74. When assigning the obligors or exposures to grades or pools for the purpose of the one-year …

When assigning the obligors or exposures to grades or pools for the purpose of the one-year default rate calculation, institutions should take overrides into account, but they should not reflect in this assignment any substitution effects due to credit risk mitigation, nor any ex post conservative adjustments introduced in accordance with section 8.1. Where the one-year default rate is calculated by rating grade or pool, the denominator should refer to all obligors assigned to a rating grade or pool at the beginning of the observation period. Where the one-year default rate is calculated at the portfolio level, the denominator should refer to all obligors assigned to the relevant calibration segment at the beginning of the observation period.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

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