UKEF Corporate Loss Given Default (LGD) Model for IFRS 9 - Expression of Interest (EOI)

UK Export Finance ("UKEF") is inviting expressions of interest from organisations that would be interested in delivering a loss given default ("LGD") model ("the Contract") in compliance with the International Financial Reporting Standards 9 ("IFRS 9") to the Contracting Authority. The LGD model will need to be operational from 1 April 2023. The Supplier will provide a model that allows UKEF to estimate LGDs for corporate obligors under different macroeconomic scenarios (the Supplier does not need to provide the macroeconomic forecasts that will underpin the scenarios - the scenarios will be procured separately) in order to make the measurement of Expected Credit Losses ("ECL"), compliant with the IFRS 9 standard. This is a new requirement.

It is a key requirement for the procurement that the LGD model will be IFRS 9 compliant, so the supplier will be required to demonstrate that the LGD model is "tried and tested" (i.e. already in use by organisations who are IFRS 9 compliant and/or reviewed by auditors). UKEF uses an LGD methodology whereby estimates of Enterprise Values ("EV") are utilised in order to generate an estimate of a corporate obligor's LGD using a "liabilities waterfall" approach (under a base scenario). The IFRS 9 corporate LGD model is required to work within UKEF's current process and not require changes to UKEF's estimates of LGDs under the base scenario.

Eligibility

This process is open to any organisation that can meet our requirements, which are as follows:

• The model is shown to be compliant with IFRS 9 (i.e. used by organisations that currently comply with IFRS 9 and/or tested by auditors).
• The model can be delivered in a fully operational state by 1st April 2023.
• The model integrates with existing UKEF LGD modelling approach, as outlined above.

This Expression of Interest is not a commitment to buy and DIT reserves the right not to proceed with this procurement.

For further information on the requirement, please see attached the document titled Requirements_DRAFT-UKEF_LGD_Model which is the draft high level requirements for this opportunity.

Interested parties should email their expression of interest to …@trade.gov.uk by 17.00 hours Thursday 12th January 2023.