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REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

Institutions using own estimates of LGDs and conversion factors shall collect and store: (a) complete histories of data on the facility ratings and LGD and conversion factor estimates associated with each rating scale; (b) the dates the ratings were assigned and the estimates were done; (c) the key data and methodology used to derive the facility ratings and LGD and conversion factor estimates; (d) the person who assigned the facility rating and the person who provided LGD and conversion factor estimates; (e) data on the estimated and realised LGDs and conversion factors associated with each defaulted exposure; (f) data on the LGD of the exposure before and after evaluation of the effects of a guarantee/or credit derivative, for those institutions that reflect the credit risk mitigating effects of guarantees or credit derivatives through LGD; (g) data on the components of loss for each defaulted exposure.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04