Course Agenda

Agenda

IFRS 9 - Course Agenda

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Day one - Wednesday December 4, 2019

8:30

Registration and refreshments

9:00

IFRS 9 impairment model overview and accounting mechanics

  • Overview of IFRS 9
  • Refresher classification and measurement
  • Instruments within scope
  • The three-stage model
  • Working example: Amortised cost – accounting entries through the three stages

10:30

Morning break

10:45

Expected credit losses

  • 12-month expected credit losses
  • Initial recognition/presentation of assets
  • Lifetime credit losses
  • Time value of money
  • Expected life versus contractual period
  • Treatment of collateral
  • Exception: 12m PD as proxy for changes in lifetime credit losses
  • Exception: low credit risk

12:00

Lunch

1:00

Significant increase in credit risk (SICR)

  • IASB guidance on SICR – 30 days past due backstop
  • The international banks’ SICR criteria
  • Practical challenges in application: PDs, ratings, 30 dpd

2:30

Afternoon break

3:00

Session topic to be confirmed 

4:30

End of day one

Day two - Thursday December 5, 2019

8:30

Refreshments

9:00

 Stage three – defining default

  • IASB guidance on impaired instruments
  • Best practice in definition of default
  • Practical challenges at international banks
  • Forbearance vs. write-offs
  • Cure periods
  • Purchased or originated credit-impaired (POCI) assets

10:30

Morning break

10:45

Case study: modelling a residential real estate portfolio

  • Scenario selection
  • Industry practice and challenges
  • PD modelling methodologies
  • LGD modelling methodologies
  • Capturing non-linearity
  • Management overlays

12:00

Lunch

1:00

Off-balance sheet financial instruments

  • Balance sheet presentation of provisions
  • Expected credit loss calculation mechanics
  • Expected life estimation – practical challenges
  • International banks practice

2:30

Afternoon break

3:00

The auditor’s view and what’s next for banks

  • Main areas of auditor scrutiny
  • Red flags
  • The supervisory authorities’ concerns
  • Next steps for banks – backtesting challenges

4:30

End of course