Large Exposures Reporting for Luxembourg Banks – COREP LE Templates and Connected Clients

Last updated: March 2026

Your institution has three loan facilities to three different Luxembourg companies. Different names, different sectors, different NACE codes. Each facility is well below the 25% large exposure limit. Then a supervisor asks you to explain why all three companies share the same ultimate beneficial owner, depend on the same revenue source, and were not grouped as connected clients in your C 26.00 submission. The individual exposures are fine. The grouped exposure breaches the limit. That grouping exercise is where large exposures reporting either works or fails, and it is where most of the supervisory findings in Luxembourg originate.

This guide covers the CRR large exposures framework, the 25% Tier 1 capital limit, the COREP LE templates, connected client identification, look-through requirements for funds and securitisations, the exemptions regime, exposure calculation methodology, and the mistakes that keep appearing in supervisory reviews.

Related reading: COREP Reporting Explained – the supervisory reporting framework that includes the LE templates alongside capital and liquidity reporting.

Legal Framework

The large exposures regime is set out in Part Four of Regulation (EU) No 575/2013 (CRR), Articles 387 to 403, as amended by CRR2 (Regulation (EU) 2019/876). The regime limits the maximum exposure an institution may have to a single client or group of connected clients, relative to its eligible capital.

The Core Rule

Article 395(1) CRR states that an institution shall not incur an exposure to a client or group of connected clients the value of which exceeds 25% of its Tier 1 capital. Under CRR1, the denominator was “eligible capital” (the sum of Tier 1 capital plus Tier 2 capital capped at one-third of Tier 1). CRR2 replaced this with Tier 1 capital only, a deliberate tightening aligned with the BCBS large exposures standard (LEX30) and the principle that only going-concern capital should backstop concentration risk. For institutions with significant Tier 2 instruments, this change reduced the effective headroom.

The EUR 150 Million Alternative for Interbank Exposures

Article 395(1) CRR includes an important alternative for exposures to institutions and investment firms. Where the counterparty is an institution or investment firm (or the group of connected clients includes one or more institutions or investment firms), the limit is the higher of 25% of Tier 1 capital or EUR 150 million. This means a small bank with EUR 400 million in Tier 1 capital (25% = EUR 100 million) can hold up to EUR 150 million in exposure to a single bank counterparty. For Luxembourg subsidiaries with relatively small solo Tier 1 capital bases, this alternative is routinely relied upon for correspondent banking relationships and interbank placements.

The EUR 150 million alternative comes with conditions. The sum of exposure values to all connected clients within the group that are not institutions or investment firms must still not exceed 25% of the institution’s Tier 1 capital. And the institution must ensure that the total exposures benefiting from the EUR 150 million alternative, when aggregated, do not create undue concentration. In practice, the institution should set an internal limit below EUR 150 million that reflects its actual risk appetite. The CRR does not prescribe the internal limit, but supervisors expect it to be documented and meaningful.

The G-SII Interconnection Limit

For G-SIIs, Article 395(1) second subparagraph imposes a tighter limit: the exposure to another G-SII shall not exceed 15% of Tier 1 capital. This inter-G-SII limit reflects the systemic interconnection risk that arises when globally systemic institutions hold large positions in each other. The EUR 150 million alternative does not override the 15% G-SII limit.

The limit is a hard cap. Breaches must be reported to the competent authority immediately under Article 396 CRR, and the institution must take measures to bring the exposure back within the limit. Temporary exceedances in the trading book are subject to a different regime under Article 395(5), with additional own funds requirements applying to the excess.

Reporting Obligation

Article 394 CRR requires institutions to report all large exposures (exposures equal to or exceeding 10% of Tier 1 capital) to the competent authority at least quarterly. CRR2 aligned this reporting threshold with the limit denominator: both now use Tier 1 capital. Under CRR1, the 10% reporting threshold and the 25% limit both used “eligible capital,” so the denominators were consistent but based on a lower-quality capital measure. CRR2 moved both to Tier 1 capital. Additionally, CRR2 added a requirement to report on a consolidated basis all exposures with a value equal to or above EUR 300 million, even where they fall below 10% of Tier 1 capital. This catches material absolute exposures at large institutions where 10% of Tier 1 might be a very large number.

The reporting uses the COREP LE templates specified in the EBA ITS on supervisory reporting (Commission Implementing Regulation (EU) 2021/451, as amended). In addition, institutions must report the 20 largest exposures on a consolidated basis, and the 10 largest exposures to other institutions, to unregulated financial entities, and to each national shadow banking entity, regardless of whether they exceed 10% of Tier 1 capital.

COREP LE Templates

The large exposures reporting framework uses four templates, reported quarterly:

C 26.00 – Large Exposures: Limits and Exposures

The main template. C 26.00 lists each counterparty or group of connected clients to which the institution has a reportable exposure. For each counterparty, it reports: the exposure value before exemptions and credit risk mitigation (CRM); the exposure value after exemptions; the exposure value after CRM; and the percentage of Tier 1 capital consumed. The template flags whether the exposure exceeds the applicable limit: 25% of Tier 1 capital for most counterparties, EUR 150 million (if higher than 25%) for institution/investment firm counterparties, or 15% for G-SII to G-SII exposures. C 26.00 also includes a dedicated row for the G-SII limit. Practitioners need to correctly identify which limit applies to each counterparty. This is the template supervisors look at first. If your connected client grouping is wrong, the C 26.00 figures are wrong.

C 27.00 – Large Exposures: Identification of the Counterparty

C 27.00 captures the identification details for each counterparty reported in C 26.00: the Legal Entity Identifier (LEI) where available, the name, the country, the sector, and, for groups of connected clients, the identification of the group head and each member of the group. This template is where the connected client structure becomes visible to the supervisor. Errors in C 27.00 directly compromise the integrity of C 26.00.

C 28.00 – Exposures in the Non-Trading and Trading Book (LE 2)

C 28.00 is the detailed exposure template. For each counterparty, it breaks down the original exposure into direct and indirect exposures by instrument type (debt instruments, equity instruments, derivatives, off-balance-sheet items), reports value adjustments and provisions, applies CRM substitution effects, and shows the final exposure value after exemptions and CRM, split between non-trading book and trading book. The trading book/non-trading book split matters because trading book exposures that temporarily exceed the 25% limit are subject to the additional own funds requirements under Article 395(5) CRR rather than an immediate breach. This template is where CRM substitution is made visible: the reduction in exposure to the original borrower and the corresponding increase in exposure to the protection provider both appear here.

C 29.00 – Large Exposures: Details of Exposures to Individual Clients Within Groups of Connected Clients

C 29.00 is where the granular detail sits. For each group of connected clients reported in C 26.00, C 29.00 breaks down the total group exposure to show the exposure to each individual client within the group. This is the template that reveals whether the grouping makes sense: if the group total in C 26.00 is 18% of Tier 1, C 29.00 shows whether that 18% comes from one dominant exposure or from several smaller ones spread across the group.

Connected Clients

Connected client identification is the single most important and most error-prone part of large exposures reporting. Article 4(1)(39) CRR defines a “group of connected clients” as two or more natural or legal persons who constitute a single risk because one of them, directly or indirectly, has control over the other(s), or because they are so interconnected that if one were to experience financial problems, the other or all of the others would be likely to encounter repayment difficulties.

Control Relationship

Article 4(1)(39)(a) CRR covers the control leg. If entity A has a controlling interest in entity B (through voting rights, board appointment power, or dominant influence under relevant accounting standards), A and B must be grouped. The control assessment follows the accounting definition of control (IFRS 10/IAS 27), but the CRR definition is broader: it captures situations where control exists in substance even if the accounting consolidation perimeter does not include the entity.

Economic Dependency

Article 4(1)(39)(b) CRR covers the economic dependency leg. Two entities must be grouped if they are so interconnected that the financial difficulties of one would likely cause repayment difficulties for the other. EBA/GL/2017/15 (Guidelines on connected clients, applied from 1 January 2019, notified by the CSSF via Circular CSSF 18/693) provides detailed guidance on identifying economic dependencies. The guidelines list indicators including:

• One client funds a significant part of another client’s business (financial dependency).
• One client guarantees or provides collateral for a significant part of another client’s obligations.
• A significant part of one client’s revenue comes from transactions with another client.
• Both clients share a common source of revenue (e.g., dependence on the same sector or commodity) such that a stress event affecting that source would impair both.
• One client has a significant contractual relationship with another (e.g., franchise, licence) that cannot be easily replaced.

The guidelines emphasise that economic dependency analysis requires judgment. It is not a mechanical exercise. Institutions must assess whether a plausible stress scenario affecting one entity would, through the economic link, cause repayment difficulties for the other. The word “likely” in the CRR definition sets the bar: the financial difficulties must be a probable consequence, not merely possible.

Where Grouping Goes Wrong

In my experience, the most common failure mode is not that institutions disagree with the EBA guidance on economic dependency. It is that they never perform the assessment. The credit function books the facility to the individual legal entity. The large exposures reporting team reports the exposure by legal entity. Nobody asks whether the three borrowers share an owner, a revenue source, or a guarantor. The connected client assessment exists in a policy document but not in a systematic process that runs before every quarterly LE report.

The second failure mode is incomplete data. Luxembourg institutions lending to structured finance vehicles, holding companies, or group subsidiaries often lack visibility into the ultimate beneficial ownership or the inter-company dependency chain. If the KYC data does not capture the full ownership and dependency structure, the LE grouping cannot be correct.

Look-Through for Funds and Securitisations

Article 390(7) CRR requires institutions to look through certain collective investment undertakings (CIUs) and securitisation positions to the underlying exposures. If the institution knows the underlying exposures of a CIU, it must assess them individually for large exposure purposes. If it does not know the underlying exposures, the entire CIU position is treated as a single exposure to the CIU itself.

This is particularly relevant for Luxembourg, given the country’s role as the largest fund domicile in Europe. A Luxembourg credit institution holding units in a UCITS or AIF must determine whether the underlying assets create or contribute to a large exposure when aggregated with the institution’s direct exposures to the same counterparties. If the institution holds a EUR 50 million position in a bond fund, and that fund has a 30% allocation to sovereign bonds from a single issuer to which the institution also has direct exposure, the combined exposure (direct plus look-through) must be assessed against the 25% limit.

The look-through obligation also applies to securitisation positions where the institution can identify the underlying exposures. For securitisations where the underlying pool is opaque, the position is assigned to a hypothetical “unknown client” and treated as a separate exposure to a single counterparty.

The EBA has confirmed through Q&A guidance that where an institution cannot look through to the underlying exposures, it should assign the full exposure amount to the CIU or securitisation vehicle as a single client. This is conservative but operationally simpler. The challenge is that many institutions fall between the two approaches: they have partial visibility into the underlying (e.g., top-ten holdings of a fund) but not full transparency. The CRR does not provide explicit guidance for partial look-through; the conservative approach is to look through where possible and assign the remainder to the fund as a single exposure.

Exemptions

Article 400 CRR provides a list of exposures that are either fully or partially exempt from the large exposure limit. The exemptions are significant because they remove substantial categories of exposure from the 25% cap. The key exemptions include:

Mandatory Exemptions (Article 400(1))

These apply automatically without competent authority approval:

• Exposures to central governments assigned a 0% risk weight under the standardised approach for credit risk (Article 400(1)(a)).
• Exposures to international organisations assigned a 0% risk weight (Article 400(1)(b)).
• Exposures secured by cash or cash-equivalent collateral deposited with the lending institution.
• Exposures arising from undrawn credit facilities classified as low-risk off-balance-sheet items in Annex I of the CRR, subject to conditions.

Discretionary Exemptions (Article 400(2))

These require competent authority approval. In Luxembourg, the CSSF is the authority for LSIs; the ECB decides for SIs under the SSM framework. Key discretionary exemptions include:

• Intragroup exposures: exposures to the parent undertaking, to subsidiaries of the parent, or to the institution’s own subsidiaries, subject to the conditions in Article 400(2)(c). The counterparty must be included in the same consolidation as the institution, subject to the same consolidated supervision, and there must be no current or foreseen material practical or legal impediment to the prompt transfer of own funds or repayment of liabilities. This exemption is widely used in Luxembourg by subsidiaries of EU banking groups, but the “no impediment” condition requires positive evidence, not just the absence of known impediments.
• Covered bonds meeting the conditions of Article 129 CRR: exemption from the 25% limit up to 80% of the nominal value of the covered bonds outstanding (Article 400(2)(a)). This is significant for institutions holding material covered bond portfolios.
• Exposures to regional governments and local authorities assigned a 0% risk weight.

The distinction between mandatory and discretionary exemptions matters operationally. Mandatory exemptions can be applied in the C 26.00 report without prior approval. Discretionary exemptions require a formal application to the CSSF or ECB, and the institution must have received approval before applying the exemption in the LE report. Applying a discretionary exemption without approval is a reporting error.

Exposure Calculation

The exposure value for large exposure purposes is calculated under Article 390 CRR. It is not the same as the risk-weighted exposure amount used for capital requirements. This is a critical distinction that practitioners sometimes get wrong: the large exposure framework uses the exposure value (the on-balance and off-balance sheet amount), not the RWA.

On-Balance Sheet

For on-balance-sheet items, the exposure value is the accounting value net of specific credit risk adjustments (impairment provisions). No risk weights are applied. A EUR 100 million loan is a EUR 100 million exposure regardless of whether the borrower is risk-weighted at 20% or 150% for capital adequacy purposes.

Off-Balance Sheet

For off-balance-sheet items (loan commitments, guarantees, undrawn facilities), the exposure value is the nominal value multiplied by the relevant credit conversion factor (CCF) from the CRR. Unlike capital adequacy calculations where internal models may provide lower CCFs, the large exposure framework uses the standardised CCFs: 100% for direct credit substitutes, 50% for note issuance facilities and revolving underwriting facilities, 20% for short-term self-liquidating trade letters of credit, and so on.

Derivatives

For derivatives, the exposure value is calculated using SA-CCR (the Standardised Approach for Counterparty Credit Risk, Article 274 CRR) or the simplified SA-CCR / original exposure method for eligible institutions. The exposure value is: EAD = alpha x (Replacement Cost + Potential Future Exposure), where alpha = 1.4. This produces the counterparty credit risk exposure that is then included in the large exposure calculation. Derivative exposures are netted within legal netting sets where a qualifying master netting agreement is in place.

Credit Risk Mitigation

Articles 401-403 CRR set out how credit risk mitigation (funded and unfunded) affects the large exposure calculation. The approach is substitution: where an exposure to a borrower is protected by a guarantee from a guarantor, the protected portion is deducted from the exposure to the borrower and added to the exposure to the guarantor. Similarly, where an exposure is collateralised with financial collateral, the collateralised portion may be deducted from the borrower exposure and (depending on the collateral type) reassigned to the collateral issuer.

The substitution approach means that CRM does not reduce total exposures; it redirects them. An institution that guarantees a large loan to Client A through a guarantee from Bank B reduces its large exposure to Client A but increases its large exposure to Bank B. If Bank B is already near the 25% limit, the CRM creates a new problem. I have seen institutions apply CRM in their LE calculations without checking whether the substituted exposure to the guarantor itself triggers or approaches the limit.

CSSF Supervisory Approach

The CSSF’s approach to large exposures for Luxembourg credit institutions focuses on three areas:

Connected client grouping quality. The CSSF reviews whether institutions have a systematic, documented process for identifying connected clients, consistent with EBA/GL/2017/15 (Circular CSSF 18/693). The review is not limited to the C 26.00 output; the CSSF may request the underlying assessment documentation, including the economic dependency analysis for material exposures. Institutions that rely on a static list of connected client groups without periodic reassessment attract findings.

Intragroup exemption applications. Luxembourg’s banking sector includes a large number of group subsidiaries. Intragroup exemption applications under Article 400(2)(c) are common. The CSSF assesses each application against the CRR conditions, particularly the “no impediment” requirement. In practice, the CSSF expects the institution to demonstrate that no legal, regulatory, or operational barrier exists that would prevent the timely transfer of funds from the subsidiary to the parent (or vice versa) in a stress scenario. A general assertion that “no impediments exist” without supporting analysis is insufficient.

Supervisory reporting is submitted through the CSSF’s S-FILE system for credit institutions. The LE templates follow the standard COREP quarterly reporting cycle. For significant institutions under direct ECB supervision, the JST reviews LE data as part of the broader credit risk and concentration risk assessment within the SREP.

Common Errors and Supervisory Findings

Connected client grouping failures. The most frequent finding. Entities that should be grouped (because of common ownership, economic dependency, or guarantee structures) are reported as separate exposures. The root cause is usually a process gap: the credit function and the regulatory reporting function do not share a common counterparty database with connected client links. Fixing this requires a data architecture solution, not just a policy update.

Missing look-through. Institutions holding CIU positions or securitisation tranches that do not decompose the underlying exposures when the information is available. The look-through data may exist (fund managers publish portfolio holdings), but the large exposure reporting process does not consume it. Luxembourg institutions with material fund portfolios are particularly exposed to this error.

Wrong exposure measure. Using risk-weighted exposure amounts (RWA) or net balance sheet values instead of the CRR exposure value for large exposure purposes. The large exposure framework uses the exposure value before risk weighting: the full nominal or accounting value, subject to CCFs for off-balance-sheet items and SA-CCR for derivatives. An institution that reports its RWA to a counterparty instead of its exposure value understates the large exposure and may miss a limit breach.

Exemption misapplication. Applying discretionary exemptions (e.g., intragroup under Article 400(2)(c)) without having obtained formal competent authority approval. Or applying mandatory exemptions to exposures that do not meet the conditions (e.g., treating a sovereign exposure as exempt when the sovereign does not receive a 0% risk weight). Both errors are binary: either the exemption is validly applied or it is not.

Stale counterparty identification. The C 27.00 template requires current identification data, including LEI codes. Institutions with legacy counterparty databases may report outdated names, inactive LEIs, or missing sector classifications. LEI validation should be part of the quarterly LE reporting process.

CRM substitution creating new breaches. Applying CRM to reduce the exposure to the original borrower without checking that the substituted exposure to the guarantor or collateral issuer does not itself approach or breach the 25% limit. This is not a calculation error per se; it is a failure to check the downstream consequence of the substitution.

Interaction with Other Reporting Frameworks

The large exposure data overlaps with and must be consistent with several other reporting frameworks:

COREP capital reporting: the Tier 1 capital figure in C 01.00 is the denominator for the 25% large exposure limit. If the Tier 1 capital changes (due to a COREP resubmission, a deduction change, or an interim profit inclusion), the large exposure percentages in C 26.00 change. The two submissions must use the same Tier 1 capital base.

FINREP: the exposure values reported in the LE templates should be consistent with the balance sheet and off-balance-sheet data in FINREP. A loan that appears in FINREP at EUR 50 million should appear in the LE framework at the same accounting value (net of specific provisions), adjusted for any CCF or CRM treatment.

Pillar 3 disclosure: CRR Article 435 requires qualitative disclosure of the institution’s approach to managing concentration risk, including large exposures. The Pillar 3 report should describe the connected client identification process, the exemptions applied, and any material concentrations.

Liquidity reporting: the AMM templates (particularly C 67.00, concentration of funding by counterparty) capture a related but distinct concentration measure. The large exposure framework measures credit exposure concentration; the AMM measures funding concentration. A single counterparty can appear in both frameworks (as a borrower in LE and as a depositor/funder in AMM), and the institution should be aware of the combined concentration risk even though the two frameworks are reported separately.

CRR3 and the Road Ahead

Regulation (EU) 2024/1623 (CRR3), which entered into force on 9 July 2024 and applies from 1 January 2025, does not fundamentally restructure the large exposure framework. The 25% Tier 1 limit, the EUR 150 million alternative, the 15% G-SII limit, and the exemptions regime remain substantively unchanged. The major CRR3 impact on LE reporting is indirect, through the revised trading book boundary under the Fundamental Review of the Trading Book (FRTB).

Under CRR3, the boundary between the trading book and the non-trading book is tightened (Articles 104 and 104a CRR3), with stricter requirements for internal transfers and a presumptive list of instruments that must be assigned to the trading book. For large exposures, this affects the split reported in C 28.00 between non-trading book and trading book exposure. Institutions that previously held certain positions in the non-trading book may find those positions reclassified to the trading book under the new boundary rules, changing the application of Article 395(5) (trading book exceedance regime) for those exposures.

CRR3 also introduces the output floor (Article 92a), which progressively limits the RWA benefit from internal models. While the output floor affects capital requirements rather than the large exposure framework directly, a lower effective Tier 1 ratio resulting from the output floor could constrain the institution’s capacity to hold large exposures, since the 25% limit is based on absolute Tier 1 capital (not risk-weighted).

Frequently Asked Questions

What triggers the large exposure reporting obligation?

An exposure to a single client or group of connected clients that reaches or exceeds 10% of the institution’s Tier 1 capital must be reported in the COREP LE templates. In addition, the 20 largest exposures on a consolidated basis must be reported regardless of whether they exceed 10% of Tier 1 capital.

Is the 25% limit on Tier 1 or eligible capital?

Tier 1 capital, since CRR2. The original CRR used “eligible capital” (Tier 1 plus eligible Tier 2), but CRR2 changed the denominator to Tier 1 only. This makes the limit effectively tighter for institutions with significant Tier 2 instruments.

Do I need CSSF approval for the intragroup exemption?

Yes. The intragroup exemption under Article 400(2)(c) CRR is a discretionary exemption that requires formal approval from the competent authority. For LSIs, that is the CSSF. For SIs, the ECB decides. The institution must demonstrate that the conditions are met, including the “no impediment” requirement for the prompt transfer of own funds or repayment of liabilities.

How do I handle partial look-through for a fund?

Where you have partial visibility into a CIU’s underlying exposures (e.g., top-ten holdings), look through for the portion you can identify and assign the remainder of the CIU position to the fund as a single client. The conservative approach is to treat the unidentified portion as exposure to the CIU itself. Document the methodology and the data sources.

What happens if we breach the 25% limit?

Article 396 CRR requires immediate notification to the competent authority. The institution must take measures to bring the exposure back within the limit. The supervisor assesses the circumstances, including whether the breach was caused by an unexpected event (e.g., a corporate restructuring that merged two previously separate connected client groups) or by a failure in the monitoring process. Trading book exceedances are subject to additional own funds requirements under Article 395(5) rather than immediate remediation.

Can exposures to banks exceed 25% of Tier 1 capital?

Yes. Article 395(1) CRR provides an alternative limit for exposures where the counterparty is an institution or investment firm: the limit is the higher of 25% of Tier 1 capital or EUR 150 million. A Luxembourg bank with EUR 300 million in Tier 1 capital (25% = EUR 75 million) could hold up to EUR 150 million in exposure to a single bank counterparty. This alternative is widely used for correspondent banking relationships and interbank placements. However, the non-institution exposures within a connected client group must still remain within 25% of Tier 1 capital, and the institution must set a documented internal limit.

Are sovereign exposures exempt from the limit?

Exposures to central governments that are assigned a 0% risk weight under the standardised approach for credit risk are exempt under Article 400(1)(a) CRR. This is a mandatory exemption (no approval required). Exposures to sovereigns that receive a risk weight above 0% are not exempt and must be included in the large exposure framework at full exposure value.

Key Takeaways

• The large exposure limit is 25% of Tier 1 capital (Article 395 CRR, denominator changed from eligible capital to Tier 1 by CRR2). For exposures to institutions or investment firms, the limit is the higher of 25% of Tier 1 or EUR 150 million. For G-SII to G-SII exposures, the limit is 15%. Exposures reaching 10% of Tier 1 must be reported quarterly; exposures at or above EUR 300 million are also reportable on a consolidated basis.
• COREP LE templates (C 26.00-C 29.00) capture limits and exposures, counterparty identification, detailed non-trading/trading book exposure with CRM effects, and individual client detail within connected groups. Connected client grouping quality is the most scrutinised element.
• Connected clients are defined under Article 4(1)(39) CRR: control relationship or economic dependency. EBA/GL/2017/15 (applied from 1 January 2019, CSSF Circular 18/693) provides the assessment framework. The economic dependency analysis requires judgment and must be documented.
• Look-through for CIUs and securitisations (Article 390(7) CRR) is mandatory where underlying exposure data is available. Luxembourg institutions with fund portfolios face particular operational challenges here given the fund domicile concentration.
• Exemptions under Article 400 CRR are either mandatory (sovereign 0% RW, no approval needed) or discretionary (intragroup, covered bonds, requiring CSSF/ECB approval). Applying a discretionary exemption without approval is a reporting error.
• Common errors: connected client grouping failures, missing look-through, using RWA instead of exposure value, exemption misapplication, stale counterparty data, and CRM substitution creating new limit approaches.

Related Articles

• COREP Reporting Explained – the supervisory reporting framework that includes the LE templates. The Tier 1 capital in C 01.00 is the denominator for the 25% limit.
• FINREP Reporting Explained – balance sheet data that must reconcile with the exposure values in the LE templates.
• Pillar 3 Disclosure Requirements – covers the qualitative disclosure of concentration risk management, including large exposures policy.
• Liquidity Reporting – LCR, NSFR, and AMM – the AMM C 67.00 template captures funding concentration by counterparty, a related but distinct concentration measure from the LE credit exposure framework.
• COREP Reporting Errors – common data quality issues across the COREP framework that cascade into LE reporting errors.

Sources and References

• Regulation (EU) No 575/2013 (CRR), Part Four – Large Exposures (Articles 387-403): https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32013R0575
• Regulation (EU) 2019/876 (CRR2) – amending CRR, including large exposures provisions: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32019R0876
• EBA/GL/2017/15 – Guidelines on connected clients under Article 4(1)(39) of Regulation (EU) No 575/2013: https://www.eba.europa.eu/regulation-and-policy/large-exposures/guidelines-on-connected-clients-under-article-4-1-39-of-regulation-eu-no-575-2013
• Circular CSSF 18/693 – CSSF notification of compliance with EBA/GL/2017/15: https://www.cssf.lu
• Commission Implementing Regulation (EU) 2021/451 (as amended) – EBA ITS on supervisory reporting (COREP LE templates C 26.00-C 29.00): https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32021R0451
• Regulation (EU) 2024/1623 (CRR3) – amending CRR, including FRTB trading book boundary: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32024R1623
• EBA/GL/2021/09 – Guidelines on large exposure breaches and time to return to compliance (CSSF Circular 22/791): https://www.eba.europa.eu/regulation-and-policy/large-exposures/guidelines-on-large-exposure-breaches-and-time-to-return-to-compliance
• BCBS Large Exposures Framework (April 2014): https://www.bis.org/publ/bcbs283.htm

Disclaimer: The information on RegReportingDesk.com is for educational and informational purposes only. It does not constitute legal, regulatory, tax, or compliance advice. Always consult your compliance officer, legal counsel, or the relevant supervisory authority for guidance specific to your institution.