Directive 2006/48/EC of the European Parliament and of the Council (repealed)Show full title

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.