Validation rule v5284_m verifies that the amount entered in table F18.00a, column 060 – Non-performing Gross carrying amount for Debt securities – Other financial corporations (rows 050 + 185 + 215, At Amortized Cost + FVTOCI + FVTPL) should be equal to the amount entered in table F20.04, row 120, column 025 – Debt securities – Other financial corporations, of which: non-performing. According to FINREP Annex V, art. 217, Held for Trading exposures are not included in table F18.00a: “For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.” As Held for Trading exposures are included in table F20.04., this validation rule is creating a non-blocking error. We therefore question whether the current validation rule is defined appropriately and if yes, how should Held for Trading instruments be included in the table F18.00a?

Even though the validation rule has a “non-blocking” status, we are requested by the national regulator to comment each quarter the resulting error, which we do in the following way: According to FINREP Annex V, art. 217, Held for Trading exposures are not included in table F18.00a: “For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances which shall include also cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.” The difference between the two tables represents Non-performing Debt securities Held for Trading that are counted in table F20.04 and excluded from table F18.00a.

Validation rule v5284_m stipulates the equivalence of the gross carrying amount of non-performing debt securities to other financial corporations in the templates F 18.00 and F 20.04.
According to Annex V, part 2.217of Regulation (EU) 680/2014 (ITS on supervisory reporting) held for trading exposures are not included in template F 18.00:

“For the purpose of template 18, ‘exposures’ shall include all debt instruments […] and off-balance sheet exposures, except those held for trading exposures.”
In contrast, held for trading exposures have to be reported in template F 20.04.
However, in defining column 025 (“Of which: non-performing”) in template F 20.04, paragraph 275 of the ITS on supervisory reporting states that:
“[…] In column ‘Of which: Non-performing’ debt instruments shall be reported as defined in paragraphs 213 to 232 […]”.
Hence, the reference for column 025 refers itself to the instructions for reporting non-performing exposures in template F 18.00.
This implies that held for trading exposures are not reported in column 025 (“Of which: non-performing”) of template F 20.04.
Consistent with this, the non-performing exposures in column 025 of template F 20.04 are only the exposures classified into the accounting portfolio “Financial Assets other than Held for Trading and Trading Financial Assets” in the Data Point Model (DPM).
Thus, the fact that held for trading exposures are not reported in template F 18.00 does not undermine the validity of validation rule v5284_m. It is correct in this respect. The same holds true for the related validation rules v5280_m, v5281_m, v5282_m, v5283_m, v5285_m.