The IFRS 9 Module captures Expected Losses at facility, obligor and portfolio levels, and is unique in providing flexibility in the calculation of Expected Credit Losses.

The module combines both IFRS 9 and Basel requirements (shift in rating and shift in probability of default) in a fully configurable and user friendly manner. PIT ratings can be generated using 6 Sigma’s CRMS or imported from third parties. Outputs are on screen with summarized Stages 1,2 and 3 Amounts, both Authorized and Outstanding. RAROC is calculated using Lifetime calculations and 20 years Transition Matrix. Concentration listing, and breakdown of exposures by Obligors and Facilities, both authorized and outstanding are also provided. Export of data is done with ECL calculated by currency for good measure for ease of reconciliation.

Overview

Depth of Calculation and Flexibility in Managing Variables

– Calculation of the ECLs at Obligor and Facility Levels; both 12 months and Lifetime

– Breakdown in Stages 1,2 and 3

– Use of Backstop, Cutoff, and Shift in Rating

– Creation of Repayment Schedules or import of Repayment Schedules

– Multi-variable at Facility Levels including IFRS 9 designation, CCF, CCFU, ROO, LGD by country

– Multi-variable at Collateral Levels including IFRS 9 designation, Expected Period of Liquidation, Volatility rate, Haircuts, Cost of Recovery, FX Differential, and LGD by country

– Accounting of Third-Party Collaterals

– EIR calculation

Flexible Management of PDs and ECLs

– PD Calculation

– Use of Risk Rating from other risk rating systems or CRMS

– Use of 20 Years’ Transition Matrices

– Import of Loss Norm Table

– Import of Data from EMM or Core Banking Systems (through excel or APIs)

– Adjustment of Risk Ratings through TMRACs

Extended Coverage and Comprehensive Reporting

– Accommodates all businesses

– Selection of the portfolio by Obligors, Businesses, Industries, Countries, Facilities, and Collateral

– Risk Rating Distribution

– RAROC calculation using both 12 months and Lifetime

– Concentration of Exposure calculation

– Listing of all Obligors and their Facilities and ECLs across the selected portfolio

– Production of the results at the touch of a button.

– Export of results through excel, sorted ECL by currency

Resources

IFRS 9 Descr 2023 (opens in a new tab)

ESG & Enterprise Readiness Assessment Scores for 6 Sigma conducted by The Disruption House

CategoryAwardDate
Business Resiliency AccreditationBuilderOctober 2023
Sustainability AccreditationBuilderOctober 2023
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