The determination of the expected credit losses (ECL) for stages 1 and 2 involves stage allocation, segmentation and the calculation of probability-weighted ECLs by using macro-economic scenarios. Standard processes can be used depending on your portfolio and the performance data available.
For stage 3, risk provisions can be calculated for insignificant and significant non-performing loans using scenarios. In this case, expected cash flows from collateral as well as regular and irregular expected incoming payments - for several repayment scenarios - can be captured and calculated.
The blueprint for IFRS 9 impairment is composed of the following components and other blueprints:
In order to optimise operational processes, simulations can be determined several times irrespective of the current accounting process and the month-end processing. A comprehensive audit trail and audit compliance for data and methods are available for all calculations.