EBA · 2013_566 Final Q&A

Determination of “Number of Obligors” (column 300).C 08.01 - Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB 1)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
172, para. 1 and 2
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Industry association
Submitted
2013-11-27
Answered
2014-04-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

The “Number of Obligors” has to be determined according to which method(s)?

Background

a) Concerning Retail exposures there is a clear definition in the Annex II instructions: “number of exposures which were separately assigned to a certain rating grade or pool”. b) Concerning Non-Retail exposures there are conflicting definitions in the Annex II instructions: “assigned to each obligor grade or pool” versus “the number of obligors shall be calculated based on groups of connected clients according to Article 4 (39) CRR”.

Answer

For retail exposures, as set in the instructions of column 300 of CR IRB (C 08.01) and in accordance with Article 172(2) of Regulation (EU) No 575/2013 (CRR), the number of obligors to be reported shall be based on the number of exposures which were separately assigned to a certain rating grade or pool. An obligor may be reported in more than one grade. For all the other exposure classes, in accordance with Article 172(1) of CRR, the number of obligors shall be based on the number of legal entities /obligors which were separately rated, regardless of the number of different loans or exposures granted. The number of obligors shall not be calculated based on groups of connected clients. The instructions will be amended accordingly.

Original source: European Banking Authority, Q&A ID 2013_566

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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