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Summary
This is a consumer loan with monthly annuity payments.
Data Requirements
In order to fulfill the processing in view of regulatory reporting, the following basis data requirements were provided for this deal:
- Contractual agreement:
- For this deal, contractual deal data can be found at Consumer loan with annuity (001-FK_LN-A-Consumer-Annuity).
- The delivered product type is "18912" (installment loan).
- Customer data:
- For this deal, a customer rating is not available since the customer is a private customer.
- The delivered customer type is "PRIVCUST" (private customer).
- Other customer information was delivered as part of customer data.
Risk-Weighted Assets (RWA)
Due to the facts that
- this deal belongs to a private customer
- the product type is an installment loan
- this deal is not a "past due loan"
- the exposure exceeds 0.2% of the total retail portfolio
the assigned risk weight for this deal is 100% on each posting date.
Since there is no collateral provided, the amount of RWA for this deals equals 100% of its contractual residual debt.
Expected Credit Loss (ECL)
In the context of ECL calculation, the deal is processed in several steps:
- Segmentation
Since this loan belongs to a private customer, it is assigned to segment “IFRS9CI LOAN RETAIL”.
- Stage Determination
This deal has 0 days past due on all postings dates. Therefore, it is assigned to stage 1 (HEALTHY) on each posting date.
- probability-weighted ECL calculation
Since this deal is assigned to stage 1, a 12-months ECL is calculated.
- Based on the derived segment “IFRS9CI LOAN RETAIL”, external PD and LGD values (expert values) are applied.
- Theses external PD and LGD value were provided for two different macroeconomic scenarios:
- a "baseline" scenario (weighted by 75%)
- an "adverse" scenario (weighted by 25%)
- EAD was calculated as the sum of all future cashflows discounted with the effective interest rate.
- For both macroeconomic scenarios, the corresponding ECL was calculated by the product of PD, LGD and EAD.
- Finally, the probability-weighted ECL is derived as the sum of 75% of the "baseline" ECL and 25% of the "adverse" ECL.