Differentiation between specialised lending and sme exposures within exposure class corporates

According to Article 147 of Regulation (EU) No 575/2013 (CRR), under the IRB Approach SMEs can be either classified under the retail exposures class, or under the exposures to corporates class, depending on whether they meet the criteria listed in Article 147 (5) CRR. Article 147 (8) CRR, on the separate identification of the specialised lending exposures, applies within the corporate exposure class, thus possibly including also exposures to SMEs. According to Annex II of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) different sub-exposure classes (sheets of templates C 08.01 and C 08.02 of Annex I to the ITS on Supervisory Reporting) exist for “Corporates — SME” and “Corporates — Specialised Lending”, in each case with or without own estimates of LGD or conversion factors. In accordance with the approach to calculate own funds requirements, exposures to Corporate SME which have been identified as specialised lending exposures in accordance with Article 147 (8) CRR shall always be reported in the sub-exposure class “Corporates — Specialised lending”.