CA-5.8.15
For each pool, banks must estimate PD, LGD, and EAD. Multiple pools may share identical PD, LGD and EAD estimates. At a minimum, banks must consider the following risk drivers when assigning exposures to a pool:
(a) Borrower risk characteristics (e.g. borrower type, demographics such as age/occupation);
(b) Transaction risk characteristics, including product and/or collateral types (e.g. loan to value measures, seasoning, guarantees; and seniority (first vs. second lien)). Banks must explicitly address cross-collateral provisions where present.
(c) Delinquency of exposure: Banks are expected to separately identify exposures that are delinquent and those that are not.
Apr 08