1. User Guide
  2. Business Rules Administration
  3. ECL Rules

ECL Rules

This topic provides information on the features under ECL Rules:
  • Economic Scenario Rules: Under IFRS 9, it is required to calculate Expected Credit Loss (ECL) for multiple economic scenarios. Multiple economic scenarios are created in dimension.
  • Term Structure Rules: IFRS9SCS enables users to provide a series of term structures for the Probability of Default (PD), Loss Given Default (LGD) and Credit Conversion Factor (CCF). Term structure means values across multiple periods.
  • Provision Matrix Rules: IFRS9SCS supports the Provision Matrix ECL method. Provision rate is required for the provision matrix method. This UI enables the user to create a Provision Matrix. The provision Matrix Rule is at the modelling set and economic scenario rule level.
  • Roll Rate Rules: The Roll Rate rule is created at the Modelling Set and Economic Scenario Rule level. The Roll Rate Rule is a prerequisite for the Roll Rate Method of ECL.
  • Risk Factors Assignment Rules: The Risk Factors Assignment rule is created at the Modelling Set and Economic Scenario Rule level. The user can assign the Term Rule (PD, LGD, CCF), Provision Matrix Rule, and Roll Rate Rule at the product and Customer type level. This assignment can be further extended based on the additional dimensions added in the modelling set definition.
  • Portfolio Rules: The portfolio rule is a prerequisite for key functionalities like Models. The user needs to define the Portfolio rule by selecting the Modelling Set. The user can select elements for the respective dimensions which come up with the modelling set.