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