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LGD and EAD pooling
PECDC's initial focus has been to collect data to assist with the measurement of Loss Given Default (LGD) and the Exposure At Default (EAD). Together with ALGORITHMICS, a programme has been improved over the years to ensure that the necessary information for the calculation of these parameters is being collected. Data related to credit failures (default) dating back to 1998 is now being submitted by Member-banks, allowing for meaningful statistics in terms of type of borrower, time and size of exposure at default and collateral recovery rates becoming available to the contributors for their own modelling.
Data is collected and analysed separately for each of the following Asset Classes:
- Large corporate borrowers (global),
- Banks (global),
- SME (global),
- Aircraft finance (global),
- Ship finance (global),
- Project finance (global),
- Real Estate finance (Europe),
- Commodities finance (global),
- Public services,
- Sovereign,
- Private banking.
The analysis of EAD has been restricted so far to benchmarking CCF.
Pd pooling
In 2009 PECDC started a study of Observed Default Frequencies, i.e. the number of defaults actually counted by a bank in a year within a segment of its obligors. This exercise complements the analyses on LGDs and EADs, and, like them, is strictly historical. The database structure of this category is much simpler than the LGD-EAD database: the number of defaulted obligors versus the number of obligors is compared by year, by asset class, by area (only for SME and Large Corporate) and Rating category. It also provides a mapping between Through The Cycle PDs and Ratings.
The ODF study including 2009 statistics is currently under way in a more elaborated format and with more participants.