In the case of an institution having investments in a subsidiary which is considered at historical cost at solo basis, these investments are not part of the consolidated balance sheet as far as they disappear in the process of consolidation. In the consolidated balance sheet, the investment in the subsidiary is considered as assets and liabilities that only arise during the consolidation process. 

Paragraph 104 of EBA Guidelines on the treatment of structural FX under Article 352(2) of Regulation (EU) No 575/2013 (CRR) makes reference to this issue “This ad hoc treatment is of particular relevance in the context of the structural FX provision applied at the solo level. Indeed, there is the presumption that non-monetary items at historical cost generating an FX risk would mainly be investments in subsidiaries denominated in a foreign currency (i.e. in general, the reporting currency of the subsidiary). Such investments are not part of the consolidated balance sheet, as the investments in the subsidiary (which are assets in the institution owning the subsidiary) net with the capital (i.e. liabilities side) of the subsidiary itself during the consolidation process. As a result, the above-mentioned treatment for non-monetary items at historical cost is deemed to have a limited impact in the context of the structural FX provision at the consolidated level.” And it seems to indicate that the historical cost of the investment has not to be used.