Reporting RMBS issued by SSPEs in C51.

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).