Expected Credit Loss Calculator

Work out expected credit loss instantly with clear inputs, formula shown and shareable results.

About Expected Credit Loss Calculator

Expected credit loss is the product of three parameters: how likely default is, how much is outstanding when it happens, and how much is lost after recovery. The resulting loss rate is the minimum credit spread a lender must charge.

Formula

Expected credit loss

ECL = EAD × PD × LGD

EAD: Exposure at default
PD: Probability of default
LGD: Loss given default

Worked example

With the default values below, Expected Credit Loss Calculator returns Expected Credit Loss of $787,500.00. Change any input above and every figure here is recalculated in your browser.

Inputs used

Exposure At Defaultminimum 0: 50,000,000
Probability Of Defaultaccepts 0–100 %: 3.5 %
Loss Given Defaultaccepts 0–100 %: 45 %

Results

Expected Credit Loss: $787,500.00
Expected Loss Rate On Exposure: 1.5750%
Expected Recovery On Defaults: $962,500.00
Spread Needed To Cover It In Basis Points: 157.5

Step by step

1Values used
2Expected credit loss
3Expected Credit Loss= 787,500.00
4Expected Loss Rate On Exposure= 1.5750
5Expected Recovery On Defaults= 962,500.00
6Spread Needed To Cover It In Basis Points= 157.5

Assumptions and limits

The result is derived only from the 3 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

Is expected loss the same as required capital?

No. Expected loss is covered by provisions and pricing; capital covers unexpected loss beyond the average.

Why does loss given default matter as much as default risk?

Because a well-secured loan can lose almost nothing on default, while an unsecured one loses most of the exposure.