RFH ECL (Expected Credit Loss)

Key features

• Credit risk assessment and stage determination

  Implement the IFRS 9 three-stage impairment model with PD and loss rate-based approaches and proxy methods for accurate stage classification.

• Rebuttable assumptions and workflow

  Provide controlled workflows for past-due threshold breaches, notifications, and confirmation processes aligned with four-eyes principles.

• Expected credit loss measurement

  Support ECL measurement at individual and portfolio levels using internal ratings, segmentation logic, and both 12-month and lifetime horizons.

• Probability of default and loss calculation

  Deliver IFRS-compliant PD and LGD calculations, leveraging transition matrices, Markov Chains, and matrix-based lifetime PD derivation.

• Macroeconomic scenario integration

  Incorporate factor-based models and scenario-driven analysis to reflect macroeconomic and customer-specific variables in impairment outcomes.

• Accounting integration and disclosures

  Generate IFRS-compliant booking entries, integrates with general ledger systems, and provides comprehensive impairment disclosures at portfolio and contract levels.