1.7. Data maintenance

Credit institutions shall collect and store data on aspects of their internal ratings as required under Articles 145 to 149. Credit institutions shall collect and store: complete rating histories on obligors and recognised guarantors; the dates the ratings were assigned; the key data and methodology used to derive the rating; the person responsible for the rating assignment; the identity of obligors and exposures that defaulted; the date and circumstances of such defaults; and data on the PDs and realised default rates associated with rating grades and ratings migration; Credit institutions not using own estimates of LGDs and/or conversion factors shall collect and store data on comparisons of realised LGDs to the values as set out in Part 2, point 8 and realised conversion factors to the values as set out in Part 3, point 9. Credit institutions using own estimates of LGDs and/or conversion factors shall collect and store: complete histories of data on the facility ratings and LGD and conversion factor estimates associated with each rating scale; the dates the ratings were assigned and the estimates were done; the key data and methodology used to derive the facility ratings and LGD and conversion factor estimates; the person who assigned the facility rating and the person who provided LGD and conversion factor estimates; data on the estimated and realised LGDs and conversion factors associated with each defaulted exposure; data on the LGD of the exposure before and after evaluation of the effects of a guarantee/or credit derivative, for those credit institutions that reflect the credit risk mitigating effects of guarantees or credit derivatives through LGD; and data on the components of loss for each defaulted exposure. Credit institutions shall collect and store: data used in the process of allocating exposures to grades or pools; data on the estimated PDs, LGDs and conversion factors associated with grades or pools of exposures; the identity of obligors and exposures that defaulted; for defaulted exposures, data on the grades or pools to which the exposure was assigned over the year prior to default and the realised outcomes on LGD and conversion factor; and data on loss rates for qualifying revolving retail exposures.

← anx_VII__cpt_4__cpt_1__cpt_6__point_35__text_1 · All articles · 36. →

Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.