In certain Receive and Buy transaction panels, you can manually book a trade for a debt transaction associated with expected credit losses (ECL). You can book ECL against domestic or foreign assets to capture all asset-level accounting. And you can book ECL against foreign assets where the accounting system properly differentiates between write-up and write-down and account for them differently to properly capture variations in FX rate.
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 these panels includes the following fields specific to transactions on debt securities associated with expected credit loss.
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. Also, the system stores any Expected Credit Losss Stage election only on the IFRS basis, even if the portfolio is multi-basis and IFRS is not primary accounting basis.
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.
Option | Tag | Description |
|---|---|---|
Expected Credit Loss Information | ||
Purchased Impaired | 16999 | Indicates whether the trade is credit impaired. Options include:
|
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:
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