2020-09-22

A circular dated September 21, 2020 regarding reviewing the models used in calculating expected credit losses

In a letter dated September 21, 2020, the Central Bank of Egypt instructed banks to review the models used to calculate expected credit losses (ECL) and identify factors that were not considered in the design of these models. The review aimed to assess the soundness of the methodology used for ECL calculation and the quality, adequacy, and efficiency of information systems and data used in model development. Banks were required to submit a report to the Central Bank within a month, detailing the results of the model review and any modifications made, along with their impact on the bank's credit portfolio after calculating ECL based on the review findings.

Egypt

Central Bank of Egypt

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