Validation BV805 states that for derivatives reported on S.08.01 which commence with ‘XT’ or ‘XL’ the valuation method cannot be ‘1 – quoted market price in active markets for the same assets or liabilities’.

For forward exchange rate agreements which are not exchange listed, where the value is based on quoted exchange rates the valuation method has been reported as ‘1 – quoted market price in active markets for the same assets or liabilities’. This will then fail the validation but we acknowledge that it is non-blocking.