@OP
In which case,
No change in default level – new Soft UTP is not adding any defaults (there must be fully correlated to any existing trigger or triggers e.g. 90DPD, bankruptcy, etc.)
No timing difference of default event – therefore no PD or LGD impact even due to discounting
Client has only limited historic time series to show proof
Both 1 and 2 indicate there is full correlation to already existing triggers at the existing time period (but level of correlation can differ at time (t) for each trigger toward the new Soft UTP trigger).
Based on the other responses to this question, a bootstrapping would be the correct approach, but the bank states on recent periods the outcome should be NULL (or similar like that)
Therefore, an idea could be to simulate the uncertainty of the correlation in different macroeconomic environments
Correlation analysis of macro economic factor vs existing triggers over time (t)
Given that new Soft UTP trigger is correlated toward multiple triggers at time (t) (based on existing time period the bank has), the correlation variation found of each underlying existing trigger can be used to proxy new Soft UTP trigger back in time
PLUS above should still be supplemented with a qualitative statement