IFRS9 中,金融資產減值模型ECL簡述

張國平發表於2018-02-02


ECL model, expected credit loss  定義

ECL: a forward-looking expected loss model that will result in more timely recognition of loan and loss and is a single model that is applicable to all financial instruments subject to impairment accounting.

減值預期損失模型適用物件:要收回合同現金流量的金融資產,包括:

a.      Financial assets(investments in debt instruments) measured at amortized cost;(AMC)

b.      Financial assets(Investment in debt instruments) measured at fair value through other comprehensive income(FVOCI)

c.       Lease receivables under IAS leases

d.      Trade receivables or Contract assets within the scope of IFRS 15 Revenue from Contracts with Customers (i.e. rights to consideration following transfer of goods or services);

e.      All loan commitments (貸款承諾) not measured at fair value through profit or loss;

f.        Financial guarantee contracts (財務擔保合同) to which IFRS 9 is applied and that are not accounted for at fair value through profit or loss.

財務分錄

 Dr: Impairment Loss(P/L account)

   CR: Loss Allowance(B/S account) 或其他 Account of Loss Allowance(備抵科目)

物件分析週期

ECL 分為三個階段:

a.      第一階段:金融資產初始確認階段, 計提12個月預期信用損失;計算Interest,是按照有效利率和GCA(賬面總額)。

b.      第二階段:信用風險顯著增加的話,計提整個存續期預期損失;計算Interest,是按照有效利率和GCA(賬面總額)。

可以按照外部市場指標,比如評級機構,CDS違約保險價格等來確定是否算顯著增加,IFRS並沒有具體規定。

c.       第三階段:已經發生信用減值,計提整個存續期預期損失;計算Interest,是按照有效利率和攤餘成本。

借款已經沒有能力償還,其他所發行債券已經發生違約事件,已經由單位發生破產。

 

Write-off 核銷:如果金融資產確定收不回來,就進行減值核銷,包括部分核銷和全部核銷。An entity shall directly reduce the gross carrying amount of a financial asset when the entity has no reasonable expectations of recovering a financial asset in its entirely or a portion thereof.

核銷金額 = 合同規定cash flow- 預期可收回cash flow

報表出具日對是否對某金融資產進行減值的判斷流

a.      是否是一個已經發生信用損失的金融資產 (Yes,計入減值,按照第三階段處理;No,進入b

b.      是否是一個簡單的營收,合同資產,或者租賃產生應收(Yes,階段二,計入整個生命週期的減值損失;No:進入c

c.       是否是一個金融產品包含低信用風險的(Yes,計入第一階段,12個月風險預期信用損失;否,進入d

d.      是否是一個顯著風險增加的金融產品(No,計入第一階段,12個月風險預期信用損失;Yes,進入階段二,計入整個生命週期的減值損失)

e.      對於進入階段二金融資產,如果可以確定發生損失,進入階段三。



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