Starling Bank appoints Jaywing to build a robust IFRS 9 model framework for its CBILS

Starling Bank has partnered with Jaywing to provide support developing an IFRS 9 modelling framework for the calculation of IFRS 9 Expected Credit Losses on the Coronavirus Business Interruption Loan portfolio.

The Coronavirus Business Interruption Loan Scheme (CBILS) provides financial support to small businesses affected by coronavirus (Covid-19). The initiative aims to provide government-backed loans to support small businesses with immediate liquidity needs during this difficult time. In response, commercial lenders need to adjust impairment models to account for CBILS whilst also continuing to satisfy the standard IFRS 9 requirement to incorporate forward-looking information in the estimation of loss.

As models built on historical data are unlikely to be able to produce meaningful projections in a continuously evolving economic landscape, it is imperative to build a pragmatic modelling solution, that combines quantitative methods with expert judgment to deliver sensible and defendable outputs.

Through working with Jaywing, Starling Bank will be able to own an impairment modelling framework that incorporates the key elements that distinguish CBILS from traditional commercial loans, and flexible enough to be able to produce updated outputs as new information becomes available.

Ben O Brien, Jaywing’s Managing Director, commented: “We are delighted to have been appointed by Starling Bank to support them with developing its commercial IFRS 9 models during a challenging time. Combining their analysts with our dedicated team, we will complete this work by 30th June 2020 and to our usual very high standard.”

Jaywing has over 20 years’ experience in credit risk analytics, helping lenders such as Nationwide, RBS and Coventry Building Society with scoring and modelling, IFRS 9, IRB, stress testing, ICAAP and credit grading requirements. Jaywing has helped over 30 lenders with IFRS 9 projects, including Hampshire Trust Bank, The Coventry Building Society, The Nottingham, Shawbrook Bank, The West Brom and Everyday Loans.