Collective Assessment

In the case of any Cohorts being formed, a set of processed LGD term structures are created in the processing table corresponding to each of the Cohort. The number of periods or buckets for a given Cohort is the maximum value of those individual accounts which are part of that Cohort. For the Cohort related series, the LGD against each period (Bucket ID) is calculated as the weighted average of the individual LGD values against the corresponding bucket ID with the carrying amount of the account being used as the weight.

Note:

You need to load data to the LLFP LGD Term Structure Staging table.