37.

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.

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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.