The new Large Exposures (LE) Regime

During the last few months there have been numerous new regulations in consultative or final forms aiming at strengthening the resilience of the banking sector. The Directive 2009/111/EC, amending namely the Capital Requirement Directives (CRD) 2006/48/EC and 2006/49/EC, has been published in the Official Journal of the European Union on November 17, 2009. Some modifications of the CRD deeply impacting credit institutions relate to the Large Exposures (LE) regime. This Directive will be transposed into Luxembourg regulations by October 31, 2010 and will be applicable by December 31, 2010. The CSSF just issued Circular 10/450 warning banks about the new LE regime for interbank exposures.

PwC Luxembourg is offering a comprehensive set of services especially designed to help your institution to proactively face the challenges implied by the new LE Regime.

Basel II & CSSF LE Regulation Changes

Our phased approach will enable to address thoroughly the LE issues resulting from the last CRD directives changes:

LE issues resulting from the last CRD directives changes

1. Large Exposures Diagnostic
  • A complete diagnostic of your current LE process will identify the critical areas of improvement (A);
  • A Counterparty Database Diagnostic will determine the level of reliability, integrity and compliance of the information currently in use for the LE calculation (C). A review of the definition of connected clients will be especially performed.
2. Action Plan
  • Based on the critical areas identified, a tailor-made action plan will be proposed in order to adjust both practices and tools to the new LE requirements.
3. Implementation
  • A redesign and redefinition of processes, roles and responsibilities will be performed in order to ensure a robust LE management by your Risk Managers and Loan Officers (B).
  • A complete review of the LE limits, the treatment of exposure to schemes or the management of credit risk mitigation scope will be provided in order to enable the optimal LE calculation (D).
  • Based on accurate LE calculation, a support to the production of LE reports based on new templates and latest XBRL standards will be performed in your own LE management system (E).
4. Training & Coaching
  • Because a change that sticks relies on a perfect knowledge appropriation, tailor-made training and coaching sessions will be proposed to your LE practitioners.

Our dedicated team of experts remains at your disposal to provide you with a clear picture of your organisation at any steps of your Risk Management framework and to help you managing your risks effectively and leveraging your benefits.


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Deutsche Fassung: Das neue Regelwerk zu Großrisiken.

Why PwC Luxembourg?

PwC Luxembourg (www.pwc.lu) is the largest professional services firm in Luxembourg with over 2100 people employed from 57 different countries. It provides audit, tax and advisory services including management consulting, transaction, financing and regulatory advice to a wide variety of clients from local and middle market entrepreneurs to large multinational companies operating from Luxembourg and the Greater Region. It helps its clients create value by giving comfort to the capital markets and providing advice through an industry focused approach.

PwC Luxembourg is a member firm of PwC International Limited ("PwC IL"). The PwC network is the largest global professional services network with more than 169,000 people working in 158 countries. PwC is the brand under which each member firm operates and provides services. All PwC member firms are separate legal entities which deliver their services locally and internationally without engaging in any way PwC IL' responsibility or liability.