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Based on the combination of an accounting category and the asset side or liability side, the diagram below shows the differentiation, in which case if and how fair value changes related to market prices and fair value changes related to the changes in credit risk are considered in
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Diagram 1 refers to the underlying IFRS 9 rules.
Diagram 1: IFRS 9 accounting category assignment and impact on valuation elements
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In general, the classifiation process requires the analysis of the following questions for each product design:
Diagram 2: IFRS 9 category assignment rules
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