IFRS 9 ECL.
Lifetime losses, staged and forward-looking.

Point-in-time PD, LGD and EAD term structures, staging criteria and probability-weighted macro scenarios, with every overlay approved and traceable.

Cumulative lifetime PD by macro scenarioIllustrative

Upside

25%

Base

50%

Downside

25%

Scenario weights

Regulatory basis

IFRS 9 · EBA GL on credit risk management and ECL accounting

Portfolios

Amortised cost and FVOCI exposures

Outputs

12-month and lifetime parameters, staging, probability-weighted ECL

Used for

Financial reporting, provisioning, stress testing

Approach

Reuse what your IRB models know. Make it point-in-time and forward-looking.

Convert through-the-cycle estimates and build lifetime term structures.

Quantitative and qualitative criteria for a significant increase in credit risk.

Link parameters to scenarios and weight them, reusing your satellite models.

Post-model adjustments with rationale, approval and release tracked.

Data

Data	Needed	If missing or incomplete
Origination rating or PD	Required	Proxy at transition date, documented
Contractual cash flows	Required	—
Macro forecasts	Required	Official or bank-internal scenarios
Forbearance and watch-list flags	Helpful	Days-past-due backstop only

In Model Studio 0.1.0

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.

PIT conversion
Which asset correlation links PDs to the credit cycle?
Scenario link
How do scenario paths move PDs?
Scenario weights
How are scenarios weighted?
Reversion
After the scenario horizon, how fast do PDs revert to TTC?
SICR · relative threshold
Lifetime PD increase since origination that signals a significant increase in credit risk
Backstop
Days-past-due backstop for stage 2

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
Staging stability and transfer rates	Staging	≤ 10% of stage 1 moves
Back-testing of ECL against realised losses	Back-testing	Reported
Sensitivity to scenario weights	Scenarios	Reported
Overlay tracking and release	Overlays	Every overlay approved with a release condition
Reconciliation to the general ledger	Reconciliation	Reported