Dimensions that Define the Formation of Cohorts

The application creates Cohorts, based on homogeneous values across the following dimensions. The total number of Cohorts formed is equal to the total number of such unique combinations across these dimensions. However, if the number of accounts in any Cohort is less than the minimum size set in the parameter ECL_MIN_COHORT_SIZE, the Cohort is disbanded and all related accounts are treated individually.

The dimensions considered to group Cohorts are the following:

• Basel Customer Type
• Basel Product Type
• IFRS Stage
• Methodology
• Cash Flow Undrawn Flag
• Current Internal Rating for non-Retail accounts or DPD Band for Retail accounts
• Time to Maturity band
• Currency