🎯 Key Takeaways for quick navigation: 00:41 *📊 Flow rate analysis, roll rate analysis, and aging schedule are crucial components of the hybrid approach for CECL modeling.* 01:54 *🧮 CECL modeling typically involves segment-level aggregation, allowing flexibility in determining predictor variables.* 02:12 *📊 To develop a CECL model, tracking monthly balances across different buckets is essential.* 03:31 *📉 The Simplified Approach in IFRS 9 entails aggregating models at an aggregate level, focusing on balance flows.* 04:25 *🔄 Computing flow rates involves tracking balances from one bucket to another over time periods, crucial for CECL modeling.* 05:36 *📈 Dividing current month balances by previous month balances helps compute flow rates between buckets, aiding in understanding credit portfolio dynamics.* 06:05 *💹 Understanding the balance in each bucket for flow rate analysis is crucial.* 06:18 *🔄 Dividing balances in the previous month's bucket and beyond for flow rate analysis is essential.* 06:59 *📊 Analyzing balances from previous months is necessary to determine flow rates accurately.* 08:07 *📈 Monitoring flow rates consistently helps in understanding balance trends over time.* 09:13 *📉 Intuitive interpretation of flow rates aids in identifying anomalies and data inconsistencies.* 10:26 *📊 Capturing flow rates correctly at the beginning of each period is crucial for accurate analysis.* 11:47 *📉 Average flow rates can provide insights into historical trends, aiding in risk assessment.* 12:06 *🔢 Loss Rate Analysis is determined by the percentage of accounts flowing into a bucket.* 12:30 *📉 To calculate Loss Rate for a bucket, multiply the product of flow rates by their respective bucket numbers.* 13:11 *🔄 Different buckets have varying Loss Rates, requiring separate calculations for each.* 14:11 *📊 Flow Rate and Loss Rate analysis aids in understanding financial performance for each bucket.* 16:49 *⏰ Models for financial analysis typically apply data on a monthly basis, projecting for the next 24 months.* 17:34 *💰 Linear amortization rates are calculated annually, usually dividing by 24 for monthly projections.* 18:04 *📊 Flow rate analysis involves understanding how funds flow between different buckets over time.* 18:46 *🔄 In a scenario where the balance in Bucket Zero is $1 and the flow rate to Bucket One is 4%, 96% will remain in Bucket Zero after the first month.* 19:27 *💸 When considering subsequent months, the flow rate from Bucket Zero to Bucket One will continue to be 4% of the remaining balance.* 20:20 *💰 Utilizing a simplified approach, if the starting balance in Bucket Zero is $1, after the first month, 95% of this will remain, and 4.38% will flow to Bucket One.* 21:55 *📉 Loss rate analysis involves understanding the percentage or amount lost from each bucket over time.* 23:20 *📈 Loss rates can vary month by month, affecting the recognition of losses and gains in different periods.* 24:30 *🌍 External factors, like macroeconomic conditions, can influence loss rates, indicating economic health.* 24:44 *🔢 Analysis involves calculating loss rates over different time periods.* 25:11 *💰 Understanding loss rates helps in assessing potential losses over the next 24 months.* 25:36 *📊 Loss rates are calculated based on exposure at the beginning of the period.* 26:03 *⚖️ Adjustments are made for losses based on exposures from four months ago.* 26:18 *🔄 When applying losses, consider the exposure at the beginning of the fourth month.* 26:47 *💸 Discounts are applied to calculate effective interest rates.* 27:17 *📉 Losses are discounted based on effective interest rates.* 27:58 *🔍 Losses are projected for future periods and discounted accordingly.* 28:38 *📉 Calculate and discount losses for upcoming months to assess discounted losses.* 29:05 *💼 Aggregate and calculate losses for longer periods, such as the lifetime of a loan.* 29:32 *📊 Project losses for various scenarios and classes of credit.* 31:01 *📉 Discounted loss amount is calculated by applying recovery adjustments to expected credit loss for IFRS 9 and CECL.* 31:26 *🔄 Understanding the flow rate: In a given period, if 49% flows into a basket and almost 50% flows out, the net flow is not 50% but 25%.* 32:17 *📅 Recognizing loss: Losses are first recognized in the third month for van bucket, and subsequently in the fourth month.* 33:16 *💰 Applying loss rates: Loss rates are applied to on-balance amounts three months before, and adjustments are made for forward-looking information.* 34:07 *📊 Loss rate calculation: Understanding how loss rates transition from one bucket to another and applying floor and cap tests.* 35:37 *🔄 Recognizing losses: Losses are recognized based on the balance three months before transitioning from one bucket to another.* 36:58 *📉 Loss rate for the next month is estimated around 7% based on the current data.* 37:13 *🔍 If forward-looking information is applied, the loss break-up for the next month can be assessed within the first month, aiding in quicker recognition of losses.* 37:27 *💹 Recognition of losses begins within the first month, with exposures being converted into loss amounts.* 37:41 *💳 Loss amounts are amortized based on specific dates, considering both discounted and lifetime loss amounts.* 38:09 *🔄 Adjustments are made for recovery, resulting in recognition of loss percentages, around 68.38% for the fourth bucket.* 38:23 *💡 Entire exposure is recognized as loss, leading to around 60% recognition in the ECL percentage term.* 38:39 *💼 Total balance is charged off, with expected credit losses of around 10.25% for 12 months and 12.19% lifetime.* 39:09 *📊 Floor rate analysis and return analysis aid in understanding expected losses for different periods.* 39:24 *📝 Applying terms and structures in IFRS 9 requires a structured approach, tailored to individual models, and cannot be directly applied universally.* Made with HARPA AI
🎯 Key Takeaways for quick navigation:
00:41 *📊 Flow rate analysis, roll rate analysis, and aging schedule are crucial components of the hybrid approach for CECL modeling.*
01:54 *🧮 CECL modeling typically involves segment-level aggregation, allowing flexibility in determining predictor variables.*
02:12 *📊 To develop a CECL model, tracking monthly balances across different buckets is essential.*
03:31 *📉 The Simplified Approach in IFRS 9 entails aggregating models at an aggregate level, focusing on balance flows.*
04:25 *🔄 Computing flow rates involves tracking balances from one bucket to another over time periods, crucial for CECL modeling.*
05:36 *📈 Dividing current month balances by previous month balances helps compute flow rates between buckets, aiding in understanding credit portfolio dynamics.*
06:05 *💹 Understanding the balance in each bucket for flow rate analysis is crucial.*
06:18 *🔄 Dividing balances in the previous month's bucket and beyond for flow rate analysis is essential.*
06:59 *📊 Analyzing balances from previous months is necessary to determine flow rates accurately.*
08:07 *📈 Monitoring flow rates consistently helps in understanding balance trends over time.*
09:13 *📉 Intuitive interpretation of flow rates aids in identifying anomalies and data inconsistencies.*
10:26 *📊 Capturing flow rates correctly at the beginning of each period is crucial for accurate analysis.*
11:47 *📉 Average flow rates can provide insights into historical trends, aiding in risk assessment.*
12:06 *🔢 Loss Rate Analysis is determined by the percentage of accounts flowing into a bucket.*
12:30 *📉 To calculate Loss Rate for a bucket, multiply the product of flow rates by their respective bucket numbers.*
13:11 *🔄 Different buckets have varying Loss Rates, requiring separate calculations for each.*
14:11 *📊 Flow Rate and Loss Rate analysis aids in understanding financial performance for each bucket.*
16:49 *⏰ Models for financial analysis typically apply data on a monthly basis, projecting for the next 24 months.*
17:34 *💰 Linear amortization rates are calculated annually, usually dividing by 24 for monthly projections.*
18:04 *📊 Flow rate analysis involves understanding how funds flow between different buckets over time.*
18:46 *🔄 In a scenario where the balance in Bucket Zero is $1 and the flow rate to Bucket One is 4%, 96% will remain in Bucket Zero after the first month.*
19:27 *💸 When considering subsequent months, the flow rate from Bucket Zero to Bucket One will continue to be 4% of the remaining balance.*
20:20 *💰 Utilizing a simplified approach, if the starting balance in Bucket Zero is $1, after the first month, 95% of this will remain, and 4.38% will flow to Bucket One.*
21:55 *📉 Loss rate analysis involves understanding the percentage or amount lost from each bucket over time.*
23:20 *📈 Loss rates can vary month by month, affecting the recognition of losses and gains in different periods.*
24:30 *🌍 External factors, like macroeconomic conditions, can influence loss rates, indicating economic health.*
24:44 *🔢 Analysis involves calculating loss rates over different time periods.*
25:11 *💰 Understanding loss rates helps in assessing potential losses over the next 24 months.*
25:36 *📊 Loss rates are calculated based on exposure at the beginning of the period.*
26:03 *⚖️ Adjustments are made for losses based on exposures from four months ago.*
26:18 *🔄 When applying losses, consider the exposure at the beginning of the fourth month.*
26:47 *💸 Discounts are applied to calculate effective interest rates.*
27:17 *📉 Losses are discounted based on effective interest rates.*
27:58 *🔍 Losses are projected for future periods and discounted accordingly.*
28:38 *📉 Calculate and discount losses for upcoming months to assess discounted losses.*
29:05 *💼 Aggregate and calculate losses for longer periods, such as the lifetime of a loan.*
29:32 *📊 Project losses for various scenarios and classes of credit.*
31:01 *📉 Discounted loss amount is calculated by applying recovery adjustments to expected credit loss for IFRS 9 and CECL.*
31:26 *🔄 Understanding the flow rate: In a given period, if 49% flows into a basket and almost 50% flows out, the net flow is not 50% but 25%.*
32:17 *📅 Recognizing loss: Losses are first recognized in the third month for van bucket, and subsequently in the fourth month.*
33:16 *💰 Applying loss rates: Loss rates are applied to on-balance amounts three months before, and adjustments are made for forward-looking information.*
34:07 *📊 Loss rate calculation: Understanding how loss rates transition from one bucket to another and applying floor and cap tests.*
35:37 *🔄 Recognizing losses: Losses are recognized based on the balance three months before transitioning from one bucket to another.*
36:58 *📉 Loss rate for the next month is estimated around 7% based on the current data.*
37:13 *🔍 If forward-looking information is applied, the loss break-up for the next month can be assessed within the first month, aiding in quicker recognition of losses.*
37:27 *💹 Recognition of losses begins within the first month, with exposures being converted into loss amounts.*
37:41 *💳 Loss amounts are amortized based on specific dates, considering both discounted and lifetime loss amounts.*
38:09 *🔄 Adjustments are made for recovery, resulting in recognition of loss percentages, around 68.38% for the fourth bucket.*
38:23 *💡 Entire exposure is recognized as loss, leading to around 60% recognition in the ECL percentage term.*
38:39 *💼 Total balance is charged off, with expected credit losses of around 10.25% for 12 months and 12.19% lifetime.*
39:09 *📊 Floor rate analysis and return analysis aid in understanding expected losses for different periods.*
39:24 *📝 Applying terms and structures in IFRS 9 requires a structured approach, tailored to individual models, and cannot be directly applied universally.*
Made with HARPA AI
Congratulations for the videos. May you activate the subtitle option? It would help me a lot to follow the classes. Thank you.
Also May you help to upload the excel used in the vedio so that we can read the formula and learn?
What is the balance here specifically means?
Hi, how to address roll backward or resolved cases
Thanks for the vedios！ Can u help to activate the subtitles? I am not a english native speaker, therefore i have trouble follow the whole class.
Would you explain what FEG mean please?
how FEG derived in row number 36.
where we get excel sheet ?
please share the excel sheet.
Please share link for excel sheet
Also, how roll banckward and normalising can be utilised. If you can explain that