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Loan impairment modeling according to IAS 39 by using Basel II parameters
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Loan impairment modeling according to IAS 39 by using Basel II parameters
1.
Loan impairment modeling
according to IAS 39 by using Basel II parameters KPMG Romania April 2007 RISK ADVISORY SERVICES
2.
Basel II &
IFRS -High Level Characteristics Basel II approach IFRS approach • Evaluations are basically “model driven” • Evaluations are basically “market driven” • Conservative estimates • Realistic case estimate -“Central” estimate • Intention of regulation – Stability of the banking • Intention of regulation – performance report to shareholders on current period through to sector reporting date • Consider entire life of portfolio –including future • Consider state of portfolio today –future losses losses are not taken into consideration • Basel has alternative approaches for credit (and • IFRS financial statements are focused on the operational) risk, which impact similarities and current financial position, cash flows and financial differences, depending on which approach is performance adopted © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
3.
Main question •Can
banks use the Basel II models for the purposes of performing their provisioning calculations? IFRS Basel II Approach Compliance © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
4.
Credit Loss Models
•Both Basel II and IFRS use the concept of credit loss •However there are differences: •Intentions: The aim of Basel II is to determine capital charges to cover unexpected future losses and un-provisioned expected losses whereas the aim of IFRS is to ensure that loan loss provisions reflect adequately the current risk of losses •Loss-related definitions: Basel II uses a borrower-oriented default definition for the transactions whereas IFRS uses a transaction-oriented and portfolio impairment definition •Methods: Basel II uses a credit risk measurement method to forecast risks whereas IFRS uses historical provisioning evidence adjusted to economic circumstances at the time of reporting; IFRS uses the concept of discounted cash flows whereas Basel II does not explicitly © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
5.
“Formula-based approaches or
statistical methods may be used to determine impairment losses in a group of financial assets” IAS 39 AG92 Historical loss experience can be used for both capital and provision calculations... © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
6.
Expected / unexpected
losses following Basel II versus incurred losses according to IFRS Total Losses Expected to Basel II Expected losses Unexpected losses take place (risk coverage by) provision “shortfall” tier ½ capital capital IFRS Incurred losses Already (risk coverage by) specific collective happened provision provision Local GAAP specific general provision provision © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
7.
Expected / unexpected
losses following Basel II versus incurred losses according to IFRS Expected Loss Probability Exposure Loss EL = of Default X at Default X Given Default PD EAD LGD •Probability of •Credit amount at •Loss after the default of the time of default event of a default borrowers in each risk grade (rating) on a one year time horizon •Regulatory definition of default event Standardized App. regulatory predetermined IRB Foundation App. internal estimate regulatory predetermined IRB Advanced App. Internal estimate © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
8.
Credit Loss Models
– Overview Impairment process acc. IAS 39 IAS 39 impairment process differs between single view (specific provisions) and portfolio view (portfolio or general provisions) Individual significant Individual non- assets significant assets Step 1 Single exposure Analysis for review (trigger event) indications If not individually If impaired impaired Step 2 Specific provision If individual Determination of -single transaction impairment Collective provisions ceases deterioration -portfolio level If individual impairment occurs © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
9.
Step 1: Using
Basel II default events as trigger events according to IFRS •A financial asset is impaired, if there is objective evidence of a decrease in value •There are clearly defined criteria, so-called Trigger Events, for objective evidence of impairment •Possible Trigger Events according to IAS 39.59 and IAS 39.61 •Substantial financial difficulty of the issuer •Breach of contract, such as default or delinquency in interest or principal payments •Concessions granted from the lender to the borrower that the lender would not have considered normally •High probability of insolvency •Recognition of an impairment loss on that asset in a previous reporting period •Disappearance of an active market for the financial asset due to financial difficulties of the issuer •A decrease in the market value of an issuer‘s debt securities significantly beyond factor explainable by changes in the market interest rates © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
10.
Step 1: Using
Basel II default events as trigger events according to IFRS The default trigger events in Basel II are less strictly defined and slightly different. A default is considered to have occurred with regard to a particular obligor (N.B. – not loan) when either or both of the following events have taken place: •The bank considers that the obligor is unlikely to pay its credit obligations to the banking group in full, without recourse by the bank to actions such as realising security (if held); or •The obligor is past due more than 90 days on any material credit obligation to the banking group. © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
11.
Step 1: Using
Basel II default events as trigger events according to IFRS – Details The elements to be taken as indications of unlikelihood to pay include: 1.The bank puts the credit obligation on non-accrued status; 2.The bank makes a charge-off or account-specific provision resulting from a significant perceived decline in credit quality subsequent to the bank taking on the exposure; 3.The bank sells the credit obligation at a material credit-related economic loss; 4.The bank consents to a distressed restructuring of the credit obligation where this is likely to result in a diminished financial obligation caused by the material forgiveness, or postponement, of principal, interest or (where relevant) fees; 5.The bank has filed for the obligor’s bankruptcy or a similar order in respect of the obligor’s credit obligation to the banking group; and 6.The obligor has sought or has been placed in bankruptcy or similar protection where this would avoid or delay repayment of the credit obligation to the banking group. The Basel II default trigger events no. 3 to 6 can be used to initialise an impairment test. © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
12.
Step 1: Using
Basel II default events as trigger events according to IFRS - Conclusion Although Basel II default criteria are different (less strict than IAS) Basel II Criteria could be used as minimum trigger events for IFRS purposes Advantage: many banks have started to develop credit loss databases based on these criteria Also: as IAS demands banks to provision against impaired loans, those loans would automatically fulfil the Basel criteria © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
13.
Step 2: Specific
Loan Loss Provision: Requirements •Expected Cash Flows from Contract - Size of expected Payment Book Value of Asset - Time of expected Payment - Present Value of •Cash Flow from Collateral expected Cash Flows from - Recovery from sale of collateral Contract - Revenue from foreclosure - Costs of recovery/workout - Present Value of Cash •Discount Factor Flows from Collateral - For fixed rate loans the originally agreed effective interest rate is to be used = Size of Specific Loan - For variable interest rate loans the Loss Provision current effective interest rate is to be used •Time period for discounting cash flow from sale of collateral - Estimated period of recovery © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
14.
Step 2: Specific
Loan Loss Provision: Requirements • Basis for collective provisioning: - All non-significant assets as well as those significant assets that have been classified „non- impaired“ when examined individually • Portfolio-Segmentation - Segmentation of the portfolio is done based on an assessment of the corresponding credit risk, e.g. a rating process (IAS 39 AG87) - Factor to take into account: product category, industry/sector, geography, collateral, default status, other relevant factors - Portfolio segments should have similar risk characteristics • Calculation of collective provisioning: - Size of provisions = Book Value – Present Value (Expected Cash Flows) - Discounting forecast future cash flows using the original effective interest rate. - Future cash flows are estimated based on historical default rates that have been observed for assets with similar credit risk properties • Historical default rates - . . . have to be corrected by current conditions that did not exist in the past - . . . have to be supplemented by „peer group“ experience for similar loans - . . . have to be back tested regularly © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
15.
Step 2: Specific
Loan Loss Provision: Portfolio definition Portfolio Z Portfolio… Portfolio C Portfolio B Portfolio A Book values Contractual Cash Flows Provisions at portfolio Effective Interest Rates level Terms Historical Default Rates PD Segmentation according to credit risk information, e.g. credit risk assessment, risk rating Total portfolio: Provisions at portfolio level •Individually non significant assets •Assets that are not individually impaired © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
16.
Step 2: Exposure
at Default Basel II IFRS • On a financial asset with a limit • Under IFRS, it is the loan amount facility (e.g. an overdraft) the EAD outstanding at the balance sheet will take in consideration an date that is considered in the expectation of future draw downs calculation and not any future until the default event has movements and draw downs occurred by using CCF © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
17.
Step 2: Provisioning
at Portfolio level – Conclusions IFRS Basel II • Provisions on Portfolio-level are only • Individual capital calculation according to the considered for exposures, which are not supervisory formula for each exposure individually impaired or significant (immaterial) • Segmentation of the exposures necessary for • Therefore all exposures (assets) have to be the LGD as well as PD determination assigned to defined portfolios • On aggregated level comparison of the EL with • Calculation of the provisions on portfolio level the risk provisions (single and portfolio) for each individual portfolio through comparison of the discounted cash flows - Excess can be added to the capital - Shortage has to be deducted from the capital Segmentation according to Basel II supports the valid calculation of IFRS provision on portfolio level; the use of Basel II PD/LGD Estimation and the default-/loss history is permissible © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
18.
A possible project
approach to create synergies Basel II & IFRS convergence assessment Definition Basel II & IFRS reconciliation methodology Set up of unified risk reporting strategy and format Synchronising of data requirements © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
19.
Contacts
Presenter Contact Details: Angela Manolache Manager Financial Risk Management Risk Advisory Services KPMG Romania DN1 Bucuresti-Ploiesti nr. 69-71 Sector 1, Bucharest 013685 Romania Tel +40 (741) 800 800 Fax +40 (741) 800 700 amanolache@kpmg.com Disclaimer The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity. Although we endeavor to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future. No one should act upon such information without appropriate professional advice after a thorough examination of the particular situation. © 2007 KPMG Romania SRL, the Romanian member firm of KPMG International, a Swiss cooperative. All rights reserved. The KPMG logo and name are trademarks of KPMG International.
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