2017年-世界发展银行全球_Transition_to_IFRS_9___Practical_Guidance_for_the_Foreign_Reserves_of_Central_Banks_14页_1005kb

Summary of Transition to IFRS 9: Practical Guidance for the Foreign Reserves of Central Banks

Core Content

This paper provides practical guidance to central banks on the transition from IAS 39 to IFRS 9 in the context of foreign reserves. It outlines the key steps in the transition process, the implications of IFRS 9 on the classification and measurement of financial assets, and the new impairment and disclosure requirements. The transition is particularly important for central banks, as their foreign reserves constitute a significant portion of their balance sheets and are subject to a wide range of financial instruments.

Main Steps of IFRS 9 Transition

The transition to IFRS 9 is structured in three main steps:

1. Business model assessment and cash flow characteristic test for classification

   • Central banks must assess their business model and apply the SPPI (Solely Payments of Principal and Interest) test to classify financial assets.
   • The classification is applied retrospectively from the inception of the financial asset.

2. Impairment

   • IFRS 9 introduces a forward-looking Expected Credit Loss (ECL) model, which requires the estimation of credit risk at the DIA (Date of Initial Application) compared to the initial recognition date.
   • Impairment is now based on lifetime credit losses, not just 12-month losses, for Stage 2 and 3 assets.
   • Central banks need to consider forward-looking scenarios and potential implications of increased credit risk when developing ECL methodologies.

3. Transition and disclosure preparation

   • This paper focuses on the third step, detailing the transition process and the necessary disclosures.
   • The transition requires collaboration across multiple departments, including finance, risk, accounting, and IT.
   • IFRS 7 has been updated to include new disclosure requirements that must be integrated into existing reporting.

Key Concepts and Requirements

Classification under IFRS 9

• Business model assessment is central to classification, with factors such as business objectives, risks, sales activities, and compensation being considered.
• SPPI test is used to determine whether a financial asset’s cash flows are solely payments of principal and interest.
• Classification options:
  • Amortized Cost (AC): For assets held to collect cash flows and with SPPI characteristics.
  • Fair Value through Profit and Loss (FVTPL): For assets not meeting the SPPI test or for which the fair value option is designated.
  • Fair Value through Other Comprehensive Income (FVOCI): For equity investments not held for trading and not contingent on business combinations.

Impairment under IFRS 9

• ECL model: Requires an unbiased, probability-weighted estimate of credit losses over the lifetime of the asset.
• Stage 2 and 3 assets are subject to lifetime ECL, while Stage 1 assets are subject to 12-month ECL.
• Practical expedients: For assets with low credit risk, 12-month ECL can be used instead of lifetime ECL.
• Reclassification: Assets previously classified as AFS or Trading under IAS 39 may need to be reclassified under IFRS 9 based on new criteria.

Transition and Disclosure Requirements

• Retrospective application: Most requirements are applied retrospectively, but some exemptions and simplifications exist.
• No restatement of comparative information: Comparative figures can be presented without restating past periods, unless impracticability exceptions apply.
• Disclosure of reclassifications and remeasurements: The changes in classification and measurement must be clearly disclosed, including the impact on financial statements.
• Reconciliation of retained earnings and OCI: Differences between IAS 39 and IFRS 9 carrying amounts are recognized in the opening retained earnings or OCI.

Key Information and Illustrations

The paper includes several case illustrations to demonstrate the impact of IFRS 9 on foreign reserves:

• Case 1: A $50 million commercial paper reclassified from Loans and Receivables to FVOCI results in a $1 million market value adjustment and a $0.6 million impairment loss.
• Case 2: Discounted securities reclassified from AFS to AC result in a reversal of $1 million of unrealized MTM gain.
• Case 3: GBP securities in the LIQ tranche are reclassified to Stage 2 due to a significant increase in credit risk, with a $2 million lifetime ECL moved from OCI to opening RE.
• Case 4: USD FRNs reclassified to FVTPL due to failure of the SPPI test, with a $3 million MTM gain reclassified from OCI to retained earnings.
• Case 5: Equity investments in BIS funds are designated as FVOCI, with a $5 million fair value adjustment from cost to market value.
• Case 6: EUR securities reclassified from FVTPL to FVOCI due to the termination of the FV option criteria, with a $120 million carrying amount adjusted.
• Case 7: Futures included in the LIQ tranche are classified as FVTPL, as they are derivative instruments and do not meet the SPPI test.

Additional Disclosures

• Reconciliation of changes: Required for reclassifications and remeasurements, with the impact on financial statements clearly communicated.
• Credit risk disclosures: Include methods, assumptions, and information used in ECL estimation.
• Loss allowance balances: Must reconcile IAS 39/37 impairment allowances to IFRS 9 opening loss allowances, showing the effect of changes in measurement categories.

Conclusion

The transition to IFRS 9 presents both challenges and opportunities for central banks. It requires a shift from IAS 39’s instrument-based classification to a business model and SPPI-based approach. The new impairment model and extensive disclosure requirements necessitate a comprehensive understanding of the standard and close coordination between risk, finance, and accounting teams. Proper documentation and communication of the transition process are essential for accurate financial reporting and stakeholder understanding.