《国际财务报告准则第16号——增量借款利率:可比性问题及违约调整损失的方法建议》

IF 4.6 Q1 BUSINESS, FINANCE Accounting in Europe Pub Date : 2022-04-12 DOI:10.1080/17449480.2022.2046282
David Delgado-Vaquero, José Morales-Díaz, Constancio Zamora-Ramírez
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引用次数: 0

摘要

摘要根据国际财务报告准则第16号承租人资本化模型,实体应通过在租赁期内对未来租赁付款进行折现来衡量租赁负债和“使用权”(租赁资产)。在大多数情况下,实体使用增量借款利率(IBR)进行上述贴现。《国际财务报告准则第16号》规定,国际复兴开发银行必须将相关租赁资产视为抵押品,因此所使用的收益率应反映违约损失(LGD),违约损失可能会根据资产的估计回收率而变化,无论是机械、不动产、车辆等。先前的文献表明,而且它是任意的。通过使用欧洲上市实体的信息进行实证分析,我们发现大多数公司没有披露IBR的详细信息,从而影响了财务报表的可比性。他们都没有披露如何调整IBR以反映LGD。此外,缺乏分析这方面的会计和财务文献。在此背景下,我们提出了一个模型,该模型能够调整标准IBR(从无担保债券/贷款收益率中获得),以反映符合IFRS原则的回收率。拟议模型使用信用违约掉期(CDS)报价信息作为对标准IBR进行调整的基础。更准确地说,它分析了CDS价差对回收率变化的响应,并将这种变化应用于初始IBR。
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IFRS 16 Incremental Borrowing Rate: Comparability Issues and a Methodology Proposal for Loss Given Default Adjustment
Abstract Under the IFRS 16 capitalization model for lessees, entities should measure both the lease liability and the ‘right of use’ (the lease asset) by discounting future lease payments over the lease term. For the most part, entities are using the Incremental Borrowing Rate (IBR) to perform said discounting. IFRS 16 establishes that the IBR must consider the underlying leased asset as collateral, and therefore the yield to be used should reflect a Loss Given Default (LGD) which may vary according to the estimated recovery rate of the asset, be it machinery, real estate, vehicles, etc. The previous literature has shown that the use of discount rates in IFRS is inconsistent across firms, and also that it is arbitrary. Through an empirical analysis using information from European quoted entities, we find that most companies do not disclose IBR details, thus affecting financial statement comparability. None of them disclose how the IBR is adjusted in order to reflect the LGD. Furthermore, there is a lack of accounting and finance literature analyzing this aspect. Within this context, we propose a model that is able to adjust the standard IBR (obtained from unsecured bonds/loans yields) in order to reflect a recovery rate in line with IFRS principles. The proposed model uses Credit Default Swaps (CDSs) quoted information as a basis for introducing the adjustment to the standard IBR. More precisely, it analyzes the change in the CDS spread in response to changes in the recovery rate, and applies this change to the initial IBR.
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来源期刊
Accounting in Europe
Accounting in Europe BUSINESS, FINANCE-
CiteScore
5.00
自引率
7.10%
发文量
14
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