Regarding validation rule v1740_m (sum({F 20.06, r010, c010, (sNNN)}) = xsum({F 08.01.a, (r010, c010, c034)}), we would like to note the following:

• Template F 08.01 row 010 and columns c010 & c037, should be completed by the carrying value of derivative liabilities according to recognition portfolio as hedging instruments (F 08.01.a, r010, c037) or as trading (F 08.01.a, r010, c010), by those entities which apply IAS or IFRS (please see below reference 1).
• Template F 08.01 row 010 and column c034, should be completed by those entities which apply National GAAP.

On the basis of the above two benchmarks the relevant validation cannot apply.

Furthermore, template F 20.06 according to Annex V part 2 par. 108 (please see below reference 2), should be reported the total carrying value from both portfolios, hedging or trading, country by country. It is not clear that the breakdown per counterparty sector applies only for the trading portfolio.

Finally, template F 08.01 should also present deposits which are distinguished by accounting portfolio (Held for trading, Designated at fair value through profit or loss, Amortised cost). What should be the treatment of these financial instruments which are also presented in template F 20.06 (validation rule v1742_m)? Should we submit the total carrying value of the three portfolios country by country?

Reference 1: The consolidated FINREP report of our Group have been prepared in accordance with IFRS.

Reference 2: Annex V part 2 par. 108 ‘Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures’.

Validation rule v1740_m

This rule should be amended and include also column 037:

(sum({F 20.06, r010, c010, (sNNN)}) = xsum({F 08.01.a, (r010, c010, c034, c037)}).

See also Q&A 2014_1539.

Validation rule v1742_m

Table F 08.01 of Annexes III and IV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) also covers deposits which are distinguished by accounting portfolio (for IFRS: Held for trading, Designated at fair value through profit or loss, Amortised cost).These financial instruments are also presented as a sum of all eligible portfolios in table F 20.06 of Annexes III and IV to the ITS on Supervisory Reporting and be reported with their total carrying amount country by country.