About Asset-Level Expected Credit Losses for US GAAP

This section introduces some concepts used with asset-level Expected Credit Losses (ECL) for US GAAP accounting bases.

About the US Treatment ECL Method

WRITERS NOTE: revised

Eagle’s accounting solution offers two methodologies for processing for asset-level Expected Credit Losses. It uses the ECL Method of US Treatment for processing expected credit losses associated with US GAAP accounting bases for use with AFS and HTM regulatory categories.

Note that the ECL Method of Non-US Treatment is also available for Eagle clients that process expected credit losses associated with IFRS accounting bases with AC and FVOCI regulatory categories,

About Regulatory Intent

When you use asset-level ECL with US GAAP, you can track the regulatory intent for fixed income positions that have a regulatory category of AFS (Available for Sale). Regulatory intent classifications include:

• Intent to Sell

• Likely Required to Sell.

• Not Likely Required to Sell

You can book non-credit loss adjustments for AFS securities that have a regulatory intent of Not LIkely Required to Sell.

About Impairments and Asset-Level ECL

When you use asset-level ECL, you can process any impairment of the asset using the Book Impairment Adjustment panel. The impairment event checks to see if there is an expected credit loss on the lot and reduces the expected credit loss accordingly.

Note that because you book ECL onto the system at the lot level, you must set the Impairment Processing Flag field on the panel to a value of Lot in order to reduce ECL as part of the impairment. If you set the Impairment Processing Flag to a value of Position, the system does not reduce any ECL on the lot. For more information, see Manage Impairments and Impairments ECL Scenarios for US GAAP.

WRITERS NOTE: NEW 1/29/2021 Needs review