Get peace of mind when estimating expected credit losses, with access to default and ratings migration data, statistical models, and scorecards that assess probability of default, loss given default, and macro-economic considerations.
An incomplete approach to new accounting standards could negatively impact your P&L and expose you the risk of lengthy discussions with auditors. Bridge the transition with S&P Global Market Intelligence, offering a suite of IFRS 9 solutions to help you comply with IFRS 9 credit impairment requirements.
Robustness
Tools should be grounded in historical information whilst reflecting expectations regarding the future.
Efficiency
A typical company’s investment book often contains tens of thousands of investments from distinct asset classes. The sheer volume requires an efficient evaluation process.
Transparency
The calculation of impairments and all supporting data and assumptions must be fully transparent to help meet regulatory requirements.
We're committed to in-person workshops to help successful adoption of scorecards.
We use credit ratings in the first step of our IFRS 9 methodology for estimating expected credit losses (ECLs).
We associate a long-term average default rate term structure (often labeled through-the-cycle) to each rating based on historical default data contained in our CreditPro product offering. This captures default data from over 40 years of credit ratings information from S&P Global Ratings.
S&P Global Market Intelligence LGD Scorecards are used to estimate LGD term structures. These Scorecards are judgement-driven and identify the PiT estimates of loss. The Scorecards are back-tested to evaluate their predictive power on over 2,000 defaulted bonds.
Expected credit losses is then estimated for each investment. The final calculation brings together the point-in-time probability of default, PiT loss-given default, exposure at default, and effective interest rate (EIR) to estimate the present value of cash shortfalls (i.e., ECL).
All solutions are offered in Microsoft Excel® to facilitate an easy implementation into your internal capabilities. Should you require a software solution, we also provide end-to-end computational and reporting engines, which can help streamline the calculation and reporting processes for the entire IFRS 9 standard.
Gain a fundamental based view of credit risk for corporations and banks globally without revenue size limit with our PD Model Fundamentals. We calculate probability of default and pre-score 648,000+ companies. Also, you can input your own proprietary company financials for analysis purposes.
Access credit scores that are designed to broadly align with credit ratings from S&P Global Ratings, for mid- and large-cap financial institutions and corporations. With our CreditModel™ we pre-score 54,000+ companies and offer you the flexibility to input your own company financials for analysis.
PDs can be adjusted using our macroeconomic model, a quantitative credit transitions model that accounts for user-defined future macroeconomic scenarios. This overlay is segmented by region and industry, and allows for adjustments based on credit cycles and market views.
Apply the LossStats™ model, a loss distribution model calibrated on 15+ years of recovery data, to generate Expected Loss and LGD for loans and bonds. Collateral type, debt structure, macroeconomic factors, industry factors, and solvency regime are all accounted for.
Whether you need to adjust inputs for your macroeconomic scenarios, apply probability weights to estimate expected values, or calculate expected credit loss (ECL)—our models can be easily implemented into your current systems through web and Excel-based solutions, alongside bulk feed and API channels.
IFRS 9 for Insurers: Implementing a Robust, Efficient and Transparent Methodology
Gain a practical demonstration to produce the new ECL calculations as required by IFRS 9, to avoid the black box effect.
Watch On-Demand ›
Time is running out for insurers: Moving from theory to practice for IFRS 9
We address some of the key issues surrounding the effective implementation of IFRS 9, with a particular focus on impairment calculations.
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IFRS 9 Blog Series
Read our three part blog series to help insurance companies tackle the changes to meet IFRS 9 credit impairment requirements.
Part 1 ›
