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/IBS/RB_IASCOL - Collateral Valuation According to IAS/IFRS

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This Customizing activity is relevant for valuation methods with the 'Fair Value' or 'ECF' analysis horizon. A combination of the Credit Rating Collateral Giver and Collateral Type is used to derive the percentage for calculating the recoverable share of collateral values.

You have defined a valuation method with the 'Fair Value' analysis horizon and/or a valuation method with the 'ECF' analysis horizon using the Customizing activity Define Valuation Method.

The following example explains the system settings. After each example, you can see which row of the Customizing settings refers to each requirement:

• If the collateral giver has a credit rating of 'AAA', then the recoverable share of the collateral value of a collateral of collateral type '010400 - registered mortgage' is 90%. In a follow-up valuation, the percentage must not exceed the value stored in Customizing, rather it is to be calculated using the last actual valuation of the collateral for the source system contract. (see row 4)

• If the collateral giver has a credit rating of 'AAA', then the recoverable share of the collateral value of a collateral of collateral type '010300 - certified mortgage' is 80%. In a follow-up valuation, the percentage must not exceed the value stored in Customizing, rather it is to be calculated using the last actual valuation of the collateral for the source system contract. (see row 3)

• If the collateral giver has a credit rating of 'AAA' and the above rules do not apply, then the recoverable share of the collateral value of a collateral is set at 60%. During subsequent evaluation, the percentage is to be calculated using the last actual valuation of the collateral for the source system contract. (see row 2)

• If the collateral giver has a credit rating of 'BBB', then the recoverable share of the collateral value of a collateral is set at 50%. During subsequent evaluation, the percentage is to be calculated using the value defined in Customizing. (see row 5)

• The recoverable share of all other collaterals is 10%. During subsequent evaluation, the percentage is to be calculated using the last actual valuation of the collateral for the source system contract. (see row 1)

• For valuation method 10 (ECF Procedure), all collateral with a recoverable share of 100% is to be taken into account. During subsequent evaluation, the percentage is to be calculated using the last actual valuation of the collateral for the source system contract. (see row 6)

Evaluation Method	Credit Rating Collateral Giver	Collateral Type	Recoverable Share of Collateral in %	Copy Expectation
02	*	*	10,00	X
02	AAA	*	60,00	X
02	AAA	010300	80,00	X
02	AAA	010400	90,00	X
02	BBB	*	50,00	-
10	*	*	100,00	X

100,00

In this Customizing activity, you can use wildcard characters. Wildcard is the name given to a placeholder in the form of an asterisk and allows you to make generalized settings for specific table columns. This minimizes the number of entries that need to be made and provides a better overview. In this table, you can use wildcards for the following fields:

• Credit Rating Collateral Giver

• Collateral Type

Note that the "specific entries" are processed first, followed by the general entries.

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