38.

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.