Question ID:
2013_569
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
197
Paragraph:
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Austrian Federal Economic Chamber, Division Bank and Insurance
Country of incorporation / residence:
Austria
Type of submitter:
Industry association
Subject Matter:
“Inflows” in connexion with securitisations. C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)
Question:

How is it that “inflows” can arise concerning securitisations?

Background on the question:

From our point of view there are no “inflows” concerning securitisations.

Date of submission:
27/11/2013
Published as Final Q&A:
04/04/2014
Final Answer:

As explained in Annex II of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsDraft ITS on Supervisory reporting, column 110 "Total Inflows" of the C 12.00 (CR SEC SA) template, securitisation positions which are debt securities and are eligible financial collateral according to Article 197(1) of Regulation (EU) No 575/2013 (CRR) and where the Financial Collateral Simple Method is used, shall be reported as inflows. Indeed, according to Article 197(1)(h) of CRR, institutions may use securitisation positions as eligible collateral, provided that they are not re-securitisation positions and that they have an external credit assessment by an ECAI which has been determined by EBA to be associated with credit quality step 3 or above under the rules for the risk weighting of securitisation exposures under the approach specified in Chapter 5 (Securitisation), Section 3 (Calculation of the RWAs), Sub-section 3 (Standardised Approach) of CRR.

 

*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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