Can the EBA confirm that our understanding is that RMBS that according to Basel III are classified as Level 2B assets and are CB eligble should be reported in C51. ID 1.11.1?
C51 ID 1.11 description states that residential mortgage backed instruments issued by credit institutions should be reported. However, an RMBS is normally not issued by a credit institution but by a SSPE. If the reporting template instructions are followed these lines will therefore remain empty. It is our assumption that we should report in ID 1.11.1 the RMBS that qualify for reporting as liquid asset (comply with article 416 and 417). Article 416.2.c does not mention the SSPE as issuer from which by default assets should not be considered liquid. Therefore an RMBS qualifying as level 2B under Basel can be reported on ID 1.11.1.
Please note that templates C 72.00 to C 76.00 of Annex XXIV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and the related reporting instructions in Annex XXV to the ITS on Supervisory Reporting fully replaced templates C 51.00 to C 54.00 of Annex XII to the ITS on Supervisory Reporting and the related reporting instructions in Annex XIII for credit institution subject to the Regulation (EU) 2015/61.
Consequently, the answer provided below only applies to investment firms subject to liquidity reporting according to Articles 6(4), 11(3) and 415 of Regulation (EU) No 575/2013 (CRR), unless otherwise specified.
In line withArticle 416(2)(a)(i) of Regulation (EU) No 575/2013, the reporting requirement in rows 280-300 (ID 1.11) of template C 51.00 refers exclusively to the reporting of residential mortgage backed instruments issued by a credit institution.
Residential mortgage backed instruments issued by entities other than credit institutions (e.g. SSPEs) are to be reported according to Article 416(1)(d) of Regulation (EU) No 575/2013 in rows 370-390 (ID 1.14) of template C 51.00 according to the relevant credit quality step or under Section 3 ‘Items subject to supplementary reporting of liquid assets’, ID 3.8 (C 51.00, row 570), if they meet the requirements of Art. 416 (1) (b) and (d) but do not meet the requirements of Art. 417 (b)and (c).