Provision of Macroeconomic Data and Forecast Scenarios for IFRS 9 compliance at UK Export Finance

Concepts

• uk export finance
• market and economic research
• provision of macroeconomic data
• forecast scenarios
• requirements of ifrs
• macroeconomic time-series
• forecasts of economic conditions - multiple
• macroeconomic scenarios
• ifrs
• new ifrs

Location

Description

The requirement is for the incorporation of forward-looking information on an unbiased and probability-weighted basis in the calculation of Expected Credit Losses (ECL). The ECL is comprised of three elements: Exposure at Default (EAD), Loss Given Default (LGD) and Probability of Default (PD). The requirements of IFRS 9 are typically captured by forecasts of economic conditions - multiple macroeconomic scenarios with their own probability weights are needed in the calculation of the ECL. To build, test and operationalise new IFRS 9 models, UKEF needs to procure 1) macroeconomic time-series historic data and 2) IFRS 9 compliant macroeconomic forecast scenarios with probability weights.

Award Detail

CPV Codes

• 79300000 - Market and economic research; polling and statistics
• 79900000 - Miscellaneous business and business-related services

Indicators

• Contract is suitable for SMEs.
• Contract is suitable for VCOs.

Other Information

n/a Annex_1_UKEF_Project_2484_DPS-Order-Schedules.docx (2).pdf n/a Annex_2_UKEF_Project_2484_DPS-Joint-Schedules.docx.pdf n/a Annex_3_RM6126-Core-Terms_.docx.pdf n/a Annex_5__001-Oxford_Economics_-_T1.xlsx.pdf n/a Annex_6_Part_A_001-Oxford_Economics_-_Annex_1_-_Pricing_Submittion (1).pdf n/a Annex_6_Part_B_002-Oxford_Economics_-_Annex_1_-_Pricing_Submittion.pdf n/a UKEF_Project_2484__DPS-Schedule-6-Order-Form_.docx (1).pdf