailing from here. According to M Capital Group, the main risks that threaten the continued growth of the U.S. economy are inflation, unsettled trade relations, and another wave of Covid-19 mutations that could shut down the world again. Have we learned from the past year of COVID-19 and adapted our economy accordingly?
“In order for the U.S. economy to continue growing, whether there is another wave or not, the U.S. needs to focus on diversifying supply chains, supporting business investment, and maintaining consumer spending,” says Grace Feeley, a research analyst at M Capital Group.
While the economic indicators are positive, the risks are coming closer to manifesting and threatening such growth. The new variants spreading throughout the world, Delta, Lambda, and Gamma, are vaccine-resistant and muddy the predictions made about the economy and health of the country. These variants bring back the feeling of uncertainty that has wreaked havoc not only on the stock market but the mindset of people around the world. MCG provides unique insight on how to mitigate these risks to possibly ensure a bright economic future.
Even tho Pi network is not listed on any exchange yet.
Buying/Selling or investing in pi network coins is highly possible through the help of vendors. You can buy from vendors[ buy directly from the pi network miners and resell it]. I will leave the telegram contact of my personal vendor.
@Pi_vendor_247
1. Brandon Russell
Sageworks ALLL Specialist
CECL Methodology Series
P R E S E N T E D B Y
Neekis Hammond, CPA
Sageworks Risk Management Consultant
2. About the Webinar
2
• Ask questions throughout the session using the
GoToWebinar control panel
• We will answer as many questions as we can at the
end of the presentation
3. About Sageworks
• Risk management thought leader
for institutions and examiners
• Regularly featured in national and
trade media
• Loan portfolio and risk
management solutions
• More than 1,000 financial
institution clients
• Founded in 1998
3
4. Disclaimer
This presentation may include statements that constitute “forward-looking statements”
relative to publicly available industry data. Forward-looking statements often contain
words such as “believe,” “expect,” “plans,” “project,” “target,” “anticipate,” “will,” “should,”
“see,” “guidance,” “confident” and similar terms. There can be no assurance that any of the
future events discussed will occur as anticipated, if at all, or that actual results on the
industry will be as expected. Sageworks is not responsible for the accuracy or validity of
this publicly available industry data, or the outcome of the use of this data relative to
business or investment decisions made by the recipients of this data. Sageworks disclaims
all representations and warranties, express or implied. Risks and uncertainties include
risks related to the effect of economic conditions and financial market conditions;
fluctuation in commodity prices, interest rates and foreign currency exchange rates. No
Sageworks employee is authorized to make recommendations or give advice as to any
course of action that should be made as an outcome of this data. The forward-looking
statements and data speak only as of the date of this presentation and we undertake no
obligation to update or revise this information as of a later date.
4
6. Agenda
• Series Introduction
• Attrition
• Prepayment
• Data Requirements and Considerations
» Vintage
» Migration
» PD/LGD
» DCF
• Questions
7. CECL Methodology Series
• Thursday, January 12, 2017, 2-3 p.m.: CRE Pool CECL Methodologies
• Thursday, January 26: Consumer Pool CECL Methodologies
• Thursday, February 9, 2017, 2-3 p.m.: C&I Pool CECL Methodologies
• Thursday, February 23, 2017, 2-3 p.m.: Unfunded Commitments & Construction Loan CECL
Methodologies
• Thursday, March 9, 2017, 2-3 p.m.: Forecasting with CECL
• Thursday, March 23, 2017, 2-3 p.m.: Disclosures with CECL
Sign up at: web.sageworks.com/cecl-methodology-webinar-series/
8. What is the purpose?
Attrition Analysis.
• Utilization
» Most methodologies require a life assumption prior to pool-level execution
• Support
» Very material to the historical loss experience, and will be scrutinized
• Compliance
» In order to accommodate key components of the standard, it is important that the logic aligns with
certain provisions
• Renewals
• Material modifications
• Maturity
• Balance considerations (payoff, chargeoff, etc.)
9. Determining the “life” of each pool
Attrition Analysis.
Product Type Attrition Active Attrition Annual Rate
Commercial RE 417 7,514 6% 20%
Commercial/Ag 1,095 6,673 16% 51%
Consumer - Auto 1,222 10,572 12% 39%
Farm RE 76 1,483 5% 19%
HELOC 522 10,753 5% 18%
RE Construction 61 710 9% 30%
RE Mortgage 578 13,599 4% 16%
Grand Total 3,971 51,311 8% 28%
10. Determining the “life” of each pool
Attrition Analysis.
Date Loan # Call Code Balance Mat Date Ren Date Exit
12/31/2010 1 1.c.2.a 100 12/31/2015
12/31/2010 2 1.e.1 100 6/30/2011
12/31/2010 3 4.a 100 12/31/2015
3/31/2011 1 1.c.2.a 90 12/31/2015
3/31/2011 2 1.e.1 90 6/30/2011
3/31/2011 3 4.a 90 12/31/2015
6/30/2011 1 1.c.2.a 0 12/31/2015 Y
6/30/2011 2 1.e.1 80 6/30/2011 Y
6/30/2011 3 4.a 80 12/31/2015
9/30/2011 1 1.c.2.a 0 12/31/2015
9/30/2011 2 1.e.1 70 6/30/2011
9/30/2011 3 4.a 70 12/31/2015 9/30/2011 Y
11. Determining the “life” of each pool
Attrition Analysis.
Date Loan # Call Code Balance Mat Date Ren Date Exit
12/31/2010 1 1.c.2.a 100 12/31/2015
12/31/2010 2 1.e.1 100 6/30/2011
12/31/2010 3 4.a 100 12/31/2015
3/31/2011 1 1.c.2.a 90 12/31/2015
3/31/2011 2 1.e.1 90 6/30/2011
3/31/2011 3 4.a 90 12/31/2015
6/30/2011 1 1.c.2.a 0 12/31/2015 Y
6/30/2011 2 1.e.1 80 6/30/2011 Y
6/30/2011 3 4.a 80 12/31/2015
9/30/2011 1 1.c.2.a 0 12/31/2015
9/30/2011 2 1.e.1 70 6/30/2011
9/30/2011 3 4.a 70 12/31/2015 9/30/2011 Y
12. Determining the “life” of each pool
Attrition Analysis.
Date Loan # Call Code Balance Mat Date Ren Date Exit
12/31/2010 1 1.c.2.a 100 12/31/2015
12/31/2010 2 1.e.1 100 6/30/2011
12/31/2010 3 4.a 100 12/31/2015
3/31/2011 1 1.c.2.a 90 12/31/2015
3/31/2011 2 1.e.1 90 6/30/2011
3/31/2011 3 4.a 90 12/31/2015
6/30/2011 1 1.c.2.a 0 12/31/2015 Y
6/30/2011 2 1.e.1 80 6/30/2011 Y
6/30/2011 3 4.a 80 12/31/2015
9/30/2011 1 1.c.2.a 0 12/31/2015
9/30/2011 2 1.e.1 70 6/30/2011
9/30/2011 3 4.a 70 12/31/2015 9/30/2011 Y
13. Determining the “life” of each pool
Attrition Analysis.
Date Loan # Call Code Balance Mat Date Ren Date Exit
12/31/2010 1 1.c.2.a 100 12/31/2015
12/31/2010 2 1.e.1 100 6/30/2011
12/31/2010 3 4.a 100 12/31/2015
3/31/2011 1 1.c.2.a 90 12/31/2015
3/31/2011 2 1.e.1 90 6/30/2011
3/31/2011 3 4.a 90 12/31/2015
6/30/2011 1 1.c.2.a 0 12/31/2015 Y
6/30/2011 2 1.e.1 80 6/30/2011 Y
6/30/2011 3 4.a 80 12/31/2015
9/30/2011 1 1.c.2.a 0 12/31/2015
9/30/2011 2 1.e.1 70 6/30/2011
9/30/2011 3 4.a 70 12/31/2015 9/30/2011 Y
14. Determining the “life” of each pool
Attrition Analysis.
Date Loan # Call Code Balance Mat Date Ren Date Exit
12/31/2010 1 1.c.2.a 100 12/31/2015
12/31/2010 2 1.e.1 100 6/30/2011
12/31/2010 3 4.a 100 12/31/2015
3/31/2011 1 1.c.2.a 90 12/31/2015
3/31/2011 2 1.e.1 90 6/30/2011
3/31/2011 3 4.a 90 12/31/2015
6/30/2011 1 1.c.2.a 0 12/31/2015 Y
6/30/2011 2 1.e.1 80 6/30/2011 Y
6/30/2011 3 4.a 80 12/31/2015
9/30/2011 1 1.c.2.a 0 12/31/2015
9/30/2011 2 1.e.1 70 6/30/2011
9/30/2011 3 4.a 70 12/31/2015 9/30/2011 Y
15. Determining the “life” of each pool
Attrition Analysis.
Date Loan # Call Code Balance Mat Date Ren Date Exit
12/31/2010 1 1.c.2.a 100 12/31/2015
12/31/2010 2 1.e.1 100 6/30/2011
12/31/2010 3 4.a 100 12/31/2015
3/31/2011 1 1.c.2.a 90 12/31/2015
3/31/2011 2 1.e.1 90 6/30/2011
3/31/2011 3 4.a 90 12/31/2015
6/30/2011 1 1.c.2.a 0 12/31/2015 Y
6/30/2011 2 1.e.1 80 6/30/2011 Y
6/30/2011 3 4.a 80 12/31/2015
9/30/2011 1 1.c.2.a 0 12/31/2015
9/30/2011 2 1.e.1 70 6/30/2011
9/30/2011 3 4.a 70 12/31/2015 9/30/2011 Y
17. What is the purpose?
Prepayment (SMM & CPR).
• Utilization
» Discounted Cash Flow models represent the best use case for this specific output
• Support
» Very material to the periodic cash flow stream/present value determination
• Compliance
» ASU 326-20-30-6: “An entity shall consider prepayments as a separate input in the method or
prepayments may be embedded in the credit loss information”
• DCF = Separate input
• Migration, PD/LGD, Cumulative and any other “static” method = Hybrid input
• Vintage = Embedded
21. #SageworksSummit
Vintage Analysis.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
21
Vintage Analysis is a method of evaluating the lifetime
credit quality of a loan portfolio by analyzing net charge-
offs in a homogeneous loan pool where the loans share
the same origination period. The method is best used in
the analysis of pools of term debt such as auto and
mortgage portfolios.
22. #SageworksSummit
Vintage Analysis.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
22
Vintage Analysis is a method of evaluating the lifetime
credit quality of a loan portfolio by analyzing net-charge-
offs in a homogeneous loan pool where the loans share
the same origination period. The method is best used in
the analysis of pools of term debt such as auto and
mortgage portfolios.
Lifetime
23. #SageworksSummit
Vintage Analysis.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
23
Vintage Analysis is a method of evaluating the lifetime
credit quality of a loan portfolio by analyzing net-charge-
offs in a homogeneous loan pool where the loans share
the same origination period. The method is best used in
the analysis of pools of term debt such as auto and
mortgage portfolios.
Lifetime
Homogeneous
24. #SageworksSummit
Vintage Analysis.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
24
Vintage Analysis is a method of evaluating the lifetime
credit quality of a loan portfolio by analyzing net charge-
offs in a homogeneous loan pool where the loans share
the same origination period. The method is best used in
the analysis of pools of term debt such as auto and
mortgage portfolios.
Lifetime
Homogeneous
Origination
25. #SageworksSummit
Vintage Analysis.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
25
Vintage Analysis is a method of evaluating the lifetime
credit quality of a loan portfolio by analyzing net charge-
offs in a homogeneous loan pool where the loans share
the same origination period. The method is best used in
the analysis of pools of term debt such as auto and
mortgage portfolios.
Lifetime
Homogeneous
Origination
Term Debt
33. #SageworksSummit
Migration Analysis uses loan-level attributes to track the
movements of loans through the various loan
classifications in order to estimate the percentage of
losses likely to be incurred in a financial institution’s
current portfolio.
Migration & Static Cumulative Loss.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
33
34. #SageworksSummit
Migration Analysis uses loan-level attributes to track the
movement of loans through the various loan
classifications in order to estimate the percentage of
losses likely to be incurred in a financial institution’s
current portfolio.
Migration & Static Cumulative Loss.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
34
loan-level
35. #SageworksSummit
Migration Analysis uses loan-level attributes to track the
movement of loans through the various loan
classifications in order to estimate the percentage of
losses likely to be incurred in a financial institution’s
current portfolio.
Migration & Static Cumulative Loss.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
35
loan-level
movement
36. #SageworksSummit
Migration Analysis uses loan-level attributes to track the
movement of loans through the various loan
classifications in order to estimate the percentage of
losses likely to be incurred in a financial institution’s
current portfolio.
Migration & Static Cumulative Loss.
• Vintage
• Migration & Static
• PD/LGD
• DCF
• Q&A
AGENDA
36
loan-level
movement
classifications
44. #SageworksSummit
PD/LGD.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
44
PD - (probability of default) : the average percentage of
borrowers that default over a defined period of time
LGD - (loss given default): the aggregate subsequent
loss incurred on borrowers that have met the default
criteria as output from the PD analysis.
Displayed/calculated as a percentage of aggregate loss
relative to the exposure at the time of default
PD x LGD calculates the expected loss rate; PD x LGD x
Recorded Investment generates the total dollar amount
of expected losses.
45. #SageworksSummit
PD - (probability of default) : the average percentage of
borrowers that default over a defined period of time
LGD - (loss given default): the aggregate subsequent
loss incurred on borrowers that have met the default
criteria as output from the PD analysis.
Displayed/calculated as a percentage of aggregate loss
relative to the exposure at the time of default
PD x LGD calculates the expected loss rate; PD x LGD x
Recorded Investment generates the total dollar amount
of expected losses.
PD/LGD.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
45
averagePD
46. #SageworksSummit
PD - (probability of default) : the average percentage of
borrowers that default over a certain period of time
LGD - (loss given default): The percentage of exposure
to a bank if the borrower defaults
EAD - (exposure at default): an estimate of the
outstanding amount, or exposure to the bank, in the
event a borrower defaults.
PD x LGD calculates the expected loss rate; PD x LGD x
EAD generates the total dollar amount of expected
losses.
PD/LGD.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
46
averagePD
default
47. #SageworksSummit
PD - (probability of default) : the average percentage of
borrowers that default over a defined period of time
LGD - (loss given default): the aggregate subsequent
loss incurred on borrowers that have met the default
criteria as output from the PD analysis.
Displayed/calculated as a percentage of aggregate loss
relative to the exposure at the time of default
PD x LGD calculates the expected loss rate; PD x LGD x
Recorded Investment generates the total dollar amount
of expected losses.
PD/LGD.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
47
aggregate loss
LGD
48. #SageworksSummit
PD - (probability of default) : the average percentage of
borrowers that default over a defined period of time
LGD - (loss given default): the aggregate subsequent
loss incurred on borrowers that have met the default
criteria as output from the PD analysis.
Displayed/calculated as a percentage of aggregate loss
relative to the exposure at the time of default
PD x LGD calculates the expected loss rate; PD x LGD x
Recorded Investment generates the total dollar amount
of expected losses.
PD/LGD.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
48
aggregate loss
LGD
exposure AT default
55. Not a stand-alone metric - Critical Data Elements
LGD.
Errors in determining default population and/or proper exposure at default
are very common.
Be sure to fully understand the relationship between the default population
being evaluated for LGD. Without proper oversight, LGD can decline rapidly
in periods of accelerated defaults as new defaults have not had time to
experience a charge-off event.
Also, maintaining symmetrical application relative to the analysis can result
in misleading and erroneous outputs.
57. #SageworksSummit
If an entity estimates expected credit losses using
methods that project future principal and interest cash
flows (that is, a discounted cash flow method), the entity
shall discount expected cash flows at the financial
asset’s effective interest rate. When a discounted cash
flow method is applied, the allowance for credit losses
shall reflect the difference between the amortized cost
basis and the present value of the expected cash flows.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
57
58. #SageworksSummit
If an entity estimates expected credit losses using
methods that project future principal and interest cash
flows (that is, a discounted cash flow method), the entity
shall discount expected cash flows at the financial
asset’s effective interest rate. When a discounted cash
flow method is applied, the allowance for credit losses
shall reflect the difference between the amortized cost
basis and the present value of the expected cash flows.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
58
discount
59. #SageworksSummit
If an entity estimates expected credit losses using
methods that project future principal and interest cash
flows (that is, a discounted cash flow method), the entity
shall discount expected cash flows at the financial
asset’s effective interest rate. When a discounted cash
flow method is applied, the allowance for credit losses
shall reflect the difference between the amortized cost
basis and the present value of the expected cash flows.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
59
effective interest rate
discount
60. #SageworksSummit
If an entity estimates expected credit losses using
methods that project future principal and interest cash
flows (that is, a discounted cash flow method), the entity
shall discount expected cash flows at the financial
asset’s effective interest rate. When a discounted cash
flow method is applied, the allowance for credit losses
shall reflect the difference between the amortized cost
basis and the present value of the expected cash flows.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
60
amortized cost basis
effective interest rate
discount
61. #SageworksSummit
If an entity estimates expected credit losses using
methods that project future principal and interest cash
flows (that is, a discounted cash flow method), the entity
shall discount expected cash flows at the financial
asset’s effective interest rate. When a discounted cash
flow method is applied, the allowance for credit losses
shall reflect the difference between the amortized cost
basis and the present value of the expected cash flows.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
61
amortized cost basis
present value
effective interest rate
discount
62. #SageworksSummit
When a discounted cash flow approach is used to estimate
expected credit losses, the change in present value from one
reporting period to the next may result not only from the passage of
time but also from changes in estimates of the timing or amount of
expected future cash flows. An entity that measures credit losses
based on a discounted cash flow approach is permitted to report the
entire change in present value as credit loss expense (or reversal of
credit loss expense). Alternatively, an entity may report the change
in present value attributable to the passage of time as interest
income.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
62
63. #SageworksSummit
When a discounted cash flow approach is used to estimate
expected credit losses, the change in present value from one
reporting period to the next may result not only from the passage of
time but also from changes in estimates of the timing or amount of
expected future cash flows. An entity that measures credit losses
based on a discounted cash flow approach is permitted to report the
entire change in present value as credit loss expense (or reversal of
credit loss expense). Alternatively, an entity may report the change
in present value attributable to the passage of time as interest
income.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
63
provision expense
64. #SageworksSummit
When a discounted cash flow approach is used to estimate
expected credit losses, the change in present value from one
reporting period to the next may result not only from the passage of
time but also from changes in estimates of the timing or amount of
expected future cash flows. An entity that measures credit losses
based on a discounted cash flow approach is permitted to report the
entire change in present value as credit loss expense (or reversal of
credit loss expense). Alternatively, an entity may report the change
in present value attributable to the passage of time as interest
income.
DCF.
• Vintage
• Migration
• PD/LGD
• DCF
• Q&A
AGENDA
64
provision expense
interest income
71. Additional Information
DCF.
• Cross Application
» Day 2 Accounting: Current PCI re-estimation requirements available with few changes to the underlying
inputs
» Stress Testing: Period specific assumptions and period specific estimates fit nicely into stress testing
models
» Fair Value: Fair value exploration or classification and measurement requirements are available with
few changes to the underlying inputs
» Loan Pricing: NPV given the return of an alternative investment, fees, expenses, overhead is a valuable
output for loan-decisioning as well as overall portfolio analysis
• Annualized/Peer Data Utilization
» Readily available annual/quarterly peer data or internal data that lacks loan-level detail can be used in
DCF models