IFRS 9 Stages

Definition

Stages and Staging of credit assets denotes the assignment / classification (at the reporting date) of all credit assets accounted under amortized cost in one of three available stages. The system resembles a Credit Rating System (with a limited number of rating categories).

Notation

In the context of a Credit Network model, separately and distinct from the Credit Rating Scale $R^i_k$, for IFRS 9 reporting purposes each name is also classified into one of three IFRS 9 accounting stages $S_k^i$ taking values in $[1,2,3]$.

In line with IFRS 9 at each time point we segment the portfolio into three distinct sets of assets belonging in the different IFRS 9 stages.

${S}^{1}_k = \{ i \in [1,N], \mbox{where} \, S^{i}_k = 1 \}$

${S}^{2}_k = \{ i \in [1,N], \mbox{where} \, S^{i}_k = 2 \}$

${S}^{3}_k = \{ i \in [1,N], \mbox{where} \, S^{i}_k = 3 \}$

See Also

• Stage 1 Assets
• Stage 2 Assets
• Stage 3 Assets

Issues and Challenges

It is more tractable to assume that the Stage classification of each asset is a dependent variable (computable by rating states and other risk drivers)

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