According to EBA Question ID 2013_412, "cash" positions do not fall under the scope of the large exposures regime and do not need to be reported.
1) Could you please confirm whether cash at bank deposited by an investment firm fall under the large exposures regime?
2) Could you please also provide us with the relevant reference in the CRR which states that cash positions are excluded from the large exposures regime?
3) When you are referring to "cash" positions do you include both cash held at hand and at bank?
If indeed cash deposits are considered in the calculation of large exposures, where these should be reported in the C 28.00 and C 29.00 templates?
According to Article 389 CRR, for large exposures purposes, "exposures" means any asset or off-balance sheet item referred to in Part Three, Title II, Chapter 2.
There is no specific reference to cash positions in the large exposures regime according to Regulation (EU) No 575/2013 (CRR). However, Article 389 CRR defines that, for the purposes of the large exposures regime, ‘exposures’ means any asset or off-balance sheet item referred to in Part Three, Title II, Chapter 2, without applying the risk weights or degrees of risk. Both cash at hand and cash deposited into a counterparty are covered by this definition (see, for example, Articles 134(3) second sentence CRR and Article 156(a) CRR for cash in hand). Given this, it is necessary to identify the counterparty towards which the exposure, and thus the potential large exposure, exists. Cash in hand and cash deposited into a counterparty should be treated differently, as the counterparty is not the same in both cases.
Cash in hand (i.e. cash held directly by the reporting institution in the form of notes and coins) shall not be considered as having a counterparty for the purposes of reporting on large exposures in accordance with Annexes VIII and IX to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), as it is readily available within the institution.
Cash deposited by an institution “A” into another institution “B” falls under the large exposures regime for “A”, as it is exposed to the risk of default of “B”. Cash deposited at a counterparty shall therefore be reported as exposure towards “B” in template C 28.00 of Annex VIII, column 060 and template C 29.00 of Annex VIII, column 070, given that it is included in ECB/2013/33 Annex 2 part 2, table, category 2.