Our IFRS9 solution is part of the CAARS suite of software products. We have already successfully delivered an IFRS9 solution for a multi-billion £ retail and SME portfolio and acknowledge that each organisation potentially requires a targeted solution. Our data analysis led approach together with proven package software helps optimise this process.
- We analyse the data of both non-preforming and preforming assets and how these have evolved overtime, due both to external and internal events. Understanding the data is an absolute prerequisite to IFRS9 success.
- Once your data is available to our IFRS9 solution (after rigorous testing) the start point is a ‘Back Test’ using your historic data over user selectable time periods to produce a baseline for the Probability of Default (PD, 12 Month and Lifetime), Exposure at Default (EAD) and Loss Given Default (LGD). Stage assignments are made for all contracts in the full portfolio and the Expected Credit Losses (ECL) is then calculated.
- From this baseline position an (unlimited number) of different models of the future can then be produced. Our IFRS9 modelling facilities enable the inclusion of any number of your defined future macro-economic events or specific organisational events to be applied in the order you define. Providing the ability to ‘stretch’ or ‘haircut’ as required.
- In support of the above, further portfolio analysis of time-based events can be extracted to assist your organisation in the justification of the severity of forward-looking macro-economic/organisational events you have included e.g. the impact of event X was this in time period Y, therefore, we believe the next occurrence of this event will be at least as severe/more server to a factor of... These models are applied to the stages of capital at risk and generate the re-modelled Expected Credit Losses (ECL) values.
- Modelling can be driven via an uploaded file or entered on-line. The re-modelled ECL results are displayed interactively / real-time with separate totals by each of the defined IFRS9 stages. Models can be applied to each identified portfolio sub-population, for the avoidance of doubt these sub-populations can obviously overlap as required (in the calculation order you define).
- A finalisation process is run to persist the data when the Modelling results are complete.
- An audited history of the ECL per contract through its lifetime is available. By way of an example, you can drill down on-line to the underlying data generating the aggregated results for ECL including the impacts of the models applied.
- Standard output is available to support the ECL calculation including aggregated movement summaries designed to enable the required Financial Statement disclosure report notes to be produced.