Configuration
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PD Methodology
Select the rating from T197, or the closest equivalent.
IFRS 9 requires forward-looking macro information. Apply an uplift to TTC PD for the expected economic cycle.
Point-in-time 1-year PD estimate from your internal model (%). E.g. 1.20 = 1.20%.
LGD Methodology
Legal, administrative, and workout costs as % of exposure. Typically 5–15%.
LGD observed from secondary market prices or bond recovery data (%). Basel IRBA floors: 25% senior secured, 45% senior unsecured.
EAD Inputs
Basel SA: corporate revolving = 75%. Committed undrawn = 40–100% per facility type.
Required for lifetime ECL and IFRS 9 stage determination.
About This Tool
IFRS 9 ECL Stages
1
12-Month ECL
2
Lifetime ECL
3
Credit-Impaired
Stage 1: No significant increase in credit risk (SICR). Stage 2: SICR since origination — lifetime ECL required. Stage 3: Objective evidence of impairment (default, 90+ DPD).
PD Methodologies
Through-the-Cycle (TTC): Long-run average PD, stable across the cycle — used for pricing and regulatory capital. Apply macro overlay for IFRS 9 forward-looking adjustment.
Point-in-Time (PIT): Current-conditions PD, varies across the cycle — preferred for IFRS 9 ECL calculation directly.
Point-in-Time (PIT): Current-conditions PD, varies across the cycle — preferred for IFRS 9 ECL calculation directly.
LGD Floors (Basel IRBA)
Senior secured: 25% · Senior unsecured: 45% · Subordinated: 75%. This tool applies these floors automatically when haircut-based LGD falls below them.
CECL vs IFRS 9
Both require lifetime ECL for impaired assets. CECL requires lifetime ECL from origination for all assets. IFRS 9 uses a two-stage approach with 12-month ECL for Stage 1. This tool calculates both for comparison.
Analysis Results
ECL Calculation
| Measure | Horizon | Framework | Value | Stage |
|---|
Parameter Rationale