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Sample ECL Model

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0% found this document useful (0 votes)
9 views17 pages

Sample ECL Model

Uploaded by

Shoaib Ali
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Sample ECL Model

Step 1: Historical aging for the period October 2021 to September 2023

Trade receivables overdue


Period Not due by 1-30 days

Oct-20 1,319,213,315 531,442,268


Nov-20 1,620,181,627 500,611,397
Dec-20 1,445,578,858 784,072,066
Jan-21 1,202,168,666 623,350,005
Feb-21 1,179,142,962 520,907,055
Mar-21 1,314,080,358 448,471,536
Apr-21 1,527,049,895 429,112,910
May-21 1,681,937,147 438,750,453
Jun-21 1,732,263,250 468,872,679
Jul-21 1,588,243,470 468,465,149
Aug-21 1,258,875,506 367,314,084
Sep-21 1,193,245,979 262,739,383
Oct-21 1,201,659,030 404,208,345
Nov-21 1,199,161,135 97,885,387
Dec-21 1,519,822,850 132,419,135
Jan-22 1,457,830,342 148,503,863
Feb-22 1,048,989,112 472,162,978
Mar-22 1,139,623,257 211,084,582
Apr-22 1,166,173,414 443,358,253
May-22 1,525,065,316 321,792,706
Jun-22 1,531,987,490 400,698,276
Jul-22 1,863,826,984 218,671,250
Aug-22 1,757,493,810 666,252,690
Sep-22 1,967,710,011 650,014,079
Oct-22 2,274,045,850 471,164,386
Nov-22 2,514,220,136 171,997,205
Dec-22 2,777,449,893 99,889,998
Jan-23 2,748,113,800 247,111,181
Feb-23 2,271,839,355 431,983,383
Mar-23 2,548,538,450 394,272,263
Apr-23 2,653,055,057 559,515,278
May-23 2,667,150,336 226,247,215
Jun-23 2,226,539,225 251,662,621
Jul-23 2,005,610,887 296,577,063
Aug-23 1,964,763,200 644,130,452
Sep-23 1,293,991,219 682,070,746

Step 2: Transitions to next bucket

Trade receivables overdue


Period Not due by 1-30 days

Jul-20 38% 13%


Aug-20 48% 13%
Sep-20 43% 41%
Oct-20 43% 45%
Nov-20 38% 22%
Dec-20 33% 23%
Jan-21 29% 16%
Feb-21 28% 27%
Mar-21 27% 23%
Apr-21 23% 26%
May-21 21% 24%
Jun-21 34% 24%
Jul-21 8% 6%
Aug-21 11% 28%
Sep-21 10% 23%
Oct-21 32% 57%
Nov-21 20% 34%
Dec-21 39% 40%
Jan-22 28% 38%
Feb-22 26% 24%
Mar-22 14% 26%
Apr-22 36% 55%
May-22 37% 31%
Jun-22 24% 38%
Jul-22 8% 36%
Aug-22 4% 78%
Sep-22 9% 82%
Oct-22 16% 35%
Nov-22 17% 37%
Dec-22 22% 43%
Jan-23 9% 21%
Feb-23 9% 76%
Mar-23 13% 60%
Apr-23 32% 45%
May-23 35% 25%
Average 24.68% 35.29%

Step 3: Calculation of historical credit loss rates

Trade receivables overdue


Bucket Balance
by 1-30 days

Not due 1,293,991,219 24.68%


1 - 30 days 682,070,746
31 - 60 days 160,091,854
61 - 90 days 15,435,678
91 - 120 days 55,467,121
121 - 150 days 26,386,195
151 - 180 days 7,682,343
181 - 210 days 7,606,202
211 - 240 days 282,127
241 - 270 days 54,825
271 - 300 days 51,781
301 - 330 days 40,318
331 - 360 days 29,147
361 - 390 days 10,423
>390 days 667,110
Total Receivables 2,249,199,979

Step 4: Calculation of Regression Line Comparing Default Rate with GDP

Year Outstanding Portfolio Irrecoverable Portfolio


2021 1,695,164,681 859,440
2022 3,052,744,309 1,540,682
2023 2,249,867,089 677,533
Regression Line
Correlation Coefficient 0.99850371
Slope 0.00003185
Intercept 0.00031661

Step 5: Calculation of macroeconomic forwafactor to be applied on loss rates

Forecasted GDP in 2024 2.5


Irrecoverability Rate in 2024 using regression line 0.0396%
Average Irrecoverability Rate in past 3 years 0.0438%
Ratio of irrecoverability in future vs past 0.9054

Step 6: Incorporation of forward-looking factors in the historical credit loss rates

Bucket Balance Historical Credit Loss Rate

Not due 1,293,991,219 0.06%


1 - 30 days 682,070,746 0.26%
31 - 60 days 160,091,854 0.74%
61 - 90 days 15,435,678 1.28%
91 - 120 days 55,467,121 1.90%
121 - 150 days 26,386,195 2.80%
151 - 180 days 7,682,343 4.37%
181 - 210 days 7,606,202 7.51%
211 - 240 days 282,127 12.75%
241 - 270 days 54,825 23.46%
271 - 300 days 51,781 42.11%
301 - 330 days 40,318 66.29%
331 - 360 days 29,147 81.02%
361 - 390 days 10,423 0.00%
>390 days 667,110 0.00%
Trade receivables Trade receivables Trade receivables
overdue by 31-60 days overdue by 61-90 days overdue by 91-120
days

142,282,258 55,120,095 42,714,612


68,850,690 76,053,369 37,560,579
66,991,809 63,944,976 64,611,302
322,552,595 38,949,096 49,865,005
282,286,304 169,703,905 24,188,835
115,052,899 88,305,425 41,711,253
101,682,140 32,889,146 45,015,801
70,687,316 65,824,225 27,626,679
119,969,772 53,670,419 34,012,590
108,466,427 51,794,458 34,658,982
123,866,122 81,588,860 43,176,810
88,511,009 50,453,316 51,629,323
63,650,840 65,392,451 45,163,791
24,817,143 58,960,353 53,089,913
27,069,241 20,995,204 46,844,966
30,461,600 16,629,868 16,561,698
84,022,583 15,718,241 12,142,538
159,395,371 66,655,955 13,664,173
83,408,563 93,919,986 42,057,013
166,607,610 51,196,141 40,568,393
77,864,743 75,778,879 37,473,149
103,504,732 33,309,706 52,350,341
120,936,748 90,545,791 27,075,807
203,927,511 87,629,895 67,404,063
246,714,303 91,766,582 66,029,258
171,493,739 69,607,961 54,163,527
134,541,039 89,244,139 52,514,837
82,010,131 79,020,523 45,318,731
85,340,137 41,090,641 49,320,836
158,865,608 36,336,267 30,191,345
168,089,922 124,415,236 24,846,735
117,341,132 76,218,999 40,618,827
172,844,106 54,567,232 57,429,199
151,169,304 122,150,669 34,435,640
133,291,979 93,628,909 56,418,214
160,091,854 15,435,678 55,467,121

Trade receivables Trade receivables Trade receivables


overdue by 31-60 days overdue by 61-90 days overdue by 91-120
days

53% 68% 80%


93% 85% 42%
58% 78% 68%
53% 62% 74%
31% 25% 46%
29% 51% 67%
65% 84% 58%
76% 52% 80%
43% 65% 26%
75% 83% 67%
41% 63% 38%
74% 90% 47%
93% 81% 84%
85% 79% 91%
61% 79% 51%
52% 73% 88%
79% 87% 86%
59% 63% 82%
61% 43% 72%
45% 73% 87%
43% 69% 56%
87% 81% 75%
72% 74% 71%
45% 75% 61%
28% 59% 54%
52% 75% 93%
59% 51% 85%
50% 62% 77%
43% 73% 75%
78% 68% 68%
45% 33% 67%
47% 75% 73%
71% 63% 66%
62% 46% 80%
12% 59% 47%
57.71% 67.15% 68.07%

Trade receivables Trade receivables Trade receivables


overdue by 91-120
overdue by 31-60 days overdue by 61-90 days days

35.29% 57.71% 67.15%


35.29% 57.71% 67.15%
57.71% 67.15%
67.15%

Irrecoverability Rate GDP Growth Rate


0.0507% 5.77
0.0505% 6.103
0.0301% -0.475
Macro-adjusted Credit
Macroeconomic Factor Loss Rates Impairment Loss

0.9054 0.06% 752,478


0.9054 0.24% 1,775,007
0.9054 0.67% 1,180,457
0.9054 1.16% 197,233
0.9054 1.72% 1,055,439
0.9054 2.53% 737,622
0.9054 3.96% 336,024
0.9054 6.80% 571,334
0.9054 11.55% 35,981
0.9054 21.24% 12,862
0.9054 38.13% 21,807
0.9054 60.02% 26,726
0.9054 73.36% 23,615
1.0000 0.00% -
1.0000 0.00% -
6,726,587
Trade receivables Trade receivables Trade receivables Trade receivables
overdue by 121-150 overdue by 151-180 overdue by 181-210 overdue by 211-240
days days days days

33,674,324 31,817,952 34,627,912 25,075,654


34,139,385 16,810,267 29,770,358 24,965,061
15,842,049 20,799,546 5,336,123 6,226,640
43,972,018 9,788,857 16,080,442 3,990,576
36,685,154 18,653,291 6,699,297 11,641,920
11,081,004 26,362,870 7,784,151 4,951,562
27,844,521 7,212,083 14,728,493 361,633
26,236,663 11,408,321 6,814,245 8,963,842
22,187,262 13,177,019 9,303,527 4,648,669
8,928,904 15,403,617 2,884,488 7,851,371
23,205,238 6,055,262 7,111,919 2,298,915
16,604,130 17,359,393 3,707,897 3,694,278
24,454,836 8,777,764 10,373,952 2,827,311
37,954,162 20,808,523 6,428,758 10,230,013
48,517,083 10,393,483 3,943,513 6,288,703
23,955,473 33,427,933 9,498,274 3,276,155
14,652,205 11,091,253 11,005,123 1,505,758
10,433,064 12,293,171 5,878,017 7,021,534
11,212,567 8,720,374 11,968,462 3,216,351
30,175,421 9,666,226 4,974,681 11,918,352
35,425,215 22,235,073 7,678,413 3,887,171
20,991,696 34,647,630 10,112,385 2,621,249
39,268,362 16,843,750 22,514,076 3,081,877
19,187,936 20,776,272 14,704,297 12,589,406
41,087,319 15,750,016 14,133,130 10,179,084
35,634,386 22,711,401 10,405,482 13,260,724
50,454,967 16,032,005 20,154,519 9,291,728
44,484,446 44,182,628 12,559,882 15,239,909
34,775,239 30,446,697 31,472,225 8,382,120
36,951,162 26,904,542 12,250,494 9,510,694
20,436,343 22,407,518 20,583,299 2,204,654
16,523,173 12,923,482 5,160,144 2,147,656
29,710,865 10,469,932 1,252,700 1,708,305
38,059,015 16,098,082 4,626,385 521,800
27,430,388 21,933,155 403,686 514,465
26,386,195 7,682,343 7,606,202 282,127

Trade receivables Trade receivables Trade receivables Trade receivables


overdue by 121-150 overdue by 151-180 overdue by 181-210 overdue by 211-240
days days days days

50% 94% 72% 21%


61% 32% 21% 7%
62% 77% 75% 7%
42% 68% 72% 36%
72% 42% 74% 83%
65% 56% 5% 71%
41% 94% 61% 74%
50% 82% 68% 40%
69% 22% 84% 32%
68% 46% 80% 88%
75% 61% 52% 76%
53% 60% 76% 95%
85% 73% 99% 87%
27% 19% 98% 16%
69% 91% 83% 38%
46% 33% 16% 77%
84% 53% 64% 90%
84% 97% 55% 82%
86% 57% 100% 31%
74% 79% 78% 91%
98% 45% 34% 57%
80% 65% 30% 36%
53% 87% 56% 93%
82% 68% 69% 12%
55% 66% 94% 94%
45% 89% 89% 46%
88% 78% 76% 54%
68% 71% 67% 59%
77% 40% 30% 84%
61% 77% 18% 84%
63% 23% 10% 87%
63% 10% 33% 16%
54% 44% 42% 16%
58% 3% 11% 12%
28% 35% 70% 11%
63.91% 58.23% 58.90% 54.36%

Trade receivables Trade receivables Trade receivables Trade receivables


overdue by 121-150 overdue by 151-180 overdue by 181-210 overdue by 211-240
days days days days

68.07% 63.91% 58.23% 58.90%


68.07% 63.91% 58.23% 58.90%
68.07% 63.91% 58.23% 58.90%
68.07% 63.91% 58.23% 58.90%
68.07% 63.91% 58.23% 58.90%
63.91% 58.23% 58.90%
58.23% 58.90%
58.90%
Trade receivables Trade receivables Trade receivables Trade receivables
overdue by 241-270 overdue by 271-300 overdue by 301-330 overdue by 331-360
days days days days

6,329,820 5,833,216 3,883,161 2,612,140


5,168,735 4,726,355 1,179,328 1,169,046
1,803,190 1,151,394 645,795 621,876
459,796 687,518 636,833 601,094
1,426,816 221,343 524,326 529,880
9,625,073 1,012,858 212,460 528,725
3,517,193 8,072,678 992,478 183,894
266,286 1,694,755 1,021,389 994,297
3,562,882 225,576 1,162,878 954,783
1,507,823 1,236,983 220,709 894,781
6,895,002 1,064,844 1,078,077 219,891
1,752,646 2,779,200 999,279 829,408
3,522,974 1,537,782 1,149,405 873,194
2,457,115 555,988 1,297,974 643,139
1,627,067 2,350,015 323,159 1,053,564
2,388,906 706,278 214,131 304,135
2,530,549 177,282 620,785 191,168
1,353,079 2,078,139 144,389 486,460
5,724,032 794,072 1,525,931 140,905
988,495 805,339 584,777 1,504,422
10,867,335 956,461 664,930 577,027
2,214,925 5,161,828 944,489 661,786
937,776 1,661,640 3,451,679 908,093
2,870,875 792,001 1,313,033 2,284,248
1,485,117 494,220 782,929 743,432
9,588,002 798,378 278,706 758,787
6,154,468 3,563,636 616,567 281,104
4,986,187 5,107,953 946,780 610,746
9,032,683 4,675,311 4,134,123 837,315
7,060,680 4,383,255 1,558,838 2,504,717
7,968,375 6,033,608 2,513,710 963,376
1,917,490 2,548,284 4,732,896 1,234,331
347,599 266,216 984,327 4,221,674
281,221 202,798 58,280 779,710
62,082 50,600 36,945 39,653
54,825 51,781 40,318 29,147

Trade receivables Trade receivables Trade receivables Trade receivables


overdue by 241-270 overdue by 271-300 overdue by 301-330 overdue by 331-360
days days days days

75% 20% 30% 35%


22% 14% 53% 53%
38% 55% 93% 93%
48% 76% 83% 88%
71% 96% 100% 100%
84% 98% 87% 100%
48% 13% 100% 100%
85% 69% 93% 100%
35% 98% 77% 87%
71% 87% 100% 71%
40% 94% 77% 100%
88% 41% 87% 87%
16% 84% 56% 99%
96% 58% 81% 20%
43% 9% 94% 90%
7% 88% 89% 94%
82% 81% 78% 94%
59% 73% 98% 91%
14% 74% 99% 100%
97% 83% 99% 66%
47% 99% 100% 100%
75% 67% 96% 97%
84% 79% 66% 100%
17% 99% 57% 45%
54% 56% 97% 71%
37% 77% 100% 99%
83% 27% 99% 100%
94% 81% 88% 100%
49% 33% 61% 100%
85% 57% 62% 48%
32% 78% 49% 88%
14% 39% 89% 33%
58% 22% 79% 75%
18% 18% 68% 87%
83% 80% 79% 26%
55.71% 63.53% 81.81% 81.02%

Trade receivables Trade receivables Trade receivables Trade receivables


overdue by 241-270 overdue by 271-300 overdue by 301-330 overdue by 331-360
days days days days

54.36% 55.71% 63.53% 81.81%


54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
54.36% 55.71% 63.53% 81.81%
55.71% 63.53% 81.81%
63.53% 81.81%
81.81%
Trade receivables
overdue by 361-390 Overdue >390 days
days

2,189,192 973,768
907,850 613,404
614,012 676,263
575,940 260,243
530,221 968,493
529,530 725,048
528,712 220,711
185,267 527,678
998,912 175,552
834,093 994,329
636,285 831,900
225,158 634,282
721,026 225,547
860,422 491,131
130,211 802,572
947,482 120,641
284,729 797,185
180,290 284,564
440,715 45,019
141,121 329,726
991,847 127,081
579,618 657,288
642,400 575,069
908,571 632,111
1,019,916 908,731
524,520 881,943
751,132 156,237
285,532 748,616
612,370 285,644
842,622 602,424
1,213,418 834,815
844,206 639,018
408,940 638,525
3,178,614 385,339
679,144 562,301
10,423 667,110
Overdue >360 days / Historical
Credit Loss Rate
Unrecoverable Impairment Loss

81.02% 0.0642% 831,066


81.02% 0.2602% 1,775,007
81.02% 0.7374% 1,180,457
81.02% 1.2778% 197,233
81.02% 1.9028% 1,055,439
81.02% 2.7955% 737,622
81.02% 4.3740% 336,024
81.02% 7.5114% 571,334
81.02% 12.7536% 35,981
81.02% 23.4603% 12,862
81.02% 42.1145% 21,807
81.02% 66.2869% 26,726
81.02% 81.0216% 23,615
-
-
6,805,175

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