SAS IFRS 9 Expected Credit Loss Modelling Training Course

Course overview

IFRS 9 expected credit loss programmes require more than an accounting calculation. Banks and insurers must translate portfolio data, delinquency behaviour, credit-risk parameters and forward-looking economic scenarios into auditable 12-month and lifetime ECL results. Teams using SAS IFRS 9 need to understand how staging, significant increase in credit risk (SICR), probability of default (PD), loss given default (LGD), exposure at default (EAD) and scenario weighting interact—then investigate exceptions before figures reach Finance, Risk, Audit or regulators. This course addresses the practical gap between knowing IFRS 9 terminology and operating, reviewing or supporting an ECL process in SAS.

Participants work through the IFRS 9 impairment workflow in SAS IFRS 9, from source-data checks and portfolio segmentation through Stage 1, Stage 2 and Stage 3 assignment, ECL calculation and management reporting. They learn how PD, LGD and EAD inputs are mapped and applied; how lifetime horizons and discounting affect results; how baseline, upside and downside macroeconomic scenarios are weighted; and how overlays, model outputs and data-quality exceptions should be documented. The course also covers control points, reconciliation logic, model-performance monitoring and evidence required for governance forums.

Delivery combines instructor-led explanation with guided work in a SAS IFRS 9 training environment, using a realistic retail and corporate lending case. Participants inspect data, configure key calculation assumptions, run ECL processing, interpret output tables and investigate material movements between reporting periods. They leave with an ECL process workbook containing a staging decision record, parameter and scenario assumptions, results reconciliation, exception log and an action plan for applying the workflow within their own institution.

Course objectives

By the end of this course, participants will be able to:

• Map IFRS 9 impairment requirements to the SAS IFRS 9 expected credit loss processing workflow
• Classify exposures into Stage 1, Stage 2 and Stage 3 using SICR and default criteria
• Prepare and validate PD, LGD, EAD and contractual cash-flow inputs for ECL calculation
• Configure 12-month and lifetime ECL calculation assumptions in SAS IFRS 9
• Apply probability-weighted macroeconomic scenarios and assess their impact on ECL results
• Reconcile ECL movements by stage, portfolio, risk parameter and reporting-period change
• Investigate SAS IFRS 9 data-quality, processing and calculation exceptions using audit outputs
• Produce an ECL governance pack with assumptions, controls, results commentary and remediation actions

Benefits of attending

Target competencies

Who should attend

• IFRS 9 Reporting Analysts — who prepare, review or explain expected credit loss results for financial reporting
• Credit Risk Analysts — who supply PD, LGD, EAD, default or SICR inputs to the impairment process
• SAS Risk Platform Users — who operate or support SAS IFRS 9 runs and investigate output exceptions
• Finance Control Managers — who must reconcile impairment movements and evidence financial-close controls
• Model Risk and Validation Analysts — who review parameter use, scenario treatment and model governance evidence
• Internal Audit and Risk Assurance Professionals — who assess the traceability and control design of IFRS 9 ECL processes

Requirements and prerequisites

Participants should understand basic lending products, credit-risk terminology and the purpose of IFRS 9 impairment reporting. Familiarity with PD, LGD, EAD, delinquency, default and financial-reporting cycles is helpful, although detailed model-building experience is not assumed. Participants should be comfortable working with tabular data and interpreting reports; prior SAS programming is useful but not required. The course introduces the SAS IFRS 9 workflow from first principles before moving into configuration, results review and controls. A complete beginner to IFRS 9 should expect to spend time learning core staging and ECL concepts alongside the software process.

Training methodology

The five-day programme uses short instructor-led demonstrations followed by structured work in SAS IFRS 9. Participants use a supplied lending portfolio to examine source records, apply staging rules, review risk parameters, execute ECL calculations and analyse reporting outputs. Case discussions focus on realistic issues: a sharp Stage 2 migration, changing macroeconomic forecasts, missing parameter assignments and an unexplained ECL movement at close. Small-group workshops require participants to prepare reconciliations and governance commentary, culminating in an individual application plan for their institution’s ECL process.

Course outline

Day 1: IFRS 9 impairment foundations and SAS IFRS 9 workflow

• IFRS 9 impairment scope for amortised-cost assets, lease receivables and loan commitments
• Three-stage impairment model and the distinction between 12-month and lifetime ECL
• SICR, low-credit-risk and default definitions used in staging assessment
• SAS IFRS 9 architecture, process flow and principal data objects
• Source-data lineage from lending systems to ECL calculation datasets
• Portfolio segmentation and its relationship to risk-parameter assignment
• Core ECL governance roles across Finance, Credit Risk, Model Risk and Operations

Workshop: Participants map a sample retail and corporate portfolio from source fields to IFRS 9 staging and identify the data required for each ECL component.

Day 2: Data preparation, staging and risk parameters

• Exposure, account, customer and facility-level data attributes in SAS IFRS 9
• Data-quality validation rules for dates, balances, delinquency and product classifications
• Stage allocation using days past due, rating migration and qualitative SICR indicators
• Default identification and credit-impaired exposure treatment for Stage 3
• PD term structures, marginal PDs and cumulative lifetime default probabilities
• LGD components including collateral, cure rates, recovery cash flows and discounting
• EAD treatment for drawn balances, undrawn commitments and credit conversion factors

Workshop: Participants review a loaded portfolio, resolve data exceptions and produce a staging decision log with supporting SICR rationale.

Day 3: ECL calculation and forward-looking scenarios

• SAS IFRS 9 configuration of reporting dates, horizons and discount-rate assumptions
• Cash-flow timing and effective interest rate discounting in expected loss estimates
• 12-month ECL calculation mechanics for Stage 1 exposures
• Lifetime ECL calculation mechanics for Stage 2 and Stage 3 exposures
• Baseline, upside and downside macroeconomic scenario design
• Probability weighting of scenarios and scenario-sensitive risk parameters
• Management overlays, post-model adjustments and approval documentation

Workshop: Participants run a multi-scenario ECL calculation and produce a scenario-impact analysis showing changes by stage and portfolio.

Day 4: Results analysis, reconciliation and controls

• SAS IFRS 9 results tables for account, segment, stage and aggregated ECL views
• Roll-forward reconciliation of opening ECL, movements and closing ECL
• Explaining ECL movements from volume, stage migration, parameter and scenario effects
• Exception reports for missing assignments, invalid records and processing failures
• Control totals and reconciliation between source balances, risk inputs and reporting outputs
• Audit trails for configuration versions, overrides, approvals and reruns
• Management information for Finance close, risk committees and disclosure preparation

Workshop: Participants investigate a material month-on-month ECL increase and prepare a reconciliation with root causes, evidence and proposed actions.

Day 5: Governance, monitoring and workplace application

• IFRS 9 model governance responsibilities and the three-lines-of-defence framework
• Performance monitoring for staging, PD, LGD, EAD and scenario responsiveness
• Backtesting concepts for ECL estimates, defaults, recoveries and realised loss experience
• Thresholds and escalation routes for material ECL movements and data exceptions
• Documentation standards for assumptions, expert credit judgement and management overlays
• Operational calendar for data intake, calculation runs, review, approval and reporting
• SAS IFRS 9 implementation checklist for production readiness and controlled change

Workshop: Participants build an ECL governance pack and 90-day application plan covering controls, owners, milestones and priority process improvements.

Tools & standards covered

SAS IFRS 9, SAS Viya, SAS Studio, IFRS 9 Financial Instruments

A typical training day

Live online deliveries follow the same structure in the East Africa Time zone, with shorter screen blocks and longer breaks.

What the fee includes

How you can take this course

Certification

Participants who complete the full five days receive the Skillset Development Certificate of Completion, stating the course title, course code, dates and delivery format — suitable for professional-development records and employer reimbursement.

Frequently asked questions