Question ID
2013_566
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
172
Paragraph
1 and 2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS,
Name of institution / submitter
Austrian Federal Economic Chamber, Division Bank and Insurance
Country of incorporation / residence
Austria
Type of submitter
Industry association
Subject matter
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)
Question

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

Background on the question

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”.

Submission date
Final publishing date
Final 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.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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