JP6622678B2 - Information processing apparatus, information processing method, and program - Google Patents

Description

  The present invention relates to an information processing apparatus, an information processing method, and a program.

With the recent globalization, the need for internationally unified accounting standards has increased, and International Financial Reporting Standards (hereinafter referred to as IFRS) have been established. In Japan, in the “Japan Revitalization Strategy” formulated by the government in 2014, the promotion of expansion of voluntary companies applying IFRS was promoted. As of 2016, more than 110 listed companies have decided to apply IFRS voluntary and apply. are doing. There is Non-Patent Document 1 as a document on IFRS.
IFRS 9 (IFRS No. 9) “Financial Instruments” is a standard for accounting for financial instruments that has a significant impact on financial institutions, and will be finalized in July 2014 and enter into force in 2018. The IFRS 9 stipulates that the determination of impairment must be evaluated individually for each point of purchase.

The first application of IFRS International Accounting Standards Seinbunsha, edited by Ernst & Young ShinNihon LLC

Conventionally, in the management of financial products such as bonds, the moving average method in which securities are managed on a brand basis is adopted in Japan. However, the moving average method was unable to assess impairment decisions for each purchase transaction. For this reason, the moving average method cannot satisfy the IFRS9 standard.
However, since the operation of trading business is complicated when the management method is different, there is a need to adopt the moving average method which is the management method of the Japanese standard in the IFRS 9 for the comparison management with the Japanese standard.
An object of the present invention is to enable management of financial products in the moving average method in accordance with IFRS9.

Therefore, the information processing apparatus according to the present invention includes a purchase in which the purchase transaction unit of the financial product includes an effective interest rate of the purchased financial product, a face value of the purchased financial product, and credit information at the time of purchase of the purchased financial product. Index of management by the moving average method of the financial product on the reference date based on the holding means for holding the detail data, the effective interest rate, the face value and the credit information at the time of purchase included in the purchase details data held by the holding means First acquisition means for acquiring an expected credit loss of the financial product on the reference date for each management unit for which a moving average management index is set.

  According to the present invention, it is possible to manage financial products in the moving average method according to IFRS9.

FIG. 1 is a diagram illustrating an example of a hardware configuration of the information processing apparatus. FIG. 2 is a diagram illustrating an example of a functional configuration of the information processing apparatus. FIG. 3 is an example of purchase details data managed by the information processing apparatus. FIG. 4 is a diagram illustrating an example of book value management at the time of purchase transaction. FIG. 5 is a diagram for explaining an example of book value management at the time of purchase transaction. FIG. 6 is a diagram illustrating an example of book value management at the time of sale transaction. FIG. 7 is a flowchart illustrating an example of book value management table output processing. FIG. 8 is a flowchart illustrating an example of the face adjustment process.

<Embodiment 1>
Hereinafter, embodiments of the present invention will be described with reference to the drawings.
In the present embodiment, the information processing apparatus 100 manages detailed data of purchase transaction units of financial products, and manages purchase transaction unit management coefficients (for example, after incorporating expected credit losses) from the managed purchase transaction unit detailed data. Amortized cost, amortized cost, expected credit loss, etc.), and the calculated control coefficient is totaled for each issue to obtain the control coefficient used for management by the moving average method, and the acquired control coefficient The process to present will be described. The management coefficient is a coefficient that is used as an index for managing financial instruments, and includes amortized cost, amortized cost, expected credit loss, etc. after incorporating expected credit losses. In the present embodiment, the financial products whose detailed data are managed are securities such as bonds and securitized products that are evaluated at amortized cost (hereinafter, bonds and the like). The moving average method is a method in which an average unit price is calculated every time an additional purchase is made with the same brand and used as the next payout unit price. Hereinafter, detailed data such as purchased bonds will be referred to as detailed purchase data. Hereinafter, an index used for management of financial products by the moving average method is referred to as a moving average management index. The indicators used for the management of financial products by the moving average method are, for example, indicators indicating the value and credit of IFRS 9 of financial products such as amortized cost after amortization of expected credit loss, amortized cost, and expected credit loss.
FIG. 1 is a diagram illustrating an example of a hardware configuration of the information processing apparatus 100.
The information processing apparatus 100 manages the detail data for each purchase transaction unit of the financial product, and acquires a management coefficient calculated based on the detail data of the purchase transaction unit being managed as a moving average management index (PC) ), An information processing device such as a tablet device or a server device.
The information processing apparatus 100 includes a CPU 101, a main storage device 102, an auxiliary storage device 103, an input / output I / F 104, a network I / F 105, an input device 106, and a display unit 107. The CPU 101, main storage device 102, auxiliary storage device 103, input / output I / F 104, network I / F 105, input device 106, and display unit 107 are connected to one another via a system bus 108.

The CPU 101 is a central processing unit that controls processing of the information processing apparatus 100. The main storage device 102 is a storage device such as a RANDOM ACCESS MEMORY (RAM) that functions as a work area for the CPU 101 or a temporary storage area for data. The auxiliary storage device 103 is a storage device such as a READ ONLY MEMORY (ROM), a hard disk drive (HDD), or a solid state drive (SSD) that stores various programs, various setting data, purchase details data, and the like. The auxiliary storage device 103 is an example of a holding unit that holds purchase specification data.
The input / output I / F 104 is an interface used for input / output of information with an external memory or the like. The network I / F 105 is an interface used for communication with an external device via a network such as a LAN or the Internet. The input device 106 is an input device such as a mouse, a keyboard, or a touch panel used for input to the information processing apparatus 100. The display unit 107 is a display unit such as a liquid crystal display.
When the CPU 101 executes processing based on a program stored in the auxiliary storage device 103 or the like, functions of the information processing apparatus 100 described later with reference to FIG. 2 and processing of flowcharts described with reference to FIGS.

FIG. 2 is a diagram illustrating an example of a functional configuration of the information processing apparatus 100.
The information processing apparatus 100 includes a control unit 200, an effective interest rate calculation unit 201, a bond credit judgment unit 202, a purchase unit book value calculation unit 203, a moving average book value calculation unit 204, a sale cost calculation unit 205, a sale gain / loss calculation unit 206, A purchase unit face value calculation unit 207 after sale is included.
The control unit 200 controls each functional component of the information processing apparatus 100, controls input / output of information to the information processing apparatus 100, and manages purchase details data for each purchase.
The effective interest rate calculation unit 201, when a bond of a certain issue is purchased, purchase price of the purchased bond, etc. and future cash flow developed for the face value of the purchased bond, etc. (hereinafter referred to as CF) ) And the effective interest rate of the bond of the issue is calculated. Book value is the net value of the value entered in the book as a result of proper accounting for the asset or liability. CF means the flow of cash and indicates how much cash flows in or out during a certain period.

Bond credit judgment unit 202 evaluates the credit of financial products such as bonds. The bond credit judgment unit 202 evaluates a change in credit of the bond or the like based on the rating value of the bond or the like at the time of purchase and the rating value of the bond or the like on the reference date. A rating is an example of credit information indicating the degree of credit of a bond. The credit information includes a default value (PD) in addition to the rating. In the present embodiment, the bond credit determination unit 202 evaluates a change in credit of a bond or the like based on a rating value of the bond or the like at the time of purchase and a reference date. However, the bond credit determination unit 202 may evaluate a change in credit of the bond or the like based on the value of other credit information such as PD of the bond or the like at the time of purchase and the reference date. Then, the purchase unit book value calculation unit 203 calculates a management coefficient (amortized cost after incorporating expected credit loss, expected credit loss, etc.) in accordance with the change in credit of the bond or the like evaluated by the bond credit judgment unit 202. The book value calculation method is determined. Expected credit losses (provisions) are estimated amounts prepared in advance for possible future losses and expenses.
The purchase unit book value calculation unit 203 calculates the amortized cost of the bond and the allowance based on the effective interest rate calculated by the effective interest rate calculation unit 201, the calculation method determined according to the determination result by the bond credit determination unit 202, and the like. Calculate the amortized cost after incorporating expected credit losses (amortized cost after deducting allowance).
When additional purchases such as bonds of the same brand occur, the effective interest rate calculation unit 201 calculates effective interest rates of purchased bonds and the like. When the reference date that is the time of evaluation has arrived, the bond credit determination unit 202 determines a management coefficient calculation method. The purchase unit book value calculation unit 203 calculates the amortized cost of the bond, the allowance, and the amortized cost after incorporating the expected credit loss.

The moving average book value calculation unit 204 adds up the amortized cost after the expected credit loss of the purchase unit for bonds of a certain issue calculated by the purchase unit book value calculation unit 203 to obtain the moving average method of the issue. Calculate the book value at. In the present embodiment, the book value is an amortized cost after incorporating the expected credit loss, but may be an amortized cost.
The sale cost calculation unit 205 calculates the sale cost at the time of sale based on the moving average face value of the purchased bonds and the like and the face value of the sold bonds and the like.
The sale profit / loss calculation unit 206 calculates the gain / loss on sale based on the sale amount of the bond and the sale cost calculated by the sale cost calculation unit 205.
After-sales purchase unit face value calculation unit 207 apportions the face value of sold bonds, etc., based on the ratio of the face value of purchased units, such as already purchased bonds, etc. Each face value is reduced.

FIG. 3A is an example of purchase details data managed by the information processing apparatus 100. In this embodiment, the effective interest rate calculation unit 201 calculates the effective interest rate of a purchased bond, etc. every time a purchase of a bond, etc. occurs, and for each purchase, the calculated effective interest rate and the face value of the purchased bond, etc. And the correspondence information with the rating at the time of purchase of the purchased bond or the like is stored as purchase specification data for each brand in the auxiliary storage device 103 or the like. The purchase details data will be described with reference to FIG.
The table of FIG. 3A includes items of purchase details, IRR, initial rating, and face value. The table of FIG. 3A stores purchase details data such as bonds for each purchase unit in each column. The item according to the purchase details is an item (key item such as contract number, brand, IFRS classification) indicating which purchase the data in each column corresponds to. The IRR item is an item indicating the effective interest rate of a purchased bond or the like, and the value of the effective interest rate calculated by the effective interest rate calculation unit 201 is stored. The item of the initial rating is an item indicating a rating that is an example of credit information of the bond or the like at the time of purchase. The face value item is an item indicating the face value of a purchased bond or the like. The face value of bonds, etc. must be reduced when a sale transaction, etc. occurs on the same issue. Therefore, every time the face value of the purchase details data is updated, the control unit 200 manages the face value with the updated latest date. The control unit 200 may manage a plurality of face values for each updated date.

FIG. 3B is a diagram illustrating an example of a book value management table in the moving average method for bonds and the like of a certain brand presented to the user by the information processing apparatus 100. The book value management table is an example of moving average management data that is data used for managing financial products by the moving average method. In the book value management in the moving average method, the book value is managed for each issue such as bonds. That is, in the book value management in the moving average method, the book value of all the purchased bonds, etc., is calculated for the bonds of the same brand, not the book value of the purchase unit. In the present embodiment, it is assumed that the information processing apparatus 100 stores the information of the book value management table in the auxiliary storage device 103 or the like for each brand, similarly to the purchase specification data. However, when the information processing apparatus 100 uses the information in the book value management table without storing the information in the book value management table in the auxiliary storage device 103 or the like, the information processing apparatus 100 creates the book value management table based on the purchase details data. It may be created.
In the present embodiment, the information processing apparatus 100 updates or generates the book value management table based on the purchase details data when the reference date set as the date on which the book value is evaluated is reached. Then, the information processing apparatus 100 displays the updated or generated book value management table on the display unit 107 and presents it to the user.
The book value management table of FIG. 3B includes items of a base date, face value, book value, amortized cost, rating, provision, and total provision. The item of the reference date is an item indicating a reference date set as a date for carrying out the book value evaluation, and indicates that the data in the book value management table is data corresponding to the date indicated by this item. The face value item is an item indicating the total face value of a bond of a certain brand. The item of book value is an item that shows the book value at the base date in the moving average method for bonds of a certain issue. The item of amortized cost is an item indicating the amortized cost on the base date of a certain bond. The rating item is an item indicating a rating on a reference date of a certain bond or the like. The provision item is an item indicating a provision, and there is a provision item for each stage, which is a result of the rating judgment by the bond credit judgment unit 202. The item of total provision is an item indicating the total provision.

FIG. 4 is a diagram illustrating an example of book value management at the time of purchase transaction. With reference to FIG. 4, a case where a bond of brand A or the like is purchased by a user with a face value of 10000 and a contract amount of 10100 on April 1, 2014 will be described. Assume that the rating of bond A, etc. of issue A on April 1, 2014 is 2. It is assumed that the user has purchased a brand A bond or the like for the first time.
When a bond is purchased, the control unit 200 determines the purchase date of the bond (transfer date of the bond), the face value of the purchased bond (transfer face value), the amount required for the purchase (contract amount), purchase Acquires rating information for bonds, etc. For example, the control unit 200 may acquire these pieces of information via a network via a network I / F 105 from a system or device that controls trading of external bonds or the like. In addition, for example, when a bond or the like is purchased, the control unit 200 may acquire the information by receiving input of such information based on a user operation via the input device 106. Further, for example, the control unit 200 may acquire these pieces of information from an external storage device that stores these pieces of information via the input / output I / F.
In the example of FIG. 4, the control unit 200 acquires information in the table 401 from an external device via a network. Then, the control unit 200 acquires information on a purchase date (transfer date), a face value (transfer face value) of a purchased bond, a contract amount, and a rating from the acquired information in the table 401.

The control unit 200 adds the face value of the purchased bond or the like to the face value item of the book value management table 402 used for book value management by the moving average method for the brand A. Information of the book value management table 402 is stored in advance in the auxiliary storage device 103. In the example of FIG. 4, since this is the first purchase of a brand A bond or the like, the item of face value in the original book value management table 402 is zero. Therefore, the control unit 200 adds 10000, which is the face value of the purchased bond, etc. to 0, which is the face value item of the book value management table 402, to obtain 10000.
In addition, the control unit 200 adds a contract amount such as a purchased bond to the book value item of the book value management table 402. In the example of FIG. 4, the book value item of the original book value management table 402 is 0 because it is the first purchase of the bond A of the brand A and the like. Therefore, the control unit 200 adds 10100, which is the contract amount of the purchased bond, etc. to 0, which is the item of the book value in the book value management table 402, to obtain 10100.

In addition, the control unit 200 transmits information on the face value of the purchased bond or the like among the acquired information to the effective interest rate calculation unit 201 and instructs the calculation of the effective interest rate.
Here, the calculation process of the effective interest rate by the effective interest rate calculation unit 201 will be described. In the present embodiment, the effective interest rate calculation unit 201 calculates the effective interest rate using the method described in Reference Document 1 below.
Reference 1: Japanese Unexamined Patent Application Publication No. 2013-088930 First, the effective interest rate calculation unit 201 executes a contractual interest rate, a fee / cost, an interest payment interval, and a maturity period that is a period until maturity for a purchased bond or the like to be calculated. Are read from the auxiliary storage device 103. In the present embodiment, it is assumed that information on the contracted interest rate, fee / cost, interest payment interval, and maturity period, which is a period until maturity, is stored in the auxiliary storage device 103 in advance. In addition, the effective interest rate calculation unit 201 may acquire such information from an external device.

Subsequently, the effective interest rate calculation unit 201 calculates the future CF based on the face value information (principal) transmitted from the control unit 200 and the read contract interest rate, interest payment interval, and maturity period information. Expand to interest CF, etc., and set the total amount of principal, fees and expenses as the current CF. At this time, the effective interest rate calculation unit 201 calculates each interest CF by the following formula, and stores it in the auxiliary storage device 103 in association with the contract details to be calculated.
Interest CF = principal × contracted interest × period annual rate The above formula for interest CF does not take into account future estimates such as prepayments, and if the future estimates are taken into account, Take into account future estimates. For example, it is calculated by the following formula.
Interest CF after consideration of future estimates = principal x contracted interest x period annual rate x estimated item

Here, the estimate item (information related to the future estimate) is a coefficient that takes into account prepayment and the like, and is stored in the auxiliary storage device 103. The above formula is an example, and the present invention is not limited to this.
Here, in the calculation of the period annual rate, the actual number of interest payment intervals is used, and the effective interest rate calculation unit 201 calculates the period annual rate according to the following formula and associates it with the contract details to be calculated in the auxiliary storage device 103. Store. At this time, the effective interest rate calculation unit 201 calculates the number of days elapsed from the previous interest payment date (or purchase date of bonds, etc.) when the interest CF is generated based on the information on the interest payment interval.
Period annual rate = number of days elapsed from the previous interest payment date (or date of purchase of bonds, etc.) / Equivalent number of days in a year (the number of days in a year varies depending on the contents of the contract, but in the following, it is regarded as 365 days for convenience. )
Here, the number of days corresponding to the number of days in the year is 365 days, but this is an example, and in this embodiment, all cases according to the contents of the agreement for the number of days corresponding to the number of years are assumed as the scope of application. . In addition, the number of days corresponding to one year is also input to the information processing apparatus 100 by an appropriate method and timing, and is stored in the auxiliary storage device 103.
The fee / cost may be generally CF-in or CF-out.

Subsequently, the effective interest rate calculation unit 201 calculates a function (effective interest rate calculation function f (x)) so that the current CF out of the net and the future CF (CF in. For example, interest, principal, etc.) are equivalent. The solution of the effective interest rate calculation function f (x) = 0 is obtained by the bisection method.
More specifically, the effective interest rate calculation unit 201 obtains x where f (x) = 0 in the following formula (1).

In the above formula (1), CF _n is the nth CF, and Day _n is the number of days elapsed from the previous interest payment date until the nth CF occurs (that is, the actual number of interest payment intervals). is there. In _{addition, Day 1/365, Day 2} /365 ··· is a period annual rate of actual number of days of interest payments interval.
The control unit 200 displays the value of the effective interest rate calculated by the effective interest rate calculation unit 201, the face value (transfer face value) of the purchased bond, etc., and the rating of the bond, etc. at the time of purchase, as detailed information on the purchase unit Is stored in the auxiliary storage device 103 as purchase details data. The storage process of the purchase details data by the control unit 200 is an example of a storage control process for storing the purchase details data in the holding unit. Table 403 is an example of the stored purchase details data.
In the example of FIG. 4, it is assumed that the reference date on which the book value is evaluated is April 30, 2014. Table 405 shows purchase details data such as purchased bonds as of April 30, 2014. Since it has not been sold, the face value as of April 30, 2014 is 10,000, unchanged from the initial purchase.
The purchase unit book value calculation unit 203 calculates the amortized cost of bonds and the like purchased on the base date based on the IRR (effective interest rate) and face value in Table 405.

Here, a method for calculating the amortized cost will be described. The purchase unit book value calculation unit 203 calculates the amortized cost using the method described in Reference Document 2 below.
Reference Document 2: JP 2013-088939 A First, the purchase unit book value calculation unit 203 develops future CFs after the reference date. As with the effective interest rate calculation unit 201 described above, the purchase unit book value calculation unit 203 calculates the future CF (each interest CF “Principal × Contracted Interest × Periodic Rate”, etc.) after the base date, and is subject to calculation Are stored in the auxiliary storage device 103 in association with the contract details. The calculation to expand the CF in the future is performed based on the latest contract contents as of the reference date.
Subsequently, the purchase unit book value calculation unit 203 obtains a discount present value on the interest payment date immediately before the reference date. More specifically, the purchase unit book value calculation unit 203 reads information on the contracted interest rate, interest payment interval, and maturity period from the auxiliary storage device 103, and based on the read information, principal information, and reference date information. Get the principal CF, each interest CF, and the annual rate. The purchase unit book value calculation unit 203 reads the effective interest rate from the auxiliary storage device 103. Then, the purchase unit book value calculation unit 203 calculates the discounted present value on the interest payment date based on the principal CF, each interest CF, the period annual rate, and the effective interest rate by the following equation (2). The purchase unit book value calculation unit 203 stores the calculated discounted present value in the auxiliary storage device 103 in association with the contract details to be calculated.

Here, CF (i) is the i-th CF. T (j) is the annual rate of the period from the date when the j-1st CF occurs to the date when the jth CF occurs, and is expressed as “number of days corresponding to the number of days from j−1 to j / 1 day of the year. "Equivalent number" is set. In the case of j = 1, it is from the reference date to the date when the first CF occurs. Moreover, irr is an effective interest rate. DF _irr (discount factor) is a coefficient by which the future value such as CF and value is discounted to the present value. The purchase unit book value calculation unit 203 acquires DF information from the auxiliary storage device 103 that stores DF _irr information in advance. Further, the purchase unit book value calculation unit 203 may acquire DF information from an external device.
Subsequently, the purchase unit book value calculation unit 203 obtains the amortized cost on the reference date. More specifically, the purchase unit book value calculation unit 203 uses the discounted present value of the interest payment date immediately before the reference date read from the auxiliary storage device 103 to calculate the amortized cost S _N ^N on the reference date using the following formula ( 3), and is stored in the main storage device 102 in association with the contract details to be calculated. S _N ^N means the amortized cost at time N calculated at time N at the base date.

Note that the annual rate of Equation 3 is the number of days elapsed from the interest payment date immediately before the reference date N to the reference date N / 365. For example, when the reference date is 2014/4/30, “the previous interest payment date” “Elapsed days from 2014/3/31 to reference date 2014/4/30/365”.
Through the above processing, the purchase unit book value calculation unit 203 calculates the amortized cost on the base date of the purchased bonds and the like. Table 406 is a table showing amortized cost on the reference date of purchased bonds and the like.

For example, the bond credit determination unit 202 acquires rating information on a reference date for a bond of the brand A from an external device via a network. Further, the bond credit judgment unit 202 receives the rating information on the reference date of the bond A of the brand A, etc., by accepting the input of the rating information on the reference date of the bond of the brand A, etc., via the input device 106 by the user. It is good to do. The bond credit determination unit 202 compares the acquired rating with the rating in Table 405 (the initial rating of the bond purchase) and determines how much the credit of the purchased bond has changed. In the present embodiment, the bond credit judgment unit 202 determines which stage the credit of the purchased bond belongs to based on the difference between the acquired rating and the rating in Table 405 (the initial rating of the bond purchase). To determine. The stage is an index indicating the degree of change in credit of bonds and the like.
In this embodiment, the bond credit judgment unit 202 relatively changes the credit when the difference obtained by subtracting the initial rating from the rating on the reference date is equal to or less than a set first threshold (for example, 3, 4, etc.). It is determined as stage 1 indicating absence or improvement. If the difference obtained by subtracting the initial rating from the rating on the base date is greater than the first threshold and not greater than the set second threshold (for example, 7, 8, etc.), the bond credit determination unit 202 is more than stage 1 The stage 2 is determined to indicate that the change in the direction of deterioration of credit is large. Bond credit judgment part 202 judges as stage 3 which shows that credit is lower than stage 2, when the difference which subtracted the initial rating from the rating of the reference day is larger than the 2nd threshold. If there is objective evidence of impairment such as default, the bond credit judgment unit 202 judges as stage 3 regardless of the credit change value. For example, if the bond credit determination unit 202 acquires information indicating that it is stage 3 (information indicating objective evidence of impairment such as default) from an external device, the bond credit determination unit 202 determines the stage determination target bond and the like as stage 3 Is determined.

The purchase unit book value calculation unit 203 calculates the amortized cost after incorporating the expected credit loss based on the stage of the bond or the like determined by the bond credit determination unit 202.
The purchase unit book value calculation unit 203 uses the following equation (4) to calculate the CF after considering credit risk (CF after considering credit risk).

i is a parameter indicating each time point of the CF. PD is a parameter indicating a cumulative default (default) ratio, and is stored in the auxiliary storage device 103 in advance. The PD is set for each i, and is set for each credit stage such as bonds. That is, the purchase unit book value calculation unit 203 changes the PD value according to the stage determined by the bond credit determination unit 202 and changes the calculation method of the CF after taking credit risk into consideration, thereby increasing the book value (forecast The calculation method of amortized cost after incorporating credit losses will be changed. In other words, the purchase unit book value calculation unit 203 calculates the post-credit risk CF using a calculation method according to the stage, and calculates the book value based on the calculated credit risk-considered CF, so that the purchase price is adjusted according to the stage. The book value can be calculated. LGD is a parameter indicating a loss ratio at the time of default, and is stored in the auxiliary storage device 103 in advance. The principal indicates the face value of the purchase details data. The contract CF is a CF represented by principal x contracted interest x period annual rate.
The purchase unit book value calculation unit 203 uses the following formula (5) and formula (6) based on the calculated credit risk-considered CF as a book value for bonds and the like corresponding to the purchase details data. Calculate amortized cost after taking into account expected credit losses for the day. More specifically, the purchase unit book value calculation unit 203 uses the equation (5) based on the calculated credit risk-considered CF and the DF _irr calculated in the equation (2) to calculate the previous interest payment date. Calculate amortized cost after incorporating expected credit losses. Then, the purchase unit book value calculation unit 203 calculates the amortized cost after incorporating the expected credit loss on the previous interest payment date, the effective interest rate calculated by the effective interest rate calculation unit 201, the annual period rate, the contracted interest rate, Based on the principal amount that is the face value of the detail data and the PD _{next interest payment} date that is the default value for the _{next interest payment} date, the amortized cost after incorporating the expected credit loss on the base date using Equation (6) Calculate

  The moving average book value calculation unit 204 adds up the amortized cost after incorporating the expected credit loss calculated by the purchase unit book value calculation unit 203 for all bonds, etc., owned by the user for the issue A, to thereby calculate the moving average method. The book value of the bond of the issue A on the base date is calculated. Table 407 is a table showing amortized cost after incorporating expected credit losses on the reference date of purchased bonds and the like. In the example of FIG. 4, since the user has only one bond, etc., for the issue A, the moving average book value calculation unit 204 stores the bonds, etc., of the issue A on the reference date in the moving average method. The value is calculated as 9996. Then, the moving average book value calculator 204 outputs the calculated book value to the book value management table referenced by the user.

The moving average book value calculation unit 204 adds up the amortized cost calculated by the purchase unit book value calculation unit 203 for the brand A, and calculates the calculated book value as a book value management table referenced by the user. Output to.
Further, the purchase unit book value calculation unit 203 uses the following formula based on the amortized cost of the bond A of the brand A calculated for the purchased unit and the amortized cost after incorporating the expected credit loss, Calculate the allowance for bonds, etc.
Expected credit loss (provision) = amortized cost-amortized cost after incorporating expected credit loss The moving average book value calculation unit 204 adds up the allowance calculated by the purchase unit book value calculation unit 203 for the issue A. The total provision value is output to the book value management table referenced by the user.
A table 404 is an example of a book value management table in which the book value, amortized cost, and provision are output by the moving average book value calculation unit 204.

FIG. 5 is a diagram for explaining an example of book value management at the time of purchase transaction. With reference to FIG. 5, a case will be described in which, after a bond or the like is purchased in the example of FIG. 4, a bond or the like of the issue A is purchased by a user with a face value of 20000 and a contract amount of 19600 on May 1, 2014. . Assume that the rating of bond A, etc. of issue A on May 1, 2014 is 4.
In the example of FIG. 5, the control unit 200 acquires the information in the table 501 from an external device via a network. Then, the control unit 200 acquires information on the purchase date (transfer date), the face value (transfer face value) of the purchased bond, the contract amount, and the rating from the acquired information in the table 501.
The control unit 200 adds the face value of the purchased bond or the like to the face value item of the book value management table 502 used for book value management by the moving average method for the brand A. In the example of FIG. 5, the face value item in the original book value management table 502 is 10,000 after the purchase in FIG. Therefore, the control unit 200 adds 20,000, which is the face value of the purchased bond, etc. to 10000, which is the face value item of the book value management table 502, to obtain 30000.
In addition, the control unit 200 adds a contract amount such as a purchased bond to the book value item of the book value management table 502. In the example of FIG. 5, the book value item of the original book value management table 502 is 9996 because it is after the book value calculation process of FIG. 4. Therefore, the control unit 200 adds 19600, which is the contract amount of the purchased bond, etc., to 9996, which is the book value item of the book value management table 502, to obtain 29596.

In addition, the control unit 200 transmits information on the face value of the purchased bond or the like among the acquired information to the effective interest rate calculation unit 201 and instructs the calculation of the effective interest rate. The calculation process of the effective interest rate is the same as that in FIG. Then, the effective interest rate calculation unit 201 uses the calculated effective interest rate value, the face value (transfer face value) of the purchased bond, etc., and the rating of the bond, etc. at the time of purchase as detailed information of the purchase unit. It is stored in the auxiliary storage device 103 as detailed data. Table 503 is an example of the stored purchase details data. In the table 503, purchase details data for the bonds purchased in FIG. 4 is stored, and the purchase details data for the bonds purchased on May 1, 2014 are stored in the second column of the table 503. The purchase details are stored as data (2).
In the example of FIG. 5, it is assumed that the reference date on which the book value is evaluated is May 31, 2014. Table 505 shows purchase details data such as purchased bonds as of May 31, 2014. Since it has not been sold, the face value as of May 31, 2014 remains the same as at the time of purchase.
Based on the IRR and face value in Table 505, the purchase unit book value calculation unit 203 calculates the amortized cost of bonds and the like purchased on the base date for each purchase. The amortized cost calculation process is the same as in FIG. Table 506 is a table showing the calculated amortized cost.

For example, the bond credit determination unit 202 acquires rating information on a reference date for a bond of the brand A from an external device via a network. The bond credit determination unit 202 compares the acquired rating with the rating in Table 505 (the initial rating of the bond purchase) to determine how much the credit of the purchased bond has changed. In the present embodiment, the bond credit judgment unit 202, for each purchase (for each column in the table 505), based on the difference between the acquired rating and the rating in the table 505 (the initial rating of the bond purchase). Judge which stage the credit of the purchased bond belongs to. The stage determination process is the same as in FIG. In the example of FIG. 5, it is assumed that a bond or the like whose purchase details are (1) is determined as stage 2, and a bond or the like whose purchase details are (2) is determined as stage 1.
The purchase unit book value calculation unit 203 calculates the amortized cost after incorporating the expected credit loss for each purchase, based on the stage of bonds and the like determined by the bond credit determination unit 202. The calculation process of amortized cost after incorporating expected credit losses is the same as in FIG. Table 507 is a table showing the amortized cost after calculation of expected credit losses.

The moving average book value calculation unit 204 adds up the amortized cost after incorporating the expected credit loss calculated by the purchase unit book value calculation unit 203 for all bonds, etc., owned by the user for the issue A, to thereby calculate the moving average method. The book value of the bond of the issue A on the base date is calculated. In the example of FIG. 5, there are two bonds, etc., owned by the user for the issue A, and the moving average book value calculator 204 calculates the book values of the issue A, etc. on the base date in the moving average method as 8994 and 19415. Calculate as the sum of Then, the moving average book value calculation unit 204 outputs the calculated book value to a table 504 that is a book value management table referred to by the user.
The moving average book value calculation unit 204 adds up the amortized cost calculated by the purchase unit book value calculation unit 203 for the brand A, and calculates the calculated book value as a book value management table referenced by the user. Output to.
In addition, the moving average book value calculation unit 204 sums up the expected credit losses (reserves) calculated by the purchase unit book value calculation unit 203 for each stage of the brand A, and calculates the calculated allowance for each stage. The value is output to the book value management table referenced by the user.
Table 504 is an example of a book value management table in which the book value, amortized cost, and provision are output by the moving average book value calculation unit 204.

FIG. 6 is a diagram illustrating an example of book value management at the time of sale transaction. A case where a bond etc. of the issue A is sold by a user with a face value of 5000 and a contract amount of 5150 on June 1, 2014 after the bond etc. are purchased in the example of FIG. 5 will be described with reference to FIG. .
In the example of FIG. 6, the control unit 200 acquires the information in the table 601 from an external device via a network. Then, the control unit 200 acquires information on the sale date (transfer date), the face value (transfer face value) of the sold bond, and the contract amount from the acquired information in the table 601.
The control unit 200 transmits the face value (transfer face value) of the sold bond or the like to the sale cost calculation unit 205 and instructs the sale cost calculation.

The sale cost calculation unit 205 acquires the face value and book value of the brand A from the table 602 which is the current book value management table. Then, the sale cost calculation unit 205 calculates the sale cost by dividing the book value acquired from the table 602 by the face value acquired from the table 602 and multiplying the sold face value transmitted from the control unit 200. Then, the sale cost calculation unit 205 outputs the calculated sale cost to the sale change schedule 603 referred to by the user. Further, the sale cost calculation unit 205 subtracts the calculated sale cost value from the book value in the book value management table, calculates the book value at the present time, and outputs the book value to the book value management table. Further, the control unit 200 subtracts the face value of the sold bond or the like from the face value of the book value management table. As a result, a table 604 is obtained.
Then, the control unit 200 transmits the contract amount of the sold bond or the like to the sale profit / loss calculation unit 206 and instructs the calculation of the sale profit / loss.
The sale profit / loss calculation unit 206 calculates the gain / loss on sale by subtracting the sale cost calculated by the sale cost calculation unit 205 from the contract amount of the sold bond or the like transmitted from the control unit 200. Then, the sale profit / loss calculation unit 206 outputs the calculated sale profit / loss to the sale transfer schedule 603. The control unit 200 can present to the user by displaying on the display unit 107 the sale change schedule 603 with the sale profit / loss output. Further, the control unit 200 may output the calculated gain or loss on sale by storing it in the auxiliary storage device 103 or the like.

  The post-sale purchase unit face value calculation unit 207 subtracts the face value of the sold bond or the like from the face value of the purchase details data. At this time, the post-sale purchase unit face value calculation unit 207 apportions the face value of the sold bond or the like according to the size of the face value of the purchase details data of the purchase unit, and subtracts it from the face value of the purchase details data. A table 605 shows a state in which a face value of a bond etc. sold is subtracted from the purchase details data.

FIG. 7 is a flowchart illustrating an example of book value management table output processing.
In step S <b> 701, the control unit 200 determines an evaluation date based on an operation by the user via the input device 106, and performs the following processing when the determined evaluation date is reached. In addition, when determining a plurality of evaluation dates, the control unit 200 performs the following process for each evaluation date. Moreover, the control part 200 is good also as repeating the following processes periodically with the set space | interval from the determined evaluation date.
In S <b> 702, the control unit 200 acquires all purchase details data such as bonds of the same brand from the auxiliary storage device 103.
In S703, the control unit 200 selects one of the purchase details data acquired in S702.
In S704, the purchase unit book value calculation unit 203 calculates the amortized cost of the bond corresponding to the purchase details data selected in S703, based on the face value and effective interest rate included in the purchase details data selected in S703. . The method for calculating the amortized cost is the same as the method described in FIG.

In S705, the bond credit determination unit 202 determines to which stage credit such as bonds corresponding to the purchase details data selected in S703 belongs, based on the rating included in the purchase details data selected in S703. . The purchase unit book value calculation unit 203 selects the purchase detail data selected in S703 based on the stage determined by the bond credit determination unit 202 and the face value and effective interest rate included in the purchase detail data selected in S703. Calculate the amortized cost after incorporating expected credit losses for bonds, etc. corresponding to. The method for calculating the amortized cost after incorporating the expected credit loss is the same as the method described in FIG.
In S706, the purchase unit book value calculation unit 203 subtracts the amortized cost after the expected credit loss calculation calculated in S705 from the amortized cost calculated in S704, thereby obtaining a bond corresponding to the purchase details data selected in S703. Calculate expected credit losses (provisions). The method for calculating the expected credit loss (provision) is the same as the method described in FIG.
The amortized cost calculated in S704 to S706, the amortized cost after incorporating the expected credit loss, and the allowance are examples of purchase unit management information that is management information of the financial product of the purchase transaction unit.
In step S707, the control unit 200 determines whether all the purchase specification data acquired in step S702 have been selected in step S703. If the control unit 200 determines that all of the purchase specification data acquired in S702 has been selected in S703, the control unit 200 proceeds to the processing of S708. If the control unit 200 determines that there is any purchase detail data acquired in S702 that is not selected in S703, the control unit 200 proceeds to S703.

In S708, the moving average book value calculation unit 204 obtains the book value in the moving average method by summing up the amortized cost after the expected credit loss calculated in S705.
In addition, the moving average book value calculation unit 204 obtains the amortized cost in the moving average method of bonds and the like of all brands owned by the user by summing up the amortized cost calculated in S704.
Further, the moving average book value calculation unit 204 adds up the expected credit losses calculated in S706 to obtain expected credit losses (provisions) for bonds and the like of all brands owned by the user.
In S709, the moving average book value calculation unit 204 outputs the book value, amortized cost, and expected credit loss (provision) acquired in S708 to the book value management table referenced by the user. Then, the control unit 200 outputs the book value management table by displaying it on the display unit 107 and presents it to the user. The control unit 200 may output the information acquired in S708 by storing the information in the auxiliary storage device 103.

FIG. 8 is a flowchart illustrating an example of the face adjustment process. The process in FIG. 8 is a process for adjusting the face value of the purchase details data when, for example, a bond is sold.
In step S <b> 801, the control unit 200 acquires a face value such as a bond sold by the user from an external device via the network.
In S <b> 802, the control unit 200 acquires all purchase details data from the auxiliary storage device 103 for bonds of the same brand as the bond corresponding to the face value acquired in S <b> 801.
In S803, the post-sale purchase unit face value calculation unit 207 adds up the face values of all the purchase details data acquired in S802, and acquires the total face value.
In S804, the control unit 200 selects one of the purchase details data acquired in S802.

In S805, the post-sale purchase unit face value calculation unit 207 divides the face value of the purchase specification data selected in S804 by the total face value acquired in S803, thereby obtaining the total face value of the purchase specification data selected in S804. Get the percentage.
In S806, the post-sale purchase unit face value calculation unit 207 subtracts the value obtained by multiplying the face value acquired in S801 by the ratio acquired in S805 from the face value of the purchase details data selected in S804, and subtracts it. The face value of the purchase details data selected in S804 stored in the storage device 103 is updated. The process of S806 is an example of a subtraction process for subtracting the sold face value from the face value of the purchase details data.
In S807, the control unit 200 determines whether or not all the purchase specification data acquired in S802 has been selected in S804. If the control unit 200 determines that all of the purchase specification data acquired in S802 has been selected in S804, the process of FIG. If the control unit 200 determines that there is any purchase detail data acquired in S802 that has not been selected in S804, the process proceeds to S804.

As described above, in the present embodiment, the information processing apparatus 100 retains purchase detail data including the effective interest rate, the face value, and the initial rating of the purchase unit, and acquires the moving average management index based on the retained purchase detail data. It was. The information processing apparatus 100 can comply with IFRS 9 by holding purchase detail data for each purchase unit. In addition, the information processing apparatus 100 acquires a moving average management index that is an index used for management of financial products in the moving average method based on the purchase details data for each purchase unit, and moves in accordance with IFRS9. It is possible to manage financial products by the average method.
In the present embodiment, the information processing apparatus 100 holds purchase details data such as bonds for each management unit called brands, and acquires a moving average management index such as bonds for each brand. The management unit indicates a unit for managing financial products. However, the information processing apparatus 100 retains purchase details data such as bonds for each IFRS classification and other management items in addition to the brand, and acquires a moving average management index such as bonds for each management unit. It is good. Other management units include, for example, departments in financial institutions.

<Other embodiments>
As mentioned above, although preferable embodiment of this invention was explained in full detail, this invention is not limited to the specific embodiment which concerns. For example, part or all of the functional configuration of the information processing apparatus 100 described above may be implemented in the information processing apparatus 100 as hardware.
The present invention is not limited to such specific embodiments, and various modifications and changes can be made within the scope of the gist of the present invention described in the claims.

100 Information processing apparatus 101 CPU

Claims (14)

A holding means for holding purchase details data including an effective interest rate of a purchased financial product, a face value of the purchased financial product, and credit information at the time of purchase of the purchased financial product in a purchase transaction unit of the financial product;
Based on the effective interest rate and face value included in the purchase details data held by the holding means, and the credit information at the time of purchase, a moving average management index, which is an index of management by the moving average method of financial instruments on the reference date, is set. First acquisition means for acquiring an expected credit loss of the financial product on the reference date for each management unit;
An information processing apparatus. The holding means further holds moving average management data that is data used for management of financial products by the moving average method,
The information processing apparatus according to claim 1, further comprising an updating unit that updates the moving average management data held by the holding unit based on the moving average management index acquired by the first acquisition unit.   The first acquisition means sets the moving average management index for each of the set management units based on the effective interest rate, face value, and initial credit information included in the purchase specification data held by the holding means. The information processing apparatus according to claim 1, which is obtained by calculation.   The first acquisition means calculates, for each purchase specification data held by the holding means, a management coefficient of the financial product on the reference date based on the effective interest rate, face value, and rating included in the purchase specification data. 4. The information processing apparatus according to claim 1, wherein the moving average management index is obtained for each set management unit by summing the calculated management coefficients for each set management unit.   The first acquisition means performs amortization after incorporating the expected credit loss of the financial instrument on the base date based on the effective interest rate, face value and credit information at the time of purchase included in the purchase details data held by the holding means. The information processing apparatus according to claim 1, wherein a cost is acquired for each set management unit as the moving average management index. The first acquisition means, after considering credit risk, for each purchase specification data held by the holding means, based on the face value included in the purchase specification data held by the holding means and credit information at the time of purchase Using the formula (1) based on the acquired CF and DF _irr which is a coefficient to be multiplied to discount the future value such as cash flow and value to the present value, etc. Calculate the amortized cost after incorporating the expected credit loss on the previous interest payment date, calculate the amortized cost after incorporating the expected credit loss on the previous interest payment date, and the effective interest rate included in the purchase details data held by the holding means , Face value (principal), contract interest rate, period annual rate that is the ratio of the period from the previous interest payment date to the base date to the number of days in one year, and the date at the next interest payment date. Based on the PD next interest payment date which is the default value, the amortized cost after incorporating the expected credit loss of the financial product on the base date is calculated using the formula (2), and the calculated purchase details data for each purchase detail data 6. The moving average management index is acquired for each set management unit by totaling the amortized cost after incorporating expected credit losses of financial instruments on a base date for each set management unit. Information processing device.

The first acquisition unit compares the credit information included in the purchase specification data held by the holding unit with the credit information of the financial product on the reference date, and uses an acquisition method according to the comparison result. Te, purchased on the basis of the effective rate and the face value contained in the detailed data, the moving average to obtain management indicators for each management unit is the set according to claim 5 or 6 information processing apparatus according. The first acquisition means calculates the moving average of the amortized cost of the financial product on the base date based on the effective interest rate, face value, and credit information at the time of purchase included in the purchase specification data held by the holding means. the set to obtain for each management unit according to claim 1 to 7 the information processing apparatus according to any one of the management index. When a financial product sale transaction occurs, the face value of the financial product sold in the sale transaction is the same as that of the financial product sold in the sale transaction held by the holding means. For each purchase detail data, the distribution is divided according to the face value included in the purchase detail data, and the apportioned value is calculated for the financial product of the same brand as the brand of the financial instrument sold in the sale transaction held by the holding means. The information processing apparatus according to any one of claims 1 to 8 , further comprising subtraction means for subtracting from a face value included in each purchase specification data. When the sale transaction occurs, a gain or loss on sale is obtained based on the contract price of the financial product sold in the sale transaction and the cost of sale based on the moving average of the financial product sold in the sale transaction. The information processing apparatus according to claim 9 , further comprising two acquisition means. When a financial product purchase transaction occurs, the financial product purchased in the purchase transaction based on the face value of the financial product purchased in the purchase transaction and the contract amount of the financial product purchased in the purchase transaction Obtaining an effective interest rate of the product, generating purchase details data including the acquired effective interest rate, a face value of the financial product purchased in the purchase transaction, and a rating at the time of purchase of the financial product purchased in the purchase transaction; further comprising claims 1 to 10 information processing apparatus according to any one of the storage control means for storing the generated purchase details data to said holding means. The first further comprising claims 1 to 11 information processing apparatus according to any one of the output means for outputting the moving average management indicator acquired by the acquisition means. Information having holding means for holding purchase details data including an effective interest rate of a purchased financial product, a face value of the purchased financial product, and credit information at the time of purchase of the purchased financial product in a purchase transaction unit of the financial product An information processing method executed by a processing device,
Based on the effective interest rate and face value included in the purchase details data held by the holding means, and the credit information at the time of purchase, a moving average management index, which is an index of management by the moving average method of financial instruments on the reference date, is set An information processing method for obtaining an expected credit loss of a financial product on the reference date for each management unit. A computer having holding means for holding purchase details data including an effective interest rate of a purchased financial product, a face value of the purchased financial product, and credit information at the time of purchase of the purchased financial product in a purchase transaction unit of the financial product In addition,
Based on the effective interest rate and face value included in the purchase details data held by the holding means, and the credit information at the time of purchase, a moving average management index, which is an index of management by the moving average method of financial instruments on the reference date, is set A program for executing an acquisition step of acquiring an expected credit loss of a financial product on the reference date for each management unit.

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