Question ID
2024_7105
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting
Article
Annex V – Par. 13
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex V – Par. 13
Type of submitter
Credit institution
Subject matter
Fair value hierarchy: Financial instruments at fair value (F14)
Question

Can you provide more guidance on the amounts to be reported for “Change in fair value for the period” and “Accumulated change in fair value before taxes” in particular for derivatives falling under netting agreement and recognized with accounting offsetting?

Background on the question

For both ‘Change in fair value for the period’ and  ‘Accumulated change in fair value before taxes’  the ITS make reference to “gain and losses from re-measurement” and this seems to refer to profit and loss metrics while on the F14 template are depicted assets (row 0020) or liabilities (row 0160), as confirmed by DPM annotated layout where the dimension base is “assets” or “liabilities”.  Hence it is unclear how to report cumulated gains on derivatives with positive fair value (i.e. recognized within assets in row 0020): shall they be reported with positive sign in the same row 0020 or, being a (cumulated) p&l income (i.e. credit booking), shall be reported with positive sign in the row 0160?

For the sign convention we are referring to Table 1 Credit/debit convention, positive and negative signs of the Annex III.

Furthermore, in case of accounting offset, what amount should be reported in the three clusters, columns 0010-30, columns 0040-0050 and columns 0060-0080 respectively? The net carrying amount in columns 0010-0030 (as per balance sheet contribution) and the gross changes in Fair Value in columns from 0040 to 0080 (according to p&l contribution) or always the net changes in Fair Value in coherence with the balance sheet dimension applicable to the template?

Submission date
Final publishing date
Final answer

In template F 14.00, derivatives should be reported at fair value according to the hierarchy provided by IFRS 13.72., as either assets or liabilities, after applying any accounting offsetting. The corresponding changes in fair value for the period (columns 0040, 0050) and the ‘Accumulated change in fair value before taxes’ (columns 0060, 0070, 0080) can be gains or a losses (for the period or accumulated from the initial recognition to the reference date) and they should be reported in row 0020 when the related derivatives are assets, or in row 0160 when the related derivatives are liabilities.

Status
Final Q&A

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