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Section Annex V Part 2, 4 — Breakdown of financial assets by instrument and by counterparty sector (4) Size 20 rows × 10 columns · 195 cells Release FINREP 4.2.1 validation 19 Showing references for nGAAP (BAD).
Template section · Annex V Part 2, 48 § · references §69 For the purposes of Annexes III and IV as well as this Annex, ‘accumulated negative changes in fair value due to credit risk’ means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. That amount shall only be reported where the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, ‘Accumulated negative changes in fair value due to credit risk’ shall be reported until the derecognition of the instrument. 1 §70 For the purposes of Annexes III and IV as well as this Annex, ‘accumulated impairment’ shall have the following meaning: (a) for debt instruments measured at amortised cost or at a cost-based method, that are not purchased or originated credit-impaired financial assets, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD; (b) for debt instruments measured at fair value through other comprehensive income under IFRS that are not purchased or originated credit-impaired financial assets, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition; (c) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event. (d) for purchased or originated credit-impaired financial assets, the initial estimate of lifetime expected credit losses is incorporated into the calculation of the credit-adjusted effective interest rate and accumulated impairment is the sum of subsequent changes in lifetime expected credit losses since initial recognition that are recognized as a variation of carrying amount/fair value on a given instrument. Accumulated impairment for purchased or originated credit-impaired financial assets can be positive in case of impairment gains exceeding any previously recognised impairment losses (IFRS 9.5.5.14). 3 §71 Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9 and the allowance for purchased or originated credit-impaired financial assets. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM. 3 §72 ‘Accumulated partial write-offs’ and ‘Accumulated total write-offs’ shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. Those amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities. 2 §73 Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumulative amount written-off shall be reclassified from the ‘Accumulated partial write-offs’ into the ‘Accumulated total write-offs’ column. 2 §74 Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets. 2 Show all (8) §79 In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures. 10 §82 Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD Article 37.2). 1 General definitions · Annex V Part 17 § §27 For the purposes of Annexes III and IV as well as this Annex, "the carrying amount" means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet. 2 §28 If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities. 2 §31 ‘Debt securities’ are debt instruments held by the institution issued as securities that are not loans, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. 1 §32 ‘Loans and advances’ are debt instruments held by the institutions that are not securities. That item includes loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation (including demand deposits at credit institutions and central banks, irrespective of their classification as per the applicable accounting framework) as well as advances that cannot be classified as ‘loans’ defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. ‘Advances that are not loans’ are further characterized in paragraph 85(g) of Part 2 of this Annex. 1 §34 Gross carrying amount of debt instruments shall have the following meaning: (a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether those debt instruments are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative changes in fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments; (b) under IFRS for debt instruments at amortised cost, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance and for debt instruments at fair value through other comprehensive income, the amortised cost before adjusting for any loss allowance; (c) under national GAAP based on BAD, for debt instruments classified as ‘non-trading non-derivative financial assets measured at a cost-based method’, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount; (d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as ‘Non-trading non-derivative financial assets measured at fair value to equity’ shall depend on whether those financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When those financial assets are not subject to impairment requirements, the gross carrying amount of those financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk; (e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting reference period. Where those debt instruments are measured at market value, the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments; (f) under national GAAP based on BAD, for debt instruments reported under ‘Other non-trading non-derivative financial assets’ under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment; (g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before those haircuts. 4 §42 Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘credit institutions’, ‘other financial corporations’ or ‘non-financial corporations’ depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements; (c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (‘undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account’) and multilateral development banks (MDBs); (d) other financial corporations: all financial corporations and quasi-corporations, other than credit institutions, such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders; (e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II to the ECB BSI Regulation; (f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (‘NPISH’) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included. 14 §44 The immediate counterparties in the following transactions shall be: (a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables; (b) for debt securities (including securitisation instruments) and equity instruments, the issuer of the securities; (c) for deposits, the depositor; (d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement; (e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs; (f) for financial guarantees given, the counterparty shall be the direct counterparty of the underlying guaranteed debt instrument; (g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution; (h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution. 3 Other acts4 81 This template is checked by 81 rules : 9 within F 04.08, 72 tying it to other templates.
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