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/IBX/C_UNWIND - Define Unwinding Calculation

In this Customizing activity you define for which impairment categories unwinding is to be calculated based on the gross book value and/or net book value. You also determine whether the unwinding reduces or increases the risk provision position and whether the formed unwinding is to be added to the gross book value during the calculation of the value adjustment requirement. You also use this activity to define which valuation is relevant for the calculation of the gross book value/discount interest to be used.

Note The two settings "Use Gross Book Value from Valuation" and "Use Interest Rate from Valuation" have no effect on valuation methods with an analysis horizon outside "04 IPX". For valuation methods with the analysis horizon "03 ECF", the unwinding must be calculated based on the gross book value and net book value so that the configuration of this Customizing activity is used.

• Define Valuation Method

• Define Scenarios

• Define RBD Area

• Define RBD Class

• ECF: Define Impairment Categories

• IPX: Define Impairment Categories

Depending on the valuation method, scenario ID, RBD area, RBD class, and risk provision position, define in which impairment category unwinding is to be calculated. To do so, activate the checkbox "Calculate Unwinding for Gross Book Value" and/or "Calculate Unwinding for Net Book Value". If you have activated a checkbox, you use the dropdown list to the right of the checkbox to determine whether the calculated unwinding increases or reduces the risk provision position. You use the indicator "Amortized Gross Book Value for IVA" to determine whether the calculated gross book value unwinding is to be added to the gross book value during the calculation of the value adjustment requirement. You also use the fields Use Gross Book Value from Valuation and User Interest Rate from Valuation to determine which valuation is relevant for the calculation of the gross book value/discount interest to be used.

Example 1: For contracts of the valuation method 20, the scenario ID RE, the RBD area 0001, the RBD class 00000001, and the risk provision position 10 that were assigned to impairment category 03, unwinding is to be calculated based on both the gross book value and the net book value. The gross book value unwinding is to increase the risk provision and the net book value unwinding is to reduce the risk provision. Both the gross book value and the discount interest of the last valuation that has not been reset are to be used as the calculation basis.

Example 2: For contracts of the valuation method 20, the scenario ID RE, the RBD area 0001, the RBD class 00000001, and the risk provision position 12 that were assigned to impairment category 03, unwinding is to be calculated based on the net book value. The net book value unwinding is to reduce the risk provision. The gross book value (for calculating the net book value) of the last valuation not reset and the discount interest of the current valuation are to be used as the calculation basis.

Example 3: For contracts of the valuation method 10, the scenario ID RE, the RBD area 0002, the RBD class 00000002, and the risk provision position 10 that were assigned to impairment category E3, unwinding is to be calculated based on both the gross book value and the net book value. The gross book value unwinding is to increase the risk provision and the net book value unwinding is to reduce the risk provision. The calculated unwinding is to be added to the gross book value when determining the value adjustment requirement.