浅谈公允价值计量属性在新准则中的应用外文文献.doc

外文文献：FAIR VALUE ACCOUNTING IN THE BANKING SECTORThe Financial Instruments Joint Working Group (JWG) of Standard Setters issued in December 2000 the consultative document entitled “Draft Standard and Basis for Conclusions Financial Instruments and Similar Items”. The Draft Standard reviews and assesses an extensive use of fair value accounting (FVA) as the basis for the valuation of all financial instruments in a banks balance sheet. The work of the JWG is linked to the long-term strategy of the International Accounting Standards Committee (IASC) recently replaced by the International Accounting Standards Board (IASB) to introduce a comprehensive FVA framework for the recognition and measurement of financial instruments. The JWG invited comments on the Draft Standard from all interested parties by 30 September 2001. The IASB will evaluate the long-term prospects of FVA in the light of the comments received.This note conveys the comments of the European Central Bank (ECB) on an important dimension of the proposal put forward by the JWG, notably the application of FVA to the banking sector. After reviewing the main innovations of the Draft Standard, the note focuses on the critical aspects associated with the application of a full FVA regime to the banking sector and presents a possible way forward.The main innovations of the Draft Standard for the banking sectorThe present accounting rules for banks in the European Union distinguish between financial instruments held for trading purposes (in the trading book) and those intended to be held to maturity (in the banking book). Instruments held in the trading book are valued at market prices. A profit and/or loss arising from the revaluation of trading book instruments is recognised in the profit and loss account. The accounting rules for the trading book thereby take all market risks (i.e. price risk, interest rate risk, foreign exchange risk and liquidity risk) into account. Banking book instruments, by contrast, are carried in the balance sheet at the lower of historical cost and market value. Whereas a loss on a banking book instrument is transferred to the profit and loss account, unrealised gains are not recognised and can therefore become hidden reserves in the balance sheet. Therefore, the accounting rules for the banking book do not take market risks into account (except for the foreign exchange risk, where the end-period value is usually applied to almost all balance sheet items).The Draft Standard proposes a uniform rule for all financial instruments. The assets and liabilities are carried in the balance sheet at market values, if they are available, or at fair values calculated as an approximation of the market value by using a present value model for discounting the expected future cash flow. For banks, this would imply that the trading and banking books would receive equal accounting treatment, whereby all changes in value would be recognised in the balance sheet and transferred to the profit and loss account. The foreseen revaluation applies irrespective of whether a profit or loss has been realised or remains unrealised because all instruments are either marked to market or the fair value is estimated. The hidden reserves that may arise under the existing accounting rules thus disappear. Market risks would be taken into account when calculating the value of financial instruments in both the trading and the banking book.Critical aspectsAccording to its proponents, an FVA regime may constitute, from a conceptual point of view, an alternative approach to reporting financial performance in order to avoid some of the problems associated with the current historical cost accounting. One of its main advantages would be to enhance the degree of transparency of financial statements. However, this point of view remains theoretical due to the absence of homogeneity and therefore comparability in FVA methodologies. Furthermore, the possible concrete application of a full FVA regime (applying to all assets and liabilities) to the banking sector gives rise to some serious problems and concerns.The application of FVA may be suitable for the trading book of banks, which refers to transactions (buying and selling) of marketable securities and related instruments with the objective of making a profit from short-term price variations. The use of fair value for these transactions is consistent with the availability of market prices and the short-term horizon. However, the application of FVA to the banking book of banks, i.e. to non-negotiable instruments such as loans, appears to be inappropriate for at least three main reasons.First, the issue of relevance. FVA principles do not reflect properly the way in which banks manage their core business, namely the granting of loans. The essence of bank management in this area lies in taking long-term decisions about credit quality and concentration and fostering customer relationships over the life of the contracts. It is less concerned about short-term variations that represent the basis for the use of FVA principles. Therefore, there is the possibility that the introduction of FVA for the banking book might in principle create incentives for banks to alter their core business. This would be the case if banks decided to reduce their exposure to increased volatility of income (stemming from the accounting recognition of interest rate risk in the banking book) by shortening the average maturity of loans. Other ways to achieve the same goal would be the recourse to hedging techniques and the increased use of variable interest rates. The decision to reduce the average maturity of loans would depend also on other factors, including the nature of customer demand and the specific cost structure of individual banks.Second, the issue of feasibility. There are serious doubts that an adequate fair value can be determined for bank loans, which are non-negotiable instruments precisely because they embody elements that cannot be easily quantified in a standardised manner. First, there are, by definition, no secondary markets for these instruments. This is particularly true where credit risk markets do not appear to be sufficiently deep and liquid for the purpose concerned. Second, some relevant information for the determination of the fair value of loans (i.e. that stemming from the bilateral relationship between the borrower and the lender) would never be priced in a market. Third, the estimation techniques currently available (including the one proposed in the Draft Standard) suffer from methodological problems (e.g. modelling of non-interest income, appropriate discount rate, etc.), which increase the risks of error. Accordingly, they do not represent an effective benchmark for obtaining reliable fair values for loans. Therefore, the application of FVA to bank loans would give rise to many uncertainties hindering and working against the transparency and comparability of financial statements. It is acknowledged, however, that the current and future developments in banks credit risk management systems recognised also in the new capital adequacy regime proposed by the Basel Committee on Banking Supervision may provide accounting standard-setters with useful elements to refine their methodologies, in particular regarding the measurement of credit risk.Doubts are also raised with regard to the application of FVA to the liability side of banks. For instance, the suggested methodology (the so-called “own credit risk”) to determine the fair value of debt instruments issued by banks entails that, if the rating of a bank deteriorates, the value of its equity will ultimately increase (since the difference in revaluation of debt instruments is accounted in the profit and loss account). This outcome is counter-intuitive and can be misleading for shareholders and creditors.Third, the issue of prudence. The use of FVA in the banking book would entail that potential profits and losses would be treated in the same way, by being recognised as soon as they emerge. This goes against the principle of prudence according to which losses stemming from the banking book should be recognised as soon as they are known, even if only potential, whereas profits should be recognised only if they are actually realised. Potential profits should be recognised only for marketable instruments. Therefore, there is the possibility that the application of FVA to the banking book might induce banks to adopt an imprudent behaviour. This is a crucial aspect also from the viewpoint of the banking supervisory function.Possible way forward In light of the critical aspects mentioned above, the ECB has a negative stance towards the possibility of applying an FVA regime to the banking book of banks. Against this background, the following developments could be considered in order to make a constructive use of the valid arguments that lie behind FVA.A first development would entail that, whereas FVA would not be recognised as an accounting standard for the banking book of banks, supervisory authorities might use it as a supplementary instrument to complement their assessment of the situation of individual credit institutions.A second development involves the adoption by banks of the so-called “dynamic provisioning”. This entails recognising that a proportion of the loan portfolio can deteriorate in the future and that this proportion can be measured ex ante on the basis of a specific statistical analysis. It would also involve the disclosure by banks of the results of stress-test analyses conducted on the interest rate sensitivity of the banking book. This approach would allow two criticisms associated with the current accounting standards to be overcome, notably that potential credit losses remain hidden until signs of deterioration are evident and that market participants have insufficient information about the interest rate risk profile of banks. 中文译文：银行业公允价值会计核算联合工作组的标准制定金融工具在2000年12月发出题为“金融工具及其标准草案和结论的基础”类似的项目的咨询文件。该标准草案的审查和评估的公允价值会计作为在银行的资产负债表所有的金融工具估值的基础被广泛使用。联合工作组将引入全面的公平价值的金融工具确认和计量会计框架作为与国际会计准则委员会的长期战略合作。该工作组从9月30日收集2001年所有对标准草案感兴趣的各种意见。国际会计准则委员会将根据收到意见评估公允价值会计的长期前景。这些都表明了欧洲中央银行（ECB）对的联合工作组在这方面提出的重要建议，即是公允价值会计在银行业的应用。在审查了标准草案之后，重点说明关于与公允价值会计制度适用于银行业有关的关键问题，并提出一个可行的办法。该标准草案对银行部门的主要创新 目前这个会计规则在欧盟银行中用来区分交易性金融工具和那些打算持有至到期的银行账户。这些金融工具持有的交易账户是按市场价格估价。从交易账户中重估利润和亏损来确认损益帐户。这个交易账户中的会计规则可以把一切市场风险（即价格风险，利率风险，外汇风险和流动性风险）都考虑在内。相比之下，银行账户中资产负债表的历史成本比市场价值低。而银行账上的一个工具损失转移到损益表，未实现的收益是无法识别，因此可以成为隐藏在资产负债表的储备。因此，银行账的会计规则不考虑市场风险（外汇风险，在最终期限值通常适用于几乎所有的资产负 债表项目除外）。该标准草案建议规定所有的金融工具统一规则。如果资产负债表中的资产和负债的市场价值是真实的，或者作为使用贴现的预计未来现金流量现值模型的市场价值近似公平价值计算。对银行来说，这将意味着，贸易及银行账户将获得平等的会计处理方法，即在所有价值变动将被确认在资产负债表及转入4页损益表中的第2页。不论是否盈利或亏损已经实现或者没有实现预期升值都适用，因为所有金融工具都是按市价或公平价值的估计。根据现行的会计规则一些可能出现的隐藏的储备将会消失。当计算交易和银行账的金融工具的价值时市场风险将被考虑在内。关键方面根据它的支持者，从概念的角度来看，公允价值会计可能形成新的制度，以另一种方法来报告财务业绩，以避免与当前历史成本会计相关的一些问题。其主要优势之一是要加强财务报表的透明度。然而，由于缺乏同质性和公允价值会计的可比性，这种观点仍然停留在理论上。此外，可能的一个完整的公允价值会计制度（适用于所有资产和负债）的具体适用给银行界带来了一些严重的问题和关切。公允价值会计的应用可能适合银行的交易账户，这是指交易（买卖）的有价证券和作出从短期价格变动的利润目标相关票据。随着市场价格的短期地平线可用性，公平价值在这些交易中的使用是一致的。然而，公允价值会计的应用银行银行账，像贷款这种非流通票据，至少有三个主要理由使其看起来不当。首先，与其相关的问题。 公允价值会计原则是不能正确地反映银行核心业务，即发放贷款的管理方式。该银行管理的实质在于在这一领域采取有关信贷质量和浓度，并促进终生的合同客户关系长