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Chapter 6 — Presentation and Disclosures

6.6 Disclosures

6.6 Disclosures

The disclosure requirements of ASC 815 apply to all interim and annual reporting periods for which a balance sheet and income statement are presented. For the remainder of the discussion about disclosures, all references to qualifying hedging instruments include both derivatives and nonderivative instruments that are designated in qualifying hedging relationships. Since this Roadmap focuses on hedge accounting, it does not discuss the disclosure requirements in ASC 815-10-50-4J through 50-4L for entities that write credit derivatives. For information about the disclosure requirements related to fair value measurements, see Deloitte’s Roadmap Fair Value Measurements and Disclosures (Including the Fair Value Option).

Footnotes

1
For example, some contracts give entities the ability to seek “performance assurance” in an amount determined in a commercially reasonable manner if and when the counterparty experiences a change in condition (financial or otherwise) that can be reasonably expected to impair the counterparty’s ability to fulfill its obligations. These clauses do not cite specific trigger events (e.g., downgrade events) and do not prescribe specific dollar amounts or percentages of contract value that must be posted as performance assurance.
2
This guidance addresses disclosure requirements under ASC 815. If there is substantial doubt about an entity’s ability to continue as a going concern, it would most likely be required to provide additional disclosures, including disclosures that indicate the consequences of bankruptcy or liquidation. Going-concern considerations are beyond the scope of this guidance.
3
ASC 815-10-50-4H(c) requires entities to disclose the “aggregate fair value amounts of derivative instruments . . . that contain credit-risk-related contingent features that are in a net liability position at the end of the reporting period.”
4
When determining amounts already posted, an entity may need to allocate posted collateral among derivative and nonderivative positions (e.g., if collateral is posted for a net relationship liability under a master netting arrangement and the relationship consists of derivatives and nonderivatives). Allocation approaches should be reasonable and consistently applied. For guidance on allocation methods under ASC 815-10-45-1 through 45-7 and ASC 210-20-45-1 through 45-5, see Section 6.2.1.1.5).
5
For simplicity, it is assumed in the examples below that collateral requirements are calculated by reference to the GAAP fair value of the contract (or the portfolio when master netting arrangements are considered) as of the balance sheet date. If contracts (or master netting arrangements) require posting of collateral on a different basis, an entity should use the basis prescribed in the contract to develop the disclosures under ASC 815-10-50-4H(d)–(f). It is also assumed in the examples that the most a counterparty can request is 100 percent collateralization.