Expected Credit Loss Trends Reports

Expected Credit Loss Trends reports are generated based on different dates. These reports are generated based on the final ECL calculated to the account on given dates.

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 displays ECL-related measures in percentage and absolute terms across IFRS 9 stages and dates. It is ideal to select a minimum of two dates with the As of Date filter.

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:

  ECL= Allowance + Provision

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

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

• Impairment Gain/Loss: The Impairment Gain/Loss for the current period is computed by comparing the current reporting date's ECL values with the previous reporting (execution) dates' ECL values. The following is the formula for the Impairment Gain/Loss calculation:

  Impairment Gain/Loss= (Current ECL)- (Previous ECL) + Current Write-off- Current Recovery