Loan loss provisioning - the practical challenges of calculating expected loss

London 13 July 2010

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The extent to which current loan loss provisioning techniques are pro-cyclical
The conceptual arguments behind moving from a model that is based on 'incurred loss' to one based on 'expected loss'
The regulatory perspective on loan loss provisioning
What the next steps of the IASB and FASB will be in regard to the impairment of financial assets
The implications that 'actual' credit losses have on the impairment model
The adjusting of Effective Interest Rate (EIR) for initially expected future credit losses

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Noel J. Sacasa,

Senior Financial Sector Expert, INTERNATIONAL MONETARY FUND

Kathy Murphy,
Chief Accountant, OFFICE OF THE COMPTROLLER OF THE CURRENCY

Dave Wilson,
Deputy Comptroller for the Credit & Market Risk, OFFICE OF THE COMPTROLLER OF THE CURRENCY

Akwasi Ampofo,
Project Manager, FASB

Philip Chamberlain,
Managing Director, BANK OF NEW YORK MELLON

Markus Grund,
Senior Advior, GERMAN FEDERAL FINANCIAL SUPERVISORY AUTHORITY (BAFIN)

Tony Clifford,
Partner, EMEIA Financial Services, ERNST & YOUNG

Martin Friedhoff,
Technical Principal, IASB / IASC FOUNDATION

Colin Martin,
Partner, Financial Services Technical Advisory Team, KPMG

Katja Pluto
Head of Risk Methodology, HSBC HOLDINGS

Dr Scott D. Aguais
Head of Credit Portfolio Analytics, RBS GLOBAL BANKING & MARKETS

Investigating the cyclicality of loan loss provisioning
Examining the limitations of the incurred loss model
An update on the IASB exposure draft (ED) and the work of the Expert Advisory Panel
Defining the expected loss model using Basel ll methodology
Combining elements of through-the-cycle and point-in-time in order to determine the expected loss for the life of a loan
Effective Interest Rate (EIR) treatment within the cash flow accounting