Question
Can you please confirm whether the SME supporting factor can be applied to derivative exposure and Repo exposure?
Background on the question
Trying to complete the COREP return and we need confirmation as to whether the SME supporting factor can be applied to derivative and Repo exposure.
Answer
Article 501(2)(a) of Regulation (EU) No 575/2013 (CRR) states that the SME supporting factor applies to exposures included in the retail, corporates or secured by mortgages on immovable property classes, subject to satisfaction of all other criteria set out in that Article. Whether an exposure qualifies for inclusion in the retail, corporates or secured by mortgages on immovable property class depends on the features of the relevant exposure meeting the criteria set out in the retail, corporates or secured by mortgages on immovable property provisions, as the case may be. This also applies to the case of derivatives and repurchase agreements. See further Q&A 704.