Commission Implementing Regulation (EU) No 680/2014Show full title

[F1 5. FINANCIAL INSTRUMENTS U.K.

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. U.K.

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. U.K.

29. Where applicable under national GAAP based on BAD, ‘ Haircuts for trading positions valued at fair value ’ shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities. U.K.

5.1. Financial assets U.K.

30. Financial assets shall be distributed among the following classes of instruments: ‘ Cash on hand ’ , ‘ Derivatives ’ , ‘ Equity instruments ’ , ‘ Debt securities ’ and ‘ Loans and advances ’ . U.K.

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. U.K.

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 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. U.K.

33. In FINREP, ‘ debt instruments ’ shall include ‘ loans and advances ’ and ‘ debt securities ’ . U.K.

5.2. Gross carrying amount U.K.

34. Gross carrying amount of debt instruments shall have the following meaning: U.K.

(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 or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount 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.

5.3. Financial liabilities U.K.

35. Financial liabilities shall be distributed among the following classes of instruments: ‘ Derivatives ’ , ‘ Short positions ’ , ‘ Deposits ’ , ‘ Debt securities issued ’ and ‘ Other financial liabilities ’ . U.K.

36. For the purposes of Annexes III and IV as well as this Annex, ‘ deposits ’ shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. U.K.

37. ‘ Debt securities issued ’ shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. U.K.

38. ‘ Other financial liabilities ’ shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued. U.K.

39. Under IFRS, ‘ Other financial liabilities ’ shall include financial guarantees given where they are measured either at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as ‘ Other financial liabilities ’ where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)). U.K.

40. Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as ‘ other financial liabilities ’ and not as provisions for ‘ Commitments and guarantees given ’ . U.K.

41. ‘ Other financial liabilities ’ shall also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions where payables for transactions are recognised before the payment date.] U.K.

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).