Summary

This deal is imported as loan and processed in IFRS as financial asset with accounting category “Amortised Cost”. In consequence the deal is booked on the basis of amortised cost in financial statements.

Data Requirements

To fulfill IFRS processing, basis data requirements for this deal was provided:

• Contractual agreement: for this deal, deal data can be found at Consumer loan with annuity (001-FK_LN-A-Consumer-Annuity)
• Actual payments: real payments were delivered for this deal.
• Specific deal events: there is no specific deal event for this deal.
• Customer data: for this deal, rating would not be required based on parameterization.  Other customer information was delivered as part of customer data.
• Optionally, payment behavior: for this deal, no payment behavior was delivered.

Cash Flow Plan

For this deal, cash flow plan was generated based on contractual agreement, no prepayment behavior was considered.

Accounting category

Based on:

• deal data (imported as loan) and
• setup of determination of accounting category, this deal is assigned with accounting category “Amortised Cost”.

Valuation

Standard IFRS valuation was applied to this deal, including calculation of following ratios, including Effective Interest Rate (EIR), Amortised Cost and Fair Value based on Discount Cashflow Method.. 

Expected Credit Loss (ECL)

In the context of ECL, the deal would be processed in several components/steps.

• Segmentation
  Based on parameterization of segmentation: 
  • any loan with customer type "CORPCUST" (Corporate Customer) will be assigned to segment "IFRS9CI LOAN CORPORATE";
  • any loan with customer type "SMECUST" (SME Customer) will be assigned to segment "IFRS9CI LOAN SME";
  • all remaining loans will be assigned to segment "IFRS9CI LOAN RETAIL". 

hence, this loan is assigned to segment “IFRS9CI LOAN RETAIL”. It means all relevant ECL models and configuration would be applied to this deal.

• Stage Determination
  For the deal:
  • it is belonging to segment "IFRS9CI LOAN RETAIL", 
  • for all segments except "IFRS9CI LOAN CORPORATE", "IFRS9CI GUARANTEE", "IFRS9CI MONEY MARKET" and "IFRS9CI BONDS", stage will be assigned based on "day past due": Stage 1 for DPD <= 30 days, Stage 2 for DPD<= 60 days and Stage 3 for DPD >90 days. 
  • this deal has “day past due” 0,

hence it is assigned to Stage 1 (HEALTHY).

• ECL calculation 

Based on determination of segment and stage, 12 months’ ECL or life-time ECL is calculated for this deal with more detail like following:

- EAD was calculated based on amortised cost

- Based on configuration at segment “IFRS9CI LOAN RETAIL”, external PD and LGD value (expert value) was applied. Same external PD and LGD value were provided for different economic scenario.

Financial Accounting

Based on pre-defined accounting logic and chart of accounts, accounting entries were generated for this loan, using valuation results and provided data and customer data.

Key information used in both trigger of accounting logic and assignment of GL accounts in chart of accounts are (for all posting dates):

Reporting

All valuation and accounting results as well as delivered deal data and customer data are available in Data Marts.