The client needed to transform their impairment estimation procedure and make it forward-looking under IFRS9, to be able to effectively calculate impairment during stressed scenarios.

Solytics has developed a series of time-series models to:

1. Assess the impact of macroeconomic factors on the Probability of Default (PD) under different scenarios (Fed baseline, Fed adverse, Fed severely adverse, and multiple alternative scenarios).

2. Estimate overall Estimated Loss (EL) for different products under various stressed scenarios.

3. Segregate EL into stages I, II, and III based on client definitions.

- Provided highly qualified quant modelers to assist with the ongoing assignment.

- Enhanced the client's ability to meet IFRS9 requirements.