ECL Calculator - User Manual

Login Information

To access the ECL Calculator, use the following credentials:

User Interface Overview

The ECL Calculator application offers two interfaces:

1. Traditional Web Interface (Flask): A server-rendered interface accessible directly through the application URL.
2. Modern React Interface: A single-page application with enhanced visualization and interactivity.

Both interfaces provide the same core functionality with a slightly different user experience. The React interface offers more advanced visualizations and a more responsive user experience.

Navigation Elements

• Top Navigation Bar: Contains the application logo, main navigation links, user information, and logout option.
• Sidebar: Provides access to all main modules of the application including Dashboard, ECL Processes, Templates, Reports, and Admin section.
• Footer: Contains copyright information and additional links.

Dashboard

The dashboard provides an overview of your ECL calculation activities and key statistics.

Key Features:

• Summary of recent ECL processes
• Charts showing portfolio distribution
• Quick links to frequently used functions
• Status indicators for ongoing processes

ECL Process Module

This module is the core of the application where you can create, manage, and execute ECL calculations.

Key Features:

• Upload loan data and related files
• Configure calculation parameters
• Execute ECL calculations with step-by-step progress
• View detailed results with visualizations
• Download reports in various formats

Templates Module

Templates allow you to save configurations for repeated ECL calculations.

Key Features:

• Save process configurations as templates
• Manage saved templates
• Execute new processes using templates
• Share templates across your organization

Reports Module

This module provides comprehensive reporting capabilities for analyzing ECL results.

Key Features:

• View detailed reports on ECL calculations
• Compare results across different periods
• Generate custom reports
• Export reports in CSV format

Admin Module

The admin module allows administrators to manage users, companies, and system settings.

Key Features:

• User management (create, edit, deactivate)
• Company management
• Access control
• Audit logging
• Environment configuration

Asset Classification

Assets are classified into different categories based on Days Past Due (DPD) as per RBI guidelines:

Asset Category	DPD Range	Description
Standard	0-30 days	Performing assets with regular payments
Sub-standard	31-90 days	Assets showing early signs of stress
Doubtful 1	91-180 days	Assets with significant payment delays
Doubtful 2	181-365 days	Assets with extended payment issues
Doubtful 3	366-730 days	Assets with severe payment issues
Loss	>730 days	Assets considered unrecoverable

Probability of Default (PD)

PD represents the likelihood that a borrower will default on their loan obligations within a specific time period.

Calculation Method:

1. Historical default rates are analyzed by asset classification.
2. PD is adjusted for macroeconomic variables based on forward-looking information.
3. The application uses a time series model to project PD over the lifetime of loans.

Formula:

PD = Base PD × Macroeconomic Adjustment Factor

Where:

• Base PD is derived from historical default rates
• Macroeconomic Adjustment Factor adjusts for current and forecasted economic conditions

Loss Given Default (LGD)

LGD represents the percentage of the exposure that is expected to be lost if a default occurs.

Calculation Method:

1. Calculate recovery rates based on historical data
2. Adjust for collateral values and haircuts
3. Apply time value of money adjustments

Formula:

LGD = (1 - Recovery Rate) × (1 - Collateral Value/Exposure) × Time Value Adjustment

Exposure at Default (EAD)

EAD represents the expected loan balance at the time of default.

Calculation Method:

1. For term loans: Amortization schedule to project future balances
2. For revolving facilities: Current drawn amount plus Credit Conversion Factor (CCF) on undrawn portion

Formula:

EAD (Term Loans) = Current Balance × Amortization Factor
EAD (Revolving) = Drawn Amount + (CCF × Undrawn Amount)

ECL Computation Formula

The final ECL calculation is based on the multiplication of three key components:

ECL = PD × LGD × EAD

For multiple periods (lifetime ECL):

Lifetime ECL = Σ(PD_t × LGD_t × EAD_t × Discount Factor_t)

Where t represents the time period.

Loan Data

Required Fields:

• Loan ID (unique identifier)
• Customer ID
• Loan amount (original)
• Current balance
• Interest rate
• Loan term
• Origination date
• Maturity date
• Days past due (DPD)
• Product type (term loan, cash credit, etc.)
• Industry sector

Sample Format (CSV):

loan_id,customer_id,original_amount,current_balance,interest_rate,term_months,origination_date,maturity_date,dpd,product_type,sector
L001,C0001,1000000,800000,9.5,60,2020-01-15,2025-01-15,0,Term Loan,Manufacturing

Collateral Data

Required Fields:

• Loan ID
• Collateral ID
• Collateral type
• Collateral value
• Valuation date
• Haircut percentage

Sample Format (CSV):

loan_id,collateral_id,collateral_type,collateral_value,valuation_date,haircut_percentage
L001,COL001,Real Estate,1200000,2021-06-30,20

Market Variables

Required Fields:

• Variable name
• Value
• Effective date
• Source

Sample Format (CSV):

variable_name,value,effective_date,source
GDP_Growth,5.8,2022-03-31,Ministry of Finance
Inflation,6.2,2022-03-31,RBI

Creating a New ECL Process

1. Navigate to ECL Process Module
   • Click on "New ECL Process" in the sidebar or on the dashboard.
2. Create Process
   • Enter a name for the process
   • Select your company (if applicable)
   • Click "Create Process"
3. Upload Data Files
   • Upload the required data files (Loan Data, Collateral Data, etc.)
   • The system will validate the file formats and data integrity
4. Review and Start
   • Review the uploaded data summaries
   • Adjust any parameters if needed
   • Click "Start Process" to begin the ECL calculation
5. Monitor Progress
   • The system will display the progress of each calculation step
   • Each step is executed sequentially and can be monitored in real-time
6. View Results
   • Once the process is complete, the system will display the results
   • View summary statistics, charts, and detailed breakdowns
   • Download reports as needed

Using Templates

1. Create a Template
   • After completing an ECL process, click "Save as Template"
   • Enter a name and description for the template
   • Select which configurations to save
2. Using a Template
   • Navigate to the Templates section
   • Select the desired template
   • Click "Create Process from Template"
   • Upload new data files or use existing ones
   • The system will use the template's configuration for the calculation

Generating Reports

1. Access Reports Module
   • Navigate to the Reports section from the sidebar
2. Select Report Type
   • Choose from available report types (Summary, Detailed, Loan-Level)
   • Select the ECL process to report on
3. Customize Report
   • Apply filters as needed
   • Select fields to include
   • Choose visualization options
4. Generate and Download
   • Click "Generate Report"
   • View the report online
   • Download in CSV format as needed

User Management

Administrators can manage users through the Admin > Users section:

• Create User: Add new users with appropriate roles
• Edit User: Modify user details and permissions
• Deactivate User: Temporarily disable user access
• Reset Password: Reset a user's password

Company Management

Manage company information through the Admin > Companies section:

• Add Company: Register new companies in the system
• Edit Company: Update company information
• Toggle Status: Activate or deactivate companies

Audit Logs

The system maintains detailed audit logs of all user activities:

• View Logs: See all user actions with timestamps
• Filter Logs: Search by user, action type, date range
• Export Logs: Download logs for compliance purposes