31 Rating Mapping Rules

Rating is a key dimension that is required for IFRS 9 Solution Cloud Service to compute various processes like Stage determination, Stage Curing and it will be used further in PD, LGD, CCF assignments and ECL calculations. All the processing within IFRS 9 SCS is performed at Account Level granularity and hence it is required for each account to be mapped to a specific Rating.

The service look-up for the following Rating type for every account from various external and internal rating providers:

• Account Rating
• Party Rating
• Sovereign Rating

For Stage Determination and Stage Curing, which determines the significance of the increase in credit risk, the ratings as of the Account Start Date, inception, or origination, are also determined. However, the same is determined for every date for a given account.

Once the ratings are sourced, the number of notches that a given Account Party, or Sovereign has been upgraded or downgraded is determined, based on the provider-specific rating rank list.

Users can create a rating mapping rule by using the modelling set. Based on the selection of the modelling set, a legal entity-based rating source will be available for further selection. Users can provide rating source preference and rating type preference. Users can map external ratings with internal ratings by providing the details of rating Type, Term and Rating Source. Rank will be populated against each internal standardized rating. In stage Determination and Stage curing these ranks will be available for defining the rating-based rules.