EBA · 2023_6864 Final Q&A

C14.00 - v7364_m - Type of Assets (column 0160)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
243
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2023-08-09
Answered
2024-04-26
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

The EBA Validation Rule v7364_m states that: For securitization programs qualified for differentiated capital treatment and classified as traditional (and Non NPE), synthetic or ABCP, then the asset class of the portfolio (C14.00 - c0160) must be “Loans to SME (treated as corporate)” or “Loans to SME (treated as retail). Should this control be applicable?

Background

The EBA Validation Rule v7364_m applicable to C14.00 COREP template states that if a securitization programs qualifies for differentiated capital treatment and the securitization type is traditional securitizations other than NPE securitizations, ABCP program, ABCP transaction or synthetic transactions, then the asset class of the underlying portfolio should be “Loans to SMEs (treated as retail)” or “Loans to SMEs (treated as corporates)”. As per the CRR article 243, we understand that there are no references that limit the portfolio asset class classification to “Loans to SMEs” on the scope within the mentioned validation rule.

Answer

In accordance with Annex II of Commission Implementing Regulation (EU) 2021/451 as amended by Commission Implementing Regulation (EU) 2022/1994, regulatory references of differentiated capital treatment are Articles 243, 270 and 494a of Regulation (EU) 575/2013 on prudential requirements for credit institutions. Following the amendments in Regulation (EU) 2021/558, Article 270 allows differentiated capital treatment for certain senior positions in STS on-balance sheet securitizations, without any specific restriction to the SME asset class. This is in contrast to the version of Article 270 in force before Regulation (EU) 2021/558, which was limited in scope to senior positions in SME securitizations. Therefore, validation rule v7364_m is not in line with the current regulatory provisions and shall be deleted.

Original source: European Banking Authority, Q&A ID 2023_6864

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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