Expected Credit Loss Detailed Reports

Expected Credit Loss Detailed reports are generated based on different dates. These reports are generated based on the final ECL calculated to the account on given dates. It is ideal to select a Single date with the As of Date filter.

The global filters are common for all canvases. On top of these filters, other dimension-based filters are added to the respective canvases.

This report shows two types of reports:

• Expected Credit Loss: This report displays the number of accounts, Allowances, Provisions and ECL in absolute terms across IFRS 9 stages.
• Exposure At Default: This report displays the number of accounts, Total carrying Amount, Total undrawn Amount and Exposure At Default in absolute terms across IFRS 9 stages.

The following are the details about the ECL and related measures:

• Allowance: Allowance is calculated based on the carrying amount (Outstanding). The following is the formula for the allowance calculation:

  Allowance= PD*LGD*Outstanding Amount

• Provision: Allowance is calculated based on the undrawn amount. The following is the formula for the provision calculation:

  Provision= PD*LGD* CCF*Undrawn Amount

  Note:

  The above formulas are generic. These formulas change slightly based on the ECL method.
• ECL: ECL is expected credit loss. The following is the formula for the ECL calculation is as follows:

  ECL= Allowance + Provision

• EAD: EAD is exposure at default. The following is the formula for the EAD calculation is as follows:

  EAD=Outstanding Amount +Undrawn Amount * Credit Conversion Factor (CCF)