公允价值英文文献整理版

April 17, 2021, 10:26 a.m. 文档页面

【文章导读】FAIR VALUE ACCOUNTING IN THE BANKING SECTOR Mary Pacaperscu The Financial Instruments Joint Working Group (JWG) of Standard Setters

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FAIRVALUEACCOUNTINGINTHEBANKINGSECTOR MaryPacaperscu TheFinancialInstrumentsJointWorkingGroup(JWG)ofStandardSettersissuedinDecember2000theconsultativedocumententitled“DraftStandardandBasisforConclusions–FinancialInstrumentsandSimilarItems”.TheDraftStandardreviewsandassessesanextensiveuseoffairvalueaccounting(FVA)asthebasisforthevaluationofallfinancialinstrumentsinabank’sbalancesheet。

TheworkoftheJWGislinkedtothelongtermstrategyoftheInternationalAccountingStandardsCommittee(IASC)–recentlyreplacedbytheInternationalAccountingStandardsBoard(IASB)–tointroduceacomprehensiveFVAframeworkfortherecognitionandmeasurementoffinancialinstruments.TheJWGinvitedcommentsontheDraftStandardfromallinterestedpartiesby30September2001。

TheIASBwillevaluatethelongtermprospectsofFVAinthelightofthecommentsreceived. ThisnoteconveysthecommentsoftheEuropeanCentralBank(ECB)onanimportantdimensionoftheproposalputforwardbytheJWG,notablytheapplicationofFVAtothebankingsector.AfterreviewingthemaininnovationsoftheDraftStandard,thenotefocusesonthecriticalaspectsassociatedwiththeapplicationofafullFVAregimetothebankingsectorandpresentsapossiblewayforward。

I.ThemaininnovationsoftheDraftStandardforthebankingsector ThepresentaccountingrulesforbanksintheEuropeanUniondistinguishbetweenfinancialinstrumentsheldfortradingpurposes(inthetradingbook)andthoseintendedtobeheldtomaturity(inthebankingbook).Instrumentsheldinthetradingbookarevaluedatmarketprices.Aprofitand/orlossarisingfromtherevaluationoftradingbookinstrumentsisrecognisedintheprofitandlossaccount。

Theaccountingrulesforthetradingbooktherebytakeallmarketrisks(i.e.pricerisk,interestraterisk,foreignexchangeriskandliquidityrisk)intoaccount.Bankingbookinstruments,bycontrast,arecarriedinthebalancesheetatthelowerofhistoricalcostandmarketvalue.Whereasalossonabankingbookinstrumentistransferredtotheprofitandlossaccount。

unrealisedgainsarenotrecognisedandcanthereforebecomehiddenreservesinthebalancesheet.Therefore,theaccountingrulesforthebankingbookdonottakemarketrisksintoaccount(exceptfortheforeignexchangerisk,wheretheendperiodvalueisusuallyappliedtoalmostallbalancesheetitems). TheDraftStandardproposesauniformruleforallfinancialinstruments。

Theassetsandliabilitiesarecarriedinthebalancesheetatmarketvalues,iftheyareavailable,oratfairvaluescalculatedasanapproximationofthemarketvaluebyusingapresentvaluemodelfordiscountingtheexpectedfuturecashflow.Forbanks,thiswouldimplythatthetradingandbankingbookswouldreceiveequalaccountingtreatment,wherebyallchangesinvaluewouldberecognisedinthebalancesheetandtransferredtotheprofitandlossaccount。

Theforeseenrevaluationappliesirrespectiveofwhetheraprofitorlosshasbeenrealisedorremainsunrealisedbecauseallinstrumentsareeithermarkedtomarketorthefairvalueisestimated.Thehiddenreservesthatmayariseundertheexistingaccountingrulesthusdisappear.Marketriskswouldbetakenintoaccountwhencalculatingthevalueoffinancialinstrumentsinboththetradingandthebankingbook。

II.Criticalaspects Accordingtoitsproponents,anFVAregimemayconstitute,fromaconceptualpointofview,analternativeapproachtoreportingfinancialperformanceinordertoavoidsomeoftheproblemsassociatedwiththecurrenthistoricalcostaccounting.Oneofitsmainadvantageswouldbetoenhancethedegreeoftransparencyoffinancialstatements。

However,thispointofviewremainstheoreticalduetotheabsenceofhomogeneityandthereforecomparabilityinFVAmethodologies.Furthermore,thepossibleconcreteapplicationofafullFVAregime(applyingtoallassetsandliabilities)tothebankingsectorgivesrisetosomeseriousproblemsandconcerns. TheapplicationofFVAmaybesuitableforthetradingbookofbanks。

whichreferstotransactions(buyingandselling)ofmarketablesecuritiesandrelatedinstrumentswiththeobjectiveofmakingaprofitfromshorttermpricevariations.Theuseoffairvalueforthesetransactionsisconsistentwiththeavailabilityofmarketpricesandtheshorttermhorizon.However,theapplicationofFVAtothebankingbookofbanks。

i.e.tononnegotiableinstrumentssuchasloans,appearstobeinappropriateforatleastthreemainreasons. First,theissueofrelevance.FVAprinciplesdonotreflectproperlythewayinwhichbanksmanagetheircorebusiness,namelythegrantingofloans.Theessenceofbankmanagementinthisarealiesintakinglongtermdecisionsaboutcreditqualityandconcentrationandfosteringcustomerrelationshipsoverthelifeofthecontracts。

ItislessconcernedaboutshorttermvariationsthatrepresentthebasisfortheuseofFVAprinciples.Therefore,thereisthepossibilitythattheintroductionofFVAforthebankingbookmightinprinciplecreateincentivesforbankstoaltertheircorebusiness.Thiswouldbethecaseifbanksdecidedtoreducetheirexposuretoincreasedvolatilityofincome(stemmingfromtheaccountingrecognitionofinterestrateriskinthebankingbook)byshorteningtheaveragematurityofloans。

Otherwaystoachievethesamegoalwouldbetherecoursetohedgingtechniquesandtheincreaseduseofvariableinterestrates.Thedecisiontoreducetheaveragematurityofloanswoulddependalsoonotherfactors,includingthenatureofcustomerdemandandthespecificcoststructureofindividualbanks. Second,theissueoffeasibility.Thereareseriousdoubtsthatanadequatefairvaluecanbedeterminedforbankloans。

whicharenonnegotiableinstrumentspreciselybecausetheyembodyelementsthatcannotbeeasilyquantifiedinastandardisedmanner.First,thereare,bydefinition,nosecondarymarketsfortheseinstruments.Thisisparticularlytruewherecreditriskmarketsdonotappeartobesufficientlydeepandliquidforthepurposeconcerned.Second,somerelevantinformationforthedeterminationofthefairvalueofloans(i。

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