The terms financial reports and consolidated financial reports are used to refer to a document which would include the financial statements but which would also include items such  a management discussion and analysis section, a statement of program performance measures, required supplemental information or required supplementary stewardship information not included in the financial statements or other supplemental financial and management information.
These types of reports give an overall view of the health of the company by compiling not just the numbers, but also the 'personality' of the company.