Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed) (c. 48)

ANNEX VII U.K. INTERNAL RATINGS BASED APPROACH

PART 4 U.K. Minimum requirements for IRB Approach

1. RATING SYSTEMS U.K.

1.7. Data maintenance U.K.

36. Credit institutions shall collect and store data on aspects of their internal ratings as required under Articles 145 to 149. U.K.

1.7.1. Exposures to corporates, institutions and central governments and central banks U.K.

37. Credit institutions shall collect and store: U.K.

(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; and

(g)

data on the PDs and realised default rates associated with rating grades and ratings migration;

Credit institutions not using own estimates of LGDs and/or conversion factors shall collect and store data on comparisons of realised LGDs to the values as set out in Part 2, point 8 and realised conversion factors to the values as set out in Part 3, point 9.

38. Credit institutions using own estimates of LGDs and/or conversion factors shall collect and store: U.K.

(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 credit institutions that reflect the credit risk mitigating effects of guarantees or credit derivatives through LGD; and

(g)

data on the components of loss for each defaulted exposure.

1.7.2. Retail exposures U.K.

39. Credit institutions shall collect and store: U.K.

(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; and

(e)

data on loss rates for qualifying revolving retail exposures.