Economic Scenarios for IFRS9

Probability-weighted lifetime forecast scenarios for IFRS9 compliance requirements.

IFRS 9 requires firms to use multiple scenarios to produce probability-weighted lifetime expected credit losses. Moody's Analytics produces multiple upside and downside scenarios that align with the scenarios probability distribution and our deep understanding of the global economy and potential threats. These scenarios extend through long future horizons to satisfy the IFRS 9 lifetime requirements.

Benefits

  • Easily employ multiple, probability-weighted scenarios.
  • Demonstrate correlations between loss performance and economics.
  • Leverage a comprehensive set of indicators beyond headline numbers.
  • Gain insight into specific risk factors, such as interest rates changes.
  • Access detailed methodology and our economists to support validation needs.
  • Integrate scenarios with Moody’s Analytics ImpairmentCalc or existing processes.
  • Choose from multiple delivery options to suit your needs.

Applications

Our methodology allows for the identification of scenarios that are associated to customer-defined percentiles. Each scenario has a probability attached to it based on its historical distribution. As example, clients can use the following scenarios to calculate probability-weighted outcomes:

  • Stronger Near-Term Rebound (10% cumulative probability)
  • Baseline Forecast (50% cumulative probability)
  • Moderate Recession (90% cumulative probability)

Key Features

Scenarios cover more than 1,500 detailed variables, such as unemployment, personal consumption expenditure, retail sales, debt-service burden, bankruptcy rates, initial claims, sector-specific industrial production, interest rate and bond yield curves, housing and labour market performance metrics, demographic series and many more.

  • Baseline and alternative scenarios for 70+ countries with 30 year forecast horizon. 
  • Derived from well-established macroeconomic forecasting methods.
  • Coverage of more than 1,500 economic, financial and demographic variables.
  • Fully documented methodology and scenario assumptions.
  • Forecasts updated monthly, history updated in real-time.