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 , for IFRS 9 reporting purposes each name is also classified into one of three IFRS 9 accounting stages taking values in .
![{\displaystyle [1,2,3]}](https://wikimedia.org/api/rest_v1/media/math/render/svg/666c2842330dcc5ea4679ac11d38619a3c4a279e)
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.
![{\displaystyle {S}_{k}^{1}=\{i\in [1,N],{\mbox{where}}\,S_{k}^{i}=1\}}](https://wikimedia.org/api/rest_v1/media/math/render/svg/0680bbd618d555c74447725bb4ec883a63505465)
![{\displaystyle {S}_{k}^{2}=\{i\in [1,N],{\mbox{where}}\,S_{k}^{i}=2\}}](https://wikimedia.org/api/rest_v1/media/math/render/svg/f0076e4b8fe9739db1a7c61d9ccbcbaa07754662)
![{\displaystyle {S}_{k}^{3}=\{i\in [1,N],{\mbox{where}}\,S_{k}^{i}=3\}}](https://wikimedia.org/api/rest_v1/media/math/render/svg/bb4da63df404a1b9d8715ed89f2bdaeaed5d9d72)
See Also
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)
