Assume a scenario where an institution has long and short positions for the same CUSIP and presents a net asset on the face of its IFRS balance sheet (and, similarly, in FINREP template 1.1). In the situation where the long position serves as a collateral under institution’s Repo obligation, what amounts shall be reported in Template 15 column 10 – amount of long position that is associated with Repo obligation or a net asset for this CUSIP (i.e. the difference between long and short position) as reported on the face of balance sheet (Template 1.1)? If long positions are to be reported, do the implications of the validation rules v0897_m - v0909_m for Template 15, column 10 lead to reporting a number different from that intended?

More detailed analysis: IFRS 7 requires entities to provide information on transferred financial assets. Amongst others it requires disclosure on the carrying amount of transferred financial assets that are not derecognised in their entirety. Assume a situation where an institution enters a combination of several transactions for the same CUSIP: 1. Long position - The institution holds financial assets (e.g., government bonds) amounting to £100. 2. Repo - The institution then sells these securities under a repo agreement and receives cash from its counterparty and recognises a liability to return the cash (for simplicity let us assume it is of the same amount - £100). 3. Short position - The institution also enters into a short position for securities of the same CUSIP amounting to £80. As a result of this combination, the institution presents financial asset amounting to £20 in its balance sheet (difference between long and short positions for the same CUSIP). In the Note to IFRS accounts on transferred assets, the institution discloses £100 as the carrying amount for the transferred assets and £100 for associated liabilities. FINREP does not provide any guidance in respect of the carrying amount to be disclosed in Template 15 in column 10. However, validation rules for column 10 in Template 15 (v0897_m - v0909_m) imply that for the above example an institution shall disclose £20 – i.e. the amount that is presented in the balance sheet (template 1.1) and not the £100 – i.e. the transferred amount. Disclosing £20 does not appear to provide accurate information around the risks associated with transferred assets. Additionally, in this scenario this will be inconsistent with the amount of associated liability of £100 that will be presented in column 40.