I assume that you calculate ECL in the context of IFRS9 -correct?
market practice often follows the following appraoch:
- estimate a TTC PD/LGD (TTC = through the cycle). This corresponds to your lifetime estimate (e.g. one marginal PD value for each year of the life of your exposure) in the average of the economic cycle.
- But for IFRS9 provisioning you have to reflect current information. Thus usually a PiT (point in time) model is developed on top of the TTC component. In this step you model how your PD/LGD estimate depends on macro economic variables. Later when you calculate provisions you perform (or just retrieve) a forecast of the macros and adjust your PD or LGD values according to this forecast and the sensitivity modeled in the PiT part. Usually forecasts are only used for ~2 years. Noone expects you to forecast further into the future.
In summary you have one time dimension in the sense of marginal PDs for each year (or even month) of the duration of your exposures. Another time dimension is how the forthcoming years adjust these estimates.