APICORP FSD

Functional Specification
IFRS-9

INTERNAL
APRICORP-FSD

Amendment History

Author / Changed
Version Date Status Change Description
By

1.1 11-12-2019 Shahzaib Shah Draft

1.2 12-12-2019 Shahzaib Shah Updated

1.3 17-12-2019 Shahzaib Shah Updated Over Bucket and commnets

1.4 09-01-2020 Shahzaib Shah Updated Update Note

1.5 14-01-2020 Shahzaib Shah Updated ECL on Nostro

1.6 18-01-2020 Shahzaib Shah Finalised Nostro Development

1.7 19-01-2020 Shahzaib Shah Final Adding Coniguration Document

Sign-off (Solution / FSD)

<This section is to update the mutual sign-off on the FSD between Temenos and Client>

Contact Person Role / Organization Date Signature

Fahad Hanif Project Manager/ NDC

Tech

M. Usman Project Manager / Apicorp

FSD Quality – Client Rating on Understandability

<Please choose one of the below for your rating>

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<<Provide your remarks based on the rating in few lines>>

Table of Contents

1 Background....................................................................................................................................... 5
1.1 Introduction .......................................................................................................................... 5
1.2 Reference Documents ........................................................................................................... 5
1.3 Glossary ................................................................................................................................ 5
2 Requirement Description .................................................................................................................. 6
3 Existing Functionality....................................................................................................................... 6
4 Gap description ................................................................................................................................. 6
5 Business Solution ............................................................................................................................. 8
6 Mock-up Screen.............................................................................................................................. 10
7 Flow diagram .................................................................................................................................. 11
8 Open Clarifications ......................................................................................................................... 11
9 Assumptions & Exclusions ............................................................................................................. 11
10 Functional Requirements .................................................................................................... 11
10.1 Existing Functionality ......................................................................................................... 11
10.2 T24 Solution ....................................................................................................................... 11
10.3 Reporting Requirements ..................................................................................................... 11
10.4 Concat Files ........................................................................................................................ 11
10.5 Accounting ......................................................................................................................... 11
10.6 Limit Updates ..................................................................................................................... 11
10.7 Position Management ......................................................................................................... 11
10.8 Multi-Company/Multi-Book............................................................................................... 11
10.9 Delivery Messages .............................................................................................................. 11
11 Non-Functional Requirements ............................................................................................ 11
12 Dependencies & Exclusions ............................................................................................... 12
13 Test Cases ........................................................................................................................... 12
14 Functionality Matrix ........................................................................................................... 12

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Document Updation guidelines:

This FSD document shall have 2 stages of updation. The details are below
Stage 1: (Sections 1 to 9 needs to be updated)
 To be updated while providing the Estimates with the Solution in terms of Client business
scenarios and high level T24 solution
 Focus – Ensuring the Client understands the solution in terms of normal business language in
client’s understandable live business scenarios
 FSD completed till this section should be attached to Estimates document

Stage 2: (Sections 10 to 14 needs to be updated)

 To be updated after estimates sign-off from the Customer
 Detailed Functional Requirements and Non-functional requirements shall be updated during
Stage 2
 Section 14 – Functionality Matrix shall be updated and mandatory for the Client sign-off
 Client Sign-off details shall be captured in Section – Sign-off (2nd page of the template)
 Focus – Ensuring the Technical resources understand the requirements / solution in T24 terms
for the subsequent design activity in the lifecycle

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1 Background

1.1 Introduction
IFRS-9 necessary configuration/devleopment to meet the bank’s requirement is completed

1.2 Reference Documents

Document Name Embedded Document Author,Company

IFRS-9 Rating Matriz Apicorp

Microsoft Excel
97-2003 Worksheet

Configuration accounts &

NDC Tech
Categories Microsoft Excel
97-2003 Worksheet

Configuration Document Ndc Tech

IFRS9 Final Config
Apicorp.doc

1.3 Glossary
This section provides glossary & descriptions that are used in this document.

Abbreviation Description

I9 IFRS-9

ECL Expected Credit Loss

LGD Loss Given Defult

PD Probility Of Defult

IA International Accounting Standard

CCF Credit Conversion Factor

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2 Requirement Description

 IFRS9 Expected Credit Loss (ECL) calculation is required daily on below

applications:

a) SL.LOANS
b) LD
c) MM
d) LC
e) MD
f) SC
g) Nostro

3 Existing Functionality
ECL on SL.LOANS, LD and MM will be dealt through core functionality using I9 Module. PD
percentage will be defined at customer level and LGD percentage wll be defiend at category level and
the value of LGD will be 60% and for SC PD percentage, LGD percentage and stage will be defiend at
SECURITY.MASTER (Portfolio Level) and Method will be define at SAM level
ECL on LC, LG , Undrawn Commitment of SL and Nostro and will be dealt through core
functionality using IA Module. ECL will be calculated using Credit Conversion Factor (CCF) approach
and PD

4 Gap description
There is no such functionality accessible in the system to classify contracts based on combination of
past dues, risk rating and country’s override using I9 Module and it will be completely new
development/Configuration in T-24

4.1.1.1 WS-01-03-01.01
This requires a template to capture day past dues and stages for ECL calculation based on the DPDs
logic

Days Bucket Stage

180-359 Stage-2

>360 Stage-3

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4.1.1.2 WS-01-03-01.02
The below matrix needs to be incorporated in API
Current Rating
Staging
AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC / C

AAA Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

AA+ Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

AA Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

AA- Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

A+ Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

A Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

A- Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2
Original Rating

BBB+ Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

BBB Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

BBB- Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

BB+ Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

BB Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2 Stage 2

BB- Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2 Stage 2

B+ Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2 Stage 2

B Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2 Stage 2

B Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 1 Stage 2

4.1.1.3 WS-01-03-01.03
This requires a template to capture override country list and stages for ECL calculation based on the
country override logic

Oman Stage-2

Bahrain Stage-2

4.1.1.4 WS-01-03-01.04
This requires a template to capture LD overdue status along with the stage for ECL calcuation

4.1.1.5 WS-01-03-01.05
This requires a template to capture LGD value for SC module along with local field that will be opened
in SEC.MASTER application which will have the following value based on that LGD value will be
fetched from this table.

Sovereign 45%

Banks 51.2%

Corporate 51.2%

4.1.1.6 WS-01-03-01.06
This requires a template to capture IFRS Classification for SC Module and for equity instrument only
classification is required no financial will be posted and for other modules AMC classification will be
applied and which will be non inputtable field at version level. For SL Hedge loan, a local field will be
given for tagging SL loan which are hedged and classification will be based on it.

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IFRS 9 Asset Classification

Classification Application Category Remarks
AMC MM 21084 Islamic Placement
AMC MM 21075 Conventional Placement
AMC MM 21077 Revese Repo 3rd Party
AMC MM 21073 IB Placement MM
AMC SL All Except Hedge
FVTOCI - Debt SC 100100-19 AFS - AMUNDI
FVTOCI - Debt SC 100100-18 AFS - HSBC
FVTOCI - Debt SC 100100-2 AFS - HEAD OFFICE
FVTOCI - Debt SC 800100-2 AFS - BAHRAIN BRANCH.
FVTOCI - Debt SC 100100-12 AFS - JPM
FVTOCI - Debt SC 100100-11 AFS - PIMCO
FVTOCI - Equity SC 100100-16 AFS - JADWA P1
FVTOCI - Equity SC 100100-17 AFS - JADWA P2
FVTOCI - Equity SC 100100-4 AFS PORTFOLIO - EQUITIES
FVTOCI - Equity SC 100100-10 D.E.I. REVALUATION PORFOLIO
FVTPL - Equity SC 100100-20 D.E.I. FVTPL
FVTPL SC 100100-7 AFS, MANAGED FUND.
FVTPL SC 800100-7 AFS, MANAGED FUND. - BAHRAIN.
FVTPL LD SC Sub Ordinate Loans
*Adding New MM category 21060

5 Business Solution
The requirement mainly requires a feature that allow Apricorp to classify contracts for ECL calculation
based on
a) Day Past Dues
b) Rating Matrix
c) Country Override

5.1.1.1 Business Flow / Scenario (Solution details)

In T24, the requirements will be achieved by are as follows:
An API will be developed for SL.Loans that first will calculate overdue days of loan by looking at
SL.OD.DUES table and pick the oldest overdue installment of the loan and the ID of the loan have due
date, take that overdue date and minus today date to calculate overdue and then compare that days to
the local DPDs table to classify the stage of loan based on DPDs logic.
Secondly, Compare the original rating with the current rating which will be available in FACILITY
application and based on that rating check the stage from matrix and classify the stage.
Finally, check the country of the loan if it is in override country list table, classify the loan based on
that. Any SL loan that will not any of the above creteria will be classified under stage-1.This API will
be attached in PV.Management records and category range will be 40000-40999.
An API will be developed for LD.Loans that first will compare the laon status in LD application with
the local status table and classify the stage.Secondly, Compare the original rating with the current
rating which will be available in Customer application and based on that rating check the stage from
matrix and classify the stage.Finally, check the country of the loan if it is in override country list table,
classify the loan based on that. Any LD loan that will not any of the above creteria will be classified

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under stage-1. .This API will be attached in PV.Management records and category range will be 21050-
21074 that is core LD category range.
An API will be developed for MM that first will compare the original rating with the current rating
which will be available in Customer application and based on that rating check the stage from matrix
and classify the stage.Secondly,check the country of the MM deal if it is in override country list table,
classify the deal based on that. Any MM deal that will not any of the above creteria will be classified
under stage-1. .This API will be attached in PV.Management records and category range will be 21075-
21095 that is core MM category range.
For LC and MD, CCF and PROV Percentage value will be define at customer level while booking a
deal of LC & MD validation routine will fetch the value of CCF and PROV Percentage from customer
records and put in deal CCF abd PROV Percenatge filed. Furthermore, the validation routine will check
the deal country and compare with country override table and if it is in override country list table, pick
the stage from that table and put in local filed which will be opened in LC & MD just for recoding the
stage for reporting purpose

5.2 Note:
 For Off Balance sheet items ECL calculation will only be performed to newly
contarcts
 ECL calculation on Nostro accounts will only be performed to newly contracts
 The amount on which the ECL calculation will be performed will be the sum of
principal amount and accrued interest as of date
 For Security classified through FVTOCI, the ECL loss amount will be gone through
P&L
 Two Detail enquiry will be as per format one for on and one for off balance sheet.

5.3 Versions:
Following versions are required updation.
CCF and PROV.PERC are mandatory on the following to calculate ECL. If user does want, simply put
zero
VERSION>CUSTOMER,API.SL.BORROWER
VERSION>CUSTOMER,API.CUSTOMER
VERSION>FACILITY,API.VER.BO.FACILITY.INPUT
VERSION>ACCOUNT,API.ACCOUNT
VERSION>ACCOUNT,API.ACCOUNT,AUTH

Following versions are updated to meet the IFRS09 requirement

VERISON>SL.LOANS,API.VER.BO.DD.INPUT
VERSION>SL.LOANS,API.PRINCIPAL.CHANGE
VERSION>MM.MONEY.MARKET,API.PLACED.AUTH A
VERSION>MM.MONEY.MARKET,API.PLACED
VERSION>MM.MONEY.MARKET,API3.3P.REV.REPO.AUTH A
VERSION>MM.MONEY.MARKET,API3.3P.REV.REPO

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VERSION>MM.MONEY.MARKET,API.PLACED
VERSION>MM.MONEY.MARKET,API.PLACED A
VERSION>MM.MONEY.MARKET,API.MORABAHA.PLC
VERSION>MM.MONEY.MARKET,API.LOANS
VERSION>LD.LOANS.AND.DEPOSITS,API.ATFM
VERSION>LD.LOANS.AND.DEPOSITS,API.SUKUK
VERSION>LD.LOANS.AND.DEPOSITS,IMPLOAN
VERSION>SECURITY.MASTER,API.BOND2
VERSION>LETTER.OF.CREDIT,EXPMXPMT
VERSION>LETTER.OF.CREDIT,EXPNEGO
VERSION>LETTER.OF.CREDIT,EXPREADV
VERSION>LETTER.OF.CREDIT,EXPSIGHT
VERSION>LETTER.OF.CREDIT,EXPSPBCK
VERSION>LETTER.OF.CREDIT,EXPSTDBY
VERSION>LETTER.OF.CREDIT,EXPUSANCE
VERSION>LETTER.OF.CREDIT,IMPMGN
VERSION>LETTER.OF.CREDIT,IMPMXPMT
VERSION>LETTER.OF.CREDIT,IMPNEGO
VERSION>LETTER.OF.CREDIT,IMPREADV
VERSION>LETTER.OF.CREDIT,IMPSIGHT
VERSION>LETTER.OF.CREDIT,IMPSTDBY
VERSION>LETTER.OF.CREDIT,IMPUSANCE

6 Mock-up Screen

 N/A

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7 Flow diagram
 N/A

8 Open Clarifications
 NA

9 Assumptions & Exclusions

 NA

10 Functional Requirements

10.1 Existing Functionality

10.2 T24 Solution

10.3 Reporting Requirements

Not applicable

10.4 Concat Files

Not Applicable

10.5 Accounting
Not Applicable

10.6 Limit Updates

Not Applicable

10.7 Position Management

Not applicable

10.8 Multi-Company/Multi-Book
Not applicable

10.9 Delivery Messages

Not applicable

11 Non-Functional Requirements
Not applicable

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12 Dependencies & Exclusions

13 Test Cases
14 Functionality Matrix
BRD FSD Test Cases

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