Article 176
Data maintenance
1.
Institutions shall collect and store data on aspects of their internal ratings as required under Part Eight.
2.
For exposures to corporates, institutions and central governments and central banks, and for equity exposures where an institution uses the PD/LGD approach set out in Article 155(3), institutions shall collect and store:
(a)
complete rating histories on obligors and recognised guarantors;
(b)
the dates the ratings were assigned;
(c)
the key data and methodology used to derive the rating;
(d)
the person responsible for the rating assignment;
(e)
the identity of obligors and exposures that defaulted;
(f)
the date and circumstances of such defaults;
(g)
data on the PDs and realised default rates associated with rating grades and ratings migration.
3.
Institutions not using own estimates of LGDs and conversion factors shall collect and store data on comparisons of realised LGDs to the values as set out in Article 161(1) and realised conversion factors to the values as set out in Article 166(8).
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;
5.
For retail exposures, institutions shall collect and store:
(a)
data used in the process of allocating exposures to grades or pools;
(b)
data on the estimated PDs, LGDs and conversion factors associated with grades or pools of exposures;
(c)
the identity of obligors and exposures that defaulted;
(d)
for defaulted exposures, data on the grades or pools to which the exposure was assigned over the year prior to default and the realised outcomes on LGD and conversion factor;