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Banking Rule Book
Text applicable on 7 Oct 2026Consolidated version of 1 Jan 2021In forceUnofficial text · authentic on EBA (PDF) (opens in a new tab)

GL-PDLGD paragraph 70 — as applicable on 7 Oct 2026 (version of 1 Jan 2021)

5.3.1

Data requirements for the calculation of observed default rates

70.

For the purpose of calculating the one-year default rate defined in point (78) of Article 4(1) of Regulation (EU) No 575/2013, institutions should ensure the completeness of the quantitative and qualitative data and other information in relation to the denominator and numerator as outlined in paragraphs 73 and 74 and used for the calculation of the observed average default rate. In particular, institutions should ensure that at least the following data for the relevant observation period referred to in paragraphs 82 to 83 is properly stored and available:

(a)

the criteria for identifying the relevant type of exposures covered by the PD model under consideration;

(b)

the criteria for identifying the calibration segments;

(c)

the risk drivers used for risk differentiation; where a newly relevant risk driver has been included in the model for which no historical data is available institutions should, make efforts to minimise missing data on risk drivers over time as outlined in paragraph 51(a), and apply an appropriate adjustment and a MoC in accordance with section 4.4;

(d)

all identification numbers of obligors and exposures relevant for default rate calculation, taking into account situations where the identification number has changed over time, including changes due to restructuring of exposures.

71.

Exclusion of observations from the one-year default rate calculation should be undertaken only in the following two situations:

(a)

obligors wrongly included in the data set of defaults, as they did not default in the meaning of the definition of default pursuant to Article 178 of Regulation (EU) No 575/2013 as further specified in the Guidelines on the application of the definition of default of an obligor under that Article should not be included in the numerator of the one-year default rate;

(b)

obligors wrongly assigned to the considered rating model, despite not falling in the range of application of that rating model, should be excluded from both the numerator and the denominator of the one-year default rate.

72.

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.