Scenarios — Forward-Looking Macro

FR-SCN

Probability-weighted ECL across 4 macroeconomic narratives

Documentation

Probability-Weighted ECL · Q1 2026

50.97SGD M

Σ (weight × scenario ECL) · 4 scenarios · Σ weights = 100%

vs Base ECL

Base 48.22 M · Weighted 50.97 M

Forward-looking overlay = 2.75 M

Base Scenario

Base Case

50%

ECL Outcome

48.22SGD M

Reference baseline

GDP Growth

2.8%

YoY

Unemployment

2.2%

rate

House Price Idx

1.000

index

Interest Rate

4.0%

policy

Upside Scenario

Upside

20%

ECL Outcome

38.58SGD M

Δ vs Base: -9.64 M

GDP Growth

4.1%

YoY

Unemployment

1.8%

rate

House Price Idx

1.040

index

Interest Rate

3.8%

policy

Mild Scenario

Mild Downside

20%

ECL Outcome

57.86SGD M

Δ vs Base: +9.64 M

GDP Growth

1.2%

YoY

Unemployment

3.0%

rate

House Price Idx

0.965

index

Interest Rate

4.8%

policy

Severe Scenario

Severe Downside

10%

ECL Outcome

75.70SGD M

Δ vs Base: +27.48 M

GDP Growth

-1.8%

YoY

Unemployment

4.5%

rate

House Price Idx

0.880

index

Interest Rate

6.2%

policy

Methodology Note

Forward-looking information per IFRS 9 §5.5.17

IFRS 9 §5.5.17 requires that the measurement of expected credit losses reflect a probability-weighted amount that is determined by evaluating a range of possible outcomes. ECL Insight maintains four scenarios — Base Case, Upside, Mild Downside, Severe Downside — with weights 50% / 20% / 20% / 10% (Σ = 100%).

Each scenario carries four macro drivers — GDP Growth, Unemployment Rate, House Price Index and Interest Rate — that feed the macro scalar table used by the PD Models module to adjust through-the-cycle PD per Segment × Scenario. The probability-weighted ECL is computed as Σₛ wₛ × ECLₛ for s ∈ {Base, Upside, Mild Downside, Severe Downside}.

Governance: Scenario design and weights reviewed quarterly by Credit Risk Modelling; approval by Chief Risk Officer.