Do COREP templates LE4 and LE5, which contains the maturity structure of 10 largest exposures to unregulated financial entities apply to an entity reporting on solo basis?
Article 394 (2) (e) requires reporting of the maturity buckets in relation to and institution's 10 largest exposures on a consolidated basis to institutions as well as its 10 largest exposures on a consolidated basis to unregulated financial entities. Under ITS on Supervisory Reporting (Large Exposures), the above information is requested in template LE4 and LE5. Reporting instructions provided in "Annex IX - Reporting on Large Exposures" are not clear on the scope for LE4 and LE5. Part II Section 1(5) reads as if templates LE4 and LE5 only need to be reported by parent institutions in a Member State and hence entities reporting on a solo basis will not be required to submit these templates.
According to Article 394(2) of Regulation (EU) No 575/2013 (CRR), an institution shall report its 10 largest exposures on a consolidated basis to institutions as well as its 10 largest exposures on a consolidated basis to unregulated financial entities.
"On a consolidated basis " in this respect shall mean that the parent institution in a Member State reporting Large Exposures (LE) on a consolidated basis is subject to this reporting requirement. These exposures shall be measured on the basis of the consolidated financial situation of the group.
An institution reporting LE on a solo basis (irrespective of whether it belongs to a banking group or not) will not be subject to the reporting requirements of Article 394(2) of the CRR and consequently not be required to submit templates C 30.00 and C 31.00.