Should reporting of derivatives on the asset side (F 20.04) be in line with the instructions of EBA on the liabilities side (F 20.06) and include both trading and hedging derivatives?
According to EBAs feedback on question 2014_1539 on hedging derivatives (liabilities), F 20.06 (liabilities) of Annex III of Regulation (EU) No 680/2014 ITS on supervisory reporting includes hedging derivatives. Should F 20.04 (assets) include the hedging derivatives as well?
Template F 20.04 of Annexes III and IV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) shall include both trading and hedging derivatives.
In the revised instructions for FINREP templates F 20.04 to F 20.07 in EBA/ITS/2016/07 (Draft Implementing Technical Standards on amendments to FINREP due to IFRS 9; published 30th November 2016), ANNEX III REV1(FINREP ANNEX V - INSTRUCTIONS), paragraph 272 clarifies that ‘’Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP’. Accordingly, the validation rule v5352_m (added in v2.7 of the reporting framework) will check this relation between the templates F 10.00 and F 20.04 in the future.