Calculate expected credit loss by stage
Enter your loan book as segments with a stage, exposure, PD, LGD and years left. See expected credit loss by stage, coverage, and the effect of staging and economic scenarios.
Total expected credit loss
The stage 2 segments hold 8.9% of the exposure, and measuring them over their lifetime adds €349,206, 1.8 times what 12 months would book.
Expected credit loss by stage
Expected loss by year
ECL by segment
| Stage | Exposure | Annual PD | LGD | Years left | 12-month ECL | Lifetime ECL | Booked ECL | Coverage |
|---|---|---|---|---|---|---|---|---|
| 1 | €40,000,000 | 2% | 45% | 3 | €380,000 | €712,170 | €380,000 | 0.9% |
| 1 | €15,000,000 | 4.5% | 55% | 4 | €391,875 | €864,689 | €391,875 | 2.6% |
| 2 | €4,000,000 | 12% | 50% | 3 | €253,333 | €439,527 | €439,527 | 11.0% |
| 2 | €1,500,000 | 20% | 60% | 4 | €190,000 | €353,012 | €353,012 | 23.5% |
| 3 | €1,200,000 | – | 65% | 2 | €780,000 | €780,000 | €780,000 | 65.0% |
| Total | €61,700,000 | €1,995,208 | €3,149,398 | €2,344,414 | 3.8% |
Scenario results
| Scenario | Weight | PD multiplier | Scenario ECL |
|---|---|---|---|
| Base | 50.0% | × 1 | €2,171,117 |
| Downside | 30.0% | × 1.6 | €2,924,656 |
| Upside | 20.0% | × 0.8 | €1,907,292 |
| One run at weighted multiplier | × 1.14 | €2,351,890 | |
| Weighted ECL | 100.0% | €2,344,414 |
Get the result by email
The staging rule moves this number most, and the next step is writing that rule as explicit logic and testing it on the lender's own past loans. Start free
Show calculation method
Exposure at year start = Exposure × (1 − (Year − 1) ÷ Years left) (Bullet: Exposure) Share still performing = (1 − Annual PD) ^ (Year − 1) Lifetime ECL = Σ Share still performing × Annual PD × LGD × Exposure at year start ÷ (1 + Effective interest rate) ^ Year 12-month ECL = Annual PD × LGD × Exposure ÷ (1 + Effective interest rate) Stage 3 impaired = LGD × Exposure Weighted ECL = Σ Weight × ECL ( Annual PD × PD multiplier ) Coverage = ECL ÷ Exposure
This illustrates the method with one flat annual probability of default per segment and a yearly step. It leaves out prepayment, the timing of recoveries and collateral, so it is not an accounting tool and its result is not a provision to book.
What expected credit loss measures
Expected credit loss estimates the loss on a loan book from probability of default, loss given default and exposure. The calculation also uses the years left, the repayment pattern, the effective interest rate and weighted economic scenarios.
The result shows how staging changes the impairment number. Use it to compare 12-month and lifetime ECL by stage and see how economic scenarios affect the result.
ECL questions
What is expected credit loss?
Expected credit loss estimates losses from a loan book using probability of default, loss given default and exposure. The result depends on the stage assigned to each segment and the years left to run.
How do you calculate ECL from PD, LGD and exposure?
The calculation combines probability of default, loss given default and exposure for each year left to run. It also applies the effective interest rate, the repayment pattern and the economic scenario weights.
What is the difference between 12-month and lifetime ECL?
12-month ECL uses the first year's expected loss. Lifetime ECL sums the expected loss over the years left to run.
What do IFRS 9 stages 1, 2 and 3 mean?
Stage 1 covers performing loans and uses 12-month expected credit loss. Stage 2 covers loans with a significant increase in credit risk since the loan was made and uses lifetime expected credit loss. Stage 3 covers credit-impaired loans and uses loss given default multiplied by exposure.
How do weighted scenarios change expected credit loss?
Each scenario runs with its own probability of default multiplier. The results are then weighted by the scenario weights, which are scaled to their total.