Credit risk quantification for institutional CRE lending books. PD, LGD, EAD, and expected loss from the property cashflow model up, with IFRS 9, CECL, and Basel II coverage built in.
Book a demoIn most platforms the valuation team and the credit team run separate models. PROMS Lender builds PD, LGD, EAD, and expected loss directly from the property cashflow model: one methodology, consistent outputs, no reconciliation gap.
PD, LGD, EAD, and expected loss computed from the collateral cashflow model. IFRS 9 staging built directly into the methodology. Basel II IRB-compatible outputs. CECL lifetime expected credit loss at deal and book level.
Capital value indices, rental growth, and yield movements maintained from a single named, version-controlled source across the book. Full audit trail. Rerun any period's analysis under any market set for variance attribution.
LTV, DSCR, and ICR tracked continuously against covenant thresholds. Indexed LTV updated between formal revaluations. Maturity date management including extension options captured at deal level.
Rent roll, lease events, TI/LC, void allowances, and capex modelled at property level for office, multifamily, hotel, retail, and industrial. Cashflow projections reconcilable to external valuer reports within agreed variance thresholds.
Concluded value tieout against LMS. Cashflow tieout against valuer base case projections. Custom report templates by asset class using named ranges, repeatable quarterly rather than rebuilt from scratch each cycle.
All assumption changes named and date-stamped. Any historic analysis exactly reproducible from archived inputs. No plugged numbers. Every calculation visible and reconcilable by the master user.
Outputs map directly onto IFRS 9, CECL and Basel II IRB without redundant parallel models. The matrix below shows what each capability produces against each framework.
Every stage of the credit lifecycle is computed from the same property cashflow model. No handoff between valuation and credit. No reconciliation gap between what the valuer signed and what the regulator sees.
Property-level cashflow model and concluded value at deal entry, tied to LMS.
Indexed LTV, DSCR and ICR re-run against centralised market assumptions.
PD, LGD, EAD computed from the cashflow model; IFRS 9 stage assigned.
Concluded value reconciled to LMS, cashflow reconciled to valuer base case.
Two of the standard outputs from a PROMS Lender book run, ready for committee, audit, and regulator engagement.
Breach zone highlighted where P5 NOI falls below fixed debt service.
LGD exposure zone where P5 collateral falls below the outstanding loan.
A walkthrough calibrated to your asset classes, regulatory framework, and reporting cycle.
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