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报告摘要

CEBS Comments on IASB Discussion Paper - Fair Value Measurements

Core Content

The Committee of European Banking Supervisors (CEBS) has provided detailed feedback on the IASB Discussion Paper - Fair Value Measurements, emphasizing the importance of aligning fair value measurement concepts with the broader Conceptual Framework and IAS 39 replacement initiatives. CEBS, composed of banking supervisory authorities and central banks from the European Union, is concerned with promoting sound accounting standards, transparent financial statements, and market discipline in the financial sector.

CEBS supports the IASB's effort to develop a single definition of fair value for all IFRS standards, as this would reduce complexity and improve consistency. However, they highlight the need for further exploration of consistency and applicability issues with other IFRS standards and the specific guidance required for fair value calculations in various contexts.

Main Views

1. Fair Value Definition and Context

CEBS believes the fair value definition in the Discussion Paper should be embedded within the broader conceptual discussions, particularly the Conceptual Framework and the replacement of IAS 39.
They are concerned that the exit price definition may not be suitable for all IFRS applications, especially when liquid markets are not present.
CEBS suggests that the exit price definition may not align with how credit institutions manage risks and liabilities that are not measured at fair value.

2. Fair Value Hierarchy and Level 3 Measurements

CEBS questions the clarity of the boundary between Level 2 and Level 3 measurements in the fair value hierarchy.
They argue that model assumptions and non-observable inputs may lead to inconsistent interpretations.
CEBS recommends clarification on how model assumptions should be treated and suggests that disclosures for Level 2 should be extended to match those of Level 3.

3. Transaction Price and Fair Value

CEBS supports the use of transaction price as fair value at initial recognition in the absence of observable market inputs.
They are cautious about deferring day-one gains and losses unless there is clear evidence of a fair value measurement that reflects market expectations.
CEBS believes that transaction costs are an attribute of the transaction, not of the asset or liability.

4. Market Participant View

CEBS is unsure about the definition of a market participant in SFAS 157, as it could be interpreted differently in the banking context.
They agree that the market participant view is consistent with the 'knowledgeable, willing parties' and 'arm's length transaction' concepts in IFRS, but note that the ability aspect is not addressed in IFRS.

5. In-Use Valuation vs. Value in Use

CEBS acknowledges the conceptual difference between 'in-use valuation premise' and 'value in use', but highlights practical ambiguity in their application.
They suggest the Board should explore the merits of distinguishing between in-use valuation and value in exchange in the fair value definition.

6. Blockage Adjustments

CEBS supports the prohibition of blockage adjustments for Level 1 financial instruments, as they believe adjustments for market risk are essential for fair value.
However, they are not in favor of extending this prohibition to all levels of the hierarchy and recommend further examination.

7. Bid-Ask Spread and Pricing Conventions

CEBS agrees that fair value measurements should use the price most representative of fair value within the bid-ask spread.
They believe mid-market pricing or other conventions can be used as practical expedients, provided they are consistently applied over time.
CEBS suggests that bid-ask pricing guidance should apply to all levels of the hierarchy, including those involving unobservable inputs.

8. Disclosures

CEBS believes that disclosure requirements in SFAS 157 are insufficient and not aligned with IFRS.
They recommend extending disclosures for Level 3 to Level 2 and clarifying how they should be combined with existing IFRS disclosures.
CEBS stresses that disclosures cannot replace sound measurement bases.

Key Information

CEBS is a European Union body composed of banking supervisors and central banks.
The Discussion Paper is part of the IASB's broader conceptual framework and IAS 39 replacement efforts.
CEBS is concerned about consistency between the exit price definition and existing IFRS standards.
They emphasize the need for clarity and guidance on market participant perspectives, valuation techniques, and disclosure requirements.
CEBS supports the use of transaction prices where applicable and the importance of fair value in risk management and financial reporting.

Conclusion

CEBS encourages the IASB to further explore the implications of the exit price definition and fair value hierarchy, and to align the guidance with the Conceptual Framework and IAS 39 replacement projects. They also recommend clarification on transaction price, market participant view, and disclosure requirements to ensure consistency, reliability, and auditability of fair value measurements.