Basis of calculation for the DRC for non-securitisations and SBM-CSR for non-securitisations – Individual ‘issuers’/‘obligors’ or ‘group of issuers/obligors’?

Do the calculations of the DRC for non-securitisations and SBM-CSR for non-securitisations have to be based on the individual ‘issuers’/‘obligors’, or could these calculations alternatively be based on the concept of a ‘group of issuers/obligors’ consisting of e.g. a conglomerate (and e.g. represented by an ‘ultimate parent’ corresponding to the ‘head of group’ or ‘parent company’)?

For the purpose of FRTB ASA calculation, the terms issuer and obligor express the same concept and are used interchangeably, both referring to the legal entity issuing the instrument or to the legal entity to which an instrument refers. As to the DRC for non-securitisations, CRR Article 325v(1) defines short and long exposures in reference to “[…] the default of an issuer or group of issuers […]”. This wording might seem to suggest that the ‘ultimate parent’ could also play a role in the DRC for non-securitisations. Yet, the CRR Articles specific to the DRC for non-securitisations (i.e. Articles 325w till 325y) solely mention the term ‘issuer’/‘obligor’. Consequently, the term ‘group of issuers’ within the definitions in the general Article 325v(1) does not seem to apply to the non-securitisation case.  As to the SBM-CSR for non-securitisations, CRR Article 325m(1) states that “[t] he delta credit spread risk factors to be applied by institutions to non-securitisation instruments that are sensitive to credit spread shall be the issuer credit spread rates of those instruments [applying] one risk factor per issuer and maturity ”. The calculation shall therefore be based on individual ‘issuers’/‘obligors’, and not on e.g. a ‘group of issuers/obligors’.