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The special reporting values in the case of “Accumulated changes in fair value due to credit risk”

Question

Please clarify the reporting of “Accumulated changes in fair value due to credit risk” in the case of instruments which are not recognised in the balance sheet or which are not measured at fair value through profit or loss in accordance with the accounting standard, also in the light of the instructions provided in Section 5.4.8 in Part II of the AnaCredit Reporting Manual.

Answer

We would like to clarify that the instructions in Part II of the Reporting Manual (Section 5.4.8, page 140, lines 18-24) on the use of “not required” are incomplete and may therefore be confusing. Instead, the instructions should read that, in accordance with Section 2.2 in Part II of the AnaCredit Manual on the use of the special reporting values, “non-applicable” and “not required” are both admissible values to report.

More specifically, for cases where the attribute is not required by the provisions of the AnaCredit Regulation as defined in Annex II thereto, the value “not required” is reported. However, in cases of instruments which are not recognised in the balance sheet or which are not measured at fair value through profit or loss in accordance with the accounting standard, the value “non-applicable” is reported.

The above is in line with the clarifications provided in Section 2.2 of Part II of the AnaCredit Manual, which stipulates that:

  • “Not required” is to be reported if a data attribute is not required (i.e. either explicitly specified as such in the AnaCredit Regulation or as decided by the relevant NCB in the circumstances set out in Articles 7 and 16 and Annexes II and III of the AnaCredit Regulation);
  • “Non-applicable” is reported in relation to data attributes that are required by the Regulation but may not apply in certain situations. Note that the AnaCredit Manual provides an indication where a given feature may not be applicable.

Please note that “not required” and “non-applicable” are substitutes for exact technical values to be used by reporting agents in certain situations. The exact values are specified by NCBs in a technical specification of the data transmission protocol.