Atribute	Detail
Resolution Reporting Subject Matter	Guidance
Guidance Documents	Quarterly-MREL-Reporting
Taxonomy	-
Unique Identifier	QA2022-60

Question

MREL Bond (traded at nominal value 300mio €) has been hedged by IRS at nominal value 300mio €. IRS was traded at the moment of MREL bond trading to have the same risk free benchmark rate. IRS is receive fix/pay float. Hedging of MREL bond has been qulified as hedge accounting. All conditions of hedge accounting (i.e. effieciency) are fulfilled. The reason of hedging of Bond was to eliminate opening of IR position in the bank (the interest rate risk). Hedging objective was to convert fixed rate of MREL bond into floating rate, for the life of the bond. And the reason of hedge accountig process is to eliminate valuation of IRS. Due to hedge accounting, fair-value treatment balance sheet is applied for both hedged item (bond) and hedgins instrument (IRS). To us it seems more appropriate to report eligible bonds in their nominal amount or at least to be able to offset the FV changes of the hedged part by the FV changes of hedging instrument. Please would You share Your opinion on this topic and give us guidance concerning the reporting?

Response

We understand the question refers to the row r1.4 (senior unsecured liabilities) in the quarterly "MREL data collection templates" collected by the SRB, complementary to the templates foreseen by the CIR 2021/763 (MREL/TLAC templates). As regards the column c1 (tab M.01) on the issuances in the quarter, the entity shall report the nominal amount issued (please refer to the Guidance on MREL data collection template). For all the other columns referring to the outstanding amount of eligible liabilities, please refer and align to the definitions provided in CIR 2021/763 for the amount of eligible liabilities and own funds.

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