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Jabatix Finance provides straight-through, consistent results generation and process control for IFRS 9 compliant impairment processing. Cherry-pick the calculation kernels (components) that you need to fit your specific situation.

 

Example: Use counterparty rating consistently throughout your entire process handling:

 IFRS 9 Stage 1:

  • Calculation of 12-month expected losses via PD Rating Migration Analysis.

  • Provision of IFRS 7 compliant disclosure of fair values: Map counterparty ratings against credit spreads to incorporate into the discount factor.

  • Calculation of LGD e.g. via Loss Rate Analysis on historical recovery cash flows.


IFRS 9 Stage 2:

  • Control of migration between Stage 1 and 2, by using counterparty rating as a threshold to determine a "significant deterioration in credit quality", as the definition under IFRS 9.

  • Calculation of Lifetime Expected Loss (LEL) via PD Static Pool Analysis, on the basis of historical downgrades of counterparty ratings to the default rate.

  • Or calculation of LEL via the Bank of Ireland's Transitions-Based Framework, using counterparty ratings as a microeconomic parameter, allowing for additional micro- and macroeconomic parameters to be added to the assessment.

  • Calculation of LGD e.g. via Loss Rate Analysis on historical recovery cash flows.


IFRS 9 Stage 3:


Similarly, other counterparty data can be used in Jabatix Finance to calculate PD, LGD and specific loss provisions. Examples include: late payment data, counterparty financial ratios, counterparty scoring, etc.

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