In this scenario, 8% of the pool has unknown delinquency — the bank cannot confirm whether those exposures are current or in arrears. The regulation sets a 5% unknown-delinquency threshold: stay below
The pool is 1,000,000 of performing residential real estate mortgages. However, delinquency data is missing for 40,000 of these exposures — 4% of the pool. The pool is structured into three tranches —
The pool is 1,000,000 of residential real estate mortgages, of which 950,000 (95%) have defaulted. This is a non-performing exposure (NPE) portfolio. The pool is structured into three tranches — junio
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