The current Level 1 Text of Article 9 of the CRR (i.e. for the Individual consolidation (amended solo) method) refers directly to Article 6(1) which does not cover the Liquidity Provisions of the CRR. In this regard, can we clarify the following issues in terms of the interaction between the amended solo provisions in Article 9 of the CRR and the solo liquidity waiver provided in Article 8 of the CRR: (1) If a bank receives permission for amended solo under Article 9 of the CRR, is a separate permission required for the liquidity waiver in Article 8 in order for the bank to report a single LCR/ Stable Funding/ ALM Return? (2) Assuming the answer to Q1 is yes, does this mean that the bank is required to report under two scopes of consolidation (i.e. amended solo for COREP/ FINREP/AE and Consolidated for LCR/ Stable Funding/ ALM)? (3) Assuming the answer Q1 is no, how should the subsidiaries included in the permission for amended solo be included in the bank's LCR and Stable Funding returns i.e. is the bank still required to submit both consolidated and individual LCR /Stable Funding/ ALM Returns?
A credit institution based in Ireland that has a custodian firm and investment firm subsidiaries previously submitted both individual and consolidated returns at sub-consolidated level (i.e. Ireland does not implement the solo waiver under Article 7). This bank received a solo liquidity group waiver under Article 8 of the CRR in October 2014 which meant that it was only required to submit consolidated liquidity returns (i.e. LCR and Stable Funding) at the Liquidity Group level. In January 2015, the bank received an amended solo permission under Article 9 of the CRR which meant that it was only required to submit COREP/ FINREP and Asset Encumbrance returns at amended solo level (i.e. using COREP Individual, AE Individual etc). The result of these separate permissions is that the bank effectively reports under two scopes (i.e. amended solo for COREP/ FINREP/AE and Consolidated under LCR/ Stable Funding) but is only supervised under one scope (i.e. the Central Bank of Ireland only supervises the bank on an (amended) solo basis). Clarification is required on whether a hierarchy exists between the permissions given in Article 8 for a liquidity group and the permissions given in Article 9 for amended solo.
A separate permission is required for the liquidity waiver under Article 8 of the Regulation (EU) No 575/2013 (CRR). Article 8 CRR specifically addresses liquidity requirements whereas Article 9 CRR relates to the individual consolidation method but does not concern liquidity requirements. Hence separate permissions are needed under Article 8 and Article 9 CRR. Consequently, banks may be required to report liquidity according to Article 8 CRR under a different scope than that of Article 9 CRR.
Article 8(6) of Regulation (EU) No 575/2013 (CRR) indicates that a bank waived from liquidity requirements at an individual level would not automatically be waived from reporting at an individual level unless the comptetent authority has also granted a waiver for reporting Liquidity requirements on a solo basis.
Update 26.03.2021: This Q&A has been updated in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).