OpenChainGraph Suite · ART-426 · Banking · ASC 326 (CECL)
CECL Expected Credit Loss & Allowance Calculator
Computes a deterministic CECL (Current Expected Credit Loss, ASC 326) allowance from your declared PD/LGD/EAD curves, segment exposures, and forecast scenario weights — WARM, DCF, and loss-rate methods — and reconciles the result against the prior period's allowance balance.
🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
⚠ BOUNDARY: PD/LGD/EAD curves and forecast scenario weights are YOUR policy inputs (human/model judgment) — this tool performs only the arithmetic combination into ECL and allowance reconciliation. It does not estimate, calibrate, back-test, or validate any PD/LGD/EAD model.
Distinct from IFRS9's 3-stage staging regime (see tools 196/198/204, a different accounting standard) — CECL recognizes lifetime expected credit losses from origination, with no staging transfer logic here.
Method & Rollforward Inputs
WARM/loss-rate scenarios use annual_loss_rate_pct (WARM, multiplied by remaining_life_years) or lifetime_loss_rate_pct (loss-rate, applied directly). DCF segments add lgd_pct + effective_interest_rate_pct, and each scenario supplies pd_curve (array of period PDs) + cash_flows (array of {period, contractual_payment_usd}); expected shortfall per period = contractual payment x PD x LGD, discounted at the EIR.