Allowance and Provision Calculation

• Cash Flow and Forward Exposure - when Undrawn Flag is Y or N the 12 Month and Lifetime Allowance is computed as follows:
  • 12 Month Allowance = IF (12 Month ECL > Carrying Amount, Carrying Amount, 12 Month ECL)
  • Lifetime Allowance = IF (Lifetime ECL > Carrying Amount, Carrying Amount, Lifetime ECL)
• Cash Flow and Forward Exposure - when Undrawn Flag is Y the 12 Month and Lifetime Provision is computed as follows:
  • 12 Month Provision = IF (12 Month ECL > Carrying Amount, 12 Month ECL - Carrying Amount, 0)
  • Lifetime Allowance = IF (Lifetime ECL > Carrying Amount, Lifetime ECL - Carrying Amount, 0)
• Cash Flow and Forward Exposure - when Undrawn Flag is N the 12 Month and Lifetime Provision is computed as follows:
  • 12 Month Provision = Undrawn * CCF * 12 Month Provision Rate
  • Lifetime Provision = Undrawn * CCF * Lifetime Provision Rate
• Provision Matrix Approach - when Undrawn flag Y or N the 12 Month and Lifetime Allowance and Provision are computed as follows:
  • 12 Month Allowance = Carrying Amount * 12 Month Provision Rate
  • Lifetime Allowance = Carrying Amount * Lifetime Provision Rate
  • 12 Month Provision = Undrawn * CCF * 12 Month Provision Rate
  • Lifetime Provision = Undrawn * CCF * Lifetime Provision Rate
• Specific Provision - when Undrawn flag Y or N the 12 Month and Lifetime Allowance and Provision are computed as follows:
  • 12 Month Allowance = Carrying Amount * LGD * 12 Month PD
  • Lifetime Allowance = Carrying Amount * LGD * Lifetime PD
  • 12 Month Provision = Undrawn * CCF * LGD * 12 Month PD
  • Lifetime Provision = Undrawn * CCF * LGD * Lifetime PD
• Expected Credit Loss Calculation

  For all accounts, the 12 Month and Expected Credit Loss is calculated as follows:

  • 12 Month ECL = 12 Month Allowance + 12 Month Provision
  • Lifetime ECL = Lifetime Allowance + Lifetime Provision
• Apportioning ECL, Allowance, and Provision values from Cohorts to Individual accounts

  The apportioning of all following the six parameters are performed:

  • 12 Month values of ECL, Allowance, and Provision
  • Lifetime values of ECL, Allowance, and Provision
• Computation of final Reporting Values

  The Reporting ECL, Reporting Allowance, and Reporting Provision values are computed as follows:

  IF STAGE = 1

  • Reporting ECL = 12 Month ECL
  • Reporting Allowance = 12 Month Allowance
  • Reporting Provision = 12 Month Provision

  IF STAGE = 2 or 3

  • Reporting ECL = Lifetime ECL
  • Reporting Allowance = Lifetime Allowance
  • Reporting Provision = Lifetime Provision