72. Institutions should document all data cleansing in accordance with Article 32(3)(b) of the RTS …

Institutions should document all data cleansing in accordance with Article 32(3)(b) of the RTS on IRB assessment methodology, with respect to the one-year default rate calculation and in particular:

• (a) for non-retail PD models, a list of all observations within the dataset that were excluded according to paragraph 71, with a case-by-case justification;
• (b) for retail PD models, information on the reasons and quantity of exclusions of observations made in accordance with paragraph 71.

5.3.2 Calculation of one-year default rates

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/