+Article 176 4.

Article 176 4.

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 on which the ratings were assigned and the estimates were made;

(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.

1. Overview

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Summary Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

Standards
Source Requirement