New Features

OFS Loan Loss Forecasting and Provisioning bundles the following new features in version 8.1.2.10.0:
  • Introduction of a new amortization method: The new amortization method is a more streamlined non-transaction-based approach. The following are the key features:
    • 10% NPV Test: This test is to tag and event under modification or derecognition based on changes that have occurred because of a restructure or pre-payment.
    • Advanced use cases: A use case such as partial sale is also supported with the calculation of the necessary accounting measures.
  • Introduction of a New Forward Exposure ECL Method: A new ECL method is introduced with the following features:
    • Elimination of double discounting
    • Application of provision calculations and present value adjustments to provisions
    • Support for CCF term structures
    • Treatment framework based on:
      • Cash Flow Indicator- Enables forward exposure calculation, particularly when the cash flow indicator is set to No.
      • Interest Indicator- Influences the forward exposure calculation by considering the Interest component from the cashflow.
  • Decoupling of EIR and Amortization batch from Stage Determination and ECL Batch: This allows the EIR and Amortization run without triggering the Stage Determination and ECL. With this customer can run Amortization batch on daily basis without triggering Stage Determination and ECL run. Latest available data of IFRS 9 Stage and ECL will be referred in Amortization batch.
  • EIR Recalculation Triggers: Added additional triggers for the As of Date EIR calculation. The following are the triggers:
    • Change in Interest Rate
    • Change in Maturity Date
    • Change in Installment Amount
    • Increase in Outstanding Balance
    • Additional Fees
    • Additional Cost
    • EIR Recalculation Override Flag: Flag available in instrument tables.
  • Day 1PL Calculation and Amortization: Under IFRS 9, day one profit or losses (gains and losses on the day of the trade, hereinafter called Day1PL) for derivatives that are level 3 fair value assets and not flagged as excluded are required to be deferred and allocated over the contract period.