Measurement of financial instruments according to IFRS 9

Your Contact Person

Stefan Geipel | Partner
Hammer Straße 165
48153 Münster

Insurance accounting functionalities


The following functionalities are provided:

  • Customer-specific classification of assets in line with IFRS 9 in the categorizer.
  • An IFRS-9-compliant valuation module ensures that individual transactions are valued at amortized costs and at the full fair value.
  • The hedge engine covers both cash flow and fair value hedge accounting and offers a fair value option and integration of the processes in controlling and treasury management.
  • The multi-curve ability of hedge engine covers current test requirements.
  • The impairment solution allows you to implement the multi-step impairment process from data supply to posting and to determine itemized and portfolio value adjustments as well as the unwinding effect according to IFRS.
  • The user-configurable posting engine transfers posting information – for example, the hedge result – to the bank's accounting system for posting.
  • The freely scalable system architecture can be tailored to the size of your enterprise and dynamically expanded when requirements rise.


Meeting IFRS regulations confidently

zeb.control.accounting - Valuation

Valuation of financial instruments according to IAS 39 / IFRS 9 

According to IAS 39 / IFRS 9 the categorisation determines the following valuation of the financial instruments. zeb.control.accounting covers both valuations at amortized cost and at full fair value. According to IFRS amortized costs are calculated by using the effective interest method. Full Fair Value valuation is optionally realised with externally supplied market pricing or with the help of finance mathematic models in zeb.control.accounting. All IFRS relevant valuation methods are supported (effective interest constant accruals/deferrals, linkage to an external pricing provider, mark-to-model valuation). Furthermore it is possible to flexible determine the product portfolio to be calculated. Its functionalities include the representation of all product types as well as the consideration of fictions, model assumptions and impaired performance.

Reporting and analysis

The data generated in the scope of IFRS can be of course also used for further reports and other analysis purposes. Therefore flexible export interfaces for booking records and balances can be used. The scope of services also offers the supply of any general ledger systems and the preparation of customised, multidimensional analyses (segment reporting).


Optimising risk management

zeb.control.accounting - Impairment software module

Impairment process

With this impairment solution, you can compute single, general and portfolio value adjustments as well as the unwinding effect in accordance with IFRS. The browser interface makes it simple to navigate from the overview of all impairment cases and individual accounts to the expected cash flow profile. The provisioning calculated by the software can be adopted or adjusted on the basis of diverging expectations with regard to cash flows and liquidation of collaterals. The integrated table of itemized value adjustments shows how the allowances may change over time.

Data preparation

The impairment component of zeb.control.accounting supports all steps of the impairment process. For data preparation optionally, either data supply from the source systems or impairment detection by zeb.control.accounting is possible. The significance test uses the “Receivables Volume per Counter party“ criterion.

Subsequently cash flows for individual transactions are generated and the present values of the collaterals are determined on the basis of utilisation forecasts. The specific provision calculation uses the delta of the individual transaction CF PV “before impairment“ and ”with impairment”.

Manual post-processing and booking

In the next step manual post-processing is done. Calculated values are available for release and booking for each individual transaction. But manual changes are also possible (e.g. PV, essentiality, collateral value, percentage indication of recoverable Cash Flow, risk provisions).

Afterwards specific provision booking (inclusion / unwinding) takes place via the own system process. The flagging concerning impairment of an individual transaction automatically triggers a change in booking rules e.g. concerning unwinding; unexpected incoming payments of changes in the specific provision level on the basis of changed CF forecasts.

Reporting wizard

With the report wizard impairment-cases can be selected and isolated. For example it is possible to filter by status, unit of organisation and/or product. Furthermore states of different periods can be viewed and the consequences for the P&L are directly shown.


zeb.control.accounting - Hedge Accounting software module


The IAS.Hedge-Engine covers hedge accounting for interest rate risks pursuant to IAS 39 and IFRS 9. The module supports cash-flow and fair value hedge accounting as well as the fair value option with bank-wide controlling. The multi-curve ability of hedge engine covers current audit requirements. The controlling and treasury management processes are fully supported from the creation of hedging relationships to the performance of efficiency tests and from determining posting consequences to subsequent plausibility checks. The functionalities are rounded off by comprehensive simulation options, the audit-proof documentation of the hedge process and a competency system with logging function. The IAS.Hedge-Engine can be set up as an add-on to existing IFRS systems and posting approaches requiring the integration of a minimum number of components and can import portfolio and market data from existing data sources.

Hedge selection and effectiveness test

Via an optimized hedge selection residual volatilities are mostly reduced and the following advantages are offered: simulation and control options, an efficient P&L rejection and a reduction of deflections of sensitivities. Detailed information of prospective and retrospective effectiveness tests is presented clearly in table format and there is the possibility of a detailed graphical analysis.

The retrospective measurement of effectiveness is carried out using interest rate-related effects. With completion of the first hedge period or after termination of the hedge relationship the underlying transaction is amortized.

Recognition of changes in the Fair Value Hedge

According to an economically sensible treatment the IAS.Hedge-Engine divides the changes in hedge fair values in the components rate-P&L (change in market interest rates) and interest-P&L (remaining term effect). This method is seen as state-of-the-art method and is also from zeb experience the consistently applied method, because she guarantees transparency.

The zeb.control.accounting – Hedge Engine offers a variety of standard reports that partly can be adapted to the individual client. Within the report “Amortisation” for example the development of the line items can be reconstructed and the analysis report parses the reasons for inefficiencies between hedge items and hedge instruments.