Large Exposures Reporting: Labelling of transactions where there is an exposure to underlying assets

When reporting exposures through transactions where there is an exposure to underlying assets (Article 390(7) of CRR) in the large exposures templates (LE2 and LE3), shall the value “Yes” be reported in column 030 only for the additional exposure stemming from the structure of the transaction, or shall the value “Yes” be reported in column 030 for the exposures stemming from the underlying assets as well?

Article 390(7) of CRR states that for exposures where there is an exposure to underlying assets, these underlying exposures shall be added to the overall exposure to clients and groups of connected clients (“look-through approach”). Furthermore, the structure of the transaction where there is an exposure to underlying assets needs to be assessed whether it constitutes an additional exposure. The methodology for calculating the exposure value of such underlying exposures and the conditions when the structure of a transaction where there is an exposure to underlying assets does not constitute an additional exposure are specified in Delegated Regulation (EU) No 1187/2014. In the large exposures templates LE2 and LE3, there are two columns each related to the reporting of exposures through transactions where there is an exposure to underlying assets: column 030, and column 180 (LE2) and column 190 (LE3), respectively. To us, the difference between these reported data points is not made completely clear by the descriptions of these columns in Annex IX. We understand that column 180 of LE2 and column 190 of LE3 serve the reporting of exposures stemming from underlying assets of transactions where there is an exposure to underlying assets (look-through exposures), as these exposures are neither direct exposures nor indirect exposures in the sense of Article 403 of CRR. Further, we understand that an additional exposure stemming from the structure of the transaction is to be reported as a direct exposure. However, we are unsure if the value in column 030 is to be reported as “Yes” in both cases, i.e., for the look-through exposures and the additional exposure from the transaction structure. On one hand, the description of column 030 does not clearly distinguish between these two types of exposures, but on the other hand, setting column 030 to “Yes” for the look-through exposures does not transport any additional information, as these exposures are already identified as exposures stemming from underlying assets of transactions where there is an exposure to underlying assets by reporting the corresponding value in column 180 or column 190, respectively. Therefore, it seems sensible to us to report column 030 as “Yes” only if the row in question shows exposures stemming from the structure of a transaction where there is an exposure to underlying assets. Please clarify how column 030 shall be populated.