Agenda

Agenda

Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

IFRS 9 impairment model overview and accounting mechanics

09:00 - 10:30

  • 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

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Expected credit losses

11:00 - 12:30

  • 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

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Significant increase in credit risk (SICR)

13:30 - 15:00

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

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Session to be confirmed

15:30 - 17:00

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Stage three – defining default

09:00 - 10:30

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

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Case study: modelling a residential real estate portfolio

11:00 - 12:30

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

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Off-balance sheet financial instruments

13:30 - 15:00

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

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

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

15:30 - 17:00

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