Intellectual Output 2 From story teller to modelling

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Intellectual Output 2 „From story teller to modelling expert” a. k. a. The pesky

Intellectual Output 2 „From story teller to modelling expert” a. k. a. The pesky IFRS 9

Output 2. 1 Content of the regulation of IFRS 9 The complex standard shall

Output 2. 1 Content of the regulation of IFRS 9 The complex standard shall be explained trough small topics Measuring equity using the following structure. Classification and measurement Measuring debt The business model test SPPI test IFRS 9 PD ECL Inputs to the model LGD 2

Output 2. 1 Main considerations This part shall be covered BEFORE the IP For

Output 2. 1 Main considerations This part shall be covered BEFORE the IP For each item (listed on the previous slide) · A short 7 -8 minutes video (? ? ? ) · A slide show with text · An illustrative example · A quiz To step forward need to complete all quizzes at least 75% 3

Output 2. 2 This part builids on the classification rules of IFRS 9 Focusing

Output 2. 2 This part builids on the classification rules of IFRS 9 Focusing mostly on debt instruments And on SPPI test 4

Output 2. 2 Financial instruments in the scope of IFRS 9 Financial assets Financial

Output 2. 2 Financial instruments in the scope of IFRS 9 Financial assets Financial liabilities New classification criteria New presentation: ‘own credit’ related FV changes in OCI (for liabilities under the FVO) New categories that use OCI

Output 2. 2 Debt (including hybrid contracts) Derivatives Equity ‘Contractual cash flow characteristics’ test

Output 2. 2 Debt (including hybrid contracts) Derivatives Equity ‘Contractual cash flow characteristics’ test (at instrument level) Pass Fail Held for trading? ‘Business model’ test (at an aggregate level) 1 Hold-to-collect contractual cash flows 2 BM with objective that 3 results in collecting contractual cash flows and selling financial assets Conditional fair value option (FVO) elected? No Amortised cost Neither (1) nor (2) Yes No No FVOCI option Yes elected ? Yes No FVOCI (with recycling) Fail FVTPL FVOCI (no recycling)

Output 2. 2 – List of issues to be classified” Repos Factoring Liquidity portfolios

Output 2. 2 – List of issues to be classified” Repos Factoring Liquidity portfolios Subsidized loans Stepped up interest Loan covenants Open ended funds Mortgages, revers mortgage Liquidity portfolios 7

Output 2. 2 Debt (including hybrid contracts) Derivatives Equity ‘Contractual cash flow characteristics’ test

Output 2. 2 Debt (including hybrid contracts) Derivatives Equity ‘Contractual cash flow characteristics’ test (at instrument level) Pass Fail Held for trading? ‘Business model’ test (at an aggregate level) 1 Hold-to-collect contractual cash flows 2 BM with objective that 3 results in collecting contractual cash flows and selling financial assets Conditional fair value option (FVO) elected? No Amortised cost Neither (1) nor (2) Yes No No FVOCI option Yes elected ? Yes No FVOCI (with recycling) Fail FVTPL FVOCI (no recycling)

Output 2. 3 -2. 6 This section deals with the expected credit loss model

Output 2. 3 -2. 6 This section deals with the expected credit loss model Overview of the regulation trough short materials, with focus on · definition of credit loss · ICL vs. ECL · inputs to the model · PD · LGD 9

Output 2. 3 -2. 6 Delivery Content of the regulation Methodology available (simplified) Case

Output 2. 3 -2. 6 Delivery Content of the regulation Methodology available (simplified) Case study using statistical methodology (trough excel) 10

Output 2. 3 -2. 6 Overview of the new impairment Scope : Loans, FVOCI,

Output 2. 3 -2. 6 Overview of the new impairment Scope : Loans, FVOCI, Start here model Loan commitments, Financial guarantees, (with exceptions) Lease receivables Loss allowance (updated at each reporting date) Stage 1 Stage 2 Stage 3 12 -month expected credit losses Lifetime expected credit losses Credit risk has increased significantly since initial recognition (individual or collective basis) Lifetime expected credit losses criterion Interest revenue calculated based on Credit-impaired Effective interest rate on gross carrying amount Effective interest rate on amortised cost Change in credit risk since initial recognition Improvement Deterioration

Output 2. 3 -2. 6 Overview of the issues relevant for methodology Scope Staging

Output 2. 3 -2. 6 Overview of the issues relevant for methodology Scope Staging Presentation Measurement Reasonable and supportable information Guarantees Multiple scenarios Revolving credit facilities

Output 2. 3 -2. 6 Calculation approach to be used ECL 12 -month t

Output 2. 3 -2. 6 Calculation approach to be used ECL 12 -month t 0 t 1 ECLlifetime t 2 t 3 tn Default PD 1 LGD 1 x EAD 1 Default Exposure PD 2 1 - PD 1 No LGD 2 x EAD 2 Default default 1 - PD 2 PD 3 No LGD 3 x EAD 3 default 1 - PD 3 PDn No Default LGDn x EADn default 1 - PDn No default

Output 2. 3 -2. 6 Case study elements Built on real database Building the

Output 2. 3 -2. 6 Case study elements Built on real database Building the model (useing excel) Estimation of the PD Estimation of the LGD Account for the ECL 14

Output 2. 7 Round table, group discussion topics Outcome evaluation Problems, efforts Experienc es

Output 2. 7 Round table, group discussion topics Outcome evaluation Problems, efforts Experienc es What is the use of this Regulator y issues 15

JUERGEN TELLER Juergen Teller Fineart Fashion photographer BIOGRAPHYJUERGEN TELLER Juergen Teller Fineart Fashion photographer BIOGRAPHY
Story Time Self Proclaimed Story Teller Fariha AkhtarStory Time Self Proclaimed Story Teller Fariha Akhtar
Pemrograman Terstruktur INPUT OUTPUT Input Output OUTPUT FungsiPemrograman Terstruktur INPUT OUTPUT Input Output OUTPUT Fungsi
OUTPUT DEVICES Jenisjenis Output Device Output yang dihasilkanOUTPUT DEVICES Jenisjenis Output Device Output yang dihasilkan
Output Devices Output Devices An Output device isOutput Devices Output Devices An Output device is
OUTPUT DESIGN 1 Characteristics of Output Output DesignOUTPUT DESIGN 1 Characteristics of Output Output Design
Chapter 2 Computer Hardware Output Devices Output OutputChapter 2 Computer Hardware Output Devices Output Output
Output Primitives Output Primitives n n Output PrimitivesOutput Primitives Output Primitives n n Output Primitives
Output Devices What is Output Output is dataOutput Devices What is Output Output is data
Output What is Output What is output DataOutput What is Output What is output Data
Output Devices Output Devices Output devices are usedOutput Devices Output Devices Output devices are used
Chapter 2 Computer Hardware Output Devices Output OutputChapter 2 Computer Hardware Output Devices Output Output
ANALISA PERANCANGAN OUTPUT INPUT PERANCANGAN OUTPUT Output adalahANALISA PERANCANGAN OUTPUT INPUT PERANCANGAN OUTPUT Output adalah
Output Primitives Output Primitives n n Output PrimitivesOutput Primitives Output Primitives n n Output Primitives