EBA · 2015_2040 Final Q&A

Level 1 assets and Large Exposures exemptions

Name: Level 1 assets and Large Exposures exemptions: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 400, para. (2)(d), 2(e)
Topic: Large exposures
Submitted by: Credit institution
Submitted: 2015-06-09
Answered: 2016-05-27
Answer provided by: ESAs (EBA, ESMA, EIOPA)

Browse ECB SSM Register → More Q&As on this regulation →

Question

Please can you confirm that debt securities with a 0% risk weight under Part Three, Title II, Chapter 2 that are reported as level 1 assets in accordance with Article 10 point 1(e)(ii) of the Delegated Act specifying the LCR should also be exempted from the Large Exposure Limits defined in Article 395(1) of Regulation (EU) No 575/2013 under the exemptions in Article 400 point 2(d)(e)?

Background

Our understanding is that the level 1 assets (including the assets mentioned in Article 10 point 1(e)(ii) of the Delegated Act specifying the LCR), should be exempted from the Large Exposure Limits requirements.

Answer

The assessment on whether an institution's asset qualifies for a large exposure exemption specified in Article 400(2)(d) and (e) of Regulation (EU) No 575/2013 should solely be based on the conditions mentioned therein. Neither Article 400(2)(d) nor (e) of Regulation (EU) No 575/2013 refer to the Delegated Act on Liquidity Coverage Requirement (LCR). In any case, the conditions set out in Article 10(1)(e)(ii) of the Delegated Act on LCR are not identical to those stipulated in Article 400(2)(d) and (e) of Regulation (EU) No 575/2013.

Original source: European Banking Authority, Q&A ID 2015_2040

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Inclusion of indirect holdings in the large exposures regime

Answered 2014-04-11

Exposure for Large Exposure Reporting - Accrued interests

Answered 2014-04-11

Treatment of government bonds of a third country as Level 1 assets when the credit quality step 1 is assigned according to article 114(7) of Regulation (EU) 575/2013

Answered 2019-01-18

Under the large exposure regime Article 390 (6)(e) of CRR provides an exemption for deduction of items according to article 36, 56 and 66. These deducted items must not be considered in the large exposure regime.

Answered 2014-09-19

On-balance sheet netting and exemption from the Large Exposures limits - question 1

Answered 2015-02-06

More Q&As on this topic

Reporting aggregate exposure to shadow banking entities in CRR3

Answered 2025-06-13

Transaction with underlying assets: “distinct client” vs. “unknown client”

Answered 2024-03-15

"Unexpected outflow" in the context of applying large exposure exemptions granted in Article 390(6)(c) CRR

Answered 2023-06-09

Definition of exposures arising from mortgage lending

Answered 2023-02-10

Mandatory substitution approach according to Article 403 CRR when applying either the Financial Collateral Comprehensive Method (FCCM) or, in the case of securities financing transactions (SFTs) the Internal Model Method (IMM) or master netting agreements to calculate the exposure value.

Answered 2022-01-21

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.