In our view, the proposed breakdown is not completely clear. Therefore, we would require a de-tailed definition (e.g. a list of the respective instruments and examples) by the EBA to correctly distinguish on-balance from off-balance sheet items, as provided for in draft template C 90.00.
For reporting on a consolidated basis, in particular with regard to template C 91.00, it is not clear how to deal with different approaches applied by individual entities in the same scope of regulatory consolidation (e.g. entity A uses the MKR-ASA, entity B uses the simplified approach, while entity C does not have a trading book at all).
As we understand the proposed draft ITS, the consolidating entity has to calculate the group-wide own funds requirements for market risk, using the MKR-ASA. In this context, we see the need for clarification by the EBA, whether it is permissible for an entity to report template C 91.00 on an individual basis by using e.g. the simplified approach, while at the same time being covered by the MKR-ASA on a consolidated basis as part of the banking group.
Tsvetomira Van Assche