How should we report
Solo Legal Entities cases, where assets are included in the covered bond pool, but the liabilities are held on another entity's balance sheet?
In the circumstance where one Group entity issues covered bonds on behalf of the Group, and uses assets from both its own balance sheet and another Group entity, it is unclear how this should be reflected in Solo submissions. By reporting as per the balance sheet, this will show that the entity issuing the bonds is undercollaterized, and that the entity providing assets will have no collateralization requirement (either from Ratings Agencies or for relevant covered bond regime).
Annex XVII chapter 5.2.3 states in the description for row 040: “Carrying amount of a covered bond liability or a cover pool asset is the accounting value at the covered bond issuer.” It depends on the contract between the group entities.