An entity with derivative instruments(or nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) shall disclose information to enable users of the financial statements to understand all of the following:- a
How and why an entity uses derivative instruments (or such nonderivative instruments)
- b
How derivative instruments (or such nonderivative instruments) and related hedged items are accounted for under Topic 815 - c
How derivative instruments (or such nonderivative instruments) and related hedged items affect all of the following:
- 1
An entity's financial position
- 2
An entity's financial performance
- 3
An entity's cash flows.
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1An entity with derivative instruments(or nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) shall disclose information to enable users of the financial statements to understand all of the following in interim and annual reporting periods:- a
How and why an entity uses derivative instruments (or such nonderivative instruments)
- b
How derivative instruments (or such nonderivative instruments) and related hedged items are accounted for under Topic 815 - c
How derivative instruments (or such nonderivative instruments) and related hedged items affect all of the following:
- 1
An entity's financial position
- 2
An entity's financial performance
- 3
An entity's cash flows.
For item (d) in paragraph 815-10-50-1A, an entity shall select the format and the specifics of disclosures relating to its volume of such activity that are most relevant and practicable for its individual facts and circumstances. Information about the instruments in items (a) through (c) in paragraph 815-10-50-1A shall be disclosed in the context of each instrument's primary underlying risk exposure (for example, interest rate, credit, foreign exchange rate, interest rate and foreign exchange rate, or overall price). Further, those instruments shall be distinguished between those used for risk management purposes and those used for other purposes. Derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) used for risk management purposes include those designated as hedging instruments under Subtopic 815-20 as well as those used as economic hedges and for other purposes related to the entity's risk exposures. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For item (d) in paragraph 815-10-50-1A, an entity shall select the format and the specifics of disclosures relating to its volume of such activity that are most relevant and practicable for its individual facts and circumstances. Information about the instruments in items (a) through (c) in paragraph 815-10-50-1A shall be disclosed in the context of each instrument's primary underlying risk exposure (for example, interest rate, credit, foreign exchange rate, interest rate and foreign exchange rate, or overall price) in interim and annual reporting periods. Further, those instruments shall be distinguished between those used for risk management purposes and those used for other purposes. Derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) used for risk management purposes include those designated as hedging instruments under Subtopic 815-20 as well as those used as economic hedges and for other purposes related to the entity's risk exposures. The instruments addressed by items (a) through (c) in paragraph 815-10-50-1A shall be distinguished between each of the following: - a
Derivative instruments (and nonderivative instruments as noted in items (1)(i) and (1)(iii) of this paragraph) used for risk management purposes, distinguished between each of the following:
- 1
Derivative instruments (and nonderivative instruments) designated as hedging instruments, distinguished between each of the following:
- i
Derivative instruments (and nonderivative instruments) designated as fair value hedging instruments
- ii
Derivative instruments designated as cash flow hedging instruments
- iii
Derivative instruments (and nonderivative instruments) designated as hedging instruments for hedges of the foreign currency exposure of a net investment in a foreign operation.
- 2
Derivative instruments used as economic hedges and for other purposes related to the entity's risk exposures.
- b
Derivative instruments used for other purposes.
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, the instruments addressed by items (a) through (c) in paragraph 815-10-50-1A shall be distinguished between each of the following: - a
Derivative instruments (and nonderivative instruments as noted in items (1)(i) and (1)(iii) of this paragraph) used for risk management purposes, distinguished between each of the following:
- 1
Derivative instruments (and nonderivative instruments) designated as hedging instruments, distinguished between each of the following:
- i
Derivative instruments (and nonderivative instruments) designated as fair value hedging instruments
- ii
Derivative instruments designated as cash flow hedging instruments
- iii
Derivative instruments (and nonderivative instruments) designated as hedging instruments for hedges of the foreign currency exposure of a net investment in a foreign operation.
- 2
Derivative instruments used as economic hedges and for other purposes related to the entity's risk exposures.
- b
Derivative instruments used for other purposes.
If the simplified hedge accounting approach (see paragraphs ) is applied in accounting for a qualifying receive-variable, pay-fixed interest rate swap, the settlement value of that swap may be used in place of fair value when disclosing the information required by this Section or in providing other fair value disclosures, such as those required under Topic 820 on fair value. For the purposes of complying with these disclosure requirements, amounts disclosed at settlement value will be subject to all of the same disclosure requirements as amounts disclosed at fair value. Any amounts disclosed at settlement value shall be clearly stated as such and disclosed separately from amounts disclosed at fair value. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1If the simplified hedge accounting approach (see paragraphs ) is applied in accounting for a qualifying receive-variable, pay-fixed interest rate swap, the settlement value of that swap may be used in place of fair value when disclosing the information required by this Section or in providing other fair value disclosures, such as those required under Topic 820 on fair value. For the purposes of complying with these disclosure requirements, amounts disclosed at settlement value will be subject to all of the same disclosure requirements as amounts disclosed at fair value. Any amounts disclosed at settlement value shall be clearly stated as such and disclosed separately from amounts disclosed at fair value in interim and annual reporting periods.For derivative instruments not designated as hedging instruments under Subtopic 815-20, the description shall indicate the purpose of the derivative activity. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For derivative instruments not designated as hedging instruments under Subtopic 815-20, the description shall indicate the purpose of the derivative activity in interim and annual reporting periods.An entity that holds or issues derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) shall disclose all of the following for every annual and interim reporting period for which a statement of financial position and statement of financial performance are presented:- a
The location and fair value amounts of derivative instruments (and such nonderivative instruments) reported in the statement of financial position
- b
The location and amount of the gains and losses on derivative instruments (and such nonderivative instruments) and related hedged items reported in any of the following:
- 1
The statement of financial performance
- 2
- c
The total amount of each income and expense line item presented in the statement of financial performance in which the results of fair value or cash flow hedges are recorded.
(P) December 16, 2026; (N) December 16, 2026
220-40-65-1An entity that holds or issues derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) shall disclose all of the following for every annual and interim reporting period for which a statement of financial position and statement of financial performance are presented:- a
The location and fair value amounts of derivative instruments (and such nonderivative instruments) reported in the statement of financial position
- b
The location and amount of the gains and losses on derivative instruments (and such nonderivative instruments) and related hedged items reported in any of the following:
- 1
The statement of financial performance
- 2
- c
The total amount of each income and expense line item presented in the statement of financial performance in which the results of fair value or cash flow hedges are recorded.
See paragraphs for additional disclosure requirements. The disclosures required by item (a) in paragraph
815-10-50-4A shall comply with all of the following:
- a
The fair value of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) shall be presented on a gross basis, even when those instruments are subject to master netting arrangements and qualify for net presentation in the statement of financial position in accordance with Subtopic 210-20 or paragraphs , as applicable. - b
Cash collateral payables and receivables associated with those instruments shall not be added to or netted against the fair value amounts.
- c
Fair value amounts shall be presented as separate asset and liability values segregated between each of the following:
- 1
Those instruments designated and qualifying as hedging instruments under Subtopic 815-20, presented separately by type of contract (for example, interest rate contracts, foreign exchange contracts, equity contracts, commodity contracts, credit contracts, other contracts, and so forth) - 2
Those instruments not designated as hedging instruments, presented separately by type of contract.
- d
The disclosure shall identify the line item(s) in the statement of financial position in which the fair value amounts for these categories of derivative instruments are included.
Amounts required to be reported for nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66 shall be the carrying value of the nonderivative hedging instrument, which includes the adjustment for the foreign currency transaction gain or loss on that instrument.(P) December 16, 2027; (N) December 16, 2028
270-10-65-1The disclosures required by item (a) in paragraph
815-10-50-4A shall comply with all of the following
in interim and annual reporting periods:- a
The fair value of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) shall be presented on a gross basis, even when those instruments are subject to master netting arrangements and qualify for net presentation in the statement of financial position in accordance with Subtopic 210-20 or paragraphs , as applicable. - b
Cash collateral payables and receivables associated with those instruments shall not be added to or netted against the fair value amounts.
- c
Fair value amounts shall be presented as separate asset and liability values segregated between each of the following:
- 1
Those instruments designated and qualifying as hedging instruments under Subtopic 815-20, presented separately by type of contract (for example, interest rate contracts, foreign exchange contracts, equity contracts, commodity contracts, credit contracts, other contracts, and so forth) - 2
Those instruments not designated as hedging instruments, presented separately by type of contract.
- d
The disclosure shall identify the line item(s) in the statement of financial position in which the fair value amounts for these categories of derivative instruments are included.
Amounts required to be reported for nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66 shall be the carrying value of the nonderivative hedging instrument, which includes the adjustment for the foreign currency transaction gain or loss on that instrument.For qualifying fair value and cash flow hedges, the gains and losses disclosed pursuant to paragraph 815-10-50-4A(b) shall be presented separately for all of the following by type of contract (as discussed in paragraph 815-10-50-4D) and by income and expense line item (if applicable):- a
Derivative instruments (and nonderivative instruments) designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges.
- b
The gains and losses on derivative instruments designated and qualifying in cash flow hedges included in the assessment of effectiveness that were recognized in other comprehensive income during the current period.
- bb
Amounts excluded from the assessment of effectiveness that were recognized in other comprehensive income during the period for which an amortization approach is applied in accordance with paragraph 815-20-25-83A. - c
The gains and losses on derivative instruments designated and qualifying in cash flow hedges that are included in the assessment of effectiveness and recorded in accumulated other comprehensive income during the term of the hedging relationship and reclassified into earnings during the current period.
- d
The portion of gains and losses on derivative instruments designated and qualifying in fair value and cash flow hedges representing the amount, if any, excluded from the assessment of hedge effectiveness that is recognized in earnings. When disclosing this amount, an entity shall disclose separately amounts that are recognized in earnings through an amortization approach in accordance with paragraph 815-20-25-83A and amounts recognized through changes in fair value in earnings in accordance with paragraph 815-20-25-83B. - 1
- 2
- e
- f
The gains and losses reclassified into earnings as a result of the discontinuance of cash flow hedges because it is probable that the original forecasted transactions will not occur by the end of the originally specified time period or within the additional period of time discussed in paragraphs . - g
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For qualifying fair value and cash flow hedges, the gains and losses disclosed pursuant to paragraph 815-10-50-4A(b) shall be presented separately for all of the following by type of contract (as discussed in paragraph 815-10-50-4D) and by income and expense line item (if applicable) in interim and annual reporting periods:- a
Derivative instruments (and nonderivative instruments) designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges.
- b
The gains and losses on derivative instruments designated and qualifying in cash flow hedges included in the assessment of effectiveness that were recognized in other comprehensive income during the current period.
- bb
Amounts excluded from the assessment of effectiveness that were recognized in other comprehensive income during the period for which an amortization approach is applied in accordance with paragraph 815-20-25-83A. - c
The gains and losses on derivative instruments designated and qualifying in cash flow hedges that are included in the assessment of effectiveness and recorded in accumulated other comprehensive income during the term of the hedging relationship and reclassified into earnings during the current period.
- d
The portion of gains and losses on derivative instruments designated and qualifying in fair value and cash flow hedges representing the amount, if any, excluded from the assessment of hedge effectiveness that is recognized in earnings. When disclosing this amount, an entity shall disclose separately amounts that are recognized in earnings through an amortization approach in accordance with paragraph 815-20-25-83A and amounts recognized through changes in fair value in earnings in accordance with paragraph 815-20-25-83B. - 1
- 2
- e
- f
The gains and losses reclassified into earnings as a result of the discontinuance of cash flow hedges because it is probable that the original forecasted transactions will not occur by the end of the originally specified time period or within the additional period of time discussed in paragraphs . - g
An entity shall present separately by type of contract (as discussed in paragraph 815-10-50-4D) the gains and losses disclosed in accordance with paragraph 815-10-50-4A(b) for derivative instruments not designated or qualifying as hedging instruments under Topic 815 (see paragraph 815-10-50-4F). (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, an entity shall present separately by type of contract (as discussed in paragraph 815-10-50-4D) the gains and losses disclosed in accordance with paragraph 815-10-50-4A(b) for derivative instruments not designated or qualifying as hedging instruments under Topic 815 (see paragraph 815-10-50-4F).For qualifying net investment hedges, an entity shall present the gains and losses disclosed in accordance with paragraph 815-10-50-4A(b) separately for all of the following by type of contract (as discussed in paragraph 815-10-50-4D):- a
The gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges that were recognized in the cumulative translation adjustment section of other comprehensive income during the current period
- b
The gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges recorded in the cumulative translation adjustment section of accumulated other comprehensive income during the term of the hedging relationship and reclassified into earnings during the current period
- c
The portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges representing the amount, if any, excluded from the assessment of hedge effectiveness.
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For qualifying net investment hedges, an entity shall present the gains and losses disclosed in accordance with paragraph 815-10-50-4A(b) separately for all of the following by type of contract (as discussed in paragraph 815-10-50-4D)in interim and annual reporting periods:- a
The gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges that were recognized in the cumulative translation adjustment section of other comprehensive income during the current period
- b
The gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges recorded in the cumulative translation adjustment section of accumulated other comprehensive income during the term of the hedging relationship and reclassified into earnings during the current period
- c
The portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges representing the amount, if any, excluded from the assessment of hedge effectiveness.
Disclosures pursuant to paragraphs
815-10-50-4C through 50-4CCC shall both:
- a
Be presented separately by type of contract, for example:
- 1
Interest rate contracts
- 2
Foreign exchange contracts
- 3
Equity contracts
- 4
Commodity contracts
- 5
Credit contracts
- 6
Other contracts.
- b
Identify the line item(s) in the statement of financial performance in which the gains and losses for these categories of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) are included.
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, disclosures pursuant to paragraphs
815-10-50-4C through 50-4CCC shall both:
- a
Be presented separately by type of contract, for example:
- 1
Interest rate contracts
- 2
Foreign exchange contracts
- 3
Equity contracts
- 4
Commodity contracts
- 5
Credit contracts
- 6
Other contracts.
- b
Identify the line item(s) in the statement of financial performance in which the gains and losses for these categories of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments pursuant to paragraphs 815-20-25-58 and 815-20-25-66) are included.
The quantitative disclosures required by paragraphs 815-10-50-4A through 50-4CCC shall be presented in tabular format.If a proportion of a derivative instrument is designated and qualifying as a hedging instrument and a proportion is not designated and qualifying as a hedging instrument, an entity shall allocate the related amounts to the appropriate categories within the disclosure tables. Example 21 (see paragraph 815-10-55-182) illustrates the disclosures described in paragraphs . (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, the quantitative disclosures required by paragraphs 815-10-50-4A through 50-4CCC shall be presented in tabular format.If a proportion of a derivative instrument is designated and qualifying as a hedging instrument and a proportion is not designated and qualifying as a hedging instrument, an entity shall allocate the related amounts to the appropriate categories within the disclosure tables. Example 21 (see paragraph 815-10-55-182) illustrates the disclosures described in paragraphs .An entity shall disclose in tabular format the following for items designated and qualifying as hedged items in fair value hedges:- a
The carrying amount of hedged assets and liabilities recognized in the statement of financial position. For an available-for-sale debt security, the amount disclosed is the amortized cost basis.
- b
The cumulative amount of fair value hedging adjustments to hedged assets and liabilities included in the carrying amount of the hedged assets and liabilities recognized in the statement of financial position.
- c
The line item in the statement of financial position that includes the hedged assets and liabilities.
- d
The cumulative amount of fair value hedging adjustments remaining for any hedged assets and liabilities for which hedge accounting has been discontinued.
The disclosures required by (b) and (d) shall exclude cumulative basis adjustments related to foreign exchange risk. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, an entity shall disclose in tabular format the following for items designated and qualifying as hedged items in fair value hedges:- a
The carrying amount of hedged assets and liabilities recognized in the statement of financial position. For an available-for-sale debt security, the amount disclosed is the amortized cost basis.
- b
The cumulative amount of fair value hedging adjustments to hedged assets and liabilities included in the carrying amount of the hedged assets and liabilities recognized in the statement of financial position.
- c
The line item in the statement of financial position that includes the hedged assets and liabilities.
- d
The cumulative amount of fair value hedging adjustments remaining for any hedged assets and liabilities for which hedge accounting has been discontinued.
The disclosures required by (b) and (d) shall exclude cumulative basis adjustments related to foreign exchange risk. For each line item disclosed in accordance with paragraph 815-10-50-4EE(c) that includes hedging relationships designated under the portfolio layer method in accordance with paragraph 815-20-25-12A, the following information shall be disclosed separately:- a
The amortized cost basis of the closed portfolio(s) of financial assets or the beneficial interest(s)
- b
The amount that represents the hedged item(s) (that is, the hedged layer or layers) - c
The basis adjustment associated with the hedged item(s) (that is, the hedged layer or layers).
Example 20 (see paragraph 815-10-55-181) illustrates these disclosures. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For each line item disclosed in accordance with paragraph 815-10-50-4EE(c) that includes hedging relationships designated under the portfolio layer method in accordance with paragraph 815-20-25-12A, the following information shall be disclosed separately in interim and annual reporting periods:- a
The amortized cost basis of the closed portfolio(s) of financial assets or the beneficial interest(s)
- b
The amount that represents the hedged item(s) (that is, the hedged layer or layers) - c
The basis adjustment associated with the hedged item(s) (that is, the hedged layer or layers).
Example 20 (see paragraph 815-10-55-181) illustrates these disclosures.For derivative instruments that are not designated or qualifying as hedging instruments under Subtopic 815-20, if an entity's policy is to include those derivative instruments in its trading activities (for example, as part of its trading portfolio that includes both derivative instruments and nonderivative or cash instruments), the entity can elect to not separately disclose gains and losses as required by paragraph 815-10-50-4CC provided that the entity discloses all of the following:- a
The gains and losses on its trading activities (including both derivative instruments and nonderivative instruments) recognized in the statement of financial performance, separately by major types of items, for example:
- 1
Fixed income/interest rates
- 2
Foreign exchange
- 3
Equity
- 4
Commodity
- 5
Credit.
- b
The line items in the statement of financial performance in which trading activities gains and losses are included
- c
A description of the nature of its trading activities and related risks, and how the entity manages those risks.
If the disclosure option in this paragraph is elected, the entity shall include a footnote in the required tables referencing the use of alternative disclosures for trading activities. Example 21 (see paragraph
815-10-55-182) illustrates a footnote referencing the use of alternative disclosures for trading activities.
Example 22 (see paragraph 815-10-55-184) illustrates the disclosure of the information required in items (a) and (b). (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For derivative instruments that are not designated or qualifying as hedging instruments under Subtopic 815-20, if an entity's policy is to include those derivative instruments in its trading activities (for example, as part of its trading portfolio that includes both derivative instruments and nonderivative or cash instruments), the entity can elect to not separately disclose gains and losses as required by paragraph 815-10-50-4CC provided that the entity discloses all of the following in interim and annual reporting periods: - a
The gains and losses on its trading activities (including both derivative instruments and nonderivative instruments) recognized in the statement of financial performance, separately by major types of items, for example:
- 1
Fixed income/interest rates
- 2
Foreign exchange
- 3
Equity
- 4
Commodity
- 5
Credit.
- b
The line items in the statement of financial performance in which trading activities gains and losses are included
- c
A description of the nature of its trading activities and related risks, and how the entity manages those risks.
If the disclosure option in this paragraph is elected, the entity shall include a footnote in the required tables referencing the use of alternative disclosures for trading activities. Example 21 (see paragraph
815-10-55-182) illustrates a footnote referencing the use of alternative disclosures for trading activities.
Example 22 (see paragraph 815-10-55-184) illustrates the disclosure of the information required in items (a) and (b).For purposes of the disclosure requirements beginning in paragraph
815-10-50-4A,
not-for-profit entities within the scope of Topic 954 should present a similarly formatted table. Those entities shall refer to amounts within their performance indicator, instead of in income, and amounts outside their performance indicator, instead of in other comprehensive income. Not-for-profit entities not within the scope of Topic 954 shall disclose the gain or loss recognized in changes in net assets using a similar format. All not-for-profit entities also would indicate which class or classes of net assets (without donor restrictions or with donor restrictions) are affected.(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For purposes of the disclosure requirements beginning in paragraph
815-10-50-4A,
not-for-profit entities within the scope of Topic 954 should present a similarly formatted table. Those entities shall refer to amounts within their performance indicator, instead of in income, and amounts outside their performance indicator, instead of in other comprehensive income. Not-for-profit entities not within the scope of Topic 954 shall disclose the gain or loss recognized in changes in net assets using a similar format. All not-for-profit entities also would indicate which class or classes of net assets (without donor restrictions or with donor restrictions) are affected. The disclosures in this paragraph are required in interim and annual reporting periods.A seller of credit derivatives shall disclose information about its credit derivatives and hybrid instruments (for example, a credit-linked note) that have embedded credit derivativesto enable users of financial statements to assess their potential effect on its financial position, financial performance, and cash flows. Specifically, for each statement of financial position presented, the seller of a credit derivative shall disclose all of the following information for each credit derivative, or each group of similar credit derivatives, even if the likelihood of the seller's having to make any payments under the credit derivative is remote:- a
The nature of the credit derivative, including all of the following:
- 1
The approximate term of the credit derivative
- 2
The reason(s) for entering into the credit derivative
- 3
The events or circumstances that would require the seller to perform under the credit derivative
- 4
The current status (that is, as of the date of the statement of financial position) of the payment/performance risk of the credit derivative, which could be based on either recently issued external credit ratings or current internal groupings used by the seller to manage its risk
- 5
If the entity uses internal groupings for purposes of item (a)(4), how those groupings are determined and used for managing risk.
- b
All of the following information about the maximum potential amount of future payments under the credit derivative:
- 1
The maximum potential amount of future payments (undiscounted) that the seller could be required to make under the credit derivative, which shall not be reduced by the effect of any amounts that may possibly be recovered under recourse or collateralization provisions in the credit derivative (which are addressed in items (c) through (f))
- 2
The fact that the terms of the credit derivative provide for no limitation to the maximum potential future payments under the contract, if applicable
- 3
If the seller is unable to develop an estimate of the maximum potential amount of future payments under the credit derivative, the reasons why it cannot estimate the maximum potential amount.
- c
The fair value of the credit derivative as of the date of the statement of financial position
- d
The nature of any recourse provisions that would enable the seller to recover from third parties any of the amounts paid under the credit derivative
- e
The nature of any assets held either as collateral or by third parties that, upon the occurrence of any specified triggering event or condition under the credit derivative, the seller can obtain and liquidate to recover all or a portion of the amounts paid under the credit derivative
- f
If estimable, the approximate extent to which the proceeds from liquidation of assets held either as collateral or by third parties would be expected to cover the maximum potential amount of future payments under the credit derivative. In its estimate of potential recoveries, the seller of credit protection shall consider the effect of any purchased credit protection with identical underlying(s).
However, the disclosures required by this paragraph do not apply to an embedded derivative feature related to the transfer of credit risk that is only in the form of subordination of one financial instrument to another, as described in paragraph 815-15-15-9. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, a seller of credit derivatives shall disclose information about its credit derivatives and hybrid instruments (for example, a credit-linked note) that have embedded credit derivativesto enable users of financial statements to assess their potential effect on its financial position, financial performance, and cash flows. Specifically, for each statement of financial position presented, the seller of a credit derivative shall disclose all of the following information for each credit derivative, or each group of similar credit derivatives, even if the likelihood of the seller's having to make any payments under the credit derivative is remote:- a
The nature of the credit derivative, including all of the following:
- 1
The approximate term of the credit derivative
- 2
The reason(s) for entering into the credit derivative
- 3
The events or circumstances that would require the seller to perform under the credit derivative
- 4
The current status (that is, as of the date of the statement of financial position) of the payment/performance risk of the credit derivative, which could be based on either recently issued external credit ratings or current internal groupings used by the seller to manage its risk
- 5
If the entity uses internal groupings for purposes of item (a)(4), how those groupings are determined and used for managing risk.
- b
All of the following information about the maximum potential amount of future payments under the credit derivative:
- 1
The maximum potential amount of future payments (undiscounted) that the seller could be required to make under the credit derivative, which shall not be reduced by the effect of any amounts that may possibly be recovered under recourse or collateralization provisions in the credit derivative (which are addressed in items (c) through (f))
- 2
The fact that the terms of the credit derivative provide for no limitation to the maximum potential future payments under the contract, if applicable
- 3
If the seller is unable to develop an estimate of the maximum potential amount of future payments under the credit derivative, the reasons why it cannot estimate the maximum potential amount.
- c
The fair value of the credit derivative as of the date of the statement of financial position
- d
The nature of any recourse provisions that would enable the seller to recover from third parties any of the amounts paid under the credit derivative
- e
The nature of any assets held either as collateral or by third parties that, upon the occurrence of any specified triggering event or condition under the credit derivative, the seller can obtain and liquidate to recover all or a portion of the amounts paid under the credit derivative
- f
If estimable, the approximate extent to which the proceeds from liquidation of assets held either as collateral or by third parties would be expected to cover the maximum potential amount of future payments under the credit derivative. In its estimate of potential recoveries, the seller of credit protection shall consider the effect of any purchased credit protection with identical underlying(s).
However, the disclosures required by this paragraph do not apply to an embedded derivative feature related to the transfer of credit risk that is only in the form of subordination of one financial instrument to another, as described in paragraph 815-15-15-9.One way to present the information required by paragraph 815-10-50-4K for groups of similar credit derivatives would be first to segregate the disclosures by major types of contracts (for example, single-name credit default swaps, traded indexes, other portfolio products, and swaptions) and then, for each major type, provide additional subgroups for major types of referenced (or underlying) asset classes (for example, corporate debt, sovereign debt, and structured finance). With respect to hybrid instruments that have embedded credit derivatives, the seller of the embedded credit derivative shall disclose the information required by paragraph 815-10-50-4K for the entire hybrid instrument, not just the embedded credit derivatives. (P) December 16, 2027; (N) December 16, 2028
270-10-65-1One way to present the information required by paragraph 815-10-50-4K for groups of similar credit derivatives would be first to segregate the disclosures by major types of contracts (for example, single-name credit default swaps, traded indexes, other portfolio products, and swaptions) and then, for each major type, provide additional subgroups for major types of referenced (or underlying) asset classes (for example, corporate debt, sovereign debt, and structured finance). With respect to hybrid instruments that have embedded credit derivatives, the seller of the embedded credit derivative shall disclose the information required by paragraph 815-10-50-4K for the entire hybrid instrument, not just the embedded credit derivatives. The disclosures in this paragraph are required in interim and annual reporting periods. The quantitative disclosures about derivative instruments may be more useful, and less likely to be perceived to be out of context or otherwise misunderstood, if similar information is disclosed about other financial instruments or nonfinancial assets and liabilities to which the derivative instruments are related by activity. Accordingly, in those situations, an entity is encouraged, but not required, to present a more complete picture of its activities by disclosing that information.
For hedging relationships designated under the portfolio layer method, if the outstanding amount of the closed portfolio is less than the hedged layer or layers in accordance with paragraph 815-25-40-8(b) (that is, a breach occurred), an entity shall disclose:- a
The amount of the hedge basis adjustment recognized in current-period interest income because of the breach
- b
The circumstances that led to the breach.
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For hedging relationships designated under the portfolio layer method, if the outstanding amount of the closed portfolio is less than the hedged layer or layers in accordance with paragraph 815-25-40-8(b) (that is, a breach occurred), an entity shall disclose in interim and annual reporting periods the following:- a
The amount of the hedge basis adjustment recognized in current-period interest income because of the breach
- b
The circumstances that led to the breach.
A reporting entity shall disclose the amounts recognized at the end of each reporting period for the right to reclaim cash collateral or the obligation to return cash collateral as follows: - a
A reporting entity that has made an accounting policy decision to offset fair value amounts shall separately disclose amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral that have been offset against net derivative positions in accordance with paragraph 815-10-45-5. - b
A reporting entity shall separately disclose amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral under master netting arrangements that have not been offset against net derivative instrument positions.
- c
A reporting entity that has made an accounting policy decision to not offset fair value amounts shall separately disclose the amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral under master netting arrangements.
(P) December 16, 2027; (N) December 16, 2028
270-10-65-1For interim and annual reporting periods, a reporting entity shall disclose the amounts recognized at the end of each reporting period for the right to reclaim cash collateral or the obligation to return cash collateral as follows: - a
A reporting entity that has made an accounting policy decision to offset fair value amounts shall separately disclose amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral that have been offset against net derivative positions in accordance with paragraph 815-10-45-5. - b
A reporting entity shall separately disclose amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral under master netting arrangements that have not been offset against net derivative instrument positions.
- c
A reporting entity that has made an accounting policy decision to not offset fair value amounts shall separately disclose the amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral under master netting arrangements.
(P) June 30, 2027; (N) June 30, 2027
105-10-65-7See paragraph 230-10-50-9 for disclosure requirements related to where cash flows associated with derivative instruments and their related gains and losses are presented in the statement of cash flows. An entity shall disclose its accounting policy for the premium paid (time value) to acquire an option that is classified as held to maturity or available for sale.