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 Architecture

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.)

Cash Flow Sample
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

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.