Credit risk, offsetting and transfers of assets: exposure by rating grade, reconciliation of the loss allowance, collateral, amounts set off and transferred assets

Context

Pelvane SA (fictitious entity) sells on credit and lends to distributors. For the closing date of 31 December 20X6, you prepare the credit risk tables for the trade receivables and the loans, and the entries for the loss allowance.

Assignment

Credit tables of Pelvane: grades, loss allowance, collateral

Purpose of the workpaper

Depending on the topic of the instance, fill in only the relevant blocks: gross carrying amounts by rating grade and movements in the loss allowance; maximum exposure and collateral; gross amounts, amounts set off and related amounts; transferred assets and associated liabilities. Grades, amounts and positions are case data. The reconciliation of the loss allowance is presented here as a table of the movements of the period (convention of the case), the entries being those of the charge and of the write-off.

Questions of the file covered by this workpaper

• Compute the total gross carrying amount of the receivables.
• Reconcile the loss allowance from the opening to the closing date.
• Record the charge to the loss allowance.
• Record the write-off of the receivables.
• Compute the net exposure of the loans after collateral.

• MemoCompany profile and case conventionsOpen
• ScheduleTrade receivables by rating gradeOpen
• ScheduleMovements in the loss allowanceOpen
• ContractLoans to distributors and collateralOpen
• MemoCredit risk management practicesOpen
• MemoNote on the office layoutOpen