• Shawbrook Bank has developed a strategy and embarked on a journey for an integrated approach to credit grading and IFRS 9 impairment forecasting to meet regulatory requirements whilst improving business performance

 Credit risk analytics expert, Jaywing, was appointed by Shawbrook Bank at the start of the year to support it through the build of a comprehensive credit risk modelling programme that will underpin credit management, impairment forecast and capital requirement including stress testing and ICAAP.

 This integrated approach to risk modelling will incorporate an IFRS 9 solution. Following Jaywing’s completion of an extensive project design phase, detailed requirements and proposed methodologies have been mapped out for each of the bank’s five portfolios.

 Jaywing has begun to develop a suite of models to achieve Credit Grading and, IFRS 9 objectives to ensure that the IFRS 9 guidelines are met well ahead of the implementation deadline on 1^st January 2018.

 Jaywing’s approach is completely bespoke to Shawbrook Bank, because every organisation has unique credit grading and IFRS 9 impairment forecasting requirements as defined by their data, legacy models and system infrastructure, as well as their business operations. Jaywing’s consultants are working in partnership with the bank in order to share their IFRS 9 experience and impairment forecasting knowledge with the bank’s analysts throughout the engagement.

 Edward Huang, Head of Risk and Portfolio Analytics, at Shawbrook Bank, said:

“As a challenger bank, Shawbrook has a unique advantage of developing an integrated and streamlined credit grading and forward-looking forecasting system to enable consistent credit decisions, capital sufficiency assessment, IFRS 9 impairment forecast and business planning. What made Jaywing stand apart is their partnership engagement approach, their practical experience in risk modelling and loss forecasting, their flexibility and adaptability, and ultimately their commitment to timely delivering the solutions within budget to help the bank achieve its strategies including IFRS9 compliance.Jaywing is a valuable addition to the in-house analytic capacities.”

 Ben O’Brien, Managing Director, Jaywing, added: “While the requirement to assess expected credit losses may present a challenge to many lenders, Shawbrook Bank had the broad foundations in place on which to build a compliant solution. Crucially, by engaging with Jaywing, the bank can be sure that the regulator’s demands and timescales will be met, while at the same time the bank will have more time to develop in-house analytic capacities.”

 Jaywing will continue to work with Shawbrook Bank throughout IFRS 9 beyond the model build phase to ensure successful parallel run in 2017 and readiness for IFRS9 live in 2018.