Expected Consumer Credit Loss Models for CECL

Forecasts of lifetime losses and their net present values (NPV) under scenarios.

CECL Solver for Moody’s CreditCycle solution enables users to generate forecasts of lifetime losses through custom econometric models under the CECL standard for “reasonable and supportable” economic scenarios.” Ideal for medium sized and large consumer lending portfolios with extensive historical data, our fully documented, flexible solution enables clients to effectively meet compliance requirements.


  • Identify correlations between economic variables and credit risk.
  • Calculate expected credit losses over custom lifetime lengths by segment/cohort.
  • Generate lifetime losses by loan type, vintage date, and forecast date.
  • Configure LGD and discount rate options for different loan types and scenarios.
  • Evaluate results under multiple, defensible Moody’s Analytics or custom scenarios.
  • Compare with incurred loss methods using flexible start/end dates for CECL calculations.”
  • Perform impact analysis for a future start date incorporating new originations.
  • Adjust loss variable and relevant denominators (origination or outstanding balances).
  • Leverage documentation, back-testing, and sensitivity analysis for compliance needs.

Key Features

  • Uses Moody’s CreditCycle platform for visualization, estimation and forecasting.
  • Secure web-based environment with integrated macro and regional economic data.
  • Audit track and user friendly options to view, adjust and export results.
  • 30-year forecast horizon, reverting to long-term trends afterwards.
  • Baseline, consensus, and regulatory scenarios, plus eight alternatives.
  • Forecasts and scenarios updated monthly, with history updated in real time.
  • Documented methodology, plus back-testing and sensitivity analysis.
  • Access to economists and consumer credit analysts for interpretation of results.