Include all entities which belong to a group of connected clients in Large exposure templates

According to Article 394 of Regulation (EU) No 575/2013 (CRR), an institution shall report certain information about its large exposures. Article 389 CRR clearly defines “exposures” for the purposes of Part IV (Large Exposures) as any asset or off-balance sheet item referred to in Part Three, Title II, Chapter 2, without applying the risk weights or degrees of risk. Paragraph 8 point 1 of Part II of Annex IX of Regulation (EU) No 2021/451 states that institutions “shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template”. At the same time, in the instructions concerning the specific columns, column 010 specifies that “The code of the individual counterparty belonging to the groups of connected clients shall be reported.” This said, an institution has to report its large exposures to individual clients and to groups of connected clients. However, this requires that the institution currently has an exposure to the individual client which itself is a large exposure or which becomes a large exposure by adding together all the exposures to individual clients in a group of connected clients. Members of a group of connected clients to whom the institution does not have any current exposures are not to be reported. In cases where an institution has only a large exposure to a single client being part of a group of connected clients and the institution is aware of this connection, the institution should also report the group of connected clients in C 28.00 template as well the one single client in template C 29.00 (as described in Q&A 2014_1562). This leads, with regard to the first example given in the question, where an institution has exposures to A (holding of the group of connected clients) and to B (subsidiary of A), but not to C and D (both subsidiaries of A) to the following solution: - the exposures towards the group of connected clients named A have to be reported in LE2 template - the exposures towards the group member A have to be reported in LE3 template - the exposures towards the group member B have to be reported in LE3 template. - But no reporting of group members C and D.