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IFRS 9

Octaplus IFRS 9 is a proprietary credit impairment solution that calculates and reports expected credit losses figures (ECLs) for financial institutions.

Credit Impairment Staging

Flexible criteria for the automatic assignment of individual credit transactions and exposures to the IFRS staging buckets are part of our IFRS 9 solution.

Lifetime Default Probabilities

Fast and efficient computation of lifetime default probabilities. The solution transforms standard 1-year default probabilities into time horizon adjusted default probabilities.

Forward-looking Risk Parameters

Built-in macroeconomic models take into account all the forward-looking requirements. Unconditional risk parameters are transformed into forward-looking ones through the use of built-in prospective scenario-based macroeconomic models.

Expected Credit Loss ("ECL")

IFRS 9 ECLs can be easily produced using forward looking scenario-based credit risk parameters.

IFRS 9 concepts and standards

Recognition

Principles and standards for recognition and derecognition of financial assets.

Measurement

Financial assets measurement methodologies.

Impairment

Loss allowance assessment for expected credit losses.

Hedge Accouting

Hedge accounting standards and requirements.

IFRS 9 Consulting Projects

  • Our IFRS 9 framework implementation projects follow a sequential, organically configured structure.

  • Development of routines for the automatic classification of financial instruments in measurement categories.

  • Development of mathematical methodologies for credit risk parameters, forward-looking macroeconomic models and expected credit losses.

  • Procedures and routines for IFRS 9 reporting requirements.

  • Customization, licensing and deployment of our IFRS 9 solution for calculating credit losses allowances.

Recognition and Measurement of Financial Assets

  • IFRS 9 initial recognition and derecognition standards and criteria of financial assets and liabilities.  

  • Financial instrument recognition standards: repo operations, derivatives, swaps and other derivatives.  

  • General classification principles and rules. IFRS 9 financial measurement categories: AC, FVOCI and FVTPL.  

  • Business models for the AC, FVOCI and FVTPL categories.  

  • Standards and requirements for the time value of money and financial instruments with variable payment dates and amounts.  

  • Treatment of implicit or embedded derivatives.  

Credit Impairment

  • Expected Credit Losses (ECLs).  

  • Individual and/or collective assessments.  

  • Significant increase in credit risk.  

  • Losses measured with annual PDs and lifetime PDs.  

  • Prospective ECLs and macroeconomic variables.  

  • Measurement and calculation of ECLs.  

Hedge Accouting

  • Mitigation instruments and hedge objects.  

  • Qualification criteria for hedge accounting.  

  • Measures of hedge effectiveness.  

  • Treatment of adjustments and rebalancing of hedges.  

  • Treatment of derivatives in hedge accounting.  

    • IFRS 9: Validation and Governance

    • Validation of financial instruments classification criteria.  

    • ECL calculation methodology.  

    • Significant increase in credit risk indicators.  

    • Use of prospective macroeconomic data.  

    • Credit losses allowances reporting.  

    • Reasonable and supportable information.  

    • Governance of the IFRS 9 framework.  

    See also

    Address

    Rua Quintana, 753, Cj. 92, Cidade Monções São Paulo, SP, Brasil CEP 04569-011

    Phone

    +55 11 5506 5880

    +55 11 5506 5988

    E-mail

    contato@octaplus.com.br