“Inflows” in connexion with securitisations. C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

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.