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IFRS 9 ECL Engine — Data Sources

PD (Probability of Default)

Primary: S&P Global Ratings

  • Document: "Default, Transition, and Recovery: 2024 Annual Global Corporate Default And Rating Transition Study"
  • Date: March 27, 2025
  • Authors: Nicole Serino, Nick W Kraemer (S&P Global Ratings Credit Research & Insights)
  • Tables used:
    • Table 26 — Global average cumulative default rates by rating level (Y1–Y15), 1981–2024. Used for 1Y PD anchors and Phase 2 PD term structures.
    • Table 25 — European cumulative default rates by rating category (Y1–Y10), 1981–2024. Used for Europe-specific calibration.
    • Table 24 — Global average cumulative default rates by rating category (Y1–Y15). Cross-check.
    • Table 20 — 2024 one-year transition matrix by region (Global, U.S., Europe, Emerging). Used in Phase 3 for SICR transition logic.
    • Table 22 — Average one-year transition rates by region, 1981–2024. Long-run calibration for staging.
    • Table 3/9 — Annual default rates by rating category/level, 1981–2024. Historical context.
  • Access: PDF obtained via S&P Global / Maalot (Israel affiliate, publicly hosted). Full study available via ESSEC Capital IQ subscription.
  • Key figures used:
    • BBB 1Y PD: 0.13% (global), 0.05% (Europe)
    • BB 1Y PD: 0.44% (global), 0.36% (Europe)
    • B 1Y PD: 2.69% (global), 1.75% (Europe)
    • CCC/C 1Y PD: 26.12% (global), 26.26% (Europe)

Supplementary: Moody's Annual Default Study

  • Document: "Annual Default Study: Corporate Default and Recovery Rates"
  • Status: To be sourced for cross-validation (free PDF, search Moody's website)

LGD (Loss Given Default)

Regulatory anchor

  • Foundation IRB LGD: 45% senior unsecured, 75% subordinated (CRR Art. 161)
  • Source: Regulation (EU) No 575/2013 (Capital Requirements Regulation)

Empirical calibration (pending)

  • EBA IRB Benchmarking Reports — annual publication showing LGD distributions across European banks
  • Banque de France Working Papers — empirical French corporate recovery studies (search publications.banque-france.fr for "LGD")
  • Global Credit Data — consortium summary statistics on bank recoveries

Macroeconomic Scenarios (Phase 4)

EBA 2025 EU-Wide Stress Test

  • Document: "Macro-financial scenario for the 2025 EU-wide banking sector stress test"
  • Date: January 2025
  • Prepared by: ESRB Task Force on Stress Testing / ECB
  • URL: https://www.eba.europa.eu/sites/default/files/2025-01/cd571cfe-b02c-4a08-9bcb-067c12238ef1/2025%20EU-wide%20stress%20test%20-%20Macro%20financial%20scenario.pdf
  • Key adverse scenario figures (EU-wide, 2025–2027):
    • Cumulative real GDP deviation from baseline: −10.4% by end-2027
    • Cumulative real GDP contraction: −6.3%
    • Unemployment: +6.1 pp above baseline by end-2027
    • HICP inflation: 5.0% (2025), 3.5% (2026), 1.9% (2027)
    • EU equity prices: −50% in 2025, still −42% at end-2027
    • iTraxx overall 5Y: +169 bps (2025), still +88 bps (2027)
    • iTraxx sub-financials 5Y: +414 bps (2025)
    • 1Y EUR swap rate: 3.3% (2025), declining to 3.0% (2027)

EBA 2025 Stress Test Results

ECB Macroeconomic Projections

  • Status: To be sourced for baseline scenario (quarterly publication, ecb.europa.eu)

Banque de France Macroeconomic Projections

  • Status: To be sourced for France-specific paths

Methodology References

  • IFRS 9: International Financial Reporting Standard 9 — Financial Instruments (IASB, July 2014; effective Jan 2018). Free with registration at ifrs.org.
  • EBA GL/2017/06: Guidelines on credit institutions' credit risk management practices and accounting for expected credit losses. Canonical IFRS 9 implementation guidance for European banks.
  • ACPR Notice: ACPR notice on IFRS 9 implementation (Autorité de Contrôle Prudentiel et de Résolution). Search acpr.banque-france.fr.
  • EBA Stress Test Methodology: "2025 EU-wide stress test — Methodological Note", July 2024. Contains IFRS 9 staging rules under stress (paragraphs 73–75).

Portfolio Data (Phase 5)

EBA Transparency Exercise

Last updated: May 2026