Summary

This is a mortgage loan with fixed 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:
  • 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 on all posting dates.

Risk-Weighted Assets (RWA)

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% 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.

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.
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