2013_566 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 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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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,

Disclose name of institution / entity:

Yes

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”.

Date of submission:

27/11/2013

Published as Final Q&A:

04/04/2014

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.