IFRS 9 amortised cost, computed from curves you author
Updated
In short
How does Kelvyn calculate IFRS 9 amortised cost?
Kelvyn computes the effective interest rate on an actual/actual day-count basis and derives the amortised-cost schedule from collection curves you author and version inside the product, rather than importing a schedule built somewhere else. Because the forecast and the accounting are generated from the same curve, the plan and the books cannot quietly disagree. Impairment is scoped deliberately: staging and expected credit loss run as a simplified model today, and stress results are always labelled scenario-stressed loss, never booked ECL.
One curve, two outputs
In most firms the cash-flow plan and the amortised-cost schedule are built by different people in different files. They start the year agreeing and end it apart, and reconciling them is a quarterly exercise that produces no new information.
Kelvyn generates both from one artefact. A collection curve is authored in the product, versioned on every change and restorable to any earlier version. The forecast reads that curve; so does the amortisation engine. Changing the curve changes both, in the same commit, with one audit entry.
What the engine computes
The effective interest rate is solved on an actual/actual day-count basis, and the schedule carries opening balance, effective interest, cash flow and closing balance for every period. Internal rate of return is computed from the same series.
The engine is declared the single source of truth for amortised cost. Nothing else in the product recomputes it independently, which is what stops two screens showing two book values.
Plan against actual, period by period
A baseline is taken when a plan is agreed. Actual periods are recorded against it — imported from CSV or Excel, or entered directly — and variance is reported as actual minus planned, period by period, rather than as a single year-end number.
Snapshots can also be compared against each other, so a change between two points in time is attributable to the decisions taken between them.
Scope
What this does not do
Kelvyn does not ship a governed expected-credit-loss engine. Staging and ECL are produced by a simplified model, and every figure it writes is labelled as such. If your model validation function needs a governed ECL calculation, that is not what this is.
Impairment is not probability-weighted across macroeconomic scenarios. Probability-weighted expected net present value across scenarios is a different calculation, and Kelvyn does compute that one — it is not a substitute for probability-weighted ECL and is never presented as one.
Stress output is scenario-stressed loss on a single adverse path. It is a risk measure, not a booked accounting figure, and the product refuses to label it as the latter.
Questions
- Does Kelvyn calculate IFRS 9 expected credit loss?
- Not as a governed model. Staging and ECL run as a simplified calculation and every row it produces is marked as simplified. Amortised cost, effective interest rate and derecognition are the parts of IFRS 9 that Kelvyn implements properly, and they are the core of the product.
- What day-count convention does the effective interest rate use?
- Actual/actual. The schedule is derived from the solved rate rather than from a nominal rate applied to period counts.
- Can we keep our existing system and use Kelvyn only for this?
- Yes. Kelvyn takes actuals in from whatever you run today through CSV and Excel imports, and owns the governed layer — the plan, the forecast, the amortised-cost schedule, the statutory statements and the audit trail.
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