Expected credit loss implementation

The client is one of the largest non-banking financial services companies in India, with a focus on loans to the power sector.

We implemented the ECL model and converted their financials to the Indian Accounting Standards (Ind AS), which is a converged IFRS.

The following activities were performed in ECL implementation:

• Setting up ECL policy and advised on decisions such as default definition, SICR criteria etc
• Prepared the methodology documents for ECL and its risk components i.e. PD, LGD and EAD.
• Computation of historical PD and converting it into forward looking PD using macroeconomic forecasts and scenario analysis.
• Computation of LGD as per the methodology
• Computation of EAD and applied the staging criteria on the portfolio
• Created the ECL model and set up the process for independent use by the management
• Prepared the ECL and credit risk disclosures in the financial statements