Expected Credit Loss Overview

This section details the Expected Credit Loss (ECL) Reports. These reports are configured based on the calculated ECL and corresponding measures. These reports are generated based on the execution of the ECL & Amortization Process. These reports cover the below measures like Allowance, Provision, ECL, EAD, and Impairment gain/Loss. These reports also cover the impact of stage reassignment on ECL.

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

It is mandatory to select a single As of Date as these reports give an ECL overview on any given date.

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 the expected credit loss. The following is the formula for the ECL calculation:

  ECL= Allowance + Provision

• EAD: EAD is the 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 ECL values with the previous reporting (execution) date 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