What is Lifetime expected credit loss in FRM Part 2?

IFRS 9 allowance equal to expected credit losses over all possible default events during an instrument’s remaining life. Lifetime ECL applies after a significant increase in credit risk and to credit-impaired assets. It is broader than the 12-month ECL used for performing Stage 1 exposures.

Lifetime expected credit loss

FRM Part 2 glossary · Credit Risk

Definition

IFRS 9 allowance equal to expected credit losses over all possible default events during an instrument’s remaining life.

Lifetime expected credit loss in plain English

Lifetime ECL applies after a significant increase in credit risk and to credit-impaired assets. It is broader than the 12-month ECL used for performing Stage 1 exposures.

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Related FRM Part 2 terms

Country risk premium (CRP)
Cover 2
Credit conversion factor (CCF)
Credit and Debit Valuation Adjustments (CVA/DVA)
Default waterfall
Distance to default (DD)
Economic capital
Excess spread
Expected Loss (EL)
Expected Positive Exposure (EPE)

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