1.7.1. Exposures to corporates, institutions and central governments and central banks

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.

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