How does this calculator estimate expected losses?

It runs a representative loan through the LoanBook CECL cashflow projection and discounts expected losses at the note rate.

Can I use my own assumptions?

Yes. Choose My assumptions to enter CPR, CDR and loss severity, or use the LoanBook models for the selected loan profile.

How do the optional stress scenarios work?

Enter all four CDR and severity multipliers to calculate Adverse and Severely Adverse scenarios. This calculator then weights Base 60%, Adverse 30% and Severely Adverse 10%. Without those inputs it reports the Base estimate only.

CECL Expected Credit Loss Estimator

Estimate lifetime expected credit losses with LoanBook's models or your own assumptions. Add optional stress multipliers for a three-scenario weighted estimate.

Loan Sector

Loan Type

Portfolio Balance ($)

Weighted Avg Note Rate (%)

Weighted Avg FICO (300-850)

Weighted Avg LTV (%)

Weighted Avg Age (months)

Weighted Avg Original Term (months)

Prepayment, default and loss severity

LoanBook modelsMy assumptions

Stress scenarios (optional)

Multipliers on the Base CDR and severity. Enter all four to weight Base 60%, Adverse 30%, Severely Adverse 10%.

Adverse CDR (x)

Adverse severity (x)

Severe CDR (x)

Severe severity (x)

How This Calculator Works

This estimator builds one representative loan from your inputs and projects its monthly defaults and recoveries through LoanBook's CECL loan engine, the same per-loan projection the platform uses for pool CECL.

LoanBook models runs the platform's current Default, Severity and Prepay Models on that loan. Residential default is a competing-risks hazard calibrated through the cycle; other sectors use lifecycle default curves. A FICO or LTV you leave blank makes no adjustment; nothing is filled in.

My assumptions uses the CPR, CDR and loss severity you enter. Severity is a percentage of the balance at default, and a typed 0 is used as 0.

Stress scenarios are optional. Enter CDR and severity multipliers for an Adverse and a Severely Adverse scenario and the estimate is weighted Base 60%, Adverse 30% and Severely Adverse 10%. Without them only the Base case is shown.

This is a model-based estimate for one representative loan, not a booked allowance, which adds an institution's own forecasts, reversion and qualitative factors. For loan-level CECL across a pool, upload a loan tape to LoanBook.

What is CECL? →CECL Guide for Credit Unions →Default Model v3.0 Methodology →

How This Calculator Works

My assumptions uses the CPR, CDR and loss severity you enter. Severity is a percentage of the balance at default, and a typed 0 is used as 0.