Submission #5

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Association for Financial Markets in Europe

Q1. The proposed standards would measure own funds in terms of carrying amounts and eligible liabilities in terms of out-standing nominal amounts. This approach aligns the reporting and disclosure on MREL/TLAC with the reporting in the context of the ITS on Resolution Planning Reporting, where the same measurement basis is used. In contrast, presenting both the amount of own funds and eligible liabilities as carrying amounts would potentially align the reporting more with the vast majority of prudential reporting and disclosure requirements and with the internal approaches of institutions for the monitoring of MREL/TLAC compliance on a daily basis. There is also ongoing work at the level of the BCBS to clarify the measurement of non-equity capital. What are the advantages and challenges of presenting MREL/TLAC figures, and in particular the amount of eligible liabilities, on the basis of a) outstanding amounts or b) carrying amounts for the purposes of reporting (and disclosure)? Please see attached response.

Q2. Are the scope and level of application of the reporting requirement and the content of the templates and the instructions M 01.00 to M 07.00 clear and appropriate? Please see attached response.

Q3. Do you see any discrepancies between these templates and instructions and the requirements set out in the underlying regulation, i.e. do these templates and instructions reflect the substance of the TLAC requirement and MREL in a proper manner? Do you agree that the proposed reporting requirement is fit for purpose? Please see attached response.

Q4. Template KM2 in the BCBS standard includes special rows to reflect the own funds amounts on an IFRS9 fully loaded basis. There is a template implemented in the EU with this information at the level of the prudential scope of consolidation. The instructions for KM2 ask institutions to explain any material difference between the own funds amounts disclosed and the IFRS 9 fully loaded amount at the resolution group level. They are also asked to explain any material difference between the IFRS 9 fully loaded amount at the resolution group level compared to the prudential group level. Do respondents agree that this is a good way to request this information, rather than adding specific rows, considering that this information will cease to be relevant once the IFRS 9 transition period is over? Please see attached response.

Q5. Are the instructions, tables and templates clear and appropriate to the respondents? Please see attached response.

Q6. Do you identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation? Please see attached response.

Q7. Do you agree that the new draft ITS fits the purpose of the underlying regulation? Please see attached response.

Q8. Are the scope and level of application of the reporting requirement, the content of the ‘forecast’ templates and the instructions clear and appropriate? Please see attached response.

Q9. What are the particular benefits and challenges you see with regard to the reporting of the ‘forecast’ information? Please see attached response.

Upload files AFME response to EBA draft ITS - Reporting and Disclosure of MREL and TLAC.pdf

Name of the organization Association for Financial Markets in Europe