Data requirements for the calculation of observed default rates

11.1 For the purpose of calculating the one-year default rate defined in CRR Article 4(1)(78), firms should ensure the completeness of the quantitative and qualitative data, and other information in relation to the denominator and numerator (as outlined in paragraphs 11.4 and 11.5) that are used for the calculation of the observed average default rate. In particular, firms should ensure that at least the following data for the relevant observation period referred to in paragraph 11.16 are 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 are available, firms should make efforts to minimise missing data on risk drivers over time as outlined in paragraph 9.16(a), and apply an appropriate adjustment and a MoC in accordance with Chapter 9; and

(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.