Calculation of 12 Month and Lifetime PD Values

The PD values are calculated from the interpolated PD term structures.

For accounts with Maturity greater than 12 months, four quarters, two half years, one year, and so on, the 12 Month PD corresponds to the Cumulative PD at the end of the 12th Month and the Lifetime PD corresponds to the Cumulative PD of the period corresponding to the account's maturity date.

For accounts with a Maturity less than 12 Months, the 12 Month PD and the Lifetime PD both correspond to the Cumulative PD of the period corresponding to the account's maturity date.

Note:

Both the 12 Month PD and the Lifetime PD are calculated for all accounts irrespective of the stage. This is required to compute both the 12 Month and Lifetime Expected Credit Losses, however, only one among those is used for reporting, depending on the Stage.