Question
Please can you confirm that debt securities with a 0% risk weight under Part Three, Title II, Chapter 2 that are reported as level 1 assets in accordance with Article 10 point 1(e)(ii) of the Delegated Act specifying the LCR should also be exempted from the Large Exposure Limits defined in Article 395(1) of Regulation (EU) No 575/2013 under the exemptions in Article 400 point 2(d)(e)?
Background on the question
Our understanding is that the level 1 assets (including the assets mentioned in Article 10 point 1(e)(ii) of the Delegated Act specifying the LCR), should be exempted from the Large Exposure Limits requirements.
Answer
The assessment on whether an institution's asset qualifies for a large exposure exemption specified in Article 400(2)(d) and (e) of Regulation (EU) No 575/2013 should solely be based on the conditions mentioned therein. Neither Article 400(2)(d) nor (e) of Regulation (EU) No 575/2013 refer to the Delegated Act on Liquidity Coverage Requirement (LCR). In any case, the conditions set out in Article 10(1)(e)(ii) of the Delegated Act on LCR are not identical to those stipulated in Article 400(2)(d) and (e) of Regulation (EU) No 575/2013.