Single Obligor Exposure
From Open Risk Manual
Contents
Definition
Single Obligor Exposure (also Total, One Obligor exposure) is the total exposure on a Client Group (“Relationship” or Counterparty Group) including all possible products by which such exposure may manifest (loans, commitments, guarantees, derivatives etc.)
Context
The concept of SOE becomes significant in the context of typical internal risk / accounting systems of financial services firms that do not automatically aggregate exposures booked in different business lines. The causes of such a disaggregated view include:
- the presence of distinct business units (usually through mergers and acquisitions)
- the prevalence of product as opposed to client based management of business lines
- the additional effort / data required for forming a coherent single obligor dataset
- IT system limitations
Role in ICAAP
The assessment of Name Concentration risk in the context of ICAAP requires the systematic identification of SOE.
