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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

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List of Q&A's

Application of large exposure rules towards companies designated as financial holding companies

Should exposures of a financial holding company (Company A) to a company that is not an institution or a financial institution and is not covered by prudential consolidation ("Company B") be included in the statement of large exposures on a prudential consolidated basis at the level of Company A, taking into account Company A is not an institution within the meaning of Art. 4, Para. 3 of Regulation 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7144
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/07/2024

Disclosure of exposures arising from Article 390 (5)

How the exposures as per Article 390 (5) be reported in Corep templates C28 & C29 - direct vs indirect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7031
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 15/03/2024

Mandatory substitution approach according to Article 403 when applying the CCR exposure value calculation as set out in Sections 3 to 5 of Chapter 6 of Title II of Part Three of Regulation (EU) No 575/2013 (Derivatives and Long Settlement Transactions)

Is the mandatory substitution approach according to Article 401 (4) detailed in Article 403 of the CRR to be applied when an institution uses SA-CCR, Simplified SA-CCR or OEM for the derivative business?If yes, what is the amount that the institution shall assign to the protection provider/collateral issuer? Also, what will be considered as original direct exposure value to be reduced by the amount assigned to the protection provider/collateral issuer? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2023_6943
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

Treatment of credit institutions from the UK in terms of limits to large exposures

Is it possible to consider the prudential, supervisory, and regulatory requirements applied to credit institutions located in the UK as at least equivalent to those applied in EU for the purpose of Article 391 of Regulation (EU) No 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6939
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 01/02/2024

Applying a credit risk mitigation technique for large exposure purposes

Can an institution renounce applying a credit risk mitigation technique (CRM technique) for selected exposures in calculation of capital requirements for credit risk and as a result not apply that technique for that exposures for large exposure (LE) purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6958
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 01/02/2024

Whether the derogation under Article 500a(2) CRR should also be recognised in Article 395(5) CRR.

Given there is in place the permission under Article 500a(2) CRR specifying higher limits for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another Member State, should there in the Article 395(5)(a) CRR be recognised this new value, or should there be used in Article 395(5)(a) CRR the value of the limit specified in Article 395(1) CRR anyway?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6926
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2024

Interpretation of "exposures attributable to a central government" set forth in Article 400 (1)(d) of CRR

In the context of the application of Article 400 (1)(d) of CRR, which sets forth the types of exposures that shall be exempted from the application of Article 395 (1) of CRR, what exposures shall be considered to be attributable to the central government? May a financial institution exempt exposures to state-owned enterprises that i) provide public services, ii) the economic activities of which are subsidized by the state, iii) where the transfer of financial resources is based on legislative arrangements, provided that such exposures - if they were to exist to the central government, that is the entity to which the exposure is attributable, would be assigned a 0 % risk weight under Part Three, Title II, Chapter 2 of CRR? May the application of Article 400(1)(d) be triggered by demonstrating that there is a risk equivalence between exposures to such state-owned enterprises and exposures to central governments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6918
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/01/2024

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

In the case of a transaction with underlying assets where an institution cannot identify the obligors and cannot ensure, by means of the transaction’s mandate, that the underlying exposures of the transaction are not connected with any other exposures in its portfolio, which is the correct procedure for the assignment of the exposures taking into account that a subset of underlying asset exceeds individually 0,25% of the institution’s eligible capital and the remaining underlying assets individually do not exceed that materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2023_6903
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 15/03/2024

Limits to large exposures to a client or group when part of the customer's or group's exposures are covered by the consent referred to in Article 500a

What is a joint limit to the entire group and to exposures in all currencies in a situation where part of the exposure is subject to prior approval from the competent authority issued under Article 500a CRR?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6850
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 23/01/2024

Large exposures and guarantee received

Article 400(1)(d) CRR states, among the exemptions from the application of paragraph 1 of Article 395, ‘other exposures (…) guaranteed by central governments (…) where unsecured claims on the entity (…) providing the guarantee would be assigned a 0% risk weight under Part Three, Title II, Chapter 2’. I would like to know whether receiving 0% solvency-weighted securities issued by central governments as collateral makes us fall within the scope of this Article.  In other words, does the fact of receiving such securities as collateral mean that the exposure in question is ‘guaranteed’ by the central government in question under this Article? If so, what are the operational conditions to be met, in particular as regards the maturity of the security vs the maturity of the exposure and as regards any difference in currency between the exposure and the security received as collateral?   L'article 400 1-d du CRR indique, parmi les exemptions à l'application du paragraphe 1 de l'article 395, 'les autres expositions (...) garanties des administrations centrales (...) dès lors qu'une créance non garantie sur l'entité (...) par laquelle elle est garantie recevrait une pondération de risque de 0% en vertu de la troisième partie, titre II, chapitre 2'. Je souhaite savoir si le fait de recevoir en garantie des titres émis par des administrations centrales pondérées à 0% en solvabilité nous fait entrer dans le cadre de cet article.  Autrement dit, le fait de recevoir de tels titres en garantie fail-il que l'exposition en question est 'garantie' par l'administration centrale en question dans le cadre de cet article? Si oui, quelles sont les conditions opérationnelles à respecter, en particulier quant à l'échéance du titre vs l'échéance de l'exposition et quant à une éventuelle différence de devise entre l'exposition et le titre reçu en garantie?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6835
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 16/08/2023

Algorithm to calculate the TOP Institution (resp. Shadow Banking) te report in C27 of Large Exposure Report

How to calculate the TOP 10 Institutions (resp. Shadow Banking) for GCC? Should be have to consider the exposure at countrepart level or consolidated level?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
  • ID: 2023_6785
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 29/06/2023

C 27.00 - Identification of the counterparty (LE1) Report, column 040 -Residence of the counterparty

Reporting of the residence of the counterparty for a natural person. In order to report information on large exposures to natural persons the allocation in C27.00 Report column 040 -Residence of the counterparty should be done based on the country of residence or the country of nationality?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
  • ID: 2023_6682
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Large exposure treatment of structured derivatives, such as collar financing transactions (‘CFTs’)

For the purposes of large exposures (‘LE’), what is the appropriate treatment for structured derivatives (like covered calls, CFTs, etc.) in the application of the mandatory substitution (‘risk shifting’) rule in accordance with CRR Article 401(4) that requires an institution to treat the portion of the exposure collateralised by the market value of funded credit risk mitigation (‘CRM’) as exposure to the third party (collateral issuer) rather than to the client?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6662
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Use of the substitution approach for retail exposures treated under IRB with a guarantee (unfunded credit protection)

The institution has exposures to retail clients (mortgage loans) that are treated under IRB. Some of these exposures have a guarantee (unfunded credit protection) that is eligible in accordance with the relevant requirements of credit risk mitigation. The institution applies Article 163 (4) and 164 (2) and adjusts PD or LGD estimates subject to requirements as specified in Article 183(1), (2) and (3) and the permission of the competent authorities. Does the institution has to use the substitution approach for this guarantee for large exposures (and thus present the counterparty giving the guarantee, and the guaranteed amount given as indirect exposure as financial guarantee under the large exposure reporting) as indicated in Article 403 (1)a?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6644
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

French “EU General Fund” instruments issued by Life Insurance companies: Application of Financial Collateral Comprehensive Method and implication for Large Exposures.

How should EU General Funds instruments issued by Life Insurance Companies in France, characteristics of which are described in background section, be treated in relation to: Credit Risk Mitigation (CRR Part 3, Title II, Chapter 4); Large Exposure Framework (CRR Part 4).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6483
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 31/10/2022

Mandatory substitution approach according to Articles 401(4) and 403 CRR for Lombard Facilities

Could you please clarify the applicability of Article 401(4) and 403(1)(a) for other funded credit protection such as life insurance policies pledged to the lending institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6396
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Interpretation of the provision on the exemption of the exposure calculation

Do custody accounts kept by a Central Securities Depository (CSD) in order to provide custody services fall under Article 390(6)(c) CRR even if the CSD has no licence to provide payment services under Annex C point (c) of CSDR , but it has license to provide services under point (a)?    

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6289
  • Topic: Large exposures
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Definition of exposures arising from mortgage lending

Which value of the exposure is the amount that can be reduced, when referring to "the pledged amount of the market value or mortgage lending value of the property concerned, but by not more than 50 % of the market value or 60 % of the mortgage lending value”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5756
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 10/02/2023

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.

Question 1: Has the mandatory substitution approach according to Article 403 CRR to be applied when an institution uses the FCCM? If yes, what is the amount that the institution shall assign to the protection provider/collateral issuer? Question 2: In the case of exposures arising from SFTs referred to in Article 401(2) second paragraph CRR, has the mandatory substitution approach according to Article 403 CRR to be applied when an institution applies master netting agreements, together with either the FCCM or IMM as referred to in Articles 220 CRR and 221 CRR? If yes, what is the exposure amount that shall be assigned to the collateral issuer? Question 3: Also regarding exposures arising from SFTs, has the mandatory substitution approach according to Article 403 CRR to be applied when an institution applies IMM as referred to in Section 6 of Chapter 6 of Title II of Part Three CRR? If yes, what is the exposure amount that shall be assigned to the collateral issuer? Question 4: Does an institution have to use a credit risk mitigation technique for large exposure purposes when it has used it for calculating own funds requirements, or can an institution renounce, for large exposure purposes, applying a credit risk mitigation that it has used for calculating own funds requirements? Question 5: Does an institution also have to apply the substitution approach, for large exposure purposes, in those cases where the collateral is not taken into account for calculating own funds requirements?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5496
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 21/01/2022

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

Are the exposures created between service providers, which are caused by clients signing up to new products outside of business hours, an “unexpected outflow” in the context of applying the exemptions granted in Article 390(6)(c) of the Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5342
  • Topic: Large exposures
  • Date of submission:
  • Published as final Q&A: 09/06/2023