EBA · 2017_3350 Final Q&A

Validation rules v4764_m, v4765_m, v4766_m, v4767_m and v4768_m in template C 08.01

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2017-06-16
Answered
2017-11-17
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Are validation rules v4764_m - v4768_m correct?

Background

Validation rules v4764_m - v4768_m indicate that column 260 (‘Risk weighted exposure amount after SME-supporting factor’) of template C 08.01a should be equal to the specific percentages used for rows 100-150. However, in the case of qualifying SME exposures, applying the SME factor specified in Article 501(1) of the CRR (0,7619) will reduce the RWA percentage which means that the risk weighted exposure amounts after applying the SME factor will not equal the specific percentages applied in rows 100-150.

Answer

As stated in Q&A 2015_2135 , where exposures meet the conditions listed in Article 147(8) of Regulation (EU) No 575/2013 (CRR) and at the same time the conditions listed in Article 501(2) CRR banks can apply the supporting factor for the calculation of capital requirements for specialised lending exposures. This is not taken into account by validation rules v4764_m, v4765_m, v4766_m, v4767_m and v4768_m applied to template C 08.01 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting). The validation rules will be amended in the future to correctly reflect the potential application of the SME supporting factor of Article 501 CRR to specialised lending exposures. Please see also Q&A 2015_2259 for the reporting of specialised lending exposures to SMEs.

Original source: European Banking Authority, Q&A ID 2017_3350

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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