Summary
This deal is imported a consumer mortgage loan with monthly annuity paymentsfixed monthly capital decrease and fixed interest rate.
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 Mortgage loan, no annuity (153-WM_LN-A_Mortgage).
- The delivered product type is "MORTGAGE" (mortgage 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.
- Collateral:
- For this deal, a corresponding collateral is delivered ("153-WM_COL-A_Mortgage").
- The value of the collateral amounts constantly to 200.000 EUR at on all posting dates.
Cash Flow Plan
For this deal, a cash flow plan was generated based on contractual agreements.
Risk-Weighted Assets (RWA)
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RWA
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Due to the facts that
- this deal belongs to a private customer
- the product type is a mortgage loan
- this deal is not a "past due loan"
- the loan-to-value ratio is more than 85%
the assigned risk weight for this deal is 100% at on each posting date.
Since there is a collateral provided, the amount of RWA for this deals equals 100% of the difference between its contractual residual debt and the market value of the corresponding collateral.
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In the context of ECL calculation, the deal is processed in several components/ steps.:
- Segmentation
Segmentation is performed based on the following parameterization:
- Any loan with customer type "CORPCUST" (Corporate Customer) will be assigned to segment "IFRS9CI LOAN CORPORATE".
- Any loan with customer type "SMECUST" (SME Customer) will be assigned to segment "IFRS9CI LOAN SME".
- All remaining loans will be assigned to segment "IFRS9CI LOAN RETAIL".
Hence, this loan Since this loan belongs to a private customer, it is assigned to segment “IFRS9CI LOAN RETAIL”. It means that all corresponding ECL models and configurations are applied to this deal.
- Stage Determination
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- Stage 1 for DPD <= 30 days
- Stage 2 for DPD > 30 days and DPD <= 90 days
- Stage 3 for DPD >90 days.
This deal has 0 DPD at days past due on all postings dates. Therefore, it is assigned to Stage stage 1 (HEALTHY) at on each posting date.
- probability-weighted ECL calculation
Based on the determination of the stage, a 12-months ECL (stage 1) or a life-time ECL (stage 2 and 3) will be calculated for each deal.
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) were are applied.
- Theses external PD and LGD value were provided for two different economic 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 each both macroeconomic scenarioscenarios, 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.