浅谈公允价值计量属性在新准则中的应用外文文献.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