浅谈公允价值计量属性在新准则中的应用外文文献Word下载.docx

浅谈公允价值计量属性在新准则中的应用外文文献Word下载.docx

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浅谈公允价值计量属性在新准则中的应用外文文献@#@外文文献：

@#@@#@FAIRVALUEACCOUNTINGINTHEBANKINGSECTOR@#@TheFinancialInstrumentsJointWorkingGroup（JWG）ofStandardSettersissuedinDecember2000theconsultativedocumententitled“DraftStandardandBasisforConclusions–FinancialInstrumentsandSimilarItems”.TheDraftStandardreviewsandassessesanextensiveuseoffairvalueaccounting（FVA）asthebasisforthevaluationofallfinancialinstrumentsinabank’sbalancesheet.TheworkoftheJWGislinkedtothelong-termstrategyoftheInternationalAccountingStandardsCommittee（IASC）–recentlyreplacedbytheInternationalAccountingStandardsBoard（IASB）–tointroduceacomprehensiveFVAframeworkfortherecognitionandmeasurementoffinancialinstruments.TheJWGinvitedcommentsontheDraftStandardfromallinterestedpartiesby30September2001.TheIASBwillevaluatethelong-termprospectsofFVAinthelightofthecommentsreceived.@#@ThisnoteconveysthecommentsoftheEuropeanCentralBank（ECB）onanimportantdimensionoftheproposalputforwardbytheJWG,notablytheapplicationofFVAtothebankingsector.AfterreviewingthemaininnovationsoftheDraftStandard,thenotefocusesonthecriticalaspectsassociatedwiththeapplicationofafullFVAregimetothebankingsectorandpresentsapossiblewayforward.@#@ThemaininnovationsoftheDraftStandardforthebankingsector@#@ThepresentaccountingrulesforbanksintheEuropeanUniondistinguishbetweenfinancialinstrumentsheldfortradingpurposes（inthetradingbook）andthoseintendedtobeheldtomaturity（inthebankingbook）.Instrumentsheldinthetradingbookarevaluedatmarketprices.Aprofitand/orlossarisingfromtherevaluationoftradingbookinstrumentsisrecognisedintheprofitandlossaccount.Theaccountingrulesforthetradingbooktherebytakeallmarketrisks（i.e.pricerisk,interestraterisk,foreignexchangeriskandliquidityrisk）intoaccount.Bankingbookinstruments,bycontrast,arecarriedinthebalancesheetatthelowerofhistoricalcostandmarketvalue.Whereasalossonabankingbookinstrumentistransferredtotheprofitandlossaccount,unrealisedgainsarenotrecognisedandcanthereforebecomehiddenreservesinthebalancesheet.Therefore,theaccountingrulesforthebankingbookdonottakemarketrisksintoaccount（exceptfortheforeignexchangerisk,wheretheend-periodvalueisusuallyappliedtoalmostallbalancesheetitems）.@#@TheDraftStandardproposesauniformruleforallfinancialinstruments.Theassetsandliabilitiesarecarriedinthebalancesheetatmarketvalues,iftheyareavailable,oratfairvaluescalculatedasanapproximationofthemarketvaluebyusingapresentvaluemodelfordiscountingtheexpectedfuturecashflow.Forbanks,thiswouldimplythatthetradingandbankingbookswouldreceiveequalaccountingtreatment,wherebyallchangesinvaluewouldberecognisedinthebalancesheetandtransferredtotheprofitandlossaccount.Theforeseenrevaluationappliesirrespectiveofwhetheraprofitorlosshasbeenrealisedorremainsunrealisedbecauseallinstrumentsareeithermarkedtomarketorthefairvalueisestimated.Thehiddenreservesthatmayariseundertheexistingaccountingrulesthusdisappear.Marketriskswouldbetakenintoaccountwhencalculatingthevalueoffinancialinstrumentsinboththetradingandthebankingbook.@#@Criticalaspects@#@Accordingtoitsproponents,anFVAregimemayconstitute,fromaconceptualpointofview,analternativeapproachtoreportingfinancialperformanceinordertoavoidsomeoftheproblemsassociatedwiththecurrenthistoricalcostaccounting.Oneofitsmainadvantageswouldbetoenhancethedegreeoftransparencyoffinancialstatements.However,thispointofviewremainstheoreticalduetotheabsenceofhomogeneityandthereforecomparabilityinFVAmethodologies.Furthermore,thepossibleconcreteapplicationofafullFVAregime（applyingtoallassetsandliabilities）tothebankingsectorgivesrisetosomeseriousproblemsandconcerns.@#@TheapplicationofFVAmaybesuitableforthetradingbookofbanks,whichreferstotransactions（buyingandselling）ofmarketablesecuritiesandrelatedinstrumentswiththeobjectiveofmakingaprofitfromshort-termpricevariations.Theuseoffairvalueforthesetransactionsisconsistentwiththeavailabilityofmarketpricesandtheshort-termhorizon.However,theapplicationofFVAtothebankingbookofbanks,i.e.tonon-negotiableinstrumentssuchasloans,appearstobeinappropriateforatleastthreemainreasons.@#@First,theissueofrelevance.FVAprinciplesdonotreflectproperlythewayinwhichbanksmanagetheircorebusiness,namelythegrantingofloans.Theessenceofbankmanagementinthisarealiesintakinglong-termdecisionsaboutcreditqualityandconcentrationandfosteringcustomerrelationshipsoverthelifeofthecontracts.Itislessconcernedaboutshort-termvariationsthatrepresentthebasisfortheuseofFVAprinciples.Therefore,thereisthepossibilitythattheintroductionofFVAforthebankingbookmightinprinciplecreateincentivesforbankstoaltertheircorebusiness.Thiswouldbethecaseifbanksdecidedtoreducetheirexposuretoincreasedvolatilityofincome（stemmingfromtheaccountingrecognitionofinterestrateriskinthebankingbook）byshorteningtheaveragematurityofloans.Otherwaystoachievethesamegoalwouldbetherecoursetohedgingtechniquesandtheincreaseduseofvariableinterestrates.Thedecisiontoreducetheaveragematurityofloanswoulddependalsoonotherfactors,includingthenatureofcustomerdemandandthespecificcoststructureofindividualbanks.@#@Second,theissueoffeasibility.Thereareseriousdoubtsthatanadequatefairvaluecanbedeterminedforbankloans,whicharenon-negotiableinstrumentspreciselybecausetheyembodyelementsthatcannotbeeasilyquantifiedinastandardisedmanner.First,thereare,bydefinition,nosecondarymarketsfortheseinstruments.Thisisparticularlytruewherecreditriskmarketsdonotappeartobesufficientlydeepandliquidforthepurposeconcerned.Second,somerelevantinformationforthedeterminationofthefairvalueofloans（i.e.thatstemmingfromthebilateralrelationshipbetweentheborrowerandthelender）wouldneverbepricedinamarket.Third,theestimationtechniquescurrentlyavailable（includingtheoneproposedintheDraftStandard）sufferfrommethodologicalproblems（e.g.modellingofnon-interestincome,appropriatediscountrate,etc.）,whichincreasetherisksoferror.Accordingly,theydonotrepresentaneffectivebenchmarkforobtainingreliablefairvaluesforloans.Therefore,theapplicationofFVAtobankloanswouldgiverisetomanyuncertaintieshinderingandworkingagainstthetransparencyandcomparabilityoffinancialstatements.Itisacknowledged,however,thatthecurrentandfuturedevelopmentsinbanks’creditriskmanagementsystems–recognisedalsointhenewcapitaladequacyregimeproposedbytheBaselCommitteeonBankingSupervision–mayprovideaccountingstandard-setterswithusefulelementstorefinetheirmethodologies,inparticularregardingthemeasurementofcreditrisk.@#@DoubtsarealsoraisedwithregardtotheapplicationofFVAtotheliabilitysideofbanks.Forinstance,thesuggestedmethodology（theso-called“owncreditrisk”）todeterminethefairvalueofdebtinstrumentsissuedbybanksentailsthat,iftheratingofabankdeteriorates,thevalueofitsequitywillultimatelyincrease（sincethedifferenceinrevaluationofdebtinstrumentsisaccountedintheprofitandlossaccount）.Thisoutcomeiscounter-intuitiveandcanbemisleadingforshareholdersandcreditors.@#@Third,theissueofprudence.TheuseofFVAinthebankingbookwouldentailthatpotentialprofitsandlosseswouldbetreatedinthesameway,bybeingrecognisedassoonastheyemerge.Thisgoesagainsttheprincipleofprudenceaccordingtowhichlossesstemmingfromthebankingbookshouldberecognisedassoonastheyareknown,evenifonlypotential,whereasprofitsshouldberecognisedonlyiftheyareactuallyrealised.Potentialprofitsshouldberecognisedonlyformarketableinstruments.Therefore,thereisthepossibilitythattheapplicationofFVAtothebankingbookmightinducebankstoadoptanimprudentbehaviour.Thisisacrucialaspectalsofromtheviewpointofthebankingsupervisoryfunction.@#@Possiblewayforward@#@Inlightofthecriticalaspectsmentionedabove,theECBhasanegativestancetowardsthepossibilityofapplyinganFVAregimetothebankingbookofbanks.Againstthisbackground,thefollowingdevelopmentscouldbeconsideredinordertomakeaconstructiveuseofthevalidargumentsthatliebehindFVA.@#@Afirstdevelopmentwouldentailthat,whereasFVAwouldnotberecognisedasanaccountingstandardforthebankingbookofbanks,supervisoryauthoritiesmightuseitasasupplementaryinstrumenttocomplementtheirassessmentofthesituationofindividualcreditinstitutions.@#@Aseconddevelopmentinvolvestheadoptionbybanksoftheso-called“dynamicprovisioning”.Thisentailsrecognisingthataproportionoftheloanportfoliocandeteriorateinthefutureandthatthisproportioncanbemeasuredexanteonthebasisofaspecificstatisticalanalysis.Itwouldalsoinvolvethedisclosurebybanksoftheresultsofstress-testanalysesconductedontheinterestratesensitivityofthebankingbook.Thisapproachwouldallowtwocriticismsassociatedwiththecurrentaccountingstandardstobeovercome,notablythatpotentialcreditlossesremainhiddenuntilsignsofdeteriorationareevidentandthatmarketparticipantshaveinsufficientinformationabouttheint