Question
Is v7364_m complying with the CRR?
Background on the question
The validation rules v7364_m restrict the securitisation type to ” Loans to SMEs (treated as retail)” and “Loans to SMEs (treated as corporates)” (column 0160). We report securitisation type ”corporates”, making that v7364_m fails for this position. Reading the CRR and the ITS for C14.00 column 0446, we are of the view that the restriction by the validation rule v7364_m to only allow” Loans to SMEs (treated as retail)” and “Loans to SMEs (treated as corporates)” is not supported by the CRR. Colom 0446 refers in the ITS 2024/3117 to: SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Articles 243 and 270 and 494c of CRR Institutions shall report one of the following abbreviations Y – Yes N – No ‘Yes’ shall be reported in the following cases: (i) in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of the CRR, and (ii) Senior positions in STS on-balance sheet securitisations eligible for this treatment in accordance with Article 270 of Regulation (EU) No 575/2013 (iii) Grandfathered SME synthetics in accordance with Article 494c of Regulation (EU) No 575/2013. Point (i) states that when the STS requirements (either an ABCP or non-ABPC) are met, the STS securitisation qualify for differentiated capital treatment. Point (ii) states that when a securitisation complies with Article 243(2) CRR and is a senior position, it can be risk weighed either by the SEC-IRBA, SEC-SA or SEC-ERBA Point (iii) is about grandfathers SME synthetic securitisation. In compliance with the CRR 243, the ITS does not state that at least two, or all the three requirements needs to be met. Meeting one requirement should be sufficient to be able to report in C14.00 that the securitisation is qualifying for the differentiated capital treatment.
Answer
This question has been rejected because the matter it refers to has already been identified and will be considered for a forthcoming release of the respective validation rules.