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T204 · Cat-17 · Counterparty Credit Risk · IFRS 9

IFRS 9 Credit Migration Matrix Generator

Generate cohort transition matrices across credit rating bands using embedded benchmark matrices by asset class. Calculate IFRS 9 Stage 1/2/3 classification, lifetime PD curves via Markov chain, macro overlay, and ECL stage allocation. Outputs the transition matrix, cumulative PD schedule, Markdown IFRS 9 disclosure memo, and Policy Mandate JSON ECL model parameters.

IFRS 9 Markov Chain PD ECL Staging Zero PII · Client-side

Configuration

Asset Class & Counterparty

Asset Class — benchmark matrix

Current Rating — reporting date

Origination Rating — for SICR test

SICR triggered if rating deteriorated ≥2 notches since origination.

Remaining Maturity years

ECL Inputs — from T198

EAD ($)

LGD %

Macro Overlay

Forward-Looking Adjustment

IFRS 9 para 5.5.17 requires forward-looking information. Apply a PiT uplift to TTC baseline PD.

Portfolio Distribution — optional stage allocation

Enter count of counterparties at each rating band to compute weighted-average stage distribution. Leave blank to skip.

About This Tool

IFRS 9 ECL Stages

Stage 1 — 12-month ECL. No SICR since origination. PD not materially increased.

Stage 2 — Lifetime ECL. SICR: rating ↓ ≥2 notches OR PD > 2× origination PD.

Stage 3 — Lifetime ECL. Credit-impaired: objective evidence of loss event (default / CCC).

Markov Chain Method

The annual transition matrix M is raised to the power n to obtain cumulative n-year migration probabilities: M^n. The default column of M^n gives the n-year cumulative PD from each starting rating. Applied iteratively for years 1–10.

Embedded Benchmarks

Matrices sourced from long-run S&P Global average annual corporate transition rates (IG/SG), EBA/ECB SME calibrations, and typical UK/EU residential mortgage loss data. Apply institution-specific recalibration before use in regulatory reporting.

SICR Indicators

This tool tests quantitative SICR triggers. IFRS 9 also requires qualitative indicators (watchlist, forbearance, covenant breach) which must be assessed separately. Feed T199 covenant outputs for the qualitative layer.

Last Reviewed · 2025-01-15

IFRS 9 Migration Results

Annual Transition Matrix —

Cumulative Lifetime PD Schedule (Macro-Adjusted)

IFRS 9 Disclosure Commentary