IFRS 9 / CECL Expected Credit Loss Model
Both IFRS 9 (international) and CECL (US ASC 326) methodologies in one workbook. Stage migration, lifetime ECL, audit-ready documentation.
Who it's for
Bank credit risk teams, allowance managers, IFRS 9 and CECL implementation leads, audit and advisory professionals supporting bank clients.
What's in the model
COVER
Model documentation, methodology selection.
PORTFOLIO_INPUTS
Exposure data by segment (C&I, CRE, residential, consumer, credit card), vintage, current balance, weighted average life.
PD_TERM_STRUCTURES
Point-in-time PDs by segment and rating, with macro overlay.
LGD_INPUTS
LGD by segment, collateral coverage, recovery lag.
EAD_PROFILES
Exposure at default by product, including undrawn commitment haircut.
PDLGDEAD_METHOD
Full PD × LGD × EAD calculation, life-of-loan loss, with macro forecast overlay.
STAGE_MIGRATION
Stage 1 / 2 / 3 migration matrices for IFRS 9. Lifetime ECL throughout for CECL.
OUTPUTS
Allowance by segment, total allowance, provision movement, FFIEC Schedule RI-C format (US) and IFRS 9 disclosures.
CHECKS
Methodology consistency, allowance ties to GL, provision movement reconciles.
What makes this different
Both standards in one model
IFRS 9 and CECL share most of the underlying mechanics but diverge on staging and lifetime treatment. Most templates support one. Ours supports both with a switch.
Macro overlay built in
Reasonable and supportable forecast (R&S) period and reversion to historical loss rates — both modelled explicitly with adjustable parameters.
Stage migration
Useful for IFRS 9 reporting and for institutions dual-reporting (e.g., US subsidiaries of European banks).
Regulatory output alignment
Output tab aligns to FFIEC Call Report Schedule RI-C (US) and IFRS 9 financial statement disclosures (international).
Audit-ready documentation
Every assumption has a comment cell explaining the source and the methodology decision.
Specifications
Excel (.xlsx) · 11 tabs · fully labelled · same-day delivery · includes 1 hour of email support
14-day money-back guarantee · same-day delivery · secure checkout via Lemon Squeezy
Frequently asked questions
Does it support DCF methodology in addition to PD/LGD?
PD/LGD/EAD is the default. DCF methodology variant available as a custom build — contact us.
Will the output map to my call report schedule?
Yes — for US institutions, output aligns to FFIEC Schedule RI-C. For European institutions, output aligns to IFRS 9 financial statement disclosures.
Does it handle dual-reporting (IFRS 9 + CECL)?
Yes — common for US subsidiaries of European banks. Run both methodologies side-by-side and compare.
Refund policy?
14-day money-back guarantee.
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About SFS Models
SFS Models builds institutional-grade Excel financial models for banking and finance professionals. Our models are used by FP&A, Treasury, ALM and Capital teams at US and UK regional banks, by PE firms, and by corporate finance consultancies. Open formulas, no VBA, fully auditable. Built by practitioners.