EBA欧洲银行-2009-09-28-28CEBS-CL-ED-Fair-Value-Measurement29_12页_186kb

CEBS Comments on IASB Exposure Draft ED/2009/5: Fair Value Measurement

Core Content

The Committee of European Banking Supervisors (CEBS) has provided detailed comments on the IASB Exposure Draft ED/2009/5: Fair Value Measurement, focusing on the implications of fair value measurement for the European banking industry. CEBS supports the IASB's efforts to converge fair value definitions with those under US GAAP and encourages further clarification and guidance on key aspects of fair value measurement, particularly in relation to liabilities, market participant views, and valuation techniques.

Main Views

• Support for Convergence: CEBS appreciates the IASB's attempt to align fair value definitions with US GAAP, which is seen as a positive step toward achieving a single set of high-quality accounting standards.

• Need for Further Clarification: CEBS believes that the draft requires more application guidance, especially regarding:

  • Identification of markets.
  • The market participant view in illiquid markets.
  • The application of fair value to liabilities.

• Transparency and Disclosure: CEBS emphasizes the importance of transparent fair value measurement processes and disclosures to enhance market confidence and decision-useful information for users.

• Day 1 Gains/Losses: CEBS maintains its long-standing view that Day 1 gains or losses should not be recognized for Level 3 financial instruments, and encourages the IASB to retain the existing approach from IAS 39.

• Market Participant Assumptions: CEBS is concerned that information asymmetry may persist, even with the market participant approach, and that entities should be allowed to use their own knowledge in non-active markets to improve fair value reliability.

• Valuation Techniques: CEBS supports the inclusion of guidance on valuation techniques, particularly in non-active markets, and encourages the IASB to consider integrating the Expert Advisory Panel’s guidance into IFRS.

Key Issues and Recommendations

Fair Value Definition

• CEBS supports the exit price definition for fair value but highlights the need for clarification on the measurement date and orderly transactions in non-active markets.
• CEBS believes the definition should be flexible to accommodate different market conditions.

Fair Value and Liabilities

• CEBS is not convinced that the fair value of a liability should be unaffected by transfer restrictions.
• CEBS suggests that fair value should reflect such restrictions, and clarification is needed on how this is addressed.

Market Participant View

• CEBS supports the market participant approach, but caution is needed in illiquid markets where assumptions may differ.
• CEBS recommends additional guidance to ensure consistency and reliability in fair value measurements.

Valuation Techniques

• CEBS supports the use of mid-market pricing and valuation techniques.
• It urges the IASB to consider incorporating the Expert Advisory Panel’s guidance on non-active markets into the IFRS.

Disclosure Requirements

• CEBS agrees with the proposed disclosure requirements but believes they are not extensive enough.
• It suggests that disclosures should include:
  • Control environment and governance over valuation.
  • Adjustments for model risk and valuation uncertainties.
  • Quantitative and qualitative information on Level 3 inputs.
  • Disclosures for all levels of the fair value hierarchy, not just Level 3.

Differences with SFAS 157

• CEBS believes the differences between the ED and SFAS 157 are not conceptually major, but may have practical relevance.
• It highlights the importance of aligning the unit of account for Level 1, 2, and 3 valuations to ensure consistency and reliability.

Conclusion

CEBS overall supports the convergence of fair value standards but urges the IASB to provide additional application guidance and enhance transparency in fair value measurements. It emphasizes the importance of disclosure and the need for consistency across different markets and instruments, especially in non-active markets and for liabilities. CEBS also encourages the IASB to consider the Expert Advisory Panel’s recommendations and to maintain the current approach to Day 1 gains or losses for Level 3 financial instruments.