About Asset-Level ECL for US GAAP

Owned by Nancy Cohn (Deactivated)
Last updated: Mar 02, 2021
1 min read

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

About the US Treatment ECL Method

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 Event Priority for Asset-Level ECL Events

In Eagle Accounting every event has an event priority which tells the system in what order to process events when rollback replay occurs. The event priority for Asset-Level Expected Credit Loss events ensures that ECL events are processed subsequent to any open and close transactions that occur on the same trading day with the exception of Impairments. This ensures more accurate ECL processing because the calculation for ECL is typically based on the end of day position of the underlying asset. For more information, see .

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