KASIKORNBANK Strategic Acquisition
K
KASIKORNTHAI
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开泰银行 KASIKORNBANK
KBank Credit Risk Management Process: Collection and Recovery
Collection & Recovery Flow
■ Efficient collection and follow-up of customers with late payments
■Restructure viable customers to prevent NPLs
■Foreclose pledged assets to recover loan loss
Debt Resolutions
Performing
Loans*
Debt
Collections
Rescheduled Loans*
(Financial Aid Program)
Repayment of
Rescheduled/
NPL**
Restructured
Term
Loans with
DPD > 1 day
go to debt
Restructured Loans
(Not classified as NPL)
collection
stage
Relapsed NPL
Note:
Performing Loans
Process
Non-Performing Loans
Move to Better Status
Move to Worsen Status
Litigation Process
Write-off
NPL Sales
* Rescheduled Loans are loans (no passed due date) that have changed payment conditions and not incurred losses. (Loans in the Financial Aid Program is a part of Rescheduled Loans)
* Financial Aid Program helps customers during the bad macro business condition such as the big flood in 2011, the political unrest in 2014 and COVID-19 in 2020.
* Performing loans = Pass Loans (loans passing the due date by less than 1 month) and Special Mention Loans (loans passing the due date by more than 1 month but not over 3 months)
** NPLs = Non-performing Loans = loans passing the due date by more than 3 months = Sub-standard Loans, Doubtful Loans, Doubtful of Loss Loans, and restructured loans classified as NPL
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K
KASIKORNTHAI
TFRS9: Asset Class and Expected Credit Loss
Stage 1: Perform
New or good assets
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开泰银行 KASIKORNBANK
Asset Class (Defined by Incremental Risks: New definition of SICR and Modified Loans)
Stage 2: Underperforming
Assets with "> 30 Days Past Due" or higher credit risk than origination
capturing via risk information eg. Credit scoring, PD change etc.
Expected Credit Loss (ECL): PD x LGD x EAD
Incorporate forward looking over lifetime
Macro-factor is captured through PD point-in-time
Stage 3: Non-performing
Defaulted assets
Probability of
Default (PD)
Stage 1: Performing
1 Year
Define relevant economic
factors & scenario
Stage 2: Under-performing Lifetime
Stage 3: Non-performing Lifetime
Loss Given
Default (LGD)
Exposure at
Default (EAD)
Incorporate through PD
point-in-time
■ Term structure PD is derived over behavioral life
Derive term structure
PD & ECL by scenario
Weight with probability
for final ECL
■ Multi-scenario is weighted to come up with final Expected Credit Loss (ECL)
Incorporate recovery from both collateral and cash payment
Combination of drawn and undrawn as credit exposure
■ It is an accounting complication to treat drawn ECL as assets contra and undrawn ECL as liabilities,
while to risk, both are "credit exposure"
■ Drawn is "outstanding amount + EIR adjustment"; Undrawn is "outstanding amount x conversion factor"
"Drawn"
Principal
+ Accrued Interest
+EIR adjustment
"Undrawn"
Notional x CCF
1) Contingent products: LI, LC
2) Committed unused facilities
CCF could be regulatory CCF or behavioral CCF
Note: Significant Increase in Credit Risk (SICR) reflects higher risk than origination, but not yet bad quality; modified loans are loans with changing terms and conditions, either good or bad; thus,
it can be at any stage
Drawn Loan amount that customer has already drawn down, which is booked under loans to customers or part of "Interbank and money market items"
Undrawn = Credit facilities that are not utilized yet or credit facilities that are utilized but are booked as contingent liabilities, excluding derivatives
EIR = Effective Interest Rate; LI = Letter of Indemnity; LC = Letter of Credit; CCF = Conversion Credit Factor
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