Annex V · Part 2 › 14 Derecognition and financial liabilities associated with transferred financial assets (15)
14 Derecognition and financial liabilities associated with transferred financial assets (15)
6 paragraphs · official text, verbatim
Template 15 shall include information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.
The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.
The column ‘Amounts derecognised for capital purposes’ shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR.
‘Repurchase agreements’ (‘repos’) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered ‘Repurchase agreements’ (‘repos’). Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include:
(a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;
(b) amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) shall involve cash received or loaned out by the institution.
In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their derecognition.