EAD & CCF models.
What gets drawn before default.

Credit conversion factors for revolving facilities, overdrafts and off-balance commitments, estimated from observed drawdown behaviour and designed around the CRR3 rules.

Talk to a model specialist Decisions and tests →

Utilisation of limit · 12 months before vs. at defaultIllustrative

Credit cardsCCF 67%

OverdraftsCCF 59%

Revolving corporate facilitiesCCF 51%

Undrawn commitmentsCCF 38%

Drawn at reference dateDrawn at defaultLimit

Regulatory basis

CRR3 · EBA GL on PD & LGD estimation · EBA RTS on IRB assessment

Portfolios

Cards, overdrafts, revolving facilities, commitments

Outputs

CCF by segment, EAD, downturn CCF

Used for

IRB capital, IFRS 9 lifetime EAD, stress testing

Approach

A fixed horizon, realised CCFs, and the awkward cases handled on the record.

Reference dates

Fixed-horizon approach, twelve months before default, with alternatives tested.

Realised CCFs

Computed per facility, with negative and above-100% values treated explicitly.

Drivers

Segment by utilisation, product type and limit behaviour.

Calibration & floors

Calibrate, add downturn and conservatism, and apply regulatory floors.

Data

What you need. And what happens if you don't have it.

Data	Needed	If missing or incomplete
Limit and drawn balances (monthly)	Required	—
Default dates	Required	—
Limit changes	Helpful	Assumed constant, with added conservatism
Product and covenant data	Helpful	Product-level segmentation only

In Model Studio 0.1.0

Every choice is a decision for a person. Every test has its threshold on the page.

Decisions the agents propose

Each comes with a recommended option, the reason and any data gap. The model owner approves the set at the design gate.

Reference date
How far before default is the reference date?
Negative CCFs
How are negative realised CCFs treated?
CCFs above 100%
How are realised CCFs above 100% treated?
Drivers
How are facilities segmented?
Downturn period
Which default years form the downturn period?
Regulatory floors
Which CCF floor applies per product?

Tests the engine runs

Shown next to each result. A test outside its threshold stays visible and becomes a limitation in the documentation.

Test	Group	Threshold
Realised versus predicted CCF	Back-testing	Realised ≤ predicted + 3%
Regulatory floor checks	Regulatory	Floors entered for every product
Outlier and limit-change treatment	Data	≤ 20% of CCFs treated
Stability over time	Stability	\|trend\| ≤ 2 points a year
Back-testing by segment	Back-testing	Reported