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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:
  • 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.