ead

Exposure at default (EAD) is a monetary amount used in estimating Loss Given Default (LGD). This includes any drawn balances, accrued interest, fees, and undrawn commitments that may be utilised prior to or at the point of default. The value reported should be Post-CRM (after applying credit risk mitigation).

When measuring EAD, institutions should reflect the expected moneraty exposure amount at the time of default, taking into account any undrawn commitments, accrued interest, fees, and other off-balance sheet items that may become due in the event of default. Reported on a Post-CRM basis.

Inclusions are drawn balances, accrued interest, fees, and any undrawn amounts that may be utilised prior to or at the point of default, net of credit risk mitigation where applicable.

Institutions must apply a consistent definition and calculation of EAD according to their internal methodology. This internal calculation is specific to each financial institution and should represent the total monetary exposure expected to be outstanding at the point of default for the reporting quarter.

[osfi bg] https://www.osfi-bsif.gc.ca/sites/default/files/documents/bg-rapid2-dd-en.xlsx [osfi dt3] https://www.osfi-bsif.gc.ca/sites/default/files/import-media/data_and_forms/data-definitions/2023-10/en/DT3_2022_BS.xlsx