Roll Rate

The roll rate methodology involves the computation of the Default Roll Rate and the Gross loss rate for an account based on the given Rating or Delinquent days band and its maturity.

Note:

To compute the ECL through the roll rate methodology, it is required to execute the Segmentation, Historical Transition Matrix, and Historical Loss Rate runs. If the Transition Matrices are provided as a download, the Historical Transition Matrix Run can be ignored.

The Expected Credit Loss of an account is computed as follows:

• 12 Month Allowance = Outstanding Amount * 12-month DRR * Gross Loss Rate
• Lifetime Allowance = Outstanding Amount * Lifetime DRR * Gross Loss Rate
• 12 Month Provision = Undrawn Amount * CCF * 12-month DRR * Gross Loss Rate
• Lifetime Provision = Undrawn Amount * CCF * Lifetime DRR * Gross Loss Rate