Essential IFRS 9 Impairment Solutions
Estimate expected credit losses with data on defaults and ratings migration, statistical models, and scorecards for PD, LGD, and economic factors
Worried About IFRS 9? Get What You Need to Act with Confidence
An incomplete approach to new accounting standards could negatively impact your P&L and expose you to 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.
Identify and Manage Potential Default Risks
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 CreditPro®. This captures default data from over 40 years of credit ratings information from S&P Global Ratings.
Refine the Assessment of Your Potential Exposure to Defaults
S&P Global Market Intelligence Loss Given Default (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.
Evaluate Expected Credit Losses
Expected credit losses are 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).
An Innovative and Scalable Approach to Assessing Potential Default
Fundamental Risk
Gain a fundamental based view of credit risk for corporations and banks globally without revenue size limit using PD Model Fundamentals.
Credit Scoring
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.
Macroeconomic Factors
PDs can be adjusted using our macroeconomic model, a quantitative credit transitions model that accounts for user-defined future macroeconomic scenarios.
Recovery
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.
Customization
Whether you need to adjust inputs for your macroeconomic scenarios, apply probability weights to estimate expected values, or calculate ECL - our models can be easily implemented into your current systems.
Request Follow Up
S&P Global Market Intelligence offers a comprehensive suite of IFRS 9 solutions tailored to meet your credit impairment requirements. Learn how our expert tools and insights can streamline your compliance process and enhance your financial reporting accuracy.