1. IFRS VBox¶
Software for automated Valuation, Accounting, Credit Risk and Financial Reporting.
Accurate and standard compliant with IFRS 9, IFRS 16, IFRS 17.
High performance for large portfolios of more than 10 Million accounts.
IFRS 9 Solution Architecture¶
1.1. Import of Financial and Non-Financial Instruments¶
From the Core-banking Systems and Data Sources, Manticore ETL-VBox will import:
Instrument Properties (Type, Origination Date, Maturity Date, Currency)
IFRS Category and SPPI Test
Credit Risk Parameters (Life Time PD Curve, Recovery Assumption, Impairment Stage)
Disbursement
Repayment Schedule
Interest Accrual and Interest Payment Schedule
Attributable Fees and Charges
Purchase or Sale Transactions (incl. Premiums or Discounts)
Market Prices and Yield Curves
Reporting Dimensions, Attributes and Properties (e.g. Cost and Profit Centre)
ETL-VBox can read data from any Database, Spreadsheet, CSV- or Flat-File, JSON- or XML-File or Website.
1.2. Cash Flow Schedules¶
Using the integrated Cash Flow Engine, IFRS-VBox will roll-out comprehensive Cash Flow Schedules:
Contract vs. Settlement vs. Economic Expectation
International Holiday Calendars and Business Day Conventions
Various Disbursement and Repayment Conventions
Various Interest Accrual and Payment Methods
Complex Interest Rate Fixing Agreements (linked to Market Rates, FX-Rates, Indices, Commodity Prices etc.)
Contract:
257258
Value date Settl date n Rate T Amount Cur Commitment Principal Start End
----------- ----------- --- -------- --- --------------- --- --------------- --------------- ----------- -----------
2022-06-27 0 7.50000
2022-06-27 2022-06-27 D -20000000.00 USD 20000000.00 -20000000.00 2022-06-27 2022-09-26
2022-09-26 2022-09-26 I 373972.60 USD 20000000.00 -20000000.00 2022-06-27 2022-09-26
2022-09-26 91 7.50000
2022-09-26 2022-09-26 R 20000000.00 USD 20000000.00 0.00 2022-09-26 2022-09-26
----------- ----------- --- -------- --- --------------- --- --------------- --------------- ----------- -----------
Settlement:
257258
Value date Settl date n Rate T Amount Cur Commitment Principal Start End
----------- ----------- --- -------- --- --------------- --- --------------- --------------- ----------- -----------
2022-06-27 0 7.50000
2022-06-27 2022-06-27 D -20000000.00 USD 20000000.00 -20000000.00 2022-06-27 2022-09-26
2022-09-26 2022-09-26 I 373972.60 USD 20000000.00 -20000000.00 2022-06-27 2022-09-26
2022-07-05 8 7.50000
2022-09-26 83 7.50000
2022-09-26 2022-09-26 R 20000000.00 USD 20000000.00 0.00 2022-09-26 2022-09-26
----------- ----------- --- -------- --- --------------- --- --------------- --------------- ----------- -----------
Date Accrued Principal Smoothing
2022-07-05 -32876.71 -20000000.00 277.05
Fee Type EIR Excl EIR Incl PV Excl PV Incl Unamortized Start Date End Date
7.43074 7.43074 20032599.66 20032599.66 0.00
----------- ----------- --- -------- --- --------------- --- --------------- --------------- ----------- -----------
Latest Spread 5.86784 FV 32 M-t-Model -20032604.15
Average Spread 5.86784 FV 39 M-t-Model -20032604.15
1.3. Valuation and Measurement¶
Based on the Contractual Cash Flows, IFRS VBox will calculate the Effective Interest Rate (EIR):
\[PV_{i-1} = \sum_{t=i}^n CF_t \cdot e^{ \frac {-y \cdot TG_t} {365}}\]
When the EIR is known, the Amortised Cost can be calculated as Total Present Value of the future Expected Cash Flows (based on the actual settlement).
\[PV_i = \sum_{t=i}^n CF_t \cdot e^{ \frac {-y \cdot TG_t} {365}}\]
The EIR will be re-calculated whenever the Contract is changed (e.g. Interest Rate adjustment, Purchase or Disbursement). In case of Unexpected Changes (e.g. Late/Early Payments, Sales) the Amortisation Schedule Changes and the difference will be recognised as a Profit or Loss.
Cash Flow Schedule Events¶
Financial Instruments subject to Credit Risk will need a Provision according to the Expected Credit Loss (ECL) based on the following Credit Risk Parameters:
Impairment Stage (based on Deterioration of Credit Risk since Origination)
Credit Conversion Factor (CCF) for Contingent Portions
Life Time Probability of Default (PD) Curve Point in Time (PIT)
Collateral
Recovery Expectation
Note
Those Credit Risk Parameters can be modelled in Risk VBox.
Financial Instruments at Fair Value will be measured
either Mark-to-Market based on Quotes in liquid markets
or Mark-to-Model based on Discounted Future Cash Flows — using a Risk Free Yield Curve and the Credit Spread.
\[FV_i = \sum_{t=i}^n CF_t \cdot e^{ \frac {-(y_i + CS) \cdot TG_t} {365}}\]
Note
IFRS VBox supports Bootstrapping of Zero Coupon Curves from observed Spot Rates. It also helps to determine the applicable Credit Spreads by comparing the actually Observed Prices against the Risk Free Yield Curves.
During the Valuation, IFRS VBox will calculate more than 250 different Financial Measures for each Instrument. All those measures are written into the Reporting Data-marts, from where they will feed the Accounting- and Reporting Engines.
1.4. General Ledger¶
IFRS VBox includes a comprehensive General Ledger which supports:
Parallel Multi-GAAP
Configurable Charter of Accounts (CoA) as per GAAP
Configurable Accounting Events and Account Mapping Rules as per GAAP
Interactive Drill down, Trace and Reconciliation
Accounting Events: As per single instrument, the software will observe the Financial Measures over time and generate Postings of the Difference, whenever a change occurs.
Account Mapping Rules: For each Accounting Event, the Debit and Credit Lines can be mapped — either statically or dynamically based on the Instrument’s properties (e.g. Currency, Product Codes, Customer Types, Fee Types).
Although completely configurable and subject to customisation, Manticore will provide its customers with IFRS9 Templates from Best Practise.
1.5. Financial and Regulatory Reporting¶
Since all measurement and posting in IFRS VBox is done as per single Instrument or Contract, VBox can filter and aggregate the figures as per Dimension or Reporting Attribute. Thus it can generate any kind of report such as:
Balance Sheet, Income Statement, Cash Flow Statement etc.
Provisioning, Capital Adequacy, Concentration Risk, Mitigation
Disclosure and Notes
Spreadsheet Form Reports (“Excel”), Band/Sub Reports and XML/XBRL
The Report Information is stored in well documented Comprehensive Data Marts from where it can be accessed with the Internal Report Builder or SQL or any Third Party Report Application. Using ETL VBox, those data can also be pushed into Central Data Warehouses.
Reports are pre-built and archived on a daily basis. Alternatively they can be built on demand and with parameters or filters.