You can manually book a trade for a debt transaction associated with group-level expected credit losses (ECL). You can book ECL against domestic or foreign assets to capture all group-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 group-level ECL information in the following panels:
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.
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 additionall yspecify a value for the Regulatory Intent field and the Expected Credit Loss Stage field. |
Expected Credit Loss Stage | 7100 | Identifies the Expected Credit Loss stage. You must specify a value if you enter a value for the Expected Credit Loss Local field or if you set the Purchased Impaired option to Yes. Options include:
??? This says IFRS only. Does that mean applies only to positions that use an ECL Method field value of Non-US Treatment or say only IFRS? |
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