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Our Performance Sustainability Statement Governance Our Numbers Other Information

46. FINANCIAL rISk MANAGEMENT OBJECTIvES AND POLICIES (CONT’D.)
(a) Credit risk (cont’d.)

(iii) Analysis of inputs to the ECL model under multiple economic scenarios
An overview of the approach to estimating ECLs is set out in Note 2.3 Summary of significant accounting policies
and in Note 3 Significant accounting judgements, estimates and assumptions.

The probability weights for each scenarios are determined using the probability density approach. GDP is used as
an anchor as GDP reflects the overall condition of the economy. To estimate the probability of each scenario, the
Bank’s GDP forecasts are compared against the forecasts by the various research houses. It is then estimated by
obtaining the area under the probability density curve based on the Bank’s forecasts.
The following table shows the forecast of the key forward-looking economic variables used in each of the economic
scenarios for the ECL calculations for financial year ended 31 December 2020.

Assigned 2020 2021 2022
key variable ECL Scenario Probabilities (Actual) (Forecast) (Forecast)
(%)
Current Account Balance Base case 32.87% 2.60 1.50 2.00
(% of GDP) Upside 28.00% 2.60 3.10 4.80
Downside 39.13% 2.60 0.70 0.80
Economy's money supply – M3 Base case 32.87% 3.70 5.00 3.60
(YOY%) Upside 28.00% 3.70 6.50 4.00

Downside 39.13% 3.70 4.30 2.90
Consumer Price Index Base case 32.87% (0.20) (1.00) 1.80
(YOY%) Upside 28.00% (0.20) (0.50) 0.80
Downside 39.13% (0.20) (2.00) 3.30
Unemployment Rate (%) Base case 32.87% 3.30 4.50 3.70
Upside 28.00% 3.30 3.70 3.40
Downside 39.13% 3.30 5.50 4.30
Exchange Rate (USD MYR) Base case 32.87% 4.33 4.17 4.10
Upside 28.00% 4.33 4.06 3.50
Downside 39.13% 4.33 4.38 4.30
Overnight Policy Rate (%) Base case 32.87% 3.00 1.50 1.50
Upside 28.00% 3.00 1.75 2.25
Downside 39.13% 3.00 1.50 1.00
Kuala Lumpur Composite Index Base case 32.87% 1,672.00 1,471.00 1,432.00
(KLCI) Upside 28.00% 1,672.00 1,490.00 1,451.00
Downside 39.13% 1,672.00 1,432.00 1,394.00
House Price Index (YOY%) Base case 32.87% 2.20 0.80 3.00
Upside 28.00% 2.20 1.00 3.50
Downside 39.13% 2.20 0.50 2.50