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

WAC ID:197441

IT & DigitalAward noticeClosedSME-friendlyVCSE-friendly

Source:	Contracts Finder
Notice Type:	Award notice
Buyer:	Department for International Trade
Main Category:	Services
Procurement Method:	Call-off from a dynamic purchasing system
Tender Status:

Award outcome

Awarded to

Oxford EconomicsGB-CFS-251618

Award value:	£205,000
Award decision date:	18 June 2023
Award status:	Active

Contracting Authority

Organisation

Department for International Trade

Submission Details

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.