Manage Debt Transactions for ECL for US GAAP

In certain Buy and Receive transaction panels, you can manually book a trade for a debt transaction associated with expected credit losses (ECL) when you use US GAAP. You can book ECL against domestic or foreign assets to capture all asset-level accounting. You can book ECL against foreign assets where the accounting system properly differentiates between increases and decreases, and can account for them differently to properly capture variations in FX rate.

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Conversion/Buy/Receive Transactions ECL Scenarios for US GAAP

You can define ECL information in the following trade panels for debt securities with expected credit losses:

Open Debt Bond. For detailed information, see Book Trades for Debt Bonds.
Open Discount Bond (LT/ST). For detailed information, see Book Trades for Discount Bonds.
Open Inflation Linked Bond. For detailed information, see Book Trades for ILBs.
Open MBS/ABS/IO/PO. For detailed information, see Book Trades for MBSs.
Open TBA. For detailed information, see Book Trades for TBAs.
Receive Security. For detailed information, see Process a Manual Receive and Deliver Transaction.

Each of panels listed includes the Expected Credit Loss Information fields specific to long transactions on debt securities associated with expected credit loss. These fields can apply to a lot that an accounting basis with the ECL Method set to US Treatment with regulatory categories of AFS/HTM. This ECL method applies to GAAP.

Accounting basis/regulatory category combinations that qualify for ECL include accounting bases of IFRS or GAAP, where the ECL Method is set to Non-US Treatment with regulatory categories of FVOCI/AC for IFRS, or where the ECL Method is set to US Treatment with regulatory categories of AFS/HTM for GAAP. Note that while any expected credit losses entered on a trade panel are not basis specific, the system only applies credit losses to the accounting basis/regulatory category combinations that qualify for ECL.

The following figure shows the Open Debt Bond panel’s Expected Credit Loss Information fields.

Open Debt Bond panel - Expected Credit Loss Information

The following table shows the Expected Credit Loss Information fields specific to long transactions on debt securities associated with expected credit loss.

Option	Tag	Description

Option	Tag	Description
Expected Credit Loss Information
Purchased Impaired	16999	Indicates whether the trade is credit impaired. Options include: No. Default. The trade is not credit impaired. Yes. The trade is credit impaired. The system sets the Expected Credit Loss Stage field, used with IFRS, to a value of Stage 3 and hides that field.
Expected Credit Loss Local	16990	Specifies the value of the local Expected Credit Loss allowance. If you specify a value, you must additionally specify a value for the Expected Credit Loss Stage field.
Expected Credit Loss Base	16991	Displays the value of the base Expected Credit Loss allowance.
Expected Credit Loss Stage (IFRS)	7100	Identifies the Expected Credit Loss stage. The stage tracks the credit quality status of financial instruments. This value applies only to the trade’s IFRS basis. You must specify a value if you enter a value for the Expected Credit Loss Local field. Options include: Stage 1. Have not deteriorated significantly in credit quality or have low credit risk. Stage 2. Deteriorated significantly in credit quality since initial recognition (unless low credit risk at reporting date) and not having objective evidence of impairment. Stage 3. Objective evidence of impairment at reporting date.