Term Structure Rules

IFRS9SCS enables users to provide a series of term structures for the Probability of Default (PD), Loss Given Default (LGD) and Credit Conversion Factor (CCF). Term structure means values across multiple periods.

This UI enables users to create Term Structure Rules for PD, LGD and CCF. The term structure rule is at the modelling set and economic scenario rule level. Term structure can be created at frequencies of Monthly, Quarterly, Half Yearly, and Yearly. Term structure can be created at Rating and Days Past Dues level. A term structure can be created for both long-term and short-term ratings. Priority is set for the long-term rating PD. PD term structures are created on a Marginal or Cumulative basis.

These term structures can be created either by inputting numbers through UI or by using the Excel download. Users can create different term structures at the effective date level.