Should or could the country-by-country reporting requirements be included in the notes to the financial statements, which represent an inherent part of these statements, or does the requirement ask to design a new separate annex to the financial statements?
Article 89 of Directive 2013/36/EU (CRD) requires that the information should be audited. If the disclosures are included in the segmental reporting then they are part of the financial statement and therefore subject to the statutory audit. If a financial institution opts to provide a separate report, then ISA 805 is applicable for the provision of an audit opinion. Since the CRD explicitly requires an audit, therefore any other standards on assurance services cannot be applied as they include an option between limited and reasonable assurance (for example ISAE 3000 - Assurance Engagements Other Than Audits or Reviews of Historical Financial Information).
Regarding the location of the information required for the purposes of Article 89 of Directive 2013/36/EU (CRD) it shall be published, where possible, as an annex to the annual financial statements or, where applicable, to the consolidated financial statements of the institution concerned.
However, institutions are allowed to include these disclosures in the notes to financial statements, for example as part of their segmental reporting (in accordance with IFRS 8 - Operating Segments). Such positioning would solve the assurance requirement since that would be covered by the standard (statutory) audit and (public) audit report on these financial statements.
For some institutions this solution might not be practicable since these disclosures could be voluminous. Therefore, if the credit institution decides to put the country-by-country disclosures in a separate report, a separate audit report should be provided following the applicable International Standard on Auditing (ISA) 805 special considerations-Audits of Single Financial Statements and Specific Elements, Accounts or Items of a Financial Statement.
This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General for Financial Stability, Financial services and Capital Markets Union) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.
Update 26.03.2021: This Q&A has not yet been reviewed by the European Commission in the light of the changes introduced to Directive 2013/36/EU (CRD).