Published date: 22 December 2022

Last edited date: 22 December 2022

Closed early engagement


Closing date: 12 January 2023

Contract summary

Industry

  • Research and development services and related consultancy services - 73000000

Location of contract

Any region

Procurement reference

tender_344974/1161220

Published date

22 December 2022

Closing date

12 January 2023

Contract is suitable for SMEs?

Yes

Contract is suitable for VCSEs?

No

Description

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 commercialddat@trade.gov.uk by 17.00 hours Thursday 12th January 2023.

More information

Previous notice about this procurement

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

  • Early engagement
  • Published 22 December 2022

About the buyer

Contact name

Department for International Trade

Address

Old Admiralty Building
London
SW1A 2DY
England

Email

commercialddat@trade.gov.uk