金融危機中的公平價值評價問題

金融危機中的公平價值評價問題 台灣證券交易所與證券櫃買賣中心「公平價值會計如何落實」論壇 98年3月4日陳溢茂加州舊金山州立大學財金系

金融危機中的公平價值會計 • 一般公認目前金融危機的成因: • 次級房貸借款標準的崩潰; • 現代結構性融資中貸款後出售分銷(originate and distribute)模式所衍生的評價不易資訊不清和市場流動性問題; • 信評機構對次級房貸抵押債券和其他結構性信用債券之評等不確實; • 金融機構對風險控管的缺失; • 金融監管機構對資本需求和資訊揭露的監管不確實，無法防金融危機。

金融危機中的公平價值會計 • 公平價值會計被為加深惡化金融危機的幫兇。 • 公平價值會計在市場流動性不足或不活躍時: • 嚴重貶低金融資產之經濟價值; • 導至金融機構遭受margin call和資本適足率嚴重不足。 • Many people had called for the abolish of the FVA; • Regulatory agencies, including SEC, FASB, IFAS, and BIS, have been looking into FVA for revisions.

公平價值評價的問題 • 活絡或非活絡市場(active or inactive market): • 僅管FAS 157 28(b)條款列舉非活絡市場的一些特徵，但滿足一些條件至不能視為非活絡市場，其認定仍需要相當的分析和判斷。 • 被迫交易(forced transactions)或拋售交易(distresses transactions): • 在一非活絡市場，決定一交易價格是否為被迫或拋售交易價格也需相當多的判斷。 • 在一非活絡市場，即使在衡量日無任何其他交易活動，交易活動也不能認為是被迫清算或拋售出清交易。 • 同理，在此時期也不能將所有交易價值視為公平價值。這些認定必需依事實和市場情況而決定，因此需要做很多的價值判斷(judgment)。

公平價值評價的問題 • 可觀察資訊的調整: • 在非常市場時期，可觀察到的資訊可能需要相當多的調整才能符合公平價值的目的。例如在交易量大跌時，價格會隨時間而大幅變化。若欲使用此價格，則必需做大量的調整。大量調整後之價格可能被視為level 3價格。 • 無可觀察之市場資訊: • 在可觀察之市場資訊不存在時，管理者使用有關未來現金流量和適當折現率的假設是可以被接受的。 • 在此情況下，這些假設必需考慮無交易(non performance)和流動性風險的影響。 • 第三者的報價: • 在活絡市場不存在下，由經紀商或第三報價者所取得之報價不一定足以決定公平價值。評價者應減低對不能反應市場之報價之依賴。

公平價值評價的問題 • 評價層次顯著性分析(significance test): • 在決定公平價值評價層次時，必需依公平價值對衡量因子變動之敏感度(sensitivities of measurements to key inputs)而定; • 如有顯著影響力之評價因子之層次為level 3，則必需依有顯著影響力之評價因子之最低層次對公平價值評價。 • 評價模型的決定和權重: • 在無可觀察市場資詢做層次2或3層次之評價時，必需對不同評價方法做評價; • 以不同評價模型或方法做評價時，必需對不同評價方法做加權權率之決定。例如在使用市場法和所得法決定公平價值時，必需決定如何對兩種評價方法做加權。

公平價值評價的問題 • 對另類投資(alterative investment): • 例如對避險基金和私募股權基金的投資，如何做公平價值之估算 • 揭露: • 即使尚未有正式之揭露要求，但應加強對不可觀察之評價因子(level 3 inputs)和管理者對公平價值衡量之討論之揭露。

改善公平價值會計的建議 • On 30 September 2008, the Office of the Chief Accountant of the SEC and FASB jointly issued a press release with immediate clarifications on fair‑value accounting rules in light of the financial crisis (recent guidance). • On 10 October 2008, the FASB issued a staff position further amplifying that press release. • The International Accounting Standards Board (IASB) quickly responded to the SEC announcement to confirm that IAS 39 was consistent with SFAS 157 and that it will continue to ensure that any IFRS guidance is consistent with SEC and FASB releases to guarantee comparability across borders.

SEC and FASB Clarifications on FVA Valuation on 9/20/2008 • The clarifications issued by the SEC and FASB did not suspend fair-value accounting but rather seeked to provide added flexibility in making fair‑value determinations under present market conditions, in which the sales of many exotic securities are effectively shut down. • The clarifications of the SEC and FASB focus on inputs that may be used in applying various valuation techniques.

SEC and FASB Clarifications on FVA Valuation on 9/20/2008 • The clarifications: • strong judgment is required when determining fair value, and multiple inputs from different sources may collectively provide the best evidence of fair value; • management’s internal assumptions (expected cash flows, for example) may be used to measure fair value when an active market for a security does not exist. In some cases, using level 3 inputs may be more appropriate than using level 2 inputs, such as when significant adjustments are required for available observable inputs;

SEC and FASB Clarifications on FVA Valuation on 9/20/2008 • The clarifications: • market quotes may be an input for the purpose of measuring the fair value of a security but are not necessarily determinative if an active market does not exist for that security (however, transactions in inactive markets may be inputs for the purpose of measuring fair value); • a significant increase in spread between the amount sellers are asking and the price that buyers are bidding, or the presence of a relatively small number of bidding parities, is an indicator that should be considered when determining whether a market is inactive;

SEC and FASB Clarifications on FVA Valuation on 9/20/2008 • The clarifications: • The results of disorderly transactions, such as distressed or forced liquidation sales, are not determinative; and • US GAAP does not provide a bright-line test in determining whether there is an asset impairment that is not temporary (however, rules of thumb that consider the nature of the underlying investment can be useful tools for management and auditors when identifying securities that warrant a higher level of evaluation).

SEC and FASB Clarifications on FVA Valuation on 9/20/2008 • A non-comprehensive list of factors provided in the recent guidance to determine whether a non-temporary asset impairment has occurred includes: • The length of the time and the extent to which the market value has been less than cost; • The financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer; and • The intent and ability of the holder to retain its investment in the issuer for a period of time sufficient to allow for any anticipated recovery in market value.

Reclassification of Investments • Both IFRS and US GAAP require financial instruments to be classified into specific categories at initial acquisition in a similar manner. • US GAAP contains three broad categories: • trading; • available-for-sale; and • held-to-maturity. • IFRS contains four categories: • financial assets at fair value through profit or loss (similar to trading under US GAAP); • available-for-sale; • loans and receivables; and • held-to-maturity.

Reclassification of Investments • Many financial institutions want to change their classification to held-to-maturity, noting that their intention for these instruments has changed as a result of the market turmoil. Generally, held-to-maturity assets are assets held with no intention to sell in the short term or that are not otherwise part of a trading strategy. Such assets are measured on a cost basis subject to impairment evaluation.

Reclassification of Investments • US GAAP permits reclassification of certain securities out of the trading category in rare circumstances, which many are interpreting the present credit squeeze to represent, whereas IFRS did not permit such reclassification. As a result, the IASB reacted swiftly to issue a revision to IAS 39 to provide for a similar ability to reclassify financial instruments as contained in US GAAP. • This revision was immediately adopted by the EU. Reclassifications under the revision can be made from 1 July 2008. Moreover, the press release issued by the IASB stated that the deterioration of the world’s financial markets that has occurred during the third quarter of 2008 is a possible example of a rare circumstance, thereby providing financial institutions with an opportunity to reclassify their financial assets to held-to-maturity, which exempts them from mark-to-market valuation and allows them to be valued on a basis closer to their discounted cash flows.

SEC Guidance on FVA Disclosure • The SEC’s Division of Corporate Finance recently issued letters in March and September 2008 that provided further guidance (disclosure guidance) regarding information that certain public companies should consider in its Management’s Discussion and Analysis of Financial Condition and Results of Operations disclosure contained in SEC filings.

SEC Guidance on FVA Disclosure • The disclosure guidance suggestions include, among others: • If the use of unobservable inputs is material, disclosure of how such inputs were determined and how the resulting fair value of assets and liabilities and possible changes to those values affected or could affect the company’s results of operations, liquidity and capital resources; • a general description of the valuation techniques or models used about material assets and liabilities, including describing the rationale and quantitative effect, to the extent possible, of any material changes made during the reporting period to such techniques or models;

SEC Guidance on FVA Disclosure • The disclosure guidance suggestions include, among others: • To the extent material, a discussion of the extent to which, and how, the company used or considered relevant market indices in applying the techniques or models used to value material assets or liabilities; • A discussion of how the company validates the techniques or models used; and • A discussion of how sensitive the fair value estimates for material assets or liabilities are to the significant inputs for which the technique or model is used.

改善公平價值會計的建議 • 在2008年10月3日美國國會通過緊急經濟穩定法(the Emergency Economic Stability of 2008)授權美國証管會決定是否取消公平會計法規，並要求SEC研究公平價值會計在2008年對銀行倒閉的影響，向國會報告。 • 在2008年12月30日，SEC向國會提交一份報告，認為公平價值會計對2008年銀行倒閉沒有任何實質性的影響。銀行倒閉主要是因為信用風險加劇、銀行資產信用品質降低、和貸款者和投資者信心衰退的關係。 • SEC認為不應該取消公平價值會計準則，僅需加強在資產減損做修改和提供在不活躍市場對資產之公平價值如何做評價的指引。

改善公平價值會計的建議 • 12/28/2008 SEC對國會的調查報告八點建議: • 財會準則第157號公平價值衡量應加以修補，而非取消使用; • 不應放棄目前對公平價值或依市值定價(mark-to-market)的規定要求; • 對目前公平價值的規定要求需加以改良; • 對金融資產減損會計需加以檢討; • 對公平價值會計計算所需之完整判斷(sound judgment)需做進一步的規範和指引; • 對保護投資者所需之會計準則需繼續制定; • 對目前公平價值會計準則實行所需更進一步的衡量必需繼續加以制定; • 對金融資產投資之會計處理必需加以簡單化.

改善公平價值會計的建議 • 12/28/2008 SEC對國會之調查報告有關改善公平價值會計的建議: • 如何確定當一個市場變為不活躍市場? • 如何估算信用風險對金融資產或負債的影響? • 當可觀察的市場資料必需由管理階層以不可觀察資訊加以輔助時，如何做價值之評估? • 如何確定在公平價值衡量中所用的假設是一般市場參與者共同使用之資訊，而非某一特定使用者之資訊?

改善公平價值會計的建議 • 12/28/2008 SEC對國會之調查報告有關改善公平價值會計的建議: 5. 公平價值對財務報表影響的揭露加需加強; 6. FASB應對是否在負債的衡量中加入信用風險做一決定;同時也必需對流動性的影響加入公平價值衡量，包括是否提供更多的揭露指引; 7. 管理者對決定公平價值的影響，加以宣示和再教育; 8. FASB應對目前計算資產減損的模型加以檢討，包括在U.S.GAAP下檢討適用之模型。

改善公平價值會計的建議 • 02/18/09 FASB啟動研究改善公平價值衡量和揭露計劃: • 對SEC建議的反映，FASB在02/18/09宣佈計劃探討對公平價值如何衡量和揭露提供應用指引(application guidance); • 在公平價值衡量方面，應用指引將提供下列指導原則-如何決定一資產或負債市場是否為一活躍市場。

金融危機中的公平價值評價問題