Response to consultation on amendments to ITS on disclosure and reporting of MREL and TLAC
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2. In case the risk exposure to entities of the same resolution group is deducted from risk exposure scope, should it also be deducted from the large exposure scope in COREP 28, even though intermediate entity does not have prior permission to disregard large exposure limit for the group entities?
3. Is the amount of own funds supposed to be reported after the daisy chain deductions for the purposes of COREP 01 Own funds template and the requirements laid down in Regulation (EU) No 575/2013 and Directive 2013/36/EU?
4. Will there be reporting instructions on COREP templates amended for the daisy chain regime?
5. From which reporting date should institutions apply these changes to COREP and MREL reporting, since daisy chain regime enters into force as of January 2024 and new MREL templates following this ITS in second quarter of 2024?
6. Should intermediate entities, who are required to calculate internal MREL on individual basis, apply daisy chain deductions also for the purpose of sub-consolidation level (while calculating RWA, Leverage exposure and Own funds on sub-consolidated level)?
7. Should intermediate entities deduct from Own funds and eligible liabilities only the amount corresponding to the equity investment and not the proportionate amount of subsidiaries own funds? Equity investment can be booked at the purchase cost, while own funds of the subsidiaries can increase over time since the initial investment, so these amounts may differ significantly.
a) Did you identify any issues regarding the representation of the policy framework for MREL and TLAC, including the representation of the ‘daisy chain’ framework and the prior permission regime, in these ITS?
1. Since the risk exposure to entities of the same resolution group must be deducted from total risk exposure amount and total exposure measure of the intermediate entity on an individual level, how does it influence the reporting of Total risk exposure amount in COREP 02 and the calculation of capital adequacy ratios in COREP 03 and leverage ratio in COREP 47? Are institutions required to report same figures in MREL and COREP templates on an individual level?2. In case the risk exposure to entities of the same resolution group is deducted from risk exposure scope, should it also be deducted from the large exposure scope in COREP 28, even though intermediate entity does not have prior permission to disregard large exposure limit for the group entities?
3. Is the amount of own funds supposed to be reported after the daisy chain deductions for the purposes of COREP 01 Own funds template and the requirements laid down in Regulation (EU) No 575/2013 and Directive 2013/36/EU?
4. Will there be reporting instructions on COREP templates amended for the daisy chain regime?
5. From which reporting date should institutions apply these changes to COREP and MREL reporting, since daisy chain regime enters into force as of January 2024 and new MREL templates following this ITS in second quarter of 2024?
6. Should intermediate entities, who are required to calculate internal MREL on individual basis, apply daisy chain deductions also for the purpose of sub-consolidation level (while calculating RWA, Leverage exposure and Own funds on sub-consolidated level)?
7. Should intermediate entities deduct from Own funds and eligible liabilities only the amount corresponding to the equity investment and not the proportionate amount of subsidiaries own funds? Equity investment can be booked at the purchase cost, while own funds of the subsidiaries can increase over time since the initial investment, so these amounts may differ significantly.