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Highlights of the blueprint:

  • IFRS compliant EIR, AC and FV calculation without “ifs and buts”
  • Powerful cash flow generator which considers, while generating the expected cash flow plan of the entire remaining life cycle, contractual data on individual deal level, information about payment behaviour and market data.
  • Fine granular valuation elements for detailed analysis beyond today´s regulatory requirements
  • Single Calculation and Single source of truth


The valuation blueprint covers the entire functionality that is necessary to deal with the IFRS 9 specific valuation requirements regarding initial and subsequent measurement. It contains several components that generate estimated cash flows while taking several types of information such as contractual data, market rate sources and customer payment behaviour into account for the prediction of the future cash flow plan. Regardless of whether the estimated cash flow plan is generated by a Jabatix finance component or is delivered by another source, components such as EIR calculation or Fair Value calculation produce the required valuation elements related to Amortised Cost (AC) and Fair Value (FV). As such, valuation elements are provided on a highly granular level, offering great analysing options based on a combination of granular valuation elements and descriptive deal data.

 

The blueprint valuation consists of the following groups of components:

  • Basis
    • Credit Spread Calculator

    • Initial Residual Spread Calculator

    • Credit Enhancement Weighting Coefficient Calculator




Philosophy "Separation of valuation elements"

In the solution instead of solely calculating THE Amortised Cost or THE Fair value, these valuation approaches will be split into valuation elements such as principal, open amortization of transaction costs, fair value changes related to changes in market price, fair value changes related to changes in market price etc.

          Figure: Fine granular valuation elements in the solution


Through the provision of valuation elements combined with the fine granular booking of each element the solution ensures compliance and offers new perspectives:

  • Solid basis for future reporting requirements

Example:
Regulator introduces separate disclosure of credit-spread related to fair value changes

  • Fine granular analysis of balance sheet and income statement

Example Liquidity:
The differentiation within the AC valuation approach between paid interest, linear accrued interest in arrears and the amortisation of transaction costs enables a differentiation regarding the impact on liquidity:
„Which volumes in P&L impacted liquidity already in the past, but will impact the income only in the future?“ or „Which volumes impact the income, but will have a liquidity impact only in the future?“

Example impact of changes in rating/credit-spread to the income statement:
„How does the increasing credit-spread of a specific group of customers impact the income statement?“

  • Usefull basis for the comparison of different GAAPs

(„GAAP-unique valuation elements“)

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