国际财务报告准则实务指南...国际财务报告准则实务指南公允价值计量...

国际财务报告准则实务指南公允价值计量—统一“公允价值”概念

Practical guide to IFRSFair value measurement – unifying the concept of ‘fair value’

www.pwccn.com

2012年1月

中英文Chinese and English

Preface 3At a glance 45Introduction 46Scope 46Measurement 46Considerations specific to non-financial assets: highest and best use 52Considerations specific to liabilities and equity 53Considerations specific to financial instruments 57Valuation techniques 59Fair value hierarchy 63Inactive markets and non-orderly transactions 70Disclosures 72Effective date 79Potential business impacts 79More information 79Appendix (in Chinese Only) 81

前言 1概览 7引言 8范围 8计量 8非金融资产特定考虑事项：最大程度和最佳使用 14负债和权益特定考虑事项 15金融工具特定考虑事项 19估值技术 21公允价值层级 25非活跃市场和无序交易 32披露 34生效日期 41潜在商业影响 41更多信息 41附录 81

目录Contents

普华永道—国际财务报告准则实务指南—公允价值计量 1

前言

国际会计准则理事会于2011年5月发布了《国际财务报告准则第13号—公允价值计量》(IFRS 13)。

在IFRS 13发布之前，有些国际财务报告准则(IFRS)要求或允许主体计量或披露资产、负债或其自有权益工具的公允价值。由于这些IFRS的制定延续多年，因而针对公允价值计量和披露的要求较为分散，且在许多情况下并未设定一个明确的目标。因此，这些提及公允价值的IFRS中所包含的指引并非总是相互一致。在这一领域的不一致性导致了实务操作的多样性，并降低了财务报表信息的可比性。

全球金融危机凸显出IFRS与美国公认会计原则(US GAAP)能确立相同的公允价值计量和披露要求并措辞一致的重要性。

自2013年1月1日起生效的IFRS 13对公允价值进行了定义、设定了公允价值计量的整体框架，并要求作出关于公允价值计量的披露。这一准则推动了IFRS与US GAAP在这一重要的会计领域具有了相同的定义、计量和披露要求。

本出版物为IFRS 13的实务指南。指南中对该项新IFRS中最重要的原则和最复杂的要求进行了解释，同时附有以普华永道全球成员机构网络的经验为基础的实例和评论。

鉴于中国会计准则与IFRS的持续趋同以及公允价值在金融工具中的广泛应用，我们同时分享了我们在中国常见金融产品估值方面的经验。

尽管IFRS 13并未更改以公允价值计量的标的项目或者相关列报，但仍有许多应用方面的细微差异需要考虑。我们希望本实务指南能帮助执业者更好地了解IFRS 13，并能有助于推动一致应用和实务解决方案的长期发展。

陈燕华Tracy YH Chen

合伙人Partner

会计咨询服务 Accounting Consulting Services

普华永道中天会计师事务所有限公司PricewaterhouseCoopers Zhong Tian CPAs Limited Company

PwC – A practical guide to IFRS – Fair value measurement 3

The International Accounting Standards Board (IASB) issued IFRS 13 Fair Value Measurement in May 2011.

Prior to IFRS 13, some IFRSs require or permit entities to measure or disclose the fair value of assets, liabilities or their own equity instruments. As those IFRSs were developed over many years, the requirements for measurements and disclosures of fair value were dispersed and in many cases did not articulate a clear objective. Consequentially, the guidance contained in those IFRSs that refer to fair value is not always consistent with each other. Inconsistencies in this area have resulted in diversity in practice and reduced the comparability of information reported in financial statements.

The global financial crisis emphasised the importance of having common fair value measurement and disclosure requirements – with identical wording – in IFRSs and US GAAP.

IFRS 13, which is effective from 1 Jan 2013, defines fair value, sets out a single framework for measuring fair value and requires disclosures about fair value measurements. It results in IFRS s and US GAAP having the same definition, measurement and disclosure requirements in this important area of accounting.

This publication is a practical guide to IFRS 13. It explains the most important principles and complex requirements of this new IFRS, accompanied with practical examples and observations based on the experience of the PwC’s global network of firms.

Given the continued convergence of China Accounting Standards and IFRS and extensive use of fair value for financial instruments, we have also shared our experience in the area of valuation for financial products that are commonly seen in China.

Although IFRS 13 does not change what is measured at fair value or how to present such fair value measurement, there are still many application nuances to consider. We hope this practical guide will help practitioners obtain a better understand of IFRS 13 and contribute to the long-term development of consistent and practical solutions.

Preface

4 普华永道—国际财务报告准则实务指南—公允价值计量


国际财务报告准则实务指南公允价值计量—统一“公允价值”概念


概览

• 国际会计准则理事会（“理事会”）2011年5月12日发布了《国际财务报告准则第13号—公允价值计量》。国际财务报告准则第13号将各项国际财务报告准则中的公允价值计量指引纳入单独的一项准则。国际财务报告准则第13号不改变何时能够或者应当采用公允价值的要求。

• 我们认为，许多国际财务报告准则第13号所规范的要求很大程度上与现行的评估实务一致。因此，国际财务报告准则第13号在许多情况下不太可能造成实质性的变化。但国际财务报告准则第13号还是引入了以下几项变更：

— 对非金融资产和负债，引入类似于国际财务报告准则第7号目前对金融工具要求的公允价值层级；

— 要求所有负债（包括衍生负债）的公允价值的确定，应基于该负债将向另一方转移而非结算或清偿的假设；

— 取消了对于在活跃市场上有报价的金融资产和金融负债应分别采用出价和要价这一要求。取而代之的是，应采用买卖价差范围内最具代表性的价格；并且

— 提出了与公允价值有关的额外披露要求。

• 国际财务报告准则第13号在2013年1月1日及以后日期开始的年度期间内生效；允许提前应用。

• 管理者需要评估该准则对其现有估值过程的影响。


引言

理事会发布国际财务报告准则第13号，在其他国际财务报告准则要求或允许时，作为计量公允价值的通用框架。

国际财务报告准则第13号将公允价值定义为“在计量日的有序交易中，市场参与者之间出售一项资产所能收到或转移一项负债将会支付的价格。”【国际财务报告准则第13号第9段】。关键原则是，公允价值是从持有资产或承担负债的市场参与者的角度来看的退出价格。由于是基于从市场参与者而不止是主体本身的角度考虑，因此公允价值不受主体对以公允价值计量的资产、负债或权益项目的意图所影响。

公允价值计量要求管理层确定四个方面的问题：进行计量的特定资产或负债（与其记量单位相一致）；对非金融资产的最大程度和最佳使用；主要市场（或最有利市场）；以及估值技术。【国际财务报告准则第13号第B2段】。

国际财务报告准则第13号讨论了如何计量公允价值，但未规定何时能够或应当采用公允价值。

范围

国际财务报告准则第13号适用于所有其他准则所要求或允许的公允价值计量或披露，但以下各项除外：

(a) 国际财务报告准则第2号规定的以股份基础的支付;

(b) 国际会计准则第17号规定的租赁；以及;

(c) 与公允价值类似但不是公允价值的计量，包括《国际会计准则第2号—存货》中的可变现净值计量，以及《国际会计准则第36号—资产减值》中的使用价值计量。

【国际财务报告准则第13号第6段】

以下各项适用国际财务报告准则第13号，但不需要满足国际财务报告准则第13号所规定的披露要求：

(a) 依据《国际会计准则第19号—职工福利》以公允价值计量的设定收益计划资产；

(b) 依据《国际会计准则第26号—退休福利计划的会计和报告》以公允价值计量的退休福利计划投资；以及

(c) 依据国际会计准则第36号以公允价值减去处置费用（FVLCTS）计量的减值资产。


国际财务报告准则第13号适用于以公允价值进行的初始计量和后续计量。【国际财务报告准则第13号第8段】。

计量

国际财务报告准则第13号规定在公允价值计量中应当考虑以下因素：

(a) 资产或负债，

(b) 市场，

(c) 市场参与者，以及

(d) 价格。

此外，针对下列项目还有的特定考虑因素：

(a) 非金融资产，

(b) 负债，

(c) 权益，以及

(d) 金融工具。

普华永道观察：这条关键原则不太可能造成重大的估值变化，因为大多数主体应该已经在实务中运用这样的原则。

普华永道观察：在国际财务报告准则中，何时应当将公允价值作为计量基础这一问题历来极具争议；因此，理事会并未因发布国际财务报告准则第13号而引入任何新的公允价值计量要求。然而，理事会认真考虑了每次在国际财务报告准则中对“公允价值”这一术语的使用是否与退出价格这一定义相符。在不相符的情况下，理事会变更了国际财务报告准则第13号的适用范围，或者在其他国际财务报告准则中采用另一合适的计量基础。

普华永道观察：术语“公允价值”在国际财务报告准则中通篇使用；鉴于国际财务报告准则第13号只给出极少的范围排除，因此其具有普遍适用性。


示例—对权益工具出售的限制【国际财务报告准则第13号IE第28段】

某主体持有一项法律上或合同中规定在一段特定期限内限制出售的权益工具（一项金融资产）（比如：该限制条件可能会限定只能出售给符合条件的投资者）。这项限制是该工具本身的特征，并将会被转移给市场参与者。在此情况下，该权益工具的公允价值计量将以在公开市场交易的同一发行人的其他相同但无限制的权益工具为基础并做出调整，以反映该限制条件的影响。这项调整将反映市场参与者因该权益工具无法在特定期限内进入公开市场的有关风险而要求的金额。调整金额将取决于以下不同因素：

• 限制条件的性质和期限;

• 买家受限于限制条件的程度（比如：可能有大量的符合条件的投资者）；以及

• 权益工具和发行人特有的定性和定量因素

示例—对资产使用的限制【国际财务报告准则第13号IE第29段】

“某捐赠人将可另行开发的一块住宅用地捐赠给非营利性邻里协会。目前，这块土地作运动场之用。捐赠人规定，这块土地必须继续被协会永久当作运用场使用。在检查相关文件时（比如法律或其他文件），协会确定，如果协会出售这项资产，满足捐赠人限制条件的受托责任不会被转移给市场参与者，也就是说，捐赠人对土地使用的限制是对协会的特定限制。此外，协会在出售土地上不受限制。如果没有对协会使用该土地设限，这块土地就可以被用作住宅开发用地。此外，这块土地附有一项通行权（即允许公用事业的电力线路通过这块土地的法律权利）。以下为限制条件和通行权对该土地公允价值计量影响的分析：

(a) 捐赠人对土地使用的限制。因为在这种情况下捐赠人对土地使用的限制是对协会的特定限制，所以这项限制条件不会被转移给市场参与者。因此，这块土地的公允价值是将其作为运动场的公允价值（即，该资产的公允价值通过市场参与者将其与其他资产或者其他资产和负债组合使用而实现最大化）和作为住宅开发用地的公允价值（即，该资产的公允价值通过市场参与者对其进行单独使用而实现最大化）两者中较高者，不考虑对协会使用土地的限制条件。

(b) 公用事业线路通行权。由于公用事业线路通行权是与这块土地特定相关的（即资产特征），将随着土地被转移给市场参与者。因此，无论最大程度和最佳使用是作为运动场还是作为住宅开发场地，这块土地的公允价值计量都要考虑通行权的影响。”

普华永道观察：该示例阐明了两点：

(a) 与投资者特定相关的限制条件（即捐赠人限制条件）不影响公允价值；与资产特定相关的限制条件（即公用事业线路通行权）会影响公允价值。

(b) 能轻松回避（即出售土地）的限制条件不太可能影响公允价值。

资产或负债

特征

公允价值计量涉及一项特定资产或负债。因此，如果市场参与者在对资产或负债进行定价时会考虑该资产或负债的具体特征，在公允价

值计量时就应当综合考虑这些特征。这些特征可能包括于计量日的出售或使用条件、所在地和限制（如果有的话）。【国际财务报告准则第13号第11段】。


记量单位

依据国际财务报告准则第13号，公允价值计量可以根据情况应用于单独的资产或负债（比如：权益证券、投资性房地产或无形资产）或者一组相关的资产和/或负债（比如：一项业务）。而确定如何应用公允价值计量，取决于记量单位。记量单位的确定基于被计量的特定资产或负债所适用的国际财务报告准则要求对该资产或负债进行组合或分解的程度；这通常不是由国际财务报告准则第13号本身所确定的。亦参见下文“初始确认时的公允价值”。

市场

依据国际财务报告准则第13号，管理层应基于在主要市场上（当没有主要市场时，在最有利市场上）发生的假设交易确定公允价值。【国际财务报告准则第13号第16段】。

主要市场

主要市场是指具有资产或负债最大的交易量和最高的活跃度的市场。【国际财务报告准则第13号附录A】。要确定主要市场，管理层需要评价各种不同市场的活跃度。但主体不必为确定主要市场或最有利市场，进行对所有可能市场的详尽研究；而应当考虑现成的所有信息。在没有相反证据的情况下，主体通常进行交易的市场被假定为主要市场或者最有利市场（当没有主要市场时）。主体的主要市场是指主体能够进入的、具有该资产或负债的最大交易量和最高活跃度的市场，即使其他市场上的价格更具优势。【国际财务报告准则第13号第18段】。

最有利市场

最有利市场是指在考虑交易费用和运输成本之后，能够使得出售资产所收取的金额最大化或转移负债所支付的金额最小化的市场（国际财务报告准则第13号附录A中“最有利市场”的定义）。

要确定最有利市场，管理层需要评价其合理预计能出售该资产或转移该负债的所有潜在市场。对于非金融资产，将从市场参与者的角度，基于“最大程度和最佳使用”这一估值前提，识别潜在市场。【国际财务报告准则第13号第31段】。在确定非金融资产最大程度和最佳使用时，报告主体可能需要考虑多种市场。

市场准入

在评价主要市场或最有利市场时，国际财务报告准则第13号将符合条件的市场限于主体能够在计量日进入的市场。由于不同报告主体可能有不同市场的准入，因此报告主体之间的主要市场或最有利市场可能不同。【国际财务报告准则第13号第19段】。

尽管主体必须能够进入该市场，但不需要其能够在计量日出售该资产或转让该负债才可以以该市场上的价格为基础计量公允价值

【国际财务报告准则第13号第20段】。如下所示。

普华永道观察：在实务中，大部分非金融资产以其“最大程度和最佳使用”方式被使用，因此这条要求并不像看起来那么麻烦。


示例

某商品交易商的报告日期为20X0年12月31日，正好为星期六。该商品交易商持有的商品X既可进入零售市场，也可进入批发市场。主要市场为批发市场，因为其具有该商品最大交易量和最高活跃度的市场；但零售市场的销售价格通常较高。批发市场只在工作日交易，而零售市场也在星期六交易。

该交易商不允许仅仅因为批发市场（主要市场）不在计量日交易，而采用较高的零售价格作为该商品的公允价值。

交易费用

国际财务报告准则第13号禁止针对交易费用调整公允价值（参见下文“价格”），但却要求在确定最有利市场时对此予以考虑。 “交易费用”的定义如下：

“在一项资产或一项负债的主要市场（或最有利市场）上出售该资产或转移该负债的成本，该成本直接归因于该资产的处置或该负债的转移并且要同时满足以下两个标准：

(a) 该成本直接由该交易引起，且为该交易所必需。

(b) 如果主体不做出出售该资产或转移该负债的决定，就不会发生该成本（与国际财务报告准则第5号定义的处置费用相似）。”

【国际财务报告准则第13号附录】。

示例

某主体拥有一项可以在交易量相似的两个不同市场上以不同价格出售的资产。该主体在两个市场上都进行交易，且能够获得该资产在这些市场上的于计量日的价格。该资产没有主要市场。

A市场 B市场价格 27 25运输成本 -3 -2

24 23交易费用 -3 -1

21 22

在A市场，收到的价格为C27；该市场的交易费用为C3；将该资产运输至该市场的成本为C3（也就是说，在A市场收到的净额将为C21）。

在B市场，收到的价格为C25；该市场的交易费用为C1；将该资产运输至该市场的成本为C2（也就是说，在B市场收到的净额将为C22）。

如果A市场是该资产的主要市场（即拥有该资产最大的交易量和最高的活跃度的市场），该资产的公允价值将在考虑运输成本之后，采用在该市场收到的价格计量（C24）。这种计量方法同样适用于B市场（C23）。

（未完待续）


示例（续）

而由于该资产不存在主要市场，因此其公允价值将采用最有利市场上的价格计量。最有利市场是指在考虑交易费用和运输成本之后，能够使出售该资产所取得的金额（即在相应的市场收到的净额）最大化的市场。

主体将该资产在B市场出售所能收到的净额（C22）是最大的，因此该资产的公允价值采用该市场上的价格（C25）减去运输成本（C2）进行计量，得出的公允价值计量结果为C23。

尽管在确定哪个市场最有利时考虑了交易费用，但用于计量该资产公允价值时，不能针对这些费用对价格做出调整（尽管针对运输成本可以做调整）。

没有可观察市场

一项资产或负债可能不具备已知或可观察市场。比如，对于现金产出单元或无形资产的出售，可能没有明确的市场。在这些情况下，管理层应当首先识别潜在市场参与者（比如：战略买家和金融买家），然后基于这些市场参与者的预期假设建立模拟市场。

市场参与者

国际财务报告准则第13号强调公允价值计量应当以市场参与者假设为基础（也就是说，这不是以主体特定假设为基础的计量）。【国际财务报告准则第13号第22段】。市场参与者是指在资产或负债的主要市场（或最有利市场）上符合以下条件的买家和卖家：

• 独立—交易对手不是《国际会计准则第24号—关联方披露》中定义的关联方。

但这并不排除在有证据表明交易符合市场条款的情况下，将关联方交易价格作为估值输入值。

• 熟悉情况—交易对手运用所有可获得的信息，包括可能通过常规和惯例的尽职调查获取的信息，对资产或负债以及交易具有合理了解。

• 能够进行该资产或负债的交易。• 愿意进行该资产或负债的交易—交易

对手有交易的动力，而不是被强迫或其他方式强制交易。

【国际财务报告准则第13号附录A】。

市场参与者力求在一项资产或负债的主要市场（或最有利市场）上出售该资产或转移该负债的交易中，使该资产的公允价值最大化或使该负债的公允价值最小化。【国际财务报告准则第13号第22段】。

主体不要求确定具体的市场参与者，而应当设定一个潜在市场参与者概况。该概况应当考虑与资产或负债、资产或负债的主要市场（或最有利市场）以及主体将在该市场上与之交易的市场参与者特定相关的因素。

在缺乏可观察市场的情况下，通过考虑可以就资产或负债达成模拟交易的市场参与者的特征，确定公允价值。【国际财务报告准则第13号第23c段】。

普华永道观察：由于强调采用市场参与者假设，因此确定潜在市场参与者是确定公允价值的一个关键步骤。如果对特定市场上的各参与者的类型有着总体上的了解，确定市场参与者可能就比较简单。在某些其他情况下，管理层可能需要假设对某项资产或负债可能感兴趣的市场参与者的类型。市场参与者可以包括战略投资者和金融投资者。

设定市场参与者假设时的主要考虑事项可以包括该项资产或负债的特定所在地、条件及其他特征（比如：假设增长率、是否所有市场参与者都能采用某些协同效应以及风险溢价假设等）。比如，客户关系类无形资产可能没有明显的退出市场。在此情况下，管理层可以考虑市场上是否存在会从被估值的客户关系中受益的战略买家。大多数主体会在其业务增长阶段努力建立其客户基础，因此主体可以在其行业内寻找可能追求进一步增长的潜在参与者，从而从中确定一组假定的市场参与者。


价格

依据国际财务报告准则第13号，公允价值基于退出（亦可被译为“脱手”）价格（出售一项资产所能收到或转移一项负债将会支付的价格）【国际财务报告准则第13号第24段】，而非交易价格或进入价格（获得资产所需支付或因承担负债所能收到的价格）。进入价格和退出价格在概念上是不同的。退出价格这一概念是基于市场参与者角度，对出售价格或转让价格的当前预期。

国际财务报告准则第13号禁止针对交易费用调整公允价值，交易费用按照其他国际财务报告准则进行会计处理。但交易费用不包括国际财务报告准则第13号规定的运输成本。如果所在地是资产的一个特征（比如：大宗商品），则应当按照运输成本调整公允价值。【国际财务报告准则第13号第25段】。

普华永道观察：理事会在得出采用退出价格的结论之前，是经过深思熟虑的。目前，对退出价格的采用仍然存在争论。例如，在主体打算使用而不是出售一项资产时，可能认为退出价格并不相关。

不过，即使主体打算使用该资产，退出价格仍然适合于公允价值计量。这是因为退出价格反映了将资产出售给以同样方式使用该资产的市场参与者时所产生的对未来现金流量的预期。这是因为市场参与者只会为预计将从使用或出售资产中获得的利益付款。【国际财务报告准则第13号BC第39段】。同样的逻辑也适用于负债，市场参与者将反映对履行义务所需现金流出量的预期。【国际财务报告准则第13号BC第40段】。

理事会曾对准则进行逐个复核，以评估在国际财务报告准则中提到“公允价值”的情况下，退出价格是否是对应的解释。其目的是，如果退出价格并非所认定的解释，理事会就会将术语“公允价值”更改成其他名称。【国际财务报告准则第13号BC第41段】。这项复核使理事会得出以下结论：如果针对相同日期在相同市场上同样的相同资产或负债，则现行进入价格与现行退出价格应当相等。因此，理事会认为在以市场为基础的计量（即公允价值）目标下，不必在国际财务报告准则中区分现行进入价格和现行退出价格；而是决定保留公允价值这一术语，并将其定义为现行退出价格。【国际财务报告准则第13号BC第44段】。

理事会未将公允价值计量要求与退出价格不一致的那些国际财务报告准则纳入本指南范围内。【国际财务报告准则第13号BC第45段】。（参见上文“范围”）


非金融资产特定考虑事项：最大程度和最佳使用

国际财务报告准则第13号要求非金融资产的公允价值计量以市场参与者角度的最大程度和最佳使用为基础。【国际财务报告准则第13号第27段】。该要求不适用于金融工具、负债或权益。“最大程度和最佳使用”这一概念，虽然并未明确作为国际财务报告准则文献的构成部分，但对国际财务报告准则中的估值而言也不属于新概念。在国际财务报告准则第13号之前，国际会计准则第40号中的结论基础（在讨论投资性房地产的公允价值估值时），引用了国际评估准则（IVS），而该准则将此作为通用估值概念。因此，将这一概念特别纳入国际财务报告准则中，使得国际财务报告准则与评估实务保持一致。

依据国际财务报告准则第13号，最大程度和最佳使用要考虑对资产进行以下使用：

• 实际上可能的使用—考虑市场参与者将考虑的实际特征（比如：房地产所在地或规模）；

• 法律上容许的使用—考虑市场参与者将考虑的对资产使用的法律限制（比如：区域规划法规）；或者

• 财务上可行的使用—考虑资产的使用是否会产生足够的收入或现金流量，以带来市场参与者要求的投资回报。这应当包括将资产转变到该用途的成本。

【国际财务报告准则第13号第28段】。

最大程度和最佳使用是从市场参与者的角度确定的。【国际财务报告准则第13号第29段】。主体是否打算以不同方式使用该资产，并不重要。比如，主体可能会为了维持或促进其自有品牌的竞争地位，而对其并不打算使用的竞争品牌做出防御性收购。不管其意图如何，主体应在市场参与者进行最大程度和最佳使用的假设下，计量该竞争品牌的公允价值。【国际财务报告准则第13号第30段】。

但是，国际财务报告准则第13号允许管理层假定其当前对资产的使用就是最大程度和最佳使用，除非市场或其他因素表明并非如此。【国际财务报告准则第13号第29段】。

普华永道观察：在确定最大程度和最佳使用时，管理层应当将市场参与者在相关情况下会发生的所有成本包括在内。

比如，如果一块土地当前被用作耕地，则公允价值（假定最大程度和最佳使用是继续将其用作耕地）应当反映继续将这块土地作为耕地使用所带来的利益，包括市场参与者可能获得的任何税款抵减。

但是，如果确定市场参与者将考虑把土地的另一种使用作为最大程度和最佳使用（比如：商业用地或住宅用地），公允价值应当包括将土地进行重新规划以符合市场参与者的预期用途所相关的所有成本（比如：法律成本、生存力分析、交通研究等）。此外，为另一不同用途所做的土地准备工作涉及的拆除成本及其他成本，也应当纳入公允价值估计中。此概念在国际财务报告准则第13号IE第8段（示例2）中有所阐述。土地重新规划工作包括与所提议的重新规划是否获得批准相关的不确定性因素。因此，土地的公允价值应当反映这一不确定性。如果不具可行性或者不可能成功，则不应当考虑重新规划。

普华永道观察：理事会得出以下结论：力求最大化其资产价值的主体将以其最大程度和最佳使用方式使用这些资产；因此，只有在有证据表明资产的当前使用并非其最大程度和最佳使用时，管理层才需要考虑对资产的其他使用。在许多情况下，一项资产的当前使用不太可能不是其最大程度和最佳使用。最常见的例子在IE第7到9段中有所描述，包括土地和防御性持有的资产。


非金融资产最大程度和最佳使用可以是单独使用时，也可以是与其他资产和/或负债组合使用时。在后一种情况下：

• 公允价值以该资产在此类资产/负债组合中的使用为基础。假定该资产将在此类组合中使用且市场参与者可以获得其他资产和负债。

• 资产/负债组合不能包括用来为该资产/负债组合以外的资产提供资金支持的负债。

• 对此类资产/负债组合中的所有非金融资产的最大程度和最佳使用的假设应当一致。

• 对此类资产/负债的组合不必与其他国际财务报告准则所规定的组合或分解程度一致，因为假定市场参与者已经拥有其他资产。

【国际财务报告准则第1 3号第31段、第32段】。

当最大程度和最佳使用是指在资产/负债组合中使用时，与资产/负债组合相关的协同效应根据情况可以通过多种方式纳入单项资产的公允价值。

• 可能适合直接调整公允价值的情况： “资产是一台机器，其公允价值计量采用类似机器（未安装或配置使用）的观察到的价格并根据运输和安装成本做出调整后确定，以使该公允价值计量反映机器的现有条件和所在地（已安装并配置使用）。”【国际财务报告准则第13号第B3b段】。

• 可能适合调整市场参与者假设的情况：“比如，资产为独特的在制品存货，市场参与者将把这些存货转化为成品，存货的公允价值将假定市场参与者已经获得或者将会获得把存货转化为成品所需要的任何专门设备。”【国际财务报告准则第13号第B3c段】。

• “在采用多期超额收益法计量一项无形资产的公允价值时”，可能适合通过对估值技术做出调整，“因为该估值技术特别考虑任何配套资产和相关负债在使用此类无形资产的组合中的影响。”【国际财务报告准则第13号第B3d段】。

• 可能适合对各单项资产做出公允价值分配调整的情况：“在更为有限的情况下，当主体使用一组资产中的某项资产时，主体可能会在将资产组合公允价值分配给组合内各单项资产，以近似于其公允价值的金额计量该资产。这可能出现在估值涉及房地产并且将已装修的房地产（资产组合）公允价值分配给其组成部分资产（比如土地和装修）时的情况。”【国际财务报告准则第13号第B3e段】。

负债和权益特定考虑事项

负债的转移

国际财务报告准则第13号第34段规定：“公允价值计量假定金融或非金融负债或主体的自身权益工具（比如：在业务合并时作为对价发行的权益）在计量日向市场参与者转移。负债或主体自身权益工具的转移基于以下假设：

(a) 负债仍未偿付，受让的市场参与者需要履行该义务。负债不会在计量日与交易对手结算或者以其他方式偿清。

(b) 主体的自身权益工具仍发行在外，受让的市场参与者将行使和承担与权益工具相关的权利和义务。权益工具不会在计量日取消或以其他方式偿清。”


普华永道观察：负债转移概念澄清了以往国际财务报告准则给出的公允价值定义（比如：在国际会计准则第32号、国际会计准则第41号、国际财务报告准则第5号中的定义），该定义规定负债的公允价值应为“能够在知情自愿当事方之间结算负债的金额……”由于负债可以通过清偿或向另一方转移的方式“结算”，因此不明确结算价值是指转让价值还是清偿价值。国际财务报告准则第13号澄清公允价值是转让价值，而不是清偿价值。

以下方框内的示例表明，清偿价值不一定是转让价值。在某些情况下，由于负债最

其他方作为资产持有的负债和权益工具

与资产相比，由于对负债和权益转让的合同和法律限制，负债和权益的可观察活跃市场不太可能存在。即使对于有报价的债务或权益证券，市场也是作为证券持有人而非发行人的退出机制。

因此，报价反映的是投资者而非发行人的退出价格。国际财务报告准则第13号将这些情况与负债或权益工具存在直接退出市场的情况区分开来。在不具备可供发行人使用的转让报价且负债或权益工具由另一投资者作为资产持有时，管理层应当从投资者角度计量公允价值。【国际财务报告准则第13号第37段】。

终金额的不确定性（比如：石棉污染伤害债务和履约保函），可能需要支付高于预期支出的额外风险溢价。向第三方支付的风险溢价可能与直接交易对手愿意接受的结算（或清偿）价值不同。此外，承担负债的交易方可能会因管理负债产生一定的费用，或者可能要求一定的利润。

在实务中，结算价值与转让价值之间可能存在重大差异。这些差异包括信用风险的影响，以下示例表明，信用风险的影响通常在负债结算中不予考虑。

示例

一家银行持有票面价值为C100,000、市场价值为C95,000的债务类投资。市场利率与票据中的金额一致；但由于市场对不履约风险的顾虑，给予C5,000的折扣。

结算价值

除了异常情况之外，我们预计交易对手（A方）需要全额支付票面价值才能结清债务，因为银行可能不愿意通过市场折扣或信用风险调整对票据打折。因此，结算价值将与票面金额相等。

转让价值

为了计算转让价值，A方必须搭建模拟交易，在模拟交易中，具有类似信用状况的另一方（B方）按照与票据大致相同的条款寻求融资。B方可能选择与银行签订新的债务协议，或者在转让交易中向A方收取现有票据。

对B方而言，通过新的银行票据获取融资或者假定承让现有票据获付C95,000应当没有差别，因此转让价值将为C95,000；比结算价值少C5,000。该金额是持有相同债务作为资产的市场参与者认为具有的价值，与国际财务报告准则第13号第37段中的指引相符。


在这种情况下，负债或权益工具的公允价值通过以下方式得出：

(a) 采用另一方作为资产持有的相同负债在活跃市场上的报价（比如：在活跃市场上有报价的债务证券价格）；

(b) 如果(a)中的价格无法获得，则使用其他可观察输入值，比如另一方作为资产持有的相同负债在非活跃市场上的报价（比如：在不太活跃的市场上有报价的债务证券价格）。

(c) 如果(b)中的可观察输入值无法获得，则采用另一种估值技术，比如：

(i) 收益法—该方法采用现值技术，考虑市场参与者预期从作为资产持有的负债或权益工具中收到的未来现金流出量；以及

(ii) 市场法—这种方法参照其他方作为资产持有的类似负债的报价确定公允价值。

采用报价和可观察输入值

若有资产特定因素不适用于负债或权益工具，可能就需要调整资产报价，才能得出相应负债或权益工具的公允价值。比如，一项有报价的债务证券可能以第三方保函提供担保。此类证券的报价会反映保函的价值。如果发行人只计量其自有负债的公允价值且记账单位也不包括保函，则应当排除保函对报价的影响。【国际财务报告准则第13号第39b段】。如果管理层采用类似（而非相同）的债务或权益工具的报价计量其自有债务的价值，则需要根据债务或权益工具之间的任何差异做出调整。【国际财务报告准则第13号第39a段】。用于计量对应负债或权益工具公允价值的资产价格，不应当反映限制资产出售的条件所造成的影响。【国际财务报告准则第13号第39段】。

并无其他方作为资产持有的负债

有些负债并非有另一方作为资产持有。其中一个例子就是弃置负债。【国际财务报告准则第13号第B31段】。在这种情况下，负债的公允价值必需要从负债发行人的角度计量。如果负债不存在市场，则需基于发行人角度采用估值技术计量负债的公允价值。【国际财务报告准则第13号第40段】。

这些估值技术可以包括考虑以下因素之一的现值技术：

• 市场参与者预期在履行义务过程中产生的未来现金流出量，包括市场参与者因承担义务而要求给予的补偿；或者

• 市场参与者签订或发行相同负债工具所收到的金额，采用市场参与者将在以相同合同条款发行负债的主要市场（或最有利市场）上给相同项目（比如：具有相同信用特征）定价时的假设。


普华永道观察：理事会决定在负债转让不存在活跃市场时，采用基于投资者角度的公允价值计量负债的公允价值。理事会认为基于投资者和发行人角度的公允价值在有效市场上应当是相同的，否则将导致套利。【国际财务报告准则第13号BC第89段】。

理事会曾考虑是否不同的角度会因为资产具有流动性而负债没有，从而可能会导致不同的公允价值。资产持有人可以轻易将资产出售给另一方，而负债发行人通常会发现较难将负债转移给另一方。最后，理事会认为，既然双方以相同的合同条款计量相同的工具，在概念上不存在会导致不同公允价值的理由。


采用这些现值计算时，计算应当反映市场参与者预期在履行义务过程中产生的未来现金流出量。这些现金流出量应当包括：

• 市场参与者对履行义务的成本的预期；以及

• 市场参与者要求给予的补偿，其中应当包括对以下两项义务的回报：— 开展活动—市场参与者预期因履行

义务而获得补偿，因为参与者将为此目的使用宝贵的资源；以及

— 承担与债务相关的风险—承担义务时，市场参与者通常会要求给予风险溢价，以弥补实际现金流出量可能与预期现金流出量不同的风险。

可以通过调整现金流量或折现率以包含该种风险溢价。但风险不应当重复计算（比如：针对同一风险，同时调整现金流量和折现率）。【国际财务报告准则第13号第B33段】。

非金融负债可能不具备合同规定的回报率或可观察的市场收益率。当以公允价值计量此类负债时，有时无法区分回报的各组成部分（比如：采用第三方基于固定费率收费的合同价格）。而在其他情况下，可能需要分别估算各组成部分（比如：采用第三方基于成本加成收费的合同价格）。【国际财务报告准则第13号第B32段】。

不履约风险

国际财务报告准则第13号要求一项负债的公允价值反映不履约风险的影响，不履约风险是指主体不履行义务的风险。不履约风险包括信用风险的影响，以及其他任何影响履行义务可能性的因素。【国际财务报告准则第13号第42段】。

普华永道观察：上述要求看似复杂。但最重要的目的是确定潜在市场参与者因承担债务而要求给予什么样的补偿。

比如，一家工厂建在必须于五年后不带厂房归还给所有者的租赁土地上。弃置负债是指与厂房拆除费用相关的负债。弃置负债的公允价值可能就是拆除服务提供商如今同意五年后拆除厂房时收取的市场费率。上述要求旨在确定这笔费用。

普华永道观察：在国际财务报告准则第13号之前，以往在运用公允价值定义中的结算理念时，如何在一项负债的公允价值中反映主体自身的信用风险有不同解释。在主体的信用状况发生改变时，交易对手不太可能会接受合同规定的金额以外的某个金额作为债务结算金额；因此，那些采用交易对手结算理念解释公允价值，并评估其负债公允价值的主体，未发现其自身信用风险的变化会造成重大影响。这可能会给以往未将自身信用风险纳入其金融负债（比如：衍生金融负债）公允价值的主体带来变化。


国际财务报告准则第13号假定不履约风险在负债转让前后是相同的。这一概念假定负债将向信用相当的主体转让。【国际财务报告准则第13号第42段】。

在公允价值中计入不履约风险的程度应当与记量单位一致。比如，如果第三方信用增级与负债是分开进行会计处理的，在确定一项负债的公允价值时，应当排除第三方信用增级的影响。【国际财务报告准则第13号第44段】。

对发行人自身负债或权益工具转让的限制

发行人进行负债或权益工具的转让可能存在合同或法律上的限制。但管理层不应当对这些限制做出单独调整。国际财务报告准则第13号假定，这些限制条件的影响已经在交易对手完全了解限制条件并接受交易价格的基础上，被隐含或明确地计入初始交易价格。【国际财务报告准则第13号第45段、第46段】。

金融工具特定考虑事项

基于出价和要价的输入值

出价和要价在证券、金融工具和大宗商品市场上是很普遍的。在这些市场上，交易商随时准备以出价购买，以要价出售。如果公允价值层级内的一个输入值以出价和要价为基础，则应采用在具体情况下买卖价差范围内最能代表公允价值的价格计量公允价值。【国际财务报告准则第13号第70段】。

这是国际财务报告准则第13号所引入变化之一。以前，国际财务报告准则要求资产头寸采用出价，负债头寸采用要价。如果这些价格在具体情况下最能代表公允价值，如今仍可采用，但不再强制要求。

国际财务报告准则第13号不排除采用市场参与者作为实务操作上的简便方法而使用的中间价或其他定价惯例作为公允价值。一旦管理层确定采用何种惯例，就应当一致贯彻其会计政策。【国际财务报告准则第13号第71段】。

普华永道观察：结论基础阐明了为何进行如此假设。其中陈述道：虽然这一假设不太可能是实际交易的真实情况（因为在大多数情况下，作为转让方的报告主体和作为受让方的市场参与者不太可能拥有相同的信用状况），但必须如此，因为：

• 承担债务的市场参与者不会在未将不履约风险的变化反应在价格中的情况下，而达成将改变与负债相关的不履约风险的交易。

• 在不明确债务承担主体信用状况的情况下，负债的公允价值可能会出现根本性不同，这取决于主体对受让市场参与者特征的假设。

• 可能将主体之债务作为资产持有的市场参与者在给这些资产定价时，要考虑主体的信用风险以及其他风险因素的影响。【国际财务报告准则第13号BC第94段】。

普华永道观察：排除第三方信用增级的原因是负债发行人不能从第三方信用增级中获取利益，而资产持有人却可从中获取利益。除非破产，否则发行人必须全额偿还负债，无论是否存在第三方信用增级。因此，资产持有人需要在其公允价值中考虑信用增级，而负债发行人却不需要。但国际财务报告准则第13号未明确信用增级是否应当与负债分开单独进行会计处理。这要基于其他国际财务报告准则进行确定。


市场风险或交易对手信用风险的净头寸

国际财务报告准则第13号允许一种例外情况：如果主体基于其市场风险或交易对手风险（见国际财务报告准则第7号中的定义）的净敞口管理一组金融资产和金融负债，则可选择以净头寸为基础计量该组资产和负债的公允价值（也就是说，以净头寸为公允价值计量的记量单位，而不是以各单项金融资产和负债）。【国际财务报告准则第13号第48段】。

虽然这条例外规则是新的，但在国际财务报告准则第13号发布之前已经成为通用的评估惯例。因此，这条新的例外规则预期不会对现有评估实务造成重大影响。

只有在以下情况下，才允许执行这条例外规则：

• 主体按照其形成书面文件的风险管理或投资策略，基于其对市场/信用风险的净敞口，管理金融资产/负债组合；

• 主体在净额基础上向国际会计准则第24号定义的关键管理人员提供金融资产/负债组合的相关信息；以及

• 主体定期在财务状况表中以公允价值计量这些金融资产和负债。


运用上述例外规则的其他条件如下：

• 例外规则只适用于国际会计准则第39号和国际财务报告准则第9号范围内的金融资产和负债【国际财务报告准则第13号第52段】；

• 例外规则只适用于面临相同或至少实质上相似市场风险的金融资产和负债。如果市场风险不完全相同，则应当在将组合公允价值分配给资产和负债组成部分时，考虑它们之间的差异【国际财务报告准则第13号第54段】；以及

• 例外规则只适用于相似期限内的敞口。国际财务报告准则第13号第55段提供了以下示例：“……针对全部由12个月为期的金融资产和金融负债构成的组合内，一项5年期金融工具的12个月利率风险敞口相对应的现金流量，使用12个月期货合同的主体，应在净额基础上计量12个月利率风险敞口的公允价值，并且在总额基础上计量其余利率风险敞口（即2-5年）的公允价值。”

如果适用例外规则，则采用国际财务报告准则第13号中的原则计量净头寸的公允价值。比如：

• 对于市场风险，净头寸的公允价值是指在主体所涉具体情况下买卖价差范围内最能代表公允价值的价格。【国际财务报告准则第13号第53段】。

• 对于信用风险，此类组合的公允价值应当考虑信用增级（比如：净额结算主协议和担保品要求）以及对这些增级的法律可执行性的预期。【国际财务报告准则第13号第56段】。

上述例外规则不允许以净额列报组合内的资产和负债。列示问题由其他国际财务报告准则规范。在要求以总额列报的情况下，应当在合理且一致的基础上将组合公允价值分配给组合内的资产和负债（比如：采用相对公允价值方法）。【国际财务报告准则第13号第50段】。

例外规则的使用以及任何关于分配出价-要价和信用调整的政策，被视为一项会计政策，应当在各个会计期间一贯应用于指定组合。【国际财务报告准则第13号第51段】。

普华永道观察：如果主体拥有的金融资产和负债组合在应用国际财务报告准则第13号时（并且仅限于国际财务报告准则第13号）符合“组合例外规则”，其记量单位即为资产和负债组合，即净风险头寸。这就是你用于确定市场参与者将支付多少金额的记量单位。换句话说，问题是：如果你打算转让净风险头寸，你将收到/需要支付多少金额。因此，规模大小将被视为估值对象的特征。


估值技术

选择估值技术的一般原则

估值技术应当：

• 适合具体情况【国际财务报告准则第13号第61段、第62段】；

• 有足够数据可供取得【国际财务报告准则第13号第61段】；

• 最大程度地使用相关的可观察输入值、最小程度地使用不可观察输入值【国际财务报告准则第13号第61段】；

• 符合估算计量日市场参与者之间在现有市场条件下进行出售资产或转移负债的有序交易的价格这一目的【国际财务报告准则第13号第62段】；以及

• 为市场法、收益法或成本法【国际财务报告准则第13号第62段】。

可能具有可观察输入值的市场包括诸如交易所市场、交易商市场、经纪市场以及交易主体与交易主体间的市场，国际财务报告准则第13号第B34段对这些市场做出解释：

(a) 交易所市场—在交易所市场上，收盘价不仅随时可以获得，而且通常代表公允价值。这种市场的一个例子是伦敦证券交易所。

(b) 交易商市场—在交易商市场上，交易商随时准备交易（以自身账户进行购买或出售），因而用自有资本为持有做市用的存货，提供流动性。通常，出价和要价（分别代表交易商愿意购买或出售的价

格）比收盘价更容易随时获得。场外交易市场（价格公开发布的市场）就属于交易商市场。某些其他资产和负债也存在交易商市场，包括部分金融工具、大宗商品和有形资产（比如：二手设备）。

(c) 经纪市场—在经纪市场上，经纪人努力为买家和卖家进行撮合，但不会准备以自身账户进行交易。换句话说，经纪人不会用自有资本持有做市用的存货。经纪人知晓各交易方的出价和要价，但各交易方通常不了解另一方的价格要求。有时可以获得已经完成的交易的价格。经纪市场包括用于撮合购买和出售订单的电子通讯网络以及商业和住宅地产市场。

(d) 交易主体与交易主体间的市场—在交易主体与交易主体间的市场上，无论初次交易还是转售交易，都是独立协商的，不需中介。这种交易的相关信息很少公开发布。”

有时可能适合采用多种估值技术；在这种情况下，必须评价各种计量技术结果的合理性，必须在该范围内选择具体情况下最能代表公允价值的一个点。【国际财务报告准则第13号第63段】。

如果管理层确定交易价格为初始确认时的公允价值（参见下文“初始确认时的公允价值”），而且估值技术采用了不可观察输入值，则应当对估值技术进行校准，使初始确认时估值技术的结果等于交易价格。这样就能确保后续使用这种估值技术时不会得出与初始公允价值基础不一致的公允价值。后续期间，主体应当继续确保这种采用不可观察输入值的估值技术在计量日仍能反映可观察市场数据（比如：类似资产或负债的价格）。【国际财务报告准则第13号第64段】。

估值技术应当始终一贯采用，除非替代技术能提供同等或更具代表性地表明公允价值。这也适用于在运用多重技术时给予多重估值技术的权重。尽管不要求做出国际会计准则第8号规定的披露，但估值技术的任何变更都应作为会计估计变更进行处理。【国际财务报告准则第13号第66段】。

发生以下事件时，可能需要变更估值技术/权重：

• 出现新市场；• 可获得新信息；• 以往使用的信息不再可获得；• 估值技术进步；或者• 市场状况改变。


“


估值技术的类型

国际财务报告准则第13号描述了三种估值技术：

市场法

国际财务报告准则第13号将市场法定义为“一种采用从涉及相同或可比（即类似）资产、负债或资产负债组合（比如业务）的市场交易中得出的价格及其他相关信息的估值技术”。市场法的例子如下：

• 采用从可比交易中得出的市场乘数的估值技术【国际财务报告准则第13号第B6段】；以及

• 矩阵定价法—一种主要用于给某些类型的金融工具（比如债务证券）估值的数学技术，它并不单纯依赖特定证券的

报价，而是依赖证券与其他基准报价证券的关系。【国际财务报告准则第13号第B7段】。

收益法

国际财务报告准则第13号将收益法定义为“将多项未来金额（比如：现金流量或收入和支出）换算成一项当前金额（即折现）的估值技术。公允价值计量基于对这些未来金额的当前市场预期所表明的价值确定”。收益法的例子包括：

• 多期超额收益法（MEEM法）

在估值资产只能与一组其他资产一起带来收益的情况下，多期超额收益法非常有用。这种方法将资产形成的现金流量分成如图所示的几个部分：

• 许可费节约法（RFR法）

许可费节约法通常用于能够获得许可使用的无形资产。采用RFR法得出的公允价值为因获得资产所有权而免于支付的许可费的现值。

• 有无对比法

在收益的产生主要由其他资产推动，但被估值资产能提供增加收入或降低成本的增量效益时，这种方法非常有用。

公允价值是包含所有在用资产的业务价值与包含除被估值资产以外所有资产的业务价值之间的差额。

• 期权定价模型

这些模型包括Black-Scholes-Merton模型以及包含现值技术并且同时反映期权时间价值和内在价值的二项式模型（即点阵模型）。

• 成本法

国际财务报告准则第13号将成本法定义为“一项反映当前重置资产服务能力所需要的金额（通常称为‘现行重置成本’）的估值技术”。这种方法假定公允价值为收购或建造具有可比效用的替代资产所需的成本，并根据损耗程度（包括物理损耗、功能（技术）损耗以及经济（外部）损耗）做出调整，【国际财务报告准则第13号第B9段】。以下流程图阐明了成本法的应用。

1. 得出资产组合的未来现金流量。

2. 减去税务支出。

6. 结果就是MEEM值。

5. 计算税款摊销效益。

4. 计算未来现金流量的现值。

3. 应用资产贡献率。

MEEM估值步骤


折旧后重置成本/公允价值

根据年限/经济损耗/老化程度做出调整

确定最新同等资产的新成本

普华永道观察：我们认为，只有当其他方法不可用时，才能采用成本法。

初始确认时的公允价值

交易价格可能不等于公允价值。根据国际财务报告准则第13号，公允价值基于退出价格这一概念。虽然交易价格在许多情况下代表退出价格【国际财务报告准则第13号第58段】，但不一定总是这样【国际财务报告准则第13号第57段】。

在确定交易价格是否代表公允价值时，管理层应当考虑与交易和资产或负债的特定相关的因素【国际财务报告准则第13号第59段】，以及是否适用以下任何情况。

• 交易发生在关联方之间。但若有证据表明交易在市场条款下进行，则可在公允价值计量中考虑这项交易。

• 交易在胁迫下发生，或者价格是强加于卖家的（比如：由于财务困难）。

• 交易中的记量单位与进行公允价值计量的资产或负债不同。比如：— 进行公允价值计量的资产或负债只

是交易中的要素之一（比如：在业务合并中）；

— 交易包括按照另一项国际财务报告准则单独计量的未申明权利和特权；或者

— 交易价格包括交易成本。

• 交易不是在主要市场或最有利市场上发生的——比如：对交易商而言，如果其主要市场或最有利市场是交易商市场，那么零售市场价格就不能代表公允价值。

【国际财务报告准则第13号第B4段】。

成本法的应用

普华永道观察：对国际会计准则第39号提出的一条最常见的批评意见是其对初始确认时的公允价值与交易价格之间的差额（通常称为“首日损益”）的处理。除非符合特定标准，否则国际会计准则第39号禁止立即在利润表中确认首日利润或损失。可惜的是，国际财务报告准则第13号未化解这条批评意见。国际财务报告准则第13号规定：“当另一项国际财务报告准则要求或允许主体以公允价值对一项资产或负债进行初始计量，而交易价格与公允价值不同时，除非该国际财务报告准则另有规定，否则主体应将得出的利润或损失计入损益。”因此，除非通过与相同金融工具（即不更改也不重新打包）的其他可观察现行市场交易对比，或者根据变量只包含可观察市场数据的估值技术，能证明该金融工具的公允价值，否则国际会计准则第39号（或国际财务报告准则第9号）仍然禁止主体确认首日损益。【国际会计准则第39号AG第76段】。

这一点仍然是与美国公认会计原则之间的重要差异。


示例

主体持有一项在活跃市场上交易的单项资产头寸。如果主体一次性将其所持头寸全部出售，市场正常日交易量将不足以吸收主体所持数量。这次交易将影响报价，致使主体获得较低的出售价格。主体是否应当为了反映这一点而调整该资产的公允价值？

不应当。记账单位是单独每股，因此资产或负债的公允价值仍应按照报价与主体所持数量之乘积计量。这一点同样适用于负债或者由大量相同资产或负债组成的头寸，比如：持有金融工具。【国际财务报告准则第13号第80段】。无论是否在活跃市场上交易，答案都是如此。

估值溢价和折价

为了反映进行公允价值计量的资产或负债的某些特征，可能需要做出溢价和折价等估值调整。比如控制权溢价和非控制性权益折价。采用这些调整手段时，有几点忠告需要考虑：

• 不允许对与所计量资产或负债的记量单位不一致的溢价或折价做出调整；以及

• 只允许做出反映资产或负债特征的调整（比如：控制权溢价）。不允许对主体所持资产或负债的规模特征做为溢价或折

价调整。具体而言，国际财务报告准则第13号禁止因为市场正常日交易量不足以吸收主体持有的数量，而针对该大宗交易折扣因素对资产或负债报价做出调整。还可参见上文“记量单位”。

• 无论何种情况，若资产或负债有在活跃市场上的报价（即第一层次输入值），管理层应当在计量公允价值时采用该价格，无需调整。


以下流程图阐明了上述要求。

第一层级

根据规模大小调整与计量单位一致

调整

是

否

第一层级+第二层级

根据其他因素调整

不调整


示例

投资者X在私营公司Y中持有10%的投资。这项投资按照国际会计准则第39号归类为可供出售投资。X采用可比上市公司Z的市场乘数计量Y公司的公允价值。这项估值是否应当根据以下情况做出调整：

• 与Z公司相比，Y股份的非流动性？

• 如果X一次性将10%投资全部出售，而不是将其股份分成较小的几批出售，X获得的价格可能较低？

X应当根据Y股份的非流动性做出调整，因为这是Y股份的特征。Y股份没有上市；Z股份已经上市。

但X不应当为了反映“如果一次性将Y股份全部出售，收到的价格可能就会较低”这一可能的结果而对估值做出调整。这是因为国际会计准则第39号中的记量单位是单项金融工具。因此，国际会计准则第39号下的公允价值反映了Y公司每个单项金融工具的公允价值。

示例

主体A持有非上市公司B100%的股份。B公司属于按照国际会计准则第36号采用公允价值减去出售费用（FVLCTS）方法进行减值测试的现金产出单元。主体A采用可比上市公司的市场乘数，计量B公司的公允价值。

如果A假定将B的股份一次性出售，由于出售规模不同，收到的价格可能与分多次出售股份相比（比如每次出售1,000股）有所不同。为了确定FVLCTS，A应当假定将B股份在一次性交易还是在多次交易中出售？

由于进行公允价值计量的记量单位是国际会计准则第36号规定的现金产出单元，因此应当考虑的公允价值为现金产出单元的总公允价值。所以，主体A应当假定将B股份整体出售。

示例

主体C持有D公司100%的股份，D公司属于按照国际会计准则第36号采用FVLCTS方法进行减值测试的现金产出单元。C基于D公司的基础现金流入量（比如：来自销售）和流出量（比如：来自支出）以及行业资本成本，采用折现现金流的方法计量D公司的公允价值。C是否应当根据控制权溢价调整折现现金流量估值模型的结果？

C不应当做出此项调整。采用按加权平均资本成本折现的业务现金流量，已经将控制权溢价计入。这种估值方法隐含假设存在控制权。因此，不要求对控制权溢价做出进一步调整。

公允价值层级

国际财务报告准则第13号含有一个与国际财务报告准则第7号确立的层级相类似的公允价值层级。最高优先级给予第一层级输入值；第三层级输入值则得到最低优先级。【国际财务报告准则第13号第72段】。

一项公允价值计量应整体归入公允价值层级中与对整个计量具有重大意义的最低层级输入值相同的层级。如果一个输入值能够得出明显不同的公允价值计量，则为重大输入值。【国际财务报告准则第13号第79段】。国际财务报告准则第13号要求考虑与资产或负债的特定相关的因素。【国际财务报告准则第13号第73段】。


不属于公允价值构成部分但其他文献要求管理层纳入计量中的事项，在确定层级时不予考虑—比如：F V LCTS方法中的出售费用。【国际财务报告准则第13号第73段】。

公允价值层级基于输入值的类型划分公允价值计量的等级；而不取决于所用估值技术的类型。【国际财务报告准则第13号第74段】。

第一层级输入值是指相同资产或负债在主体能够在计量日进入的活跃市场上的报价（未做调整）。【国际财务报告准则第13号第76段】。国际财务报告准则第13号强调了关于第一层级输入值的以下几个要点：

• 应当采用主要市场（没有主要市场时，采用最有利市场）【国际财务报告准则第13号第78段】。

• 交易主体应当能够在计量日在选定的市场上交易【国际财务报告准则第13号第78段】。

• 只要可以获得，就应当在不做调整的情况下采用报价【国际财务报告准则第13号第77段】，但以下情况除外：

— 国际财务报告准则第13号为活跃市场上有可用报价但却不能随时获得的大量相似资产或负债（比如债务证券）的公允价值计量提供了一种实务操作上简便方法。因此，报告主体可以采用替代定价方法（比如矩阵定价法），而不是获得每项证券的报价，进行公允价值计量。如果将一种替代定价方法作为简便方法，得出的公允价值计量结果将被归入第二层级。

— 某些情况下，可能会在市场收盘之后但计量日之前发生重大事件（比如：交易主体与交易主体间的交易、经纪交易和公告）。如果情况如此，市场报价可能就不能代表计量日的

公允价值。管理层应当制定并一贯地运用用于确定和考虑可能影响公允价值计量的事件的政策。此外，如果管理层调整报价，得出的计量结果就不能被归入第一层级，而是需被归入较低计量层级。

普华永道观察：确定特定输入值对公允价值计量是否影响重大需要进行判断。首先要基本了解纳入公允价值计量的所有输入值、每个输入值的相对重要性以及这些输入值是能从外部进行验证还是通过内部估计而导出。

确定输入值的重要性时，没有明确的界限；两个不同的主体在相同的背景情况下可能得出不同的结论。我们认为管理层应当在计量时，考虑低层级输入值对公允价值计量的影响，及其对未来公允价值变动的潜在影响。

在评估不可观察输入值对资产或负债公允价值的重要性时，管理层应当：(1) 考虑资产或负债的总价值对数据变化的敏感度，以及 (2) 重新评估数据在资产或负债的整个寿命期内的变动可能性。此外，我们还认为，采用多项不可观察数据（或多个参数）计量资产或负债的公允价值时，这项评估应当在既在个别基础上又在总体基础上进行。这项评估取决于与给定资产或负债相关的特定事实和情况，并且需要做出重要的专业判断。

鉴于可能涉及的判断程度，确定输入值在公允价值层级中的分类并不简单直接时，管理层应当记录其分层理由。此外，管理层还应当制定并一贯地运用确定重大性的政策。


— 考虑采用资产报价计量其报价负债或权益工具的公允价值的主体。【国际财务报告准则第13号第79段】。但报价可能反映不适用于负债或权益工具的因素（参见上文“采用报价和可观察输入值”）。在此情况下，应当根据这些因素对公允价值做出调整，得出的公允价值计量结果将归入较低层级。

第二层级输入值是指除第一层级所含报价以外的资产或负债的输入值，无论是直接还是间接可观察到的。【国际财务报告准则第13号第81段】。第二层级输入值包括：• 类似资产或负债在活跃市场上的报价；

• 相同或类似资产或负债在非活跃市场上的报价；

• 除报价以外的资产或负债的可观察输入值，比如：

— 依常规报价间隔期间的可观察的利率和收益率曲线，

— 隐含波动率，

— 信用利差；以及

• 市场证实输入值。


国际财务报告准则第13号第B35段提供了下

列第二层级输入值的例子：

(a) 基于伦敦银行同业拆借利率（LIBOR）互换利率的收取固定/支付浮动的利率互换。如果该利率在几乎整个互换期限内的常规报价间隔期都是可观察的，则第二层级输入值为LIBOR互换利率。

(b) 基于以外币表示的收益率曲线的收取固定/支付浮动的利率互换。第二层级输入值是可以在几乎整个互换期限内的常规报价间隔期观察到的、基于以外币表示的收益率曲线的互换利率。如果互换期限为10年，并且该利率是可以在9年内的常规报价间隔期观察到的，则可执行上述规定，但前提条件是对第10年收益率曲线的任何合理外推在整体上对互换公允价值计量不具重要性。

“

普华永道观察：每项要求或允许进行公允价值计量的会计准则所规定的计量日都是“有效的”估值日。因此，一项估值应当只反映特定计量日存在的事实和情况（这些事实和情况包括计量日之前已发生或者可以在计量日合理预见的事件），以使该估值适合于将在此日发生的交易。此外，计量日之后发生的公允价值变动属于期后事项，不能调整公允价值，只能进行披露。

普华永道观察：在某些情况下，管理层只能获得单一价格来源或单一报价。除了价格来源为交易所交易的情况外，单一来源通常不能作为第一层级输入值，因为单一做市商几乎从定义上就表明市场不活跃。但在某些极少情况下，单一做市商支配着某项特定证券的市场，使该证券的交易保持活跃，但所有活跃度都通过该做市商实现。在这种有限的情况下，如果经纪人随时准备以该价格进行交易，则可支持归入第一层级的结论。

在除上述事实模型以外的所有情况下，管理层应当确定单一经纪人报价是否代表第二或第三层级输入值。进行这项评估时的关键考虑事项包括以下几项：

• 第二层级：如果有可比证券的可观察市场信息支持单一经纪人报价，并且/或者经纪人愿意以该价格对该证券进行交易，则可支持将单一经纪人报价作为第二层级输入值。

• 第三层级：如果没有可比证券，所提供报价也只是作为指示性价值，并不承诺实际上会以该价格进行交易（比如：经纪人根据定价管理支持协议向从其购买某项证券的基金提供的信息），那么单一经纪人报价通常作为第三层级输入值。这些信息在用于财务报告时，需要进一步跟进或履行尽职调查程序。

评估在公允价值层级中的适当划分时，管理层应当特别考虑与每个估值输入值所依据的事实。


(c) 基于特定银行优惠利率的收取固定/支付浮动的利率互换。如果外推值得到可观察市场数据证实，比如能由与几乎整个互换期限内的可观察利率之间的相关性所证实，则第二层级输入值为通过外推得出的该银行优惠利率。

(d) 交易型股票的三年期期权。如果同时具备以下两个条件，则第二层级输入值为通过对第三年的外推中得出的股票隐含波动率：

(i) 该股票的一年期和两年期期权价格是可观察的。

(ii) 三年期期权的外推隐含波动率得到几乎整个期权期限内的可观察市场数据证实。

在这种情况下，三年期期权的隐含波动率可以从该股票一年期和两年期期权的隐含波动率外推得出，并得到可比主体股票三年期期权的隐含波动率证实，但前提条件是与一年期和两年期期权隐含波动率之间的相关性已经确立。

(e) 许可协议。对于在业务合并中获得的、被收购主体（许可协议当事方）与非关联方之间近期商定的许可协议，第二层级输入值为在订立协议时与非关联方之间的合同中约定的特许权使用费。

(f) 零售店的成品存货。对于在业务合并中获得的成品存货，第二层级输入值为在零售市场上对顾客的报价或者在批发市场上对零售商的报价，并根据存货和可比（类似）存货的状况和所在地做出调整，使公允价值计量反映在向将会完成必要销售工作的另一零售商出售存货的交易中可以收到的价格。无论对零售价（向下）还是批发价（向上）做出调整，公允价值计量在概念上将是相同的。一般而言，应当采用所需主观调整最少的价格进行公允价值计量。

(g) 持有并使用的建筑物。第二层级输入值为从可观察市场数据中获得的建筑物每平米单价（估值乘数），比如：从观察到的涉及类似地点可比（或类似）建筑物的交易价格中得到的乘数。

(h) 现金产出单元。第二层级输入值为从可观察市场数据中获得的估值乘数（如收益或收入乘数或者类似业绩评估指标），比如：从观察到的涉及可比（即类似）业务的交易价格中得出的乘数，同时考虑经营、市场、金融和非金融因素。”

国际财务报告准则第13号强调了关于第二层级输入值的以下几个要点：

• 如果资产或负债具有规定（约定）期限，则第二层级输入值必须是在几乎整个资产或负债期限内可观察的【国际财务报告准则第13号第82段】。

• 对第二层级输入值的调整应当包括诸如资产或负债在计量日的状况和/或所在地，以及观察到输入值的市场的交易量和活跃度等因素。

在输入值不完全与可比资产或负债项目相关的情况下（包括上文“基于出价和要价的输入值”中第二组和第三组要点中的因素），也需要做出调整。对公允价值计量具有重大影响的调整，可能使计量归入公允价值级次中的第三层级。

普华永道观察：通过外推或内推得出的某些输入值，可以得到可观察市场数据证实（比如：通过外推可观察的一年和五年利率收益率，得出三年收益率），将被视为第二层级输入值。

比如，假定阿根廷利率收益率曲线与智

利利率收益率曲线相关。同时，假定阿根廷收益率曲线的可观察期限是三年，但智利收益率曲线的可观察期限只有两年。管理层可以基于对第一年和第二年智利收益率曲线的外推，以及与第三年阿根廷收益率曲线的相关性，外推出第三年的智利收益率曲线。在本示例中，第三年的智利收益率将被视为第二层级输入值。但通过外推短期数据计量长期输入值可能需要做出无法得到可观察市场数据证实的假定和判断，因此可能作为第三层级输入值。


示例

如果公允价值计量以内推信息为基础，如何将外汇合约的公允价值计量归入公允价值层级？

假定主体基于可观察市场数据的内推计量公允价值。确定在公允价值层级中的适当划分时，主要考虑事项包括以下两点：

• 能够从活跃市场数据中观察到的即期外汇汇率为第一层级输入值。

• 能够采用外部报价来源内推的公允价值计量，通常属于第二层级估值。比如，假定有可供30天和60天外汇合约使用的远期价格符合第一层级输入值，而主体计量的是50天外汇合约。如果能够通过简单内推得出价格，则得出的计量结果属于第二层级估值。

不过，在合约期限为三年而价格仅在今后两年内可供取得的情况下，如果没有其他可观察市场信息证实第三年的定价输入值，则任何外推金额都将被视为第三层级估值（假定这对估值具有重大影响）。与前一例中智利利率得到阿根廷收益率曲线证实不同的是，在这种情况下，第三年的外汇汇率不能得到任何可观察市场信息的证实。

第三层级输入值是资产或负债的不可观察输入值【国际财务报告准则第1 3号第86段】。

国际财务报告准则第13号第B36段给出下列第三层级输入值的例子：

(a) 长期货币互换。第三层级输入值为不可观察也不能得到常规报价间隔期或几乎整个货币互换期限内可观察市场数据证实的特定的货币利率。货币互换中的利

率是指通过相应国家的收益率曲线计算得出的互换率。

(b) 交易型股票的三年期期权。第三层级输入值为历史波动率，即从股票历史价格中得出的股票波动率。历史波动率通常不代表现有市场参与者对未来波动率的预期，即使这是期权定价时唯一可获得的信息。

“


(c) 利率互换。第三层级输入值为采用不可直接观察也不能得到可观察市场数据证实的数据，即对利率互换的中间市场的协商价格（非约束性）的调整。

(d) 在业务合并中承担的弃置负债。如果没有合理可用信息表明市场参与者将采用不同假设，则第三层级输入值为采用主体关于在履行义务时所需支付的未来现金流出量的自有数据（包括市场参与者对履行义务的成本的预期，以及市场参与者因承担资产拆除义务要求给予的补偿）得出的当前估计值。该第三层级输入值将在现值技术中与其他输入值结合使用，比如：现行无风险利率或经信用调整后的无风险利率（如果主体信用状况对负债公允价值的影响在折现率而不是在未来现金流出量估计值中得到体现）。

(e) 现金产出单元。如果没有合理可用信息表明市场参与者将采用不同假设，则第三层级输入值为采用主体自有数据做出的财务预测（比如：现金流量或损益）。”

国际财务报告准则第13号强调了关于第三层级输入值的以下几个要点：

• 只有当可观察输入值不可获得时，才能使用【国际财务报告准则第13号第87段】。

• 公允价值计量的目的是从持有资产或欠有负债的市场参与者角度得出计量日的退出价格。因此，公允价值计量应当反映市场参与者将在给资产或负债定价时采用的假设，包括对风险的假设【国际财务报告准则第13号第87段】。

• 应当考虑用于计量公允价值的特定估值技术（比如定价模型）的固有风险，以及估值技术输入值的固有风险【国际财务报告准则第13号第88段】。

• 应当采用具体情况下可获得的最佳信息得出第三层级输入值，这些信息可能包括主体的自有信息。但在合理可用信息表明其他市场参与者将采用其他数据的情况下，应当调整主体的自有信息。比如，主体不应当考虑主体特有的、而市场参与者无法获得的协同效应。主体不需要竭尽所有努力获取关于市场参与者假设的信息【国际财务报告准则第13号第89段】。

国际财务报告准则第13号允许在以下条件下采用第三方报价（比如：定价服务商和经纪人）：

• 报告主体应当确定这些价格是按照国际财务报告准则第13号的要求制定的【国际财务报告准则第13号第B45段】，包括与交易量/活跃度明显下降有关的要求【国际财务报告准则第13号第B46段】；

• 对不能反映交易结果的报价给予的权重较低【国际财务报告准则第13号第B46段】；以及

• 应当考虑报价的性质（比如：是指示性价格还是约束性报价）；有约束性的报价获得更高的权重。【国际财务报告准则第13号第B47段】。

普华永道观察：许多报告主体从定价服务商处获得信息——比如：彭博、互动数据公司、贷款定价公司、Markit’s Totem Service、经纪人定价信息及类似来源，作为其公允价值计量的输入值。取决于特定证券信息的来源，这些信息可以被归入公允价值层级中的任何层级。对层级中的划分进一步讨论如下：

第一层级输入值

一般来讲，对于符合公允价值级次第一层级的价格或其他输入值，管理层应当能够从多个来源获得该价格。第一层级输入值涉及在交易所或者在活跃指数/市场所在地交易的项目。


第二层级和第三层级输入值

在某些情况下，报告主体可以依赖定价服务或代表了多名经纪人协商报价后的发布价格。但可能不明确是否能够按照所提供的价格进行交易。为了支持经纪人报价或从协商定价服务机构获得的信息能作为第二层级输入值的认定，管理层通常应当开展尽职调查，了解价格是如何制定的，包括了解用于确定价格的输入值的性质和可观察性。其他验证可以包括：

• 通过与定价服务商、交易商或其他公司协商，获得相同或类似资产的其他价格，以验证所提供的价格；

• 对照实际交易，通过事后检验确定历史数据的准确性；或者

• 与其他外部或内部估值模型的结果对比。

尽职调查的程度在很大程度取决于事实和具体情况，比如：进行计量的资产或负债的类型和复杂性及其在市场上的可观察性和流动性。一般而言，进行计量的资产或负债越独特，其流动性越低，就需要开展更多尽职调查来验证价格，从而支持将其归入第二层级输入值的结论。

进行尽职调查时，管理层应当清晰记录为得出结论而开展的评估工作。在不具备额外支持信息的情况下，从一个或多个经纪人来源或定价服务商处获得的价格属于指示性价值或代理报价；我们认为这些信息通常应作为第三层级输入值。

最后，管理层必须拥有一定的更高层级数据（即可观察数据），来支持将输入值归入第二层级。经纪人不准备用于交易的经纪人报价，不能用充斥着第三层级信息的内部模型或其他指示性经纪人报价进行验证，用于支持其第二层级的分类。但可能在其他情况下，定价信息能够得到市场证据证实，从而得出作为第二层级输入值的结论。

其他考虑事项

归根结底，确定公允价值计量及其在公允价值层级中的划分的适当性是管理层的责任，包括利用定价服务的情况。因此，利用定价服务的报告主体需要了解定价信息是如何得出的，并获取足够信息，以便确定金融工具在公允价值层级中的位置，并且确定上述信息以代表了退出价格的方式计算得出。

示例

定价服务商能提供活跃交易权益证券的报价，其报价如果得到报告主体证实，将作为第一层级输入值。同一家定价服务商还可能提供基于矩阵定价的公司债券价格，取决于模型中采用的信息，该价格可能构成第二层级或第三层级输入值。

在另一个示例中，报告主体可以从经纪人处获得住房抵押担保证券的价格。报告主体可以根据其历史交易经验，完全了解该证券在市场上的交易程度和流动性。此外，该证券的定价方法可能是常用并众所周知的（比如：矩阵定价法），因此需要开展的尽职调查可能会比较少。但类似结论可能并不适合所有情况（比如：不经常交易并且在市场上不具有流动性的担保债务凭证）。


非活跃市场和无序交易

在资产或负债的交易量或活跃度显著下降

时计量公允价值

以下流程图强调了确定市场价格可信度的考虑事项。

在确定交易量或活跃度是否出现显著下降（与正常市场活跃度相对而言）时，应当考虑以下因素：

• 很少有近期交易。

• 未采用当前信息制定报价。

• 报价在不同时间或在做市商之间存在重大差异（比如：某些经纪市场）。

• 曾经与资产或负债公允价值高度相关的指数，被证明与该资产或负债当前表明的公允价值无关。

• 在考虑与资产或负债的信用风险及其他不履约风险相关的所有可用市场数据后发现，与主体的预期现金流量估计值相比，观察到的交易或报价所隐含的流动性风险溢价、收益率或业绩指标（比如拖欠率或损失程度）显著上升。

• 买卖价差大，或者买卖价差显著加大。

• 资产或负债或者类似资产或负债的新发行市场（一级市场）活跃度显著下降，或者缺乏新发行市场。

• 公开发布的信息很少（比如：在交易主体与交易主体间的市场上发生的交易）。

【国际财务报告准则第13号第B37段】

如果交易量或活跃度出现显著下降，则需要开展进一步分析。主体可能得出以下结论：

• 交易或报价依然能代表公允价值。交易量/活跃度下降本身不能表明报价不再代表公允价值。

在公允价值中考虑交易价格，但可能需要变更估值技术，采用多种估值技术，变更公允价值权重，或者做出其他调整。

考虑交易价格，但将更多权重放在其他有序交易上。

是

否

给予交易价格的权重很少或没有

交易价格是公允价值

有序交易

不能确定

交易量/活跃度显著下降

是

否

普华永道观察：许多上述提及的表明市场交易量或活跃度显著下降的因素，也在理事会2008年10月发表的非官方专家顾问小组白皮书中载列。这份白皮书描述了在市场不再活跃时计量金融工具公允价值的操作实务，以及可能在这种情况下做出的公允价值披露。


• 交易或报价不能代表公允价值。在这种情况下，如果符合以下条件，则需要做出调整：

— 这些价格仍然用作计量公允价值的基础，而调整可能对公允价值计量具有重大意义；并且

— 需要做出调整的其他情况—比如：类似资产的价格需要做出重大调整，才能使其与进行计量的资产具有可比性，或者价格已经过时。

• 交易不是有序的。


当由于交易量/活跃度下降必须做出调整时，国际财务报告准则第13号有以下要求：

• 应当根据现金流量固有的不确定性，做出适当风险调整，即使当这些调整难以确定时也应如此。【国际财务报告准则第13号第B39段】。

• 可能需要变更估值技术或使用多种估值技术来应对此类情况。当多种技术得出的公允价值结果范围跨度较大时，可能需要进行进一步分析。【国际财务报告准则第13号第B40段】。

• 公允价值计量的目标依然保持不变—即，确定在计量日现行市场条件下的有序交易中，市场参与者之间出售一项资产所能收到或转移一项负债将需要支付的价格【国际财务报告准则第13号第B41段】。

但国际财务报告准则第13号并未规定做出此类调整的具体方法【国际财务报告准则第13号第B39段】。

主体持有资产或结算负债的意图在计量公允价值时不予考虑，因为公允价值是以市场为基础的计量，而不是以主体特定情况为基础的计量。【国际财务报告准则第13号第B42段】。

识别无序交易

仅仅因为交易量/活跃度的显著下降，就断定市场上的所有交易都属于无序交易，是不恰当的。表明交易属于无序交易的迹象包括：

• 计量日之前在市场上的投放时间不够长，在现行市场条件下不能使涉及该证券或负债的交易达到符合惯例的正常活跃度。

• 存在符合惯例的正常市场投放期，但卖家将资产或负债出售给了某个市场参与者。

• 卖家处于破产、濒临破产或或破产在管状态（即卖家处于危难中）。

• 卖家被要求出售以满足监管或法定要求（即卖家是被迫的）。

• 与相同或类似资产或负债的其他近期交易相比时，交易价格是异常的。


虽然国际财务报告准则第13号不要求竭尽所能确定交易是否属于有序交易，但不应当忽视可合理获得的信息。如果主体是进行交易的一方，则假定主体拥有确定交易是否有序的足够信息。【国际财务报告准则第13号第B44段】。

给予无序交易的权重应很少（如果有）。放在有序交易价格上的权重量将取决于进行计量的资产或负债的交易量、交易可比性、交易与计量日的接近程度以及其他事实和情况。如果所具备的信息不足以确定交易是否有序，则仍应考虑交易价格，但给予该交易价格的权重应低于其他有序交易。【国际财务报告准则第13号第B44段】。


披露

披露的目标

国际财务报告准则第13号要求披露足够信息，帮助财务报表使用者评估以下内容：

• 在初始确认之后以公允价值对资产和负债进行经常性和非经常性计量时所采用的估值技术和输入值；以及

• 经常性第三层级公允价值计量对损益或其他综合收益的影响。


资产或负债的经常性公允价值计量是指其他国际财务报告准则要求或允许在每个报告期末的财务状况表中进行的计量（比如：国际会计准则第39号下的金融工具或国际会计准则第41号下的生物资产）。

资产或负债的非经常性公允价值计量是指其他国际财务报告准则要求或允许在特定情况下，在财务状况表中进行的计量（比如：主体按照国际财务报告准则第5号以公允价值减去出售费用计量的持有待售资产）。

可能需要披露超出最低要求以外的额外信息，才能达到这些目标。报告主体还应当考虑以下要素：

• 必要的详细程度；

• 每项要求的重要程度；

• 组合或分解的程度；以及

• 是否需要额外信息才能评价量化披露。


资产和负债类别

与国际财务报告准则第7号相似，国际财务报告准则第13号也要求按“资产和负债的类别”披露。将资产和负债分成不同的类别，是基于以下内容做出的一项判断工作：

• 资产或负债的性质、特征和风险；以及

• 公允价值计量在公允价值层级中归入的层级。


此外，国际财务报告准则第13号还规定：

• 第三层级公允价值计量可能需要划分出更多类别，因为这些公允价值受到更多不确定性和主观性影响。

• 国际财务报告准则第13号中的类别通常比资产负债表中的行项目分解得更细致。

• 应当提供便于调节至资产负债表行项目的足够信息。

• 如果另一项国际财务报告准则规定了类别，这些类别可以在满足上述要求时使用（比如：国际财务报告准则第7号）。


最低披露要求

初始确认后以公允价值计量的每类资产和负债的最低披露要求如下【国际财务报告准则第13号第93段】：

(a) 对于经常性和非经常性公允价值计量，应披露报告期末的公允价值计量（参见下文中的表格“报告期末的公允价值计量”）；


示例—报告期末的公允价值计量

（单位：百万CU）采用以下输入值在报告期末以公允价值计量

说明

31/12/X9

相同资产在活跃市场上的报价

（第一层级）

重大其他可观察输入值

（第二层级）

重大不可观察输入值

（第三层级）总利得（损失）

经常性公允价值计量

交易性权益类证券(a): 房地产行业 93 70 23

石油和天燃气行业 45 45

其他 15 15

交易性权益类合计 153 130 23

其他权益类证券(a): 金融服务行业 150 150

医疗行业 163 110 53

能源行业 32 32

私募股权基金投资(b) 25 25

其他 15 15

其他权益类证券合计 385 275 110

债权类证券：

住房抵押担保证券 149 24 125

商业抵押担保证券 50 50

担保债务凭证 35 35

无风险政府证券 85 85

公司债券 93 9 84

债权类证券合计 412 94 108 210

对冲基金投资：

多/空权益类证券 55 55

全球机遇基金 35 35

高收益债务证券 90 90

对冲基金投资合计 180 90 90

衍生工具：

利率合同 57 57

外汇合同 43 43

信用合同 38 38

商品期货合约 78 78

商品远期合约 20 20

衍生工具合计 236 78 120 38

投资性房地产：

商业房地产—亚洲 31 31

商业房地产—欧洲 27 27

投资性房地产合计 58 58

经常性公允价值计量合计 1,424 577 341 506

非经常性公允价值计量

持有待售资产(c) 26 26 (15)

非经常性公允价值计量合计 26 26 (15)

(a) 主体基于其对证券性质、特征和风险的分析，确定按行业表述是适当的。

(b) 主体基于其对投资性质、特征和风险的分析，确定将这些投资归为同一类别是适当的。

(c) 根据国际财务报告准则第5号，持有待售资产的账面价值为CU35百万被减记至其公允价值CU26百万并减去CU6百万出售费用（即，CU20百万），得出损失CU15百万，计入当期损益中。

（注：负债也将采用类似表格表述，除非主体认为其他格式更为合适。）


(b) 对于非经常性公允价值计量，应披露计量原因；

(c) 对于经常性和非经常性公允价值计量，应披露归入公允价值层级中的哪个层级；

(d) 对于报告期末持有的，以经常性公允价值计量的资产和负债，应披露第一层级与第二层级之间的任何转移金额，转移原因以及用于确定何时进行转移的政策。转入每个层级的项目应当与转出每个层级的项目分开别披露和讨论。对于此项披露以及下文第(h)条，应当一贯遵循用于确定不同公允价值层级之间转移时点的政策并进行披露。转入和转出每个层级的政策应当保持一致。这些转移可以被认定为在引起转移的事件发生或情况变化当日、报告期初或报告期末发生。【国际财务报告准则第13号第95段】。

(e) 对于第二层级和第三层级的经常性/非经常性公允价值计量，应披露所采用的估值技术和输入值；

(f) 应披露估值技术的变更（比如：从市场法变为收益法或采用附加的估值技术）以及做出变更的原因；

(g) 应披露关于第三层级公允价值所用的重大不可观察输入值的量化信息，除非这些输入值不是报告主体在计量公允价值时所确定的（比如：当主体采用从以往交易或第三方定价信息中获得的未调整价格），而且报告主体不能合理获得；


示例—估值技术和输入值【国际财务报告准则第13号IE第63-64段】

主体可能要在下表中披露资产有关信息，以达到上文关于披露公允价值计量中所用重大不可观察输入值的要求：

采用重大不可观察输入值进行公允价值计量的相关量化信息（第三层级）（单位：百万CU）

内容 31/12/X9的公允价值

估值技术不可观察输入值范围（加权平均值）

其他权益类证券：

医疗行业 53 折现现金流量法加权平均资本成本 7%-16% (12.1%) 长期收入增长率 2%-5% (4.2%) 长期税前营业利润率 3%-20% (10.3%) 非流通折价(a) 5%-20% (17%) 控制权溢价(a) 10%-30% (20%)

市场可比公司法 EBITDA乘数(b) 10-13 (11.3)收入乘数(b) 1.5-2.0 (1.7)非流通折价(a) 5%-20% (17%)控制权溢价(a) 10%-30% (20%)

能源行业 32 折现现金流量法加权平均资本成本 8%-12% (11.1%)长期收入增长率 3%-5.5% (4.2%)长期税前营业利润率 7.5%-13% (9.2%)非流通折价(a) 5%-20% (10%)控制权溢价(a) 10%-20% (12%)

市场可比公司法 EBITDA乘数(b) 6.5-12 (9.5)收入乘数(b) 1.0-3.0 (2.0)非流通折价(a) 5%-20% (10%)控制权溢价(a) 10%-20% (12%)

私募股权基金投资 25 净资产价值(c) 不适用 n/a债权类证券: 住房抵押担保证券 125 折现现金流量法恒定提前还款率 3.5%-5.5% (4.5%)

违约概率 5%-50% (10%)损失程度 40%-100% (60%)

商业抵押担保证券 50 折现现金流量法恒定提前还款率 3%-5% (4.1%)违约概率 2%-25% (5%)损失程度 10%-50% (20%)

担保债务凭证 35 协商定价法所提供的报价 20-45可比性调整（%） -10% to +15% (+5%)

对冲基金投资: 高收益债务证券 90 净资产价值(c) 不适用 n/a衍生工具：

信用合同 38 期权模型年化信用波动率(d) 10%-20%交易对手信用风险(e) 0.5%-3.5%自身信用风险(e) 0.3%-2.0%

投资性房地产: 商业房地产—亚洲 31 折现现金流量法长期净营业收入 18%-32% (20%)

资本化率 0.08-0.12 (0.10)

市场可比法每平米单价（美元)

$3,000-$7,000

($4,500) 商业房地产—欧洲 27 折现现金流量法长期净营业收入利润率 15%-25% (18%)

资本化率 0.06-0.10 (0.80)市场可比法每平米单价（欧元） 4,000-12,000 (8,500)

(a) 表示主体确定市场参与者将在投资定价中考虑这些溢价和折价时采用的金额。

(b) 表示主体确定市场参与者将在投资定价运用这些乘数时采用的金额。

(c) 主体确定报告的净资产价值作为报告期末的公允价值。

(d) 表示在主体确定市场参与者将在合同定价时运用的估值分析中采用的波动率曲线范围。

(e) 表示在主体确定市场参与者将在合同定价时运用的估值分析中采用的信用违约掉期买卖价差曲线范围。


（未完待续）


(h) 对于第三层级经常性公允价值计量，披露从期初余额到期末余额的调节，分别披露当期发生的以下变动：

i. 损益中的总利得/损失，以及确认这些利得/损失的行项目；

ii. 其他综合收益中的总利得/损失，以及确认这些利得/损失的行项目；

iii. 购买、出售、发行和结算（每项分别披露）；

iv. 转入和转出第三层级的任何金额（转入和转出分别进行披露），进行这些转移的原因，以及主体用于确定不同层次之间的转移何时被认定为已发生的政策；

（续）

此外，主体还应当提供额外的信息以帮助其财务报表使用者评价所披露的定量信息。主体可能会披露以下部分或全部信息以符合国际财务报告准则第13号第92段的要求：

• 以公允价值计量的项目的性质，包括在确定相关输入值时考虑的计量项目的性质。比如，对于住房抵押担保证券，主体可能会披露以下信息：(i) 相关基础贷款的类型（比如：优等贷款和次级贷款）；(ii) 担保品；(iii) 保函或其他信用增级；(iv) 证券各份额的等级排列；(v) 发行年份；(vi) 基础贷款和证券的加权平均票面利率；(vii) 基础贷款和证券的加权平均期限；(viii) 基础贷款的地理集中度；以及 (ix) 证券的信用评级信息。

• 在计量公允价值时是如何考虑经纪人报价、定价服务、资产净值及相关市场数据等第三方信息的。


示例—归入公允价值层级第三层级的公允价值计量的调节表【国际财务报告准则第13号IE第61-62款】

主体可能要披露以下资产信息，以符合上文关于披露调节表的要求：

计入当期损益（见上文）的利得和损失在金融类收入和非金融类收入中列示如下：

其他权益类证券债权类证券对冲基金投资衍生工具投资性房地产

医疗行业

能源行业

私募股权基金

住房抵押担保证券

商业抵押担保证券

担保债务凭证

高收益债务证券

信用合同亚洲欧洲合计

期初余额： 49 28 20 105 39 25 145 30 28 26 495

转入第三层级 60(a)/(b) 60

转出第三层级 (5)(b)/(c) 5

本期总收益或损失

− 计入损益 5 (23) (5) (7) 7 5 3 1 (14)

− 计入其他综合收益 3 1 4

购买、发行、出售和结算：

− 购买 1 3 16 17 18 55

− 发行

− 出售 (12) (62) (74)

− 结算 (15) (15)

期末余额： 53 32 25 125 50 35 90 38 31 27 506

计入损益的报告期末所持资产当期未实现损益的变动 5 (3) (5) (7) (5) 2 3 1 (9)

(a) 由于证券市场活跃度下降，缺乏可观察市场数据，因此从第二层级转入第三层级。

(b) 主体的政策是于引起转移的事件或情况变化发生之日确认转入和转出第三层级。

(c) 由于获得了该证券可供使用的可观察市场数据，因此从第三层级转入第二层级。


(单位：百万C) 金融类收入非金融类收入

计入损益的当期总利得或损失 (18) 4

计入损益的报告期末所持资产当期未实现损益的变动 (13) 4


(i) 对于经常性的第三层级公允价值，披露计入损益的未实现部分的金额，以及这些未实现损益所计入的行项目；

(j) 对于经常性和非经常性的第三层级公允价值，披露估值的过程（包括主体如何决定其估值政策以及程序，如何分析公允价值计量的各期变动）；


(k) 对于经常性第三层级公允价值计量，应披露以下信息：

i. 关于对显著影响公允价值的不可观察输入值的敏感度的叙述性说明；

ii. 描述不可观察输入值之间的相互关系，以及这些输入值对敏感度存在怎样的影响；

iii. 如果将不可观察输入值改成合理可能的替代值会对金融资产和金融负债的公允价值造成重大改变，则应披露：

• 这一事实；

• 这些改变带来的影响；以及

• 反映合理可能的替代假设造成的改变的影响是如何计算得出的。

重大根据损益、资产合计或负债合计进行判断，或者在其他综合收益中确认公允价值变动时、根据权益合计进行判断；

示例—估值过程【国际财务报告准则第13号IE第65段】

主体可能要披露以下信息，以符合披露主体所用估值过程的要求：

• 对于决定主体估值政策和程序的主体内部团队，需要披露：(i) 团队说明；(ii) 该团队向谁报告；以及 (iii) 目前实施的内部报告程序（比如：定价委员会、风险管理委员会或审计委员会是否讨论和评价公允价值计量，如果是，如何讨论和评价）；

• 定价模型的校准、事后检验及其他检验程序的执行频率和方法；

• 不同报告期之间公允价值计量变化的分析流程；

• 主体如何判断公允价值计量中采用的经纪人报价或定价服务等第三方信息是按照国际财务报告准则编制的；以及

• 用于确定和证实公允价值计量中采用的不可观察输入值的方法。

示例—重大不可观察输入值变更敏感度的相关信息【国际财务报告准则第13号IE第66段】

主体可能要披露关于其住房抵押担保证券的以下信息，以符合上述要求（即：提供关于公允价值计量对重大不可观察输入值变化的敏感度的叙述性说明，以及对这些不可观察输

入值之间相互关系的描述）：

“主体住房抵押担保证券的公允价值计量中所采用的重大不可观察输入值是提前还款率、违约概率以及违约时的损失程度。这些输入值中的任何一个单独出现重大上升（降低），都会使公允价值计量显著偏低（偏高）。一般来讲，违约概率所用的假设条件发生变化，会使损失程度所用的假设条件发生同方向的变化，使提前还款率所用的假设条件发生反方向的变化。”


(l) 如果情况属实，则应披露非金融资产最大程度和最佳使用与当前使用存在差异这一事实，以及出现这种差异的原因；

(m) 应披露在净额基础上对净头寸的金融资产和负债进行公允价值计量的会计政策决策（参见上文“市场风险或交易对手信用风险的净头寸”）【国际财务报告准则第13号第96段】；

(n) 对于每一类未以公允价值计量但却披露了公允价值的资产和负债，只需披露上述第(c)段、(e)段、(f)段和(l)段要求的信息【国际财务报告准则第13号第97段】；

(o) 如果以公允价值计量的负债发行时带有不可分割的第三方信用增级，则应披露该信用增级的存在以及该信用增级是否在该负债的公允价值中得到体现【国际财务报告准则第13号第98段】；以及

(p) 上文要求的量化信息采用表格形式披露，除非其他格式更为合适【国际财务报告准则第13号第99段】。

生效日期

国际财务报告准则第13号的生效日期为2013年1月1日，且未来适用。允许提前适用，但应当披露。首次适用之前期间的比较信息不要求进行国际财务报告准则第13号所要求的披露信息。

潜在商业影响在许多情况下，主体不会因国际财务报告准则第13号的发布而经历重大的计量变更，因为国际财务报告准则第13号的大部分内容是对现有评估实务的汇总。但在主体受到影响的情况下，变更公允价值金额可能会影响损益表（比如：收入和支出）和资产负债表中已经确认的金额。

国际财务报告准则第13号提出的披露要求明显增多。报告主体需要研究增加的披露要求，建立系统和流程以获取这些披露所需要的信息。

更多信息

最终准则、说明性示例和结论基础，以及理事会在整个项目期间做出的所有决策的概要，均可查阅理事会网站www.iasb.org/home.

PwC – A practical guide to IFRS – Fair value measurement 43A practical guide to IFRS – Fair value measurement 43

Practical guide to IFRSFair value measurement – unifying the concept of ‘fair value’


At a glance• The IASB released IFRS 13, ‘Fair

value measurement’, on 12 May 2011. IFRS 13 consolidates fair value measurement guidance from across various IFRSs into a single standard. IFRS 13 does not change when fair value can or should be used.

• In our view, many of the requirements codified in IFRS 13 are largely consistent with valuation practices that already operate today. As such, IFRS 13 is unlikely to result in substantial change in many cases. However, IFRS 13 introduces a few changes:− The introduction of a fair value

hierarchy for non-financial assetsand liabilities, similar to what IFRS 7 currently prescribes for inancial instruments;

− A requirement for the fair value of all liabilities, including derivative liabilities, to be determined based on the assumption that the liability will be transferred to another party rather than otherwise settled or extinguished;

− The removal of the requirement to use bid and ask prices for actively-quoted financial assets and financial liabilities respectively. Instead, the most representative price within the bid-ask spread should be used; and

− The introduction of additional disclosures related to fair value.

• IFRS 13 is effective for annual periods beginning on or after 1 January 2013; earlier application is permitted.

• Management will need to evaluate the impact of the standard on their existing valuation processes.

46 PwC – A practical guide to IFRS – Fair value measurement

IntroductionThe IASB issued IFRS 13 as a common framework for measuring the fair value when required or permitted by another IFRS.

IFRS 13 defines fair value as “The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.” [IFRS 13.9]. The key principle is that fair value is the exit price from the perspective of market participants who hold the asset or owe the liability at the measurement date. It is based on the perspective of market participants rather than just the entity itself, so fair value is not affected by an entity’s intentions towards the asset, liability or equity item that is being fair valued.

PwC observation: This key principle is unlikely to result in significant valuation changes, as most entities should already be applying this principle in practice.

A fair value measurement requires management to determine four aspects: the particular asset or liability that is the subject of the measurement (consistent with its unit of account); the highest and best use for a non-financial asset; the principal (or most advantageous) market; and the valuation technique. [IFRS 13.B2].

IFRS 13 addresses how to measure fair value but does not stipulate when fair value can or should be used.

PwC observation: The issue of when fair value should be used as a measurement basis in IFRS is controversial; hence the IASB did not introduce any new fair value measurement requirements as a result of issuing IFRS 13. On the contrary, the IASB did consider whether each use of the term fair value in IFRS was consistent with an exit price definition. Where this was not the case, the IASB made either scope changes to IFRS 13 or used another measurement basis in other IFRSs as appropriate.

ScopeIFRS 13 applies to all fair value measurements or disclosures that are either required or permitted by other standards, except:(a) share-based payments under IFRS 2;(b) leases under IAS 17; and(c) measures that are similar to but are not fair value, including the net

realisable value measure in IAS 2, ‘Inventories’, and the value-in-use measure in IAS 36, ‘Impairment of assets’.

[IFRS 13.6].

IFRS 13 applies to the following items, but the disclosure requirements of IFRS 13 need not be met:(a) defined benefit plan assets measured

at fair value under IAS 19, ‘Employee benefits’;

(b) retirement benefit plan investments measured at fair value under IAS 26, ‘Accounting and reporting by retirement benefit plans’; and

(c) Impaired assets measured at fair value less costs to sell (FVLCTS) under IAS 36.

[IFRS 13.7].

IFRS 13 applies to initial and subsequent measurements at fair value. [IFRS 13.8].

PwC observation: The term ‘fair value’ is used throughout IFRSs; given that there are so few scope exclusions, IFRS 13 is pervasive.

MeasurementIFRS 13 stipulates the following factors that should be considered in fair value measurement:(a) the asset or liability,(b) the market,(c) market participants, and (d) the price.

In addition, there are considerations that are specific to:(a) non-financial assets,(b) liabilities,(c) equity, and(d) financial instruments.


The asset or liability

Characteristics A fair value measurement relates to a particular asset or liability. It should therefore incorporate the asset or liability’s

specific characteristics if market participants consider these characteristics when pricing the asset or liability. These characteristics could include condition, location and restrictions, if any, on sale or use as of the measurement date. [IFRS 13.11].

Example – Restriction on the sale of an equity instrument [IFRS 13.IE28]

An entity holds an equity instrument (a financial asset) for which sale is legally or contractually restricted for a specified period (for example, such a restriction could limit sale to qualifying investors). The restriction is a characteristic of the instrument and would therefore be transferred to market participants. In this case, the fair value of the instrument would be measured on the basis of the quoted price for an otherwise identical unrestricted equity instrument of the same issuer that trades in a public market, adjusted to reflect the effect of the restriction. The adjustment would reflect the amount market participants would demand because of the risk relating to the inability to access a public market for the instrument for the specified period. The adjustment will vary depending on all the following: • the nature and duration of the restriction;• the extent to which buyers are limited by the restriction (for example, there might be a

large number of qualifying investors); and • qualitative and quantitative factors specific to both the instrument and the issuer.

Example – Restrictions on the use of an asset [IFRS 13.IE29]

“A donor contributes land in an otherwise developed residential area to a not-for-profit neighbourhood association. The land is currently used as a playground. The donor specifies that the land must continue to be used by the association as a playground in perpetuity. Upon review of relevant documentation (e.g. legal and other), the association determines that the fiduciary responsibility to meet the donor’s restriction would not be transferred to market participants if the association sold the asset, i.e. the donor restriction on the use of the land is specific to the association. Furthermore, the association is not restricted from selling the land. Without the restriction on the use of the land by the association, the land could be used as a site for residential development. In addition, the land is subject to an easement (i.e. a legal right that enables a utility to run power lines across the land). Following is an analysis of the effect on the fair value measurement of the land arising from the restriction and the easement:

(a) Donor restriction on use of land. Because in this situation the donor restriction on the use of the land is specific to the association, the restriction would not be transferred to market participants. Therefore, the fair value of the land would be the higher of its fair value used as a playground (i.e. the fair value of the asset would be maximised through its use by market participants in combination with other assets or with other assets and liabilities) and its fair value as a site for residential development (i.e. the fair value of the asset would be maximised through its use by market participants on a stand-alone basis), regardless of the restriction on the use of the land by the association.

(b) Easement for utility lines. Because the easement for utility lines is specific to (i.e. a characteristic of) the land, it would be transferred to market participants with the land. Therefore, the fair value measurement of the land would take into account the effect of the easement, regardless of whether the highest and best use is as a playground or as a site for residential development.”

PwC observation: This example illustrates two points:(a) Investor-specific restrictions (that is, donor restriction) do not affect fair value; asset-specific restrictions (that

is, easement for utility lines) do affect fair value.(b) Restrictions that are easily circumvented (that is, by selling the land) are unlikely to affect fair value.


Unit of account Under IFRS 13, fair value measurement may be applied to a stand-alone asset or liability (for example, an equity security, investment property or an intangible asset) or a group of related assets and/or liabilities (for example, a business), depending on the circumstances. The determination of how fair value measurement applies depends on the unit of account. The unit of account is determined based on the level at which the asset or liability is aggregated or disaggregated in accordance with the IFRS requirements applicable to the particular asset or liability being measured; it is not generally determined by IFRS 13 itself. See also ‘Fair value at initial recognition’ below.

The market

Under IFRS 13, management determines fair value based on a hypothetical transaction that would take place in the principal market or, in its absence, the most advantageous market. [IFRS 13.16].

Principal market The principal market is the market with the greatest volume and level of activity for the asset or liability. [IFRS 13 Appendix A]. To determine the principal market, management needs to evaluate the level of activity in various different markets. However, the entity does not have to undertake an exhaustive search of all possible markets in order to indentify the principal or most advantageous market; it should take into account all information that is readily available. In the absence of evidence to the contrary, the market in which an entity normally transacts is presumed to be the principal market or the most advantageous market in the absence of a principal market. The entity’s principal market is the market that it has access to that has the greatest volume and level of activity for the asset or liability, even if the prices in other markets are more advantageous. [IFRS 13.18].

Most advantageous market The most advantageous market is the market that maximises the amount that would be received to sell the asset or minimises the amount that would be paid to transfer the liability, after taking into account transaction costs and transport costs (definition of ‘most advantageous market’ in IFRS 13 Appendix A).

To determine the most advantageous market, management evaluates all potential markets in which it could reasonably expect to sell the asset or transfer the liability. For non-financial assets, the identification of potential markets will be based on the ‘highest and best use’ valuation premise, from the perspective of market participants. [IFRS 13.31]. In order to determine the highest and best use of a non-financial asset, the reporting entity may need to consider multiple markets.

PwC observation: In practice, most non-financial assets are employed in their ‘highest and best use’, so this requirement is not as onerous as it may seem.

Market accessibility In evaluating principal or most advantageous markets, IFRS 13 restricts the eligible markets to only those that the entity can access at the measurement date. As different reporting entities may have access to different markets, the principal or most advantageous markets could vary between reporting entities. [IFRS 13.19].

Although an entity must be able to access the market, it does not need to be able to sell the particular asset or transfer the particular liability on the measurement date to be able to measure fair value on the basis of the price in that market [IFRS 13.20]. This is illustrated in the following example.


Example

A commodities trader has a reporting date of 31 December 20X0, which falls on a Saturday. The commodities trader holds commodity X for which it has access to both retail and wholesale markets. The principal market is the wholesale market because that is the market with the greatest volume and level of activity for the commodity; however, the retail market selling prices are usually higher. The wholesale market only trades on weekdays, whereas the retail market trades also on Saturdays.

The commodities trader is not allowed to use the higher retail price as the fair value of the commodities merely because the wholesale (principal) market does not trade on the measurement date.

Transaction costs IFRS 13 prohibits adjustment of fair value for transaction costs (see ‘The price’ below), but it does require such transaction costs to be considered in the determination of the most advantageous market. Transaction costs are defined as:“The costs to sell an asset or transfer a liability in the principal (or most advantageous) market for the asset or liability that are directly attributable to

the disposal of an asset or the transfer of a liability and meet both of the following criteria: (a) They result directly from and are

essential to that transaction.(b) They would not have been incurred by

the entity had the decision to sell the asset or transfer the liability not been made (similar to costs to sell, as defined in IFRS 5).”

[IFRS 13 Appendix].

Example

An entity has an asset that is sold in two different markets with similar volume of activities but with different prices. The entity enters into transactions in both markets and can access the price in those markets for the asset at the measurement date. There is no principal market for the asset.

Market A Market B

Price 27 25

Transport costs -3 -2

24 23

Transaction costs -3 -1

21 22

In market A, the price that would be received is C27; transaction costs in that market are C3; and the costs to transport the asset to that market are C3 (that is, the net amount that would be received in market A is C21).

In market B, the price that would be received is C25; transaction costs in that market are C1; and the costs to transport the asset to that market are C2 (that is, the net amount that would be received in market B is C22).

If market A had been the principal market for the asset (that is, the market with the greatest volume and level of activity for the asset), the fair value of the asset would be measured using the price that would be received in that market, after taking into account transport costs (C24). The same applies for market B (C23).

(Continued)


Example (continued)

As a principal market for the asset does not exist, the fair value of the asset would be measured using the price in the most advantageous market. The most advantageous market is the market that maximises the amount that would be received to sell the asset, after taking into account transaction costs and transport costs (that is, the net amount that would be received in the respective markets).

The entity would maximise the net amount that would be received for the asset in market B (C22), so the fair value of the asset is measured using the price in that market (C25), less transport costs (C2), resulting in a fair value measurement of C23.

Although transaction costs are taken into account when determining which market is the most advantageous, the price used to measure the fair value of the asset is not adjusted for those costs (although it is adjusted for transport costs).

No observable market There may be no known or observable market for an asset or liability. For example, there may be no specific market for the sale of a cash-generating unit or intangible asset. In such cases, the management should first identify potential market participants (for example, strategic and financial buyers) and then develop a hypothetical market based on the expected assumptions of those market participants.

Market participants

IFRS 13 emphasises that a fair value measurement should be based on the assumptions of market participants (that is, it is not an entity-specific measurement). [IFRS 13.22]. Market participants are buyers and sellers in the principal (or most advantageous) market for the asset or liability that are:• Independent – the transaction

counterparties are not related parties as defined in IAS 24,’Related party disclosures’. However, this does not preclude related-party transaction prices from being used as valuation inputs if there is evidence that the transactions were on market terms.

• Knowledgeable – transaction counterparties have a reasonable understanding about the asset or liability and the transaction using

all available information, including information that might be obtained through due diligence efforts that are usual and customary.

• Able to transact in the asset or liability.• Willing to transact in the asset or

liability – transaction counterparties are motivated but not forced or otherwise compelled to transact.

[IFRS 13 Appendix A].

Market participants seek to maximise the fair value of an asset or minimise the fair value of a liability in a transaction to sell the asset or to transfer the liability in the principal (or most advantageous) market for the asset or liability. [IFRS 13.22].

The entity is not required to identify specific market participants; instead it should develop a profile of potential market participants. The profile should consider factors specific to the asset or liability, the principal (or most advantageous) market for the asset or liability, and market participants with whom the entity would transact in that market.

In the absence of an observable market, fair value is determined by considering the characteristics of market participants who would enter into a hypothetical transaction for the asset or liability. [IFRS 13.23c].


PwC observation: The determination of potential market participants is a critical step in the determination of fair value due to the emphasis on the use of market participant assumptions. The identification of market participants may be straightforward if there is general knowledge of the types of participants in a particular market. In certain other cases, management may need to make assumptions about the type of market participants that may be interested in a particular asset or liability. Market participants can include strategic and financial investors.

Key considerations in developing market participant assumptions may include the specific location, condition and other characteristics of the asset or liability (for example, assumed growth rates, whether certain synergies are available to all market participants, and risk premium assumptions). For example, there may be no apparent exit market for customer relationship intangible assets. In this case, management may consider whether there are strategic buyers in the marketplace that would benefit from the customer relationships that are being valued. Most entities seek to build up their customer base as they grow their businesses, so the entity can look to potential participants in its industry that may be seeking additional growth and from there determine a hypothetical group of market participants

The price

Under IFRS 13, fair value is based on the exit price (the price that would be received to sell an asset or paid to transfer a liability) [IFRS 13.24], not the transaction price or entry price (the price that was paid for the asset or that was received to assume the liability). Conceptually, entry and exit prices are different. The exit price concept is based on current expectations about the sale or transfer price from the perspective of market participants.

PwC observation: The IASB deliberated carefully before arriving at the conclusion to use an exit price. There are arguments against the use of exit prices. For example, one might argue that exit price is not relevant when an entity intends to use rather than sell an asset.

However, even if an entity intends to use the asset, exit price is still appropriate in a fair value measurement. This is because the exit price reflects expectations about future cash flows by selling it to a market participant that would use it in the same way. This is because a market participant will only pay for benefits that it expects to generate from the use or sale of the asset. [IFRS 13.BC39]. A similar logic applies to liabilities, in that a market participant would reflect expectations about cash outflows necessary to fulfil an obligation. [IFRS 13.BC40].

The IASB did a standard-by-standard review to assess whether exit price was the interpretation taken in those circumstances where ‘fair value’ is mentioned in IFRSs. The intention was that if the exit price was not the interpretation, the IASB would change the term ‘fair value’ to something else. [IFRS 13.BC41]. This review led the IASB to conclude that a current entry price and current exit price should be equal if they relate to the same asset or liability on the same date in the same form in the same market. The IASB did not therefore consider it necessary to make a distinction between a current entry price and a current exit price in IFRSs with a market-based measurement objective (that is, fair value); instead it decided to retain the term fair value and define it as a current exit price. [IFRS 13.BC44].

The IASB has scoped out of this guidance those IFRSs where fair value measurement requirements are inconsistent with exit price. [IFRS 13.BC45]. (See ‘Scope’ above.)

IFRS 13 prohibits adjustment of fair value for transaction costs, which are accounted for in accordance with other IFRSs. However, transaction costs do not include transport costs under IFRS 13. Fair value should be adjusted for transport costs if location is a characteristic of the asset (for example, a commodity). [IFRS 13.25].


Considerations specific to non-financial assets: highest and best useIFRS 13 requires the fair value of a non-financial asset to be measured based on its highest and best use from a market participant’s perspective. [IFRS 13.27]. This requirement does not apply to financial instruments, liabilities or equity. This concept of ‘highest and best use’ is not new to IFRS valuations, although it has not explicitly been part of IFRS literature. Before IFRS 13, the basis of conclusions in IAS 40 − in discussing the fair valuation of investment properties − made reference to the International Valuation Standards (IVS), which include this as a general valuation concept. The specific inclusion of this concept in IFRS therefore aligns IFRS with valuation practices.

Under IFRS 13, the highest and best use takes into account the use of the asset that is:• physically possible − takes into account

the physical characteristics that market participants would consider (for example, property location or size);

• legally permissible − takes into account the legal restrictions on use of the asset that market participants would consider (for example, zoning regulations); or

• financially feasible − takes into account whether a use of the asset generates adequate income or cash flows to produce an investment return that market participants would require. This should incorporate the costs of converting the asset to that use.

[IFRS 13.28].

Highest and best use is determined from the perspective of market participants. [IFRS 13.29]. It does not matter whether the entity intends to use the asset differently. For example, the entity could have made a defensive acquisition of a competing brand that it does not intend to use, in order to maintain or promote the competitive position of its own brand. Despite its intentions, the entity measures the fair value of the competing brand assuming its highest and best use by market participants. [IFRS 13.30].

PwC observation: When determining highest and best use, management should include all costs that market participants would incur in the circumstances.

For example, if a parcel of land is currently used for farming, the fair value (assuming the highest and best use is to continue to use it for farming) should reflect the benefits of continuing to operate the land for farming, including any tax credits that could be realised by market participants.

However, if it is determined that market participants would consider an alternative use for the land to be its highest and best use (for example, commercial or residential use), the fair value should include all costs (for example, legal costs, viability analysis, traffic studies), associated with re-zoning the land to the market participant’s intended use. In addition, demolition and other costs associated with preparing the land for a different use should be included in the estimate of fair value. This concept is illustrated in IFRS 13.IE8 (Example 2). An effort to re-zone land contains an element of uncertainty related to whether the proposed re-zoning obtains approval. The fair value of the land should therefore reflect this uncertainty. Re-zoning should not be considered if it is not feasible or it is unlikely to succeed.

However, IFRS 13 allows management to presume that its current use of an asset is the highest and best use unless market or other factors suggest otherwise. [IFRS 13.29].

PwC observation: The IASB concluded that an entity that seeks to maximise the value of its assets would use those assets at their highest and best use; it would therefore be necessary for management to consider alternative uses of those assets only if there was evidence that the current use of the assets is not their highest and best use. In many cases, it would be unlikely for an asset’s current use not to be its highest and best use. The most common examples are described in IE7 to IE9 and include assets being held defensively and land.


The highest and best use of a non-financial asset may be on a stand-alone basis or may be achieved in combination with other assets and/or liabilities. In the latter case: • Fair value is based on the use of the

asset in such an asset/liability group. It is assumed that the asset would be used within such a group and that the other assets and liabilities would be available to market participants.

• The asset/liability group cannot include liabilities that are used to fund assets outside the asset/liability group.

• Assumptions about highest and best use should be consistent for all non-financial assets in such an asset/liability group.

• Such an asset/liability grouping does not have to be consistent with the level of aggregation or disaggregation specified in other IFRSs because the market participant is assumed to have the other assets.

[IFRS 13.31, 32].

When the highest and best use is in an asset/liability group, the synergies associated with the asset/liability group may be factored into the fair value of the individual asset in a number of ways, depending on circumstances.• Direct adjustments to fair value

might be appropriate “if the asset is a machine and the fair value measurement is determined using an observed price for a similar machine (not installed or otherwise configured for use), adjusted for transport and installation costs so that the fair value measurement reflects the current condition and location of the machine (installed and configured for use).” [IFRS 13.B3b].

• Adjustment to market participant assumptions might be appropriate “for example, if the asset is work in progress inventory that is unique and market participants would convert the inventory into finished goods, the fair value of the inventory would assume that market participants have acquired or would acquire any specialised machinery necessary to convert the inventory into finished goods.” [IFRS 13.B3c].

• Adjustment via the valuation technique might be appropriate “when using the multi-period excess earnings method to measure the fair value of an intangible asset because that valuation technique specifically takes into account the contribution of any complementary assets and the associated liabilities in the group in which such an intangible asset would be used.” [IFRS 13.B3d].

• Allocation of fair value adjustments to individual assets might be appropriate “in more limited situations, when an entity uses an asset within a group of assets, the entity might measure the asset at an amount that approximates its fair value when allocating the fair value of the asset group to the individual assets of the group. That might be the case if the valuation involves real property and the fair value of improved property (i.e. an asset group) is allocated to its component assets (such as land and improvements).” [IFRS 13.B3e].

Considerations specific to liabilities and equityTransfer of liabilities

IFRS 13.34 stipulates (underlines added): “A fair value measurement assumes that a financial or non-financial liability or an entity’s own equity instrument (e.g. equity interests issued as consideration in a business combination) is transferred to a market participant at the measurement date. The transfer of a liability or an entity’s own equity instrument assumes the following:(a) A liability would remain outstanding and

the market participant transferee would be required to fulfil the obligation. The liability would not be settled with the counterparty or otherwise extinguished on the measurement date.

(b) An entity’s own equity instrument would remain outstanding and the market participant transferee would take on the rights and responsibilities associated with the instrument. The instrument would not be cancelled or otherwise extinguished on the measurement date.”


PwC observation: The transferral concept for liabilities clarifies the previous IFRS definition of fair value (for example, in IAS 32, IAS 41, IFRS 5), which required fair value for liabilities to be “the amount for which a liability could be settled, between knowledgeable willing parties…” As liabilities could be ‘settled’ by extinguishing them or transferring them to another party, it was not clear whether settlement value referred to transfer value or the extinguishment value. IFRS 13 clarifies that the fair value is the transfer value rather than the extinguishment value.

Extinguishment value is not necessarily the transfer value, as demonstrated in the example in the box below. In some instances, an

additional risk premium above the expected payout may be required because of uncertainty about the ultimate amount of the liability (for example, asbestos liabilities and performance guarantees). The risk premium paid to a third party may differ from the settlement value that the direct counterparty would be willing to accept. In addition, the party assuming a liability may have to incur certain costs to manage the liability or may require a profit margin.

In practice, there may be significant differences between settlement value and transfer value. Among the differences is the impact of credit risk, which is often not considered in the settlement of a liability, as demonstrated in the following example.

Example

A bank holds a debt obligation with a face value of C100,000 and a market value of C95,000. Market interest rates are consistent with the amount in the note; however, there is a C5,000 discount due to market concerns about the risk of non-performance.

Settlement value

Except for in exceptional circumstances, we expect that the counterparty (counterparty A) would be required to pay the full face value of the note to settle the obligation, as the bank may not be willing to discount the note by the market discount or the credit risk adjustment. The settlement value would therefore be equal to the face amount of the note.

Transfer value

In order to calculate the transfer value, counterparty A must construct a hypothetical transaction in which another party (counterparty B), with a similar credit profile, is seeking financing on terms that are substantially the same as the note. Counterparty B could choose to enter into a new note agreement with the bank or receive the existing note from counterparty A in a transfer transaction.

Counterparty B should be indifferent to obtaining financing through a new bank note or assumption of the existing note in transfer for a payment of C95,000. The transfer value would therefore be C95,000; C5,000 less than the settlement value. This amount is the value ascribed by a market participant holding the identical liability as an asset, consistent with the guidance in IFRS 13.37.

Liability and equity instruments held by other parties as assets

In comparison to assets, observable active markets for liabilities and equities are much less likely to exist due to contractual and legal restrictions on liability and equity transfers. Even for quoted debt or equity securities, the market serves as an exit mechanism for the counterparty security holders rather than for the issuer. As a

result the quoted price reflects the exit price for the investor rather than the issuer. IFRS 13 distinguishes such situations from the situation in which an exit market exists directly for the liability or equity instrument. When a quoted transfer price is not available for the issuer but the instrument is held by another investor as an asset, management should measure fair value from the perspective of the investor. [IFRS 13.37].


PwC observation: The IASB decided to use the fair value from the investor’s perspective to measure the fair value of the liability when there is no active market for the liability transfer. The IASB believes that the fair value from the viewpoints of investor and issuer should be the same in an efficient market, otherwise arbitrage would result. [IFRS 13.BC89].

The IASB considered whether these different viewpoints could result in different fair values because the asset is liquid but the liability is not. The asset holder could easily sell the asset to another party, whereas the liability issuer will usually find it more difficult to transfer the liability to another party. In the end, the IASB decided that there was no conceptual reason why a different fair value should result, given that both parties are measuring the same instrument with identical contractual terms.

In such cases, the fair value of the liability or equity instrument is derived by: (a) using the quoted price in an active

market for the identical liability held by another party as an asset (for example, actively-quoted debt security prices);

(b) using other observable inputs if the price in (a) is not available, such as the quoted price in an inactive market for the identical liability held by another party as an asset (for example, quoted debt security prices in less active markets).

(c) using another valuation technique if the observable inputs in (b) are not available, such as:(i) an income approach − this

approach uses a present value technique that takes into account the future cash outflows that a market participant would expect to receive from holding the liability or equity instrument as an asset; and

(ii) a market approach − under this approach, fair value is determined using quoted prices for similar liabilities held by other parties as assets.

Using quoted prices and observable inputs

A quoted asset price may have to be adjusted to derive the fair value of the corresponding liability or equity instrument if there are asset-specific factors that are not applicable to the liability or equity instrument. For example, a quoted debt security may be secured by a third-party guarantee. The quoted price of such a security would reflect the value of the guarantee. The issuer should exclude the effect of the guarantee from the quoted price if the issuer is measuring only the fair value of its own liability and the unit of account excludes the guarantee. [IFRS 13.39b]. If the management uses the quoted price for a similar (but not identical) debt or equity instrument to value its own debt, it would have to adjust for any differences between the debt or equity instruments. [IFRS 13.39a]. The price of the asset used to measure the fair value of the corresponding liability or equity instrument should not reflect the effect of a restriction preventing the sale of the asset. [IFRS 13.39].

Liabilities not held by other parties as assets

There are certain liabilities that are not held by another party as an asset. An example is a decommissioning liability. [IFRS 13.B31]. In such cases, the fair value of the liability would have to be measured from the perspective of the liability issuer. If a market is not available for the liability, a valuation technique is required to measure the fair value from the perspective of the liability issuer. [IFRS 13.40].

These valuation techniques can include a present value technique that considers either:• the future cash outflows that a market

participant would expect to incur in fulfilling the obligation, including the compensation that a market participant would require for taking on the obligation; or

• the amount that a market participant would receive to enter into or issue an identical liability instrument, using the assumptions that market participants would use when pricing the identical item (for example, having the same


credit characteristics) in the principal (or most advantageous) market for issuing a liability with the same contractual terms.

[IFRS 13.41].

When using such present value calculations, the calculations should reflect the future cash outflows that market participants would expect to incur in fulfilling the obligation. These cash outflows should include:• market participants’ expectations about

the costs of fulfilling the obligation; and • the compensation that a market

participant would require, which should include a return for:

− undertaking the activity − the market participant would expect a compensation for fulfilling the obligation, as the participant will use valuable resources for this purpose; and

− assuming the risk associated with the obligation − for assuming the obligations, the market participant would usually require a risk premium to compensate for the risk that actual cash outflows might differ from those expected.

Such risk premiums can be included by adjusting either the cash flows or the discount rate. However, the risk should not be double-counted (for example, by adjusting both cash flows and discount rate for the same risk). [IFRS 13.B33].

Non-financial liabilities may not have a contractual rate of return or an observable market yield. When measuring such liabilities at fair value, the various components of return will sometimes be indistinguishable (for example, when using the price a third-party contractor would charge on a fixed fee basis). In other cases, the various components may require separate estimation (for example, when using the price a third-party contractor would charge on a cost plus basis). [IFRS 13.B32].

PwC observation: The above requirements appear complicated. However, the overriding objective is to determine what a potential market participant would require as compensation to take on the liability.

For example, a factory is built on leased land that has to be returned to the owner in five years’ time without the factory building. The decommissioning liability would be the liability associated with the costs of tearing down the factory. The fair value of the decommissioning liability might simply be the market rate that a demolition services provider would charge in order to agree, today, to take down the factory in five years’ time. The above requirements are aimed at determining this charge.

Non-performance risk

IFRS 13 requires the fair value of a liability to reflect the effect of non-performance risk, which is the risk that an entity will not fulfil an obligation. Non-performance risk includes the effect of credit risk, as well as any other factors that influence the likelihood of fulfilling the obligation. [IFRS 13.42].

PwC observation: Before IFRS 13, there were different interpretations about how an entity’s own credit risk should be reflected in the fair value of a liability using the settlement notion in the previous definition of fair value. It is unlikely that the counterparty would accept an amount different from the contractual amount as settlement of the obligation if the entity’s credit standing changed; consequently, those using the counterparty settlement interpretation of fair value did not find a significant impact from changes in their own credit risk when fair valuing their liabilities. This could result in a change for entities that have not included own credit risk in the fair value of their financial liabilities previously (for example, derivative financial liabilities).


IFRS 13 assumes that non-performance risk is the same before and after the transfer of the liability. This concept assumes that the liability would transfer to a credit-equivalent entity. [IFRS 13.42].

PwC observation: The basis for conclusions sets out why this is the case. It states: although such an assumption is unlikely to be realistic for an actual transaction (because in most cases the reporting entity transferor and the market participant transferee are unlikely to have the same credit standing), it is necessary because:

• Amarketparticipanttakingontheobligation would not enter into a transaction that changes the non-performance risk associated with the liability without reflecting that change in the price.

• Withoutspecifyingthecreditstandingof the entity taking on the obligation, there could be fundamentally different fair values for a liability depending on an entity’s assumptions about the characteristics of the market participant transferee.

• Thosewhomightholdtheentity’sobligations as assets would consider the effect of the entity’s credit risk and other risk factors when pricing those assets. [IFRS 13.BC94].

The level of non-performance risk imputed into fair value should be consistent with the unit of account. For example, in determining the fair value of a liability, the effect of third-party credit enhancements should be excluded if the credit enhancement is accounted for separately from the liability. [IFRS 13.44].

PwC observation: The reason for excluding a third-party credit enhancement is that the liability issuer does not get the benefit of the third-party credit enhancement, whereas the asset holder does. The issuer has to pay the entire liability unless it goes bankrupt, irrespective of the third-party credit enhancement. So the asset holder gets to consider the enhancement in its

fair value whereas the liability issuerdoes not. However, IFRS 13 does not specify whether the credit enhancement should or should not be accounted for separately from the liability. That is determined based on other IFRSs.

Restrictions on transfer of issuer’s own liability or equity instrument

There could be contractual or legal restrictions on transfers of liabilities or equity instruments by the issuer. However, management should not make separate adjustments in relation to such restrictions. IFRS 13 assumes that the effect of such a restriction has been implicitly or explicitly included in the initial transaction price on the basis that transaction counterparties have accepted the transaction price with full knowledge of such a restriction. [IFRS 13.45, 46].

Considerations specific to financial instrumentsInputs based on bid and ask prices

Bid and ask prices are common within markets for securities, financial instruments and commodities. In these markets, dealers stand ready to buy at the bid price and sell at the ask price. If an input within the fair value hierarchy is based on bid prices and ask prices, the price within the bid-ask spread that is most representative of fair value in the circumstances is used to measure fair value. [IFRS 13.70].

This is one of the changes introduced by IFRS 13. Previously, IFRS required the use of bid prices for asset positions and ask prices for liability positions. These prices can still be used if they are most representative of fair value in the circumstances, but they are no longer required.

IFRS 13 does not preclude the use of mid-market pricing or other pricing conventions that are used by market participants as a practical expedient for fair value. Once management has established which convention it is using, it should follow its accounting policy consistently. [IFRS 13.71].


Offsetting positions in market or counterparty credit riskIFRS 13 allows an exception whereby if an entity manages a group of financial assets and financial liabilities on the basis of its net exposure to either market risks or counterparty risks (as defined in IFRS 7), it can opt to measure the fair value of that group on the basis of the net position (that is, the net position is the unit of account that is being measured at fair value, not the individual financial assets and liabilities). [IFRS 13.48].

Although this exception is new, it was already a common valuation practice prior to IFRS 13. This new exception is not therefore expected to have a significant effect on existing valuation practices.

This exception is permitted only if an entity:• manages the financial asset/liability

group based on its net exposure to market/credit risk in accordance with its documented risk management or investment strategy;

• provides information about the financial asset/liability group on a net basis to key management personnel as defined in IAS 24; and

• measures those financial assets and liabilities at fair value in the statement of financial position on a recurring basis.

[IFRS 13.49]

Other conditions on the use of the exception are that it:• applies only to financial assets and

liabilities within the scope of IAS 39 and IFRS 9. [IFRS 13.52];

• applies only to financial assets and liabilities that are exposed to identical, or at least substantially similar, market risks. If the risks are not identical, the differences should be considered when allocating the group’s fair value to component assets and liabilities. [IFRS 13.54]; and

• applies only to exposures of a similar duration. IFRS 13.55 provides the following example: “… an entity that uses a 12-month futures contract against the cash flows associated with 12 months’ worth of interest rate risk exposure on a five-year financial instrument within

a group made up of only those financial assets and financial liabilities measures the fair value of the exposure to 12-month interest rate risk on a net basis and the remaining interest rate risk exposure (ie years 2–5) on a gross basis.”

If the exception is applied, the fair value of the net position is measured using IFRS 13 principles. For example:• For market risks, fair value of the net

position is the price within the bid-ask spread that is most representative of fair value in the entity’s circumstances. [IFRS 13.53].

• For credit risk, fair value of such a group should consider credit enhancements (such as master netting agreements and collateral requirements) and expectations about the legal enforceability of such enhancements. [IFRS 13.56].

The above exception does not permit net presentation of assets and liabilities within the group. Presentation is dealt with in other IFRSs. Where gross presentation is required, the fair value of the group should be allocated to the assets and liabilities within the group on a reasonable and consistent basis (for example, using the relative fair value approach). [IFRS 13.50].

The use of the exception, along with any policies for allocating bid-ask and credit adjustments, is regarded as an accounting policy decision that should be applied consistently from period to period for a given portfolio. [IFRS 13.51].

PwC observation: If an entity has a portfolio of financial assets and liabilities that qualify for the ‘portfolio exception’ for the purposes of applying IFRS 13 (and only for the purpose of IFRS 13), its unit of account is the portfolio − that is, the net open risk position. This is the unit of account on which you determine what a market participant would pay for it. In other words, the question is: if you were to transfer the net open risk position, how much would you be paid/have to pay. As a result, size would be considered an attribute of what you are valuing.


Valuation techniquesGeneral principles in selection of valuation techniques

The valuation technique should be:• appropriate based on the circumstances

[IFRS 13.61, 62];• a technique for which sufficient data is

available [IFRS 13.61]; • maximise the use of relevant observable

inputs and minimise the use of unobservable inputs [IFRS 13.61];

• consistent with the objective of estimating the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions [IFRS 13.62); and

• the market, income or cost approach [IFRS 13.62].

Examples of markets in which inputs might be observable include exchange markets, dealer markets, brokered markets and principal-to-principal markets, which are explained in IFRS 13.B34:a) “Exchange markets - In an exchange

market, closing prices are both readily available and generally representative of fair value. An example of such a market is the London Stock Exchange.

b) Dealer markets - In a dealer market, dealers stand ready to trade (either buy or sell for their own account), thereby providing liquidity by using their capital to hold an inventory of the items for which they make a market. Typically bid and ask prices (representing the price at which the dealer is willing to buy and the price at which the dealer is willing to sell, respectively) are more readily available than closing prices. Over-the-counter markets (for which prices are publicly reported) are dealer markets. Dealer markets also exist for some other assets and liabilities, including some financial instruments, commodities and physical assets (e.g. used equipment).

c) Brokered markets - In a brokered market, brokers attempt to match buyers with sellers but do not stand ready to trade for their own account. In other words, brokers do not use their own capital to hold an inventory of the items for which they make a market. The broker knows the prices bid and asked by the respective parties, but each party is typically unaware of another party’s

price requirements. Prices of completed transactions are sometimes available. Brokered markets include electronic communication networks, in which buy and sell orders are matched, and commercial and residential real estate markets.

d) Principal-to-principal markets - In a principal-to-principal market, transactions, both originations and resales, are negotiated independently with no intermediary. Little information about those transactions may be made available publicly.”

It may be appropriate to use multiple valuation techniques; in which case, the reasonableness of the results of the various measurement techniques will have to be evaluated, and a point within that range will have to be selected that is most representative of fair value in the circumstances. [IFRS 13.63].

If management determines that the transaction price is fair value at initial recognition (see ‘Fair value at initial recognition’ below) and the valuation technique uses unobservable inputs, the valuation technique should be calibrated so that, at initial recognition, the result of the valuation technique equals the transaction price. This ensures that subsequent usage of this valuation technique does not result in a fair value that is inconsistent with the initial fair value. Subsequently, the entity should continue to ensure that such valuation techniques using unobservable inputs continue to reflect observable market data (for example, the price for a similar asset or liability) at the measurement dates. [IFRS 13.64].

Valuation techniques should be applied consistently unless alternative techniques provide an equally or more representative indication of fair value. This applies as well to the weights given to multiple valuation techniques when multiple techniques are used. Any changes are regarded as changes in accounting estimates, although the IAS 8 disclosures are not required. [IFRS 13.66]. The following events may necessitate changes in techniques/weights:• new markets develop;• new information becomes available;• information previously used is no longer

available;• valuation techniques improve; or • market conditions change. [IFRS 13.65].


Types of valuation technique

IFRS 13 describes three classes of valuation technique:

Market approach IFRS 13 defines this as “A valuation technique that uses prices and other relevant information generated by market transactions involving identical or comparable (ie similar) assets, liabilities, or a group of assets and liabilities, such as a business.” Examples are:• valuation techniques using market

multiples derived from comparable transactions [IFRS 13.B6]; and

• matrix pricing – a mathematical technique used principally to value some types of financial instruments, such as debt securities, without relying exclusively on quoted prices for

the specific securities, but rather relying on the securities’ relationship to other benchmark quoted securities. [IFRS 13.B7].

Income approach IFRS 13 defines this as “Valuation techniques that convert future amounts (e.g. cash flows or income and expenses) to a single current (i.e. discounted) amount. The fair value measurement is determined on the basis of the value indicated by current market expectations about those future amounts.” Examples include:• Multi-period excess earnings method

(MEEM) MEEM is useful where the asset being

valued only generates income with a group of other assets. This method isolates the cash flows arising from the assets as illustrated below.

• Relief-from-royalty (RFR) method RFR is commonly used for intangible assets that could be licensed. Fair value under RFR is the present value of licence fees avoided by owning an asset.

• With-and-without method This method is useful where revenue generation is driven by other assets but the asset being valued provides an incremental benefit that increases revenue or decreases cost.

Fair value is the difference between the value of the business with all assets in place, and the value of the business with all assets except the asset being valued.

• Option pricing models These include the Black-Scholes-Merton formula and a binomial

model (that is, a lattice model) that incorporate present value techniques and reflect both the time value and the intrinsic value of an option.

• Cost approach IFRS 13 defines this as “A valuation technique that reflects the amount that would be required currently to replace the service capacity of an asset (often referred to as current replacement cost).” This assumes that fair value is the cost to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence (including physical deterioration, functional (technological) obsolescence and economic (external) obsolescence). [IFRS 13.B9]. The following flowchart illustrates the application of the cost approach.

1. Derive future cash flows for asset group.

2. Subtract tax expenses.

6. Result is the MEEM.

5. Compute the tax amortisation benefit.

4. Calculate present value of future cash flows.

3. Apply contributory asset charges.

MEEM valuation steps


Depreciated replacement cost/fair value

Adjust for age/economicobsolescence/deterioration

Identify new cost of modernequivalent asset

PwC observation: In our view, the cost approach should only be used when the other approaches are not available.

Fair value at initial recognition

Transaction prices may not equal fair value. Fair value under IFRS 13 is based on an exit price concept. Transaction prices are not always representative of exit prices [IFRS 13.57], although in many cases they are. [IFRS 13.58].

In determining whether a transaction price is representative of fair value, management should consider factors specific to the transaction and the asset or liability [IFRS 13.59], as well as whether any of the conditions below are applicable.• The transaction is between related

parties. However, such a transaction may be considered in a fair value measurement if there is evidence that it was conducted at market terms.

• The transaction takes place under duress or the price is forced upon the seller (for example, due to financial difficulty).

• The unit of account in the transaction is different from the asset or liability to be fair valued. For example:− the asset or liability being fair

valued is only one of the elements in the transaction (for example, in a business combination);

− the transaction includes unstated rights and privileges that are measured separately in accordance with another IFRS; or

− the transaction price includes transaction costs.

• The transaction does not take place in the principal or most advantageous market – for example, a retail market price would not represent fair value for a dealer if this principal or most advantageous market is the dealer market.

[IFRS 13.B4].

PwC observation: One common criticism of IAS 39 is its treatment of the difference between fair value and transaction price upon initial recognition, commonly referred to as ‘day-one profit or loss’. IAS 39 prohibits immediate recognition of day-one profit or loss in the income statement unless specific criteria are met. Unfortunately, IFRS 13 does not address this criticism. IFRS 13 states that “If another IFRS requires or permits an entity to measure an asset or a liability initially at fair value and the transaction price differs from fair value, the entity shall recognise the resulting gain or loss in profit or loss unless that IFRS specifies otherwise.” Entities will therefore still be prohibited from recognising a day-one profit or loss under IAS 39 (or IFRS 9) unless the fair value of that instrument is evidenced by comparison with other observable current market transactions in the same instrument (that is, without modification or repackaging) or based on a valuation technique whose variables include only data from observable markets. [IAS 39.AG76]. This remains a key difference with US GAAP.

Application of cost approach


Example

An entity holds a position in a single asset that is traded in an active market. If the entity sells its entire holding in a single transaction, the market’s normal daily trading volume would not be sufficient to absorb the quantity held. That single transaction would affect the quoted price and result in the entity receiving a lower selling price. Should the entity adjust the fair value of that asset to reflect this?

No. The unit of account is a single share therefore the fair value of the asset or liability should continue to be measured as the product of the quoted price and the quantity held by the entity. The same applies to a liability, or a position comprising a large number of identical assets or liabilities, such as a holding of financial instruments. [IFRS 13.80]. The same answer holds regardless of whether or not it trades in an active market.

Valuation premiums and discounts

Valuation adjustments such as premiums and discounts may be necessary to reflect certain characteristics of the asset or liability being fair valued. Examples are control premiums or non-controlling interest discounts. There are two caveats to consider when using such adjustments:• Adjustments are not permitted for

premiums or discounts that are inconsistent with the unit of account for the asset or liability being measured; and

• Adjustments are permitted only when they reflect a characteristic of an asset or liability (for example, control premium). Adjustments are not

permitted for premiums or discounts that reflect size as a characteristic of the entity’s holding. Specifically, IFRS 13 prohibits adjustments for blockage factors that adjust the quoted price of an asset or a liability because the market’s normal daily trading volume is not sufficient to absorb the quantity held by an entity. See also ‘unit of account’ above.

• In all cases, if there is a quoted price in an active market (that is, a Level 1 input) for an asset or a liability, management should use that price without adjustment when measuring fair value.

[IFRS 13.69]

Level 1

Adjustment for size Consistent with unit of account

Adjust

Yes

No

Level 2 + 3

Adjustment for other factors

Do not adjust

The flowchart below illustrates the above requirements.


Example

Investor X holds a 10% investment in private company Y. The investment is classified as an available-for-sale investment under IAS 39. X fair values Y using a market multiple of comparable listed entity Z. Should this valuation be adjusted for:• illiquidity of Y’s shares, as compared to Z?• the lower price X is likely to get if X sold the entire 10% investment in a single

transaction rather than if it sold its shares in Y in smaller batches?

X should adjust for the Y’s illiquidity because this is a characteristic of Y’s shares. Y’s shares are not listed; Z’s are listed.

However, X should not adjust the valuation to reflect the likely outcome that if it sold all of Y in a single transaction, it might receive a lower price. This is because the unit of account in IAS 39 is a single instrument. The fair value in IAS 39 therefore reflects the fair value of each financial instrument in Y.

Example

Entity A holds 100% of the shares in an unlisted company B. B is a cash-generating unit that is being tested for impairment under IAS 36 using the fair value less costs to sell (FVLCTS) method. Entity A fair values B using a market multiple of a comparable listed entity.

If A assumes the sale of B’s shares in a single transaction, it is likely to receive a different price due to the size of the sale compared to selling the shares in smaller portions (say in units of 1,000 each time). For the purposes of determining FVLCTS, should A assume the sale of B’s shares in a single or multiple transactions?

As the unit of account being fair valued is the cash-generating unit under IAS 36, the fair value that should be considered is the aggregate fair value of the CGU. Entity A should therefore assume the sale of B’s shares in aggregate.

Example

Entity C holds 100% of the shares in company D, which is a cash-generating unit being tested for impairment under IAS 36 using FVLCTS. C fair values D using a discounted cash flow method based on D’s underlying cash inflows (for example, from sales) and outflows (for example, from expenses), and the industry cost of capital. Should C adjust the output of the discounted cash flow valuation model for a control premium?

C should not make this adjustment. The control premium has already been imputed by the use of the business cash flows discounted at the weighted average cost of capital. This method of valuation implicitly assumes control. No further adjustment for control premium is therefore required.

Fair value hierarchyIFRS 13 contains a fair value hierarchy that is similar to the hierarchy established under IFRS 7. The highest priority is given to Level 1 inputs; Level 3 inputs get the lowest priority. [IFRS 13.72].

A fair value measurement is categorised in its entirety in the same level of the

fair value hierarchy as the lowest-level input that is significant to the entire measurement. An input is significant if that input can result in a significantly different fair value measurement. [IFRS 13.79]. IFRS 13 requires consideration of factors specific to the asset or liability. [IFRS 13.73].


PwC observation: Determining the significance of a particular input to a fair value measurement is a matter of judgement. A starting point is to have a basic understanding of all of the inputs that factor into the fair value measurement, the relative significance of each of the inputs, and whether those inputs are externally verifiable or are derived through internal estimates.

There are no bright lines for determining significance; two different entities may reach different conclusions in the same fact pattern. We believe management should consider the impact of lower-level inputs on the fair value measurement at the time the measurement is made, as well as their potential impact on future movements in the fair value.

In assessing the significance of unobservable inputs to an asset or liability’s fair value, management should: (1) consider the sensitivity of the asset or liability’s overall value to changes in the data, and (2) reassess the likelihood of variability in the data over the life of the asset or liability. Additionally, we believe that the assessment should be performed on both an individual and an aggregate basis when more than one item of unobservable data (or more than one parameter) is used to measure the fair value of an asset or liability. This assessment will depend on the facts and circumstances specific to a given asset or liability and will require significant professional judgement.

Given the level of judgement that may be involved, management should document its rationale when the determination of the classification of inputs in the fair value hierarchy is not straightforward. In addition, it should develop and consistently apply a policy for determining significance.

Things that are not part of fair value but for which other literature requires management to include in measurement are not considered when determining the hierarchical level – for example, costs to sell in FVLCTS. [IFRS 13.73].

The fair value hierarchy ranks fair value measurements based on the type of inputs; it does not depend on the type of valuation techniques used. [IFRS 13.74].

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date. [IFRS 13.76]. IFRS 13 highlights the following points in relation to Level 1 inputs:• The principal (or if unavailable, the

most advantageous) market should be used [IFRS 13.78].

• The transacting entity should be able to transact in the chosen market at measurement date [IFRS 13.78].

• The quoted price should be used without adjustment whenever available [IFRS 13.77], except in the following situations:− IFRS 13 provides a practical

expedient for the fair value measurement of a large number of similar assets or liabilities (for example, debt securities) for which quoted prices in active markets are available but not readily accessible. A reporting entity may therefore measure fair value by using an alternative pricing method (for example, matrix pricing) instead of obtaining quoted prices for each individual security. If an alternative pricing method is used as a practical expedient, the resulting fair value measurement will be Level 2.

− In some situations, significant events (for example, principal-to-principal transactions, brokered trades and announcements) may occur after the close of a market but before the measurement date. When that is the case, a quoted market price may not be representative of fair value on the measurement date. Management should establish and consistently apply a policy for identifying and incorporating events that may affect fair value measurements. In addition, if management adjusts the quoted price, the resulting measurement will not be classified in Level 1 but will be a lower-level measurement.


PwC observation: The measurement date, as specified in each accounting standard requiring or permitting fair value measurements, is the ‘effective’ valuation date. A valuation should therefore reflect only facts and circumstances that exist on the specified measurement date (these include events occurring before the measurement date or that were reasonably foreseeable on that date) so that the valuation is appropriate for a transaction that would occur on that date. In addition, changes in fair value after the measurement date are subsequent events and do not adjust the fair value but are only disclosed.

− Consider an entity that is measuring the fair value of its quoted liability or equity instrument using the quoted price for the asset. [IFRS 13.79]. However, the quoted price may reflect factors that do not apply to the liability or equity instrument (see ‘Using quoted prices and observable inputs’ above). In such cases, the fair value should be adjusted for these factors, and the resulting fair value measurement would be classified in a lower level.

PwC observation: In certain situations, management may only have access to a single price source or quote. Apart from where the source is transactions on an exchange, a single source would not generally be a Level 1 input, as a single market-maker would almost by definition suggest an inactive market. However, in some rare cases, a single market-maker dominates the market for a particular security such that trading in that security is active but all the activity flows through that market-maker. In those limited circumstances, a Level 1 determination may be supported if the broker is standing ready to transact at that price.

In all cases other than the above fact pattern, management should determine if the single broker quote represents a Level 2 or Level 3 input. Key considerations in making this assessment include the following:

• Level2:asinglebrokerquotemaybesupported as a Level 2 input if there is observable market information on comparables to support the single broker quote, and/or the broker stood willing to transact in the security at that price.

• Level3:asinglebrokerquoteisfrequently a Level 3 input if there are no comparables and the quote was provided as an indicative value with no commitment to actually transact at that price (for example, information obtained under an agreement to provide administrative pricing support to a fund for a security purchased from that broker). Such information will require additional follow-up or due diligence procedures when used in financial reporting.

Management should specifically consider the underlying facts associated with each valuation input in assessing the appropriate classification in the fair value hierarchy.

Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. [IFRS 13.81]. Level 2 inputs include:• quoted prices for similar assets or

liabilities in active markets; • quoted prices for identical or similar

assets or liabilities in markets that are not active;

• inputs other than quoted prices are observable for the asset or liability, for example: − interest rates and yield curves,

observable at commonly quoted intervals,

− implied volatilities,− credit spreads; and• market-corroborated inputs.

[IFRS 13.82]

IFRS 13.B35 provides the following examples of level 2 inputs: “(a) Receive-fixed, pay-variable interest rate swap based on the London Interbank Offered Rate (LIBOR) swap rate. A Level 2 input would be the LIBOR swap rate if that rate is observable at commonly quoted intervals for substantially the full term of the swap.


(b) Receive-fixed, pay-variable interest rate swap based on a yield curve denominated in a foreign currency. A Level 2 input would be the swap rate based on a yield curve denominated in a foreign currency that is observable at commonly quoted intervals for substantially the full term of the swap. That would be the case if the term of the swap is 10 years and that rate is observable at commonly quoted intervals for 9 years, provided that any reasonable extrapolation of the yield curve for year 10 would not be significant to the fair value measurement of the swap in its entirety.

(c) Receive-fixed, pay-variable interest rate swap based on a specific bank’s prime rate. A Level 2 input would be the bank’s prime rate derived through extrapolation if the extrapolated values are corroborated by observable market data, for example, by correlation with an interest rate that is observable over substantially the full term of the swap.

(d) Three-year option on exchange-traded shares. A Level 2 input would be the implied volatility for the shares derived through extrapolation to year 3 if both of the following conditions exist: (i) Prices for one-year and two-year options on the shares are observable. (ii) The extrapolated implied volatility of a three-year option is corroborated by observable market data for substantially the full term of the option. In that case the implied volatility could be derived by extrapolating from the implied volatility of the one-year and two-year options on the shares and corroborated by the implied volatility for three-year options on comparable entities’ shares, provided that correlation with the one-year and two-year implied volatilities is established.

(e) Licensing arrangement. For a licensing arrangement that is acquired in a business combination and was recently negotiated with an unrelated party by the acquired entity (the party to the licensing arrangement), a Level 2 input would be the royalty rate in the contract with the unrelated party at inception of the arrangement.

(f) Finished goods inventory at a retail outlet. For finished goods inventory that is acquired in a business combination, a Level 2 input would be either a price to customers in a retail market or a price to retailers in a wholesale market, adjusted for differences between the condition and location of the inventory item and the comparable (ie similar) inventory items so that the fair value measurement reflects the price that would be received in a transaction to sell the inventory to another retailer that would complete the requisite selling efforts. Conceptually, the fair value measurement will be the same, whether adjustments are made to a retail price (downward) or to a wholesale price (upward). Generally, the price that requires the least amount of subjective adjustments should be used for the fair value measurement.

(g) Building held and used. A Level 2 input would be the price per square metre for the building (a valuation multiple) derived from observable market data, eg multiples derived from prices in observed transactions involving comparable (ie similar) buildings in similar locations.

(h) Cash-generating unit. A Level 2 input would be a valuation multiple (eg a multiple of earnings or revenue or a similar performance measure) derived from observable market data, eg multiples derived from prices in observed transactions involving comparable (ie similar) businesses, taking into account operational, market, financial and non-financial factors.”

IFRS 13 highlights the following points in relation to Level 2 inputs:• If the asset or liability has a specified

(contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability [IFRS 13.82].

• Adjustments to Level 2 inputs should include factors such as the condition and/or location of the asset or the liability on the measurement date and the volume and level of activity in the markets within which the inputs are observed. Adjustments are also


Example

How would the fair value measurement of a foreign exchange contract be classified in the fair value hierarchy if it is based on interpolated information?

Assume that the entity prepares its fair value measurement based on interpolation of observable market data. Key considerations in determining the appropriate classification within the fair value hierarchy include the following: • A spot foreign exchange (FX) rate that can be observed through market data as being

active is a Level 1 input. • A fair value measurement that can be interpolated using externally quoted sources

would generally be a Level 2 valuation. For example, assume that there are forward prices available for 30- and 60-day FX contracts that qualify as Level 1 inptus and the entity is measuring a 50-day contract. If the price can be derived through simple interpolation, the resulting measurements is a Level 2 valuation.

However, if the contract length is three years and prices are only available for the next two years, any extrapolated amount would be considered a Level 3 valuation (on the assumption that this is significant to the valuation) if there was no other observable market information to corroborate the pricing inputs in the third year. Unlike the Chilean interest rates in the previous example, which were corroborated by the Argentinean yield curve, the FX rate for the third year is not corroborated by any observable market information in this case.

Level 3 inputs are unobservable inputs for the asset or liability [IFRS 13.86].

IFRS 13.B36 provides the following examples of level 3 inputs:

“(a) Long-dated currency swap. A Level 3 input would be an interest rate in a specified currency that is not observable and cannot be corroborated by observable market data at commonly quoted intervals or otherwise for substantially the full term of the currency swap. The interest rates in

a currency swap are the swap rates calculated from the respective countries’ yield curves.

(b) Three-year option on exchange-traded shares. A Level 3 input would be historical volatility, ie the volatility for the shares derived from the shares’ historical prices. Historical volatility typically does not represent current market participants’ expectations about future volatility, even if it is the only information available to price an option.

required to the extent that inputs do not fully relate to items that are comparable to the asset or liability (including those factors in the second and third sets of bullets under ‘Inputs based on bid and ask prices’ above). An adjustment that is significant to the fair value measurement may place the measurement in Level 3 in the fair value hierarchy.

PwC observation: Certain inputs derived through extrapolation or interpolation may be corroborated by observable market data (for example, extrapolating observable one- and five-year interest rate yields to derive three-year yields) and would be considered a Level 2 input.

For example, assume that the

Argentinean interest rate yield curve is correlated to the Chilean interest rate yield curve. Also assume that the Argentinean yield curve is observable for three years, but the Chilean yield curve is observable for only two years. Management could extrapolate the third year of the Chilean yield curve based on the extrapolation of the Chilean yield curve from years one and two and the correlation of the third-year Argentinean yield curve. In this example, the Chilean yield for year three would be considered a Level 2 input. However, extrapolating short-term data to measure longer term inputs may require assumptions and judgements that cannot be corroborated by observable market data and, therefore, may represent a Level 3 input.


(c) Interest rate swap. A Level 3 input would be an adjustment to a mid-market consensus (non-binding) price for the swap developed using data that are not directly observable and cannot otherwise be corroborated by observable market data.

(d) Decommissioning liability assumed in a business combination. A Level 3 input would be a current estimate using the entity’s own data about the future cash outflows to be paid to fulfil the obligation (including market participants’ expectations about the costs of fulfilling the obligation and the compensation that a market participant would require for taking on the obligation to dismantle the asset) if there is no reasonably available information that indicates that market participants would use different assumptions. That Level 3 input would be used in a present value technique together with other inputs, e.g. a current risk-free interest rate or a credit-adjusted risk-free rate if the effect of the entity’s credit standing on the fair value of the liability is reflected in the discount rate rather than in the estimate of future cash outflows.

(e) Cash-generating unit. A Level 3 input would be a financial forecast (e.g. of cash flows or profit or loss) developed using the entity’s own data if there is no reasonably available information that indicates that market participants would use different assumptions.”

IFRS 13 highlights the following points in relation to level 3 inputs:• Used only when observable inputs are

not available [IFRS 13.87].• Fair value measurement objective is to

derive an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability. Fair value measurements should therefore reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk [IFRS 13.87].

• Both the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and the risk inherent in the inputs to the valuation technique should be considered [IFRS 13.88].

• Level 3 inputs should be developed using the best information available in the circumstances, which might include an entity’s own data. However, the entity’s own data should be adjusted if reasonably available information indicates that other market participants would use different data. For example, an entity should not factor in entity-specific synergies that are not available to market participants. An entity need not undertake exhaustive efforts to obtain information about market participant assumptions [IFRS 13.89].

IFRS 13 permits the use of prices quoted by third parties (for example, pricing services and brokers), subject to the following:• The reporting entity should determine

that these prices are developed in accordance with IFRS 13 requirements [IFRS 13.B45], including those requirements regarding significant decrease in the volume/level of activity [IFRS 13.B46];

• Less weight is placed on quotes that do not reflect the result of transactions [IFRS 13.B46]; and

• The nature of a quote (for example, whether it is an indicative price or a binding offer) should be considered; more weight is given to binding offers. [IFRS 13.B47].

PwC observation: Many reporting entities obtain information from pricing services − such as Bloomberg, Interactive Data Corporation, Loan Pricing Corporation, Markit’s Totem Service, broker pricing information and similar sources − for use as inputs in their fair value measurements. The information provided by these sources could be any level in the fair value hierarchy, depending on the source of the information for a particular security. Classification within the hierarchy is further discussed as follows:

Level 1 inputs

Generally, for a price or other input to qualify as Level 1 in the fair value hierarchy, management should be able to obtain the price from multiple sources. Level 1 inputs relate to items traded on


an exchange or an active index/market location.

Level 2 and Level 3 inputs

In some cases, reporting entities may rely on pricing services or published prices that represent a consensus reporting of multiple brokers. It may not be clear if the prices provided can be transacted upon. In order to support an assertion that a broker quote or information obtained from a consensus pricing service represents a Level 2 input, the management should typically perform due diligence to understand how the price was developed, including understanding the nature and observability of the inputs used to determine that price. Additional corroboration could include:

• Discussionswithpricingservices,dealers or other companies to obtain additional prices of identical or similar assets to corroborate the price;

• Back-testingofpricestodeterminehistorical accuracy against actual transactions; or

• Comparisonstootherexternalorinternal valuation model outputs.

The level of due diligence performed is highly dependent on the facts and circumstances, such as the type and complexity of the asset or liability being measured, as well as its observability and liquidity in the marketplace. Generally, the more unique the asset or liability being measured and the less liquid it is, the more due diligence will be necessary to corroborate the price in order to support classification as a Level 2 input.

When performing due diligence, management should clearly document the assessment performed in arriving at its conclusions. Without additional supporting information, prices obtained from a single or multiple broker sources or a pricing service are indicative values or proxy quotes; we believe such information generally represents Level 3 inputs.

Finally, management must have some higher-level (that is, observable) data

to support classification of an input as Level 2. A broker quote for which the broker does not stand ready to transact cannot be corroborated with an internal model populated with Level 3 information, or with additional indicative broker quotes to support a Level 2 classification. However, there may be other instances where pricing information can be corroborated by market evidence, resulting in a Level 2 input.

Other considerations

Ultimately, it is management’s responsibility to determine the appropriateness of its fair value measurements and their classification in the fair value hierarchy, including instances where pricing services are used. Therefore, reporting entities that use pricing services will need to understand how the pricing information has been developed and obtain sufficient information to be able to determine where instruments fall within the fair value hierarchy and that it was computed in a manner that represents an exit price.

Examples

A pricing service could provide quoted prices for an actively traded equity security, which would be Level 1 inputs if corroborated by the reporting entity. The same pricing service may also provide a corporate bond price based on matrix pricing, which may constitute a Level 2 or Level 3 input depending on the information used in the model.

In another example, a reporting entity may obtain a price from a broker for a residential mortgage-backed security. The reporting entity may be fully aware of the depth and liquidity of the security’s trading in the marketplace based on its historical trading experience. In addition, the pricing methodology for the security may be common and well understood (for example, matrix pricing), and therefore less due diligence may be required. However, a similar conclusion may not be appropriate in all instances (for example, a collateralised debt obligation that is not frequently traded and does not have liquidity in the marketplace).


Transaction price is considered in fair value. However changes

in valuation techniques, multiple valuation techniques, changes in fair value weightings, or ad-ditonal adjustments may be

necessary.

Consider transaction price, but place more weight on other

orderly transactions.

Yes

No

Little or no weight on transaction price

Transaction price is fair value

Orderly transaction ?

Cannot determine

Significant decrease in volume/level of activity

Yes

No

Inactive markets and non-orderly transactionsMeasuring fair value when the volume or level of activity for an asset or a liability has significantly decreased

The flowchart below highlights the considerations in determining the level of reliance on market prices.

The following factors should be considered in determining whether there has been a significant decrease in the volume or level of activity (relative to the normal market activity): • There are few recent transactions.• Price quotations are not developed

using current information.• Price quotations vary substantially

either over time or among market-makers (for example, some brokered markets).

• Indices that were previously highly correlated with the fair values of the asset or liability are demonstrably uncorrelated with recent indications of fair value for that asset or liability.

• There is a significant increase in implied liquidity risk premiums, yields or performance indicators (such as delinquency rates or loss severities) for observed transactions or quoted prices when compared with the entity’s estimate of expected cash flows, taking into account all available

market data about credit and other non-performance risk for the asset or liability.

• There is a wide bid-ask spread or significant increase in the bid-ask spread.

• There is a significant decline in the activity of, or there is an absence of, a market for new issues (that is, a primary market) for the asset or liability or similar assets or liabilities.

• Little information is publicly available (for example, for transactions that take place in a principal-to-principal market).

[IFRS 13.B37]

PwC observation: Many of the factors noted above that are indicative of significant decreases in market volume and activity levels are also listed in a non-authoritative Expert Advisory Panel published by the IASB in October 2008. The whitepaper describes practices for measuring the fair value of financial instruments when markets are no longer active and the fair value disclosures that could be made in those situations.

If there has been a significant decrease in the volume or level of activity, further analysis is needed. The entity may conclude that:• The transaction or quoted price still

represents fair value. A decline in


volume/activity, on its own, may not indicate that the quoted price does not represent fair value.

• The transaction or quoted price does not represent fair value. In such cases, an adjustment is required if: − those prices are still used as the

basis for measuring fair value and the adjustment may be significant to the fair value measurement; and

− other circumstances necessitate the adjustment – for example, when a price for a similar asset requires significant adjustment to make it comparable to the asset being measured or when the price is stale.

• The transaction is not orderly. [IFRS 13.B38].

When the decrease in volume/activity necessitates an adjustment, IFRS 13 requires the following:• Appropriate risk adjustments should be

included for the uncertainty inherent in the cash flows, even when such adjustments are difficult to determine. [IFRS 13.B39].

• A change in valuation technique or the use of multiple valuation techniques may be appropriate in such situations. When multiple techniques result in a wide range of fair values resulting, further analysis may be required. [IFRS 13.B40].

• The objective of a fair value measurement remains the same − that is, to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions [IFRS 13.B41].

However, IFRS 13 does not specify a methodology for making such adjustments [IFRS 13.B39].

An entity’s intention to hold an asset or settle a liability is not considered in measuring fair value, as fair value is a market-based measurement, not an entity-specific measurement. [IFRS 13.B42].

Identifying transactions that are not orderly

It is not appropriate to conclude that all transactions in a market are not orderly simply due to a significant decrease in volume/level of activity. Indications that transactions are not orderly include:• There was inadequate exposure

to the market for a period before the measurement date to allow for marketing activities that are usual and customary for transactions involving such assets or liabilities under current market conditions.

• There was a usual and customary marketing period, but the seller marketed the asset or liability to a single market participant.

• The seller is in or near bankruptcy or receivership (that is, the seller is distressed).

• The seller was required to sell to meet regulatory or legal requirements (that is, the seller was forced).

• The transaction price is an outlier when compared with other recent transactions for the same or a similar asset or liability.

[IFRS 13.B43].

IFRS 13 does not require exhaustive efforts to determine whether a transaction is orderly, but reasonably available information should not be ignored. If the entity is a party to a transaction, it is presumed to have sufficient information to conclude whether the transaction is orderly. [IFRS 13.B44].

Little, if any, weight is given to transactions that are not orderly. The amount of weight placed on an orderly transaction price will depend on transaction volume, comparability of the transaction to the asset or liability being measured, proximity of the transaction to the measurement date, and other facts and circumstances. If there is insufficient information to conclude whether or not a transaction is orderly, the transaction price is considered but given a lower weighting than other, orderly, transactions. [IFRS 13.B44].


DisclosuresDisclosure objectives

IFRS 13 requires disclosure of sufficient information to help financial statement users to assess:• valuation techniques and inputs used

to develop both recurring and non-recurring measurements of assets and liabilities carried at fair value after initial recognition; and

• the effect on profit or loss or other comprehensive income of recurring level 3 fair value measurements.

[IFRS 13.91].

Recurring fair value measurements of assets or liabilities are those that other IFRSs require or permit in the statement of financial position at the end of each reporting period (for example, financial instruments in IAS 39 or biological assets in IAS 41).

Non-recurring fair value measurements of assets or liabilities are those that other IFRSs require or permit in the statement of financial position in particular circumstances (for example, when an entity measures an asset held for sale at fair value less costs to sell in accordance with IFRS 5).

Additional disclosures beyond the minimum requirements may be required to meet these objectives. The reporting entity should also consider:• the level of detail necessary;• the level of emphasis on each

requirement;• the degree of aggregation or

disaggregation; and• whether or not additional information

is needed to evaluate the quantitative disclosures.

[IFRS 13.92].

‘Classes’ of asset and liability

Similar to IFRS 7, IFRS 13 requires disclosures by ‘classes of assets and liabilities’. Grouping assets and liabilities into classes is a judgemental exercise based on:• the nature, characteristics and risks

of the asset or liability; and• the level of the fair value hierarchy

within which the fair value measurement is categorised.

[IFRS 13.94]

In addition, IFRS 13 states that:• More classes may be required for

Level 3 fair value measurements as those fair values are exposed to more uncertainty and subjectivity.

• IFRS 13 classes will often be more disaggregated than balance sheet line items.

• Sufficient information should be provided to permit reconciliation to balance sheet line items.

• If another IFRS specifies the classes, those classes may be used if they meet the above requirements (for example, IFRS 7).

[IFRS 13.94].

Minimum disclosures

The following are the minimum disclosures for each class of asset and liability measured at fair value after initial recognition [IFRS 13.93]:(a) for recurring and non-recurring

fair value measurements, the fair value measurement at the end of the reporting period (see table ‘Fair value measurements at the end of the reporting period’ below);


Example − Fair value measurements at the end of the reporting

(CU in millions) Fair value measurements at the end of the reporting period using

Description 31/12/X9

Quoted prices in active markets for identical assets

(Level 1)

Significant other observable inputs

(Level 2)

Significant unobservable

inputs (Level 3)

Total gains

(losses)

Recurring fair value measurements

Trading equity securities(a):

Real estate industry 93 70 23

Oil and gas industry 45 45

Other 15 15

Total trading equity securities 153 130 23

Other equity securities(a):

Financial services industry 150 150

Healthcare industry 163 110 53

Energy industry 32 32

Private equity fund investments(b) 25 25

Other 15 15

Total other equity securities 385 275 110

Debt securities:

Residential mortgage-backed securities 149 24 125

Commercial mortgage-backed securities

50 50

Collateralised debt obligations 35 35

Risk-free government securities 85 85

Corporate bonds 93 9 84

Total debt securities 412 94 108 210

Hedge fund investments:

Equity long/short 55 55

Global opportunities 35 35

High-yield debt securities 90 90

Total hedge fund investments 180 90 90

Derivatives:

Interest rate contracts 57 57

Foreign exchange contracts 43 43

Credit contracts 38 38

Commodity futures contracts 78 78

Commodity forward contracts 20 20

Total derivatives 236 78 120 38

Investment properties:

Commercial − Asia 31 31

Commercial − Europe 27 27

Total investment properties 58 58

Total recurring fair value measurements 1,424 577 341 506

Non-recurring fair value measurements

Assets held for sale(c) 26 26 (15)

Total non-recurring fair value measurements 26 26 (15)

(a) On the basis of its analysis of the nature, characteristics and risks of the securities, the entity has determined that presenting them by industry is appropriate.

(b) (b) On the basis of its analysis of the nature, characteristics and risks of the investments, the entity has determined that presenting them as a single class is appropriate.

(c) (c) In accordance with IFRS 5, assets held for sale with a carrying amount of CU35 million were written down to their fair value of CU26 million, less costs to sell of CU6 million (or CU20 million), resulting in a loss of CU15 million, which was included in profit or loss for the period.

(Note: A similar table would be presented for liabilities unless another format is deemed more appropriate by the entity.)


(b) for non-recurring fair value measurements, the reasons for the measurement;

(c) for recurring and non-recurring fair value measurements, the level in which they are categorised in the fair value hierarchy;

(d) for assets and liabilities held at the end of the reporting period that are measured at fair value on a recurring basis, the amounts of any transfers between Level 1 and Level 2, reasons for those transfers and the policy for determining when those transfers occur. Transfers into each level should be disclosed and discussed separately from transfers out of each level. For this disclosure and in (h) below, the policy for determining timing of transfers between fair value levels should be consistently followed and disclosed. The policy should be consistent between transfers into and out of each level. Such transfers could

be deemed to occur on the date of the event or change in circumstances that caused the transfer, the beginning of the reporting period or the end of the reporting period. [IFRS 13.95].

(e) for recurring/non-recurring Level 2 and 3 fair value measurements, a description of the valuation techniques and the inputs used;

(f) changes in valuation technique (for example, changing from market to income approach, or using additional valuation techniques) and reasons for the change;

(g) quantitative information about significant unobservable inputs used in Level 3 fair values, unless those inputs are not developed by the reporting entity when measuring fair value (for example, when an entity uses unadjusted prices from prior transactions or third-party pricing information) and are not reasonably available to the reporting entity;


Example – Valuation techniques and inputs [IFRS 13.IE63-IE64]

An entity might disclose the information in the table below for assets to comply with the requirement above to disclose the significant unobservable inputs used in the fair value measurement:

Quantitative information about fair value measurements using significant unobservable inputs (Level 3)

(CU in millions)

DescriptionFair value

at 31/12/X9Valuation technique(s) Unobservable input

Range (weighted average)

Other equity securities: Healthcare industry 53 Discounted cash flow Weighted average cost of capital 7%-16% (12.1%)

Long-term revenue growth rate 2%-5% (4.2%) Long-term pre-tax operating margin 3%-20% (10.3%) Discount for lack of marketability(a) 5%-20% (17%) Control premium(a) 10%-30% (20%)

Market-comparable companies

EBITDA multiple(b) 10-13 (11.3)Revenue multiple(b) 1.5-2.0 (1.7)Discount for lack of marketability(a) 5%-20% (17%)Control premium(a) 10%-30% (20%)

Energy industry 32 Discounted cash flow Weighted average cost of capital 8%-12% (11.1%)Long-term revenue growth rate 3%-5.5% (4.2%)Long-term pre-tax operating margin 7.5%-13% (9.2%)Discount for lack of marketability(a) 5%-20% (10%)Control premium(a) 10%-20% (12%)

Market- comparable companies

EBITDA multiple(b) 6.5-12 (9.5)Revenue multiple(b) 1.0-3.0 (2.0)Discount for lack of marketability(a) 5%-20% (10%)Control premium(a) 10%-20% (12%)

Private equity fund investments 25 Net asset value(c) n/a n/a

Debt securities: Residential mortgage- backed securities

125 Discounted cash flow Constant prepayment rate 3.5%-5.5% (4.5%)Probability of default 5%-50% (10%)Loss severity 40%-100% (60%)

Commercial mortgage-backed securities

50 Discounted cash flow Constant prepayment rate 3%-5% (4.1%)Probability of default 2%-25% (5%)Loss severity 10%-50% (20%)

Collateralised debt obligations 35 Consensus pricing Offered quotes 20-45

Comparability adjustments (%) -10% to +15% (+5%)Hedge fund investments:

High-yield debt securities 90 Net asset value(c) n/a n/aDerivatives:

Credit contracts 38 Option model Annualised volatility of credit(d) 10%-20%Counterparty credit risk(e) 0.5%-3.5%Own credit risk(e) 0.3%-2.0%

Investment properties:Commercial – Asia 31 Discounted cash flow Long-term net operating income 18%-32% (20%)

Cap rate 0.08-0.12 (0.10)Market- comparable approach Price per square metre (USD)

$3,000-$7,000 ($4,500)

Commercial – Europe 27 Discounted cash flowLong-term net operating income margin 15%-25% (18%)Cap rate 0.06-0.10 (0.80)

Market comparable approach Price per square metre (EUR) 4,000-12,000 (8,500)

a) Represents amounts used when the entity has determined that market participants would take into account these premiums and discounts when pricing the investments.

b) Represents amounts used when the entity has determined that market participants would use such multiples when pricing the investments.

c) The entity has determined that the reported net asset value represents fair value at the end of the reporting period.d) Represents the range of the volatility curves used in the valuation analysis that the entity has determined market

participants would use when the pricing contractse) Represents the range of the credit default swap spread curves used in the valuation analysis that the entity has determined

market participants would use when pricing the contracts.(Note: A similar table would be presented for liabilities unless another format is deemed more appropriate by the entity.)

(Continued)


(h) for recurring Level 3 fair values, a reconciliation from the opening to the closing balances, disclosing separately the following changes during the period:i. total gains/losses in profit or loss,

and the line items in which they are recognised;

ii. total gains/losses in other comprehensive income, and the line items in which they are recognised;

iii. purchases, sales, issues and settlements (each disclosed separately);

iv. amounts of any transfers into and out (inward and outward transfers separately disclosed) of Level 3, the reasons for those transfers, and the entity’s policy for determining when transfers between levels are deemed to have occurred;

(Continued)In addition, an entity should provide additional information that will help users of its financial statements to evaluate the quantitative information disclosed. An entity might disclose some or all the following to comply with IFRS 13.92: • The nature of the item being measured at fair value, including the characteristics of

the item being measured that are taken into account in the determination of relevant inputs. For example, for residential mortgage-backed securities, an entity might disclose the following: (i) the types of underlying loans (for example, prime loans and sub-prime loans); (ii) collateral; (iii) guarantees or other credit enhancements; (iv) seniority level of the tranches of securities; (v) the year of issue; (vi) the weighted-average coupon rate of the underlying loans and the securities; (vii) the weighted-average maturity of the underlying loans and the securities; (viii) the geographical concentration of the underlying loans; and (ix) information about the credit ratings of the securities.

• How third-party information such as broker quotes, pricing services, net asset values and relevant market data was taken into account when measuring fair value.


Example – Reconciliation of fair value measurements categorised within Level 3 of the fair value hierarchy [IFRS 13.IE61-62]

An entity might disclose the following for assets to comply with the above requirement to disclose the reconciliation: Gains and losses included in profit or loss for the period (above) are presented in financial income and in non-financial income as follows:

Other equity securitiesDebt

securitiesHedge fund investments Derivatives

Investment properties

Healthcare industry

Energy industry

Private equity

fund

Residential mortgage

-backed securities

Commercial mortgage-

backed securities

Collateral-ised debt

obligations

High-yield debt securities

Credit contracts Asia Europe Total

Opening balance: 49 28 20 105 39 25 145 30 28 26 495

Transfers into Level 3 60(a)/(b) 60

Transfers out of Level 3 (5)(b)/(c) 5

Total gains or losses for the period

− Included in profit or loss 5 (23) (5) (7) 7 5 3 1 (14)

− Included in other comprehensive income 3 1 4

Purchases, issues, sales and settlements:

− Purchases 1 3 16 17 18 55

− Issues

− Sales (12) (62) (74)

− Settlements (15) (15)

Closing balance: 53 32 25 125 50 35 90 38 31 27 506

Change in unrealised gains or losses for the period included in profit or loss for assets held at the end of the reporting period 5 (3) (5) (7) (5) 2 3 1 (9)

(a) Transferred from Level 2 to Level 3 because of a lack of observable market data, resulting from a decrease in market activities for the securities.

(b) The entity’s policy is to recognise transfers into and transfers out of Level 3 as of the date of the event or change in circumstances that caused the transfer.

(c) Transferred from Level 3 to Level 2 because observable market data became available for the securities.


(C in millions) Financial income Non-financial income

Total gains or losses for the period included in profit or loss (18) 4

Change in unrealised gains or losses for the period included in the profit or loss for assets held at the end of the reporting period (13) 4


(i) for recurring Level 3 fair values, amount of unrealised gains/losses in profit or loss, and the line items in which those unrealised gains/ losses are recognised;

(j) for recurring and non-recurring Level 3 fair values, a description of valuation processes (including how an entity decides its valuation policies and procedures and analyses periodic changes in fair value measurements);


(k) for recurring Level 3 fair values:i. a narrative description of the

sensitivity to unobservable inputs that significantly affect the fair value;

ii. description of interrelationships between unobservable inputs and how these affect the sensitivity;

iii. if changing unobservable inputs to reasonably possible alternatives would change the fair values of financial assets and financial

liabilities significantly, disclose:• that fact;• the effect of those changes; and• how the effect of a change to

reflect a reasonably possible alternative assumption was calculated.

Significance is judged with respect to profit or loss, and total assets or total liabilities, or, when changes in fair value are recognised in other comprehensive income, total equity;

Example – Valuation processes [IFRS 13.IE65]

An entity might disclose the following to comply with the requirement to disclose a description of the valuation processes used by the entity: • for the group within the entity that decides the entity’s valuation policies and

procedures: (i) its description; (ii) to whom that group reports; and (iii) the internal reporting procedures in place (for example, whether and, if so, how pricing, risk management or audit committees discuss and assess the fair value measurements);

• the frequency and methods for calibration, back-testing and other testing procedures of pricing models;

• the process for analysing changes in fair value measurements from period to period; • how the entity determined that third-party information, such as broker quotes or

pricing services, used in the fair value measurement was developed in accordance with the IFRS; and

• the methods used to develop and substantiate the unobservable inputs used in a fair value measurement.

Example – Information about sensitivity to changes in significant unobservable inputs [IFRS 13.IE66]

An entity might disclose the following about its residential mortgage-backed securities to comply with the above requirement (that is, to provide a narrative description of the sensitivity of the fair value measurement to changes in significant unobservable inputs and a description of any interrelationships between those unobservable inputs):

“The significant unobservable inputs used in the fair value measurement of the entity’s residential mortgage-backed securities are prepayment rates, probability of default and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.”


(l) the fact that the highest and best use of a non-financial asset differs from current use, if this is the case, and the reason for such difference;

(m) an accounting policy decision to fair value financial assets and liabilities with offsetting positions on a net basis (see ’Offsetting positions in market or counterparty credit risk’ above)

[IFRS 13.96];(n) for each class of assets and liabilities

not measured at fair value but for which fair value is disclosed, the information required by above paragraphs (c), (e), (f) and (l) only [IFRS 13.97];

(o) when a liability measured at fair value is issued with an inseparable third-party credit enhancement, the existence of that credit enhancement and whether it is reflected in the fair value of the liability [IFRS 13.98]; and

(p) the quantitative disclosures required above are presented in a tabular format unless another format is more appropriate. [IFRS 13.99].

Effective dateIFRS 13 has an effective date of 1 January 2013 and is applied prospectively. Early application is permitted but should be disclosed. IFRS 13 disclosures for comparative information relating to periods

before initial application are not required.

Potential business impacts In many cases, entities should not experience significant measurement changes as a result of IFRS 13, because most of IFRS 13 is a codification of existing valuation practices. However, where an entity is affected, the change to fair value amounts could impact both the recognised amounts in profit and loss (for example, revenues and expenses), as well as the balance sheet presentation.

IFRS 13 introduces significant increases in disclosure requirements. Reporting entities need to examine the additional disclosure requirements and put in place systems and processes to capture the required information for such disclosures.

More informationThe final standard, illustrative examples and basis of conclusions, as well as a summary of all decisions reached by the board throughout the project, can be found on the IASB website at www.iasb.org/home.

附录: 中国常见金融产品估值经验分享Appendix


市场类型交易场所交易品种交易价格形成方式

交易规模主要参与者

场外交易市场

银行间债

券市场

现券交易、质押

式回购、买断式

回购、远期交易

询价谈判

银行间市场是债

券市场的主体，

债券存量和交易

量约占全市场

90％

具有债券交易资格的商业银行

及其授权分支机构、保险公司、

证券、基金管理、财务公司等

非银行金融机构以及经营人民

币业务的外资金融机构。

商业银行

柜台债券

市场

现券交易（国债）双边报价非金融机构、个人投资者等

场内交易市场交易所债券

市场

现券交易、质押

式回购竞价撮合

2011 年，累计到

07 月，上市债券

品种共成交

97723.6 亿元，

其中：债券现货

3091.1 亿元 ,债

券回购 91422.52

亿元

非金融机构、个人投资者等

估值技术及公允价值层级—中国债券市场的主要市场和最有利市场

注：附录中的信息仅供参考，最终的财务决定依赖于对具体交易信息的进一步分析。


债券品种估值方法估值所需主要参数估值方法概述公允价值层级

活跃交易债券市场报价 N/A N/A 第一层级

不

含

权

债

券

固定利率现金流折算法

(DCF) 折现率曲线

根据固定利率计算未来现金流并利用折现率曲线

折现，加总后即为债券价值第二层级 /第三层级

浮动利率现金流折算法

(DCF)

远期利率曲线，

折现率曲线

根据远期利率曲线预测未来现金流并利用折现曲

线折现，加总后即为债券价值第二层级 /第三层级

含

权

债

券

可赎回 /可

回售债券

树形 /Lattice

模型

布莱克模型

(Black Model)

OAS调整

利率波动率，折

现率曲线

树形模型：假定利率分布，并利用利率波动率等

建造利率树以计算债券价值

布莱克模型：利用远期利率曲线预测未来利率，

同时将利率波动率代入布莱克模型计算可赎回期

权价值，与不含权债券价值加总，即得到含权债

券价值

OAS调整：利用类似债券 OAS对不含权债券价

值进行调整，得到含权债券价值

第二层级 /第三层级

可转换债券树形 /Lattice

模型

估值日股票价

格，股票回报波

动率，折现率曲

线

假定股票回报率分布，并利用股票回报率波动率

等建造股票价格树；同时建造利率树

在每一节点计算债券价格，并与股票价格做比较，

确定各节点债券持有者是否应行权


MBS/ABS 蒙特卡罗模拟

(Simulation)

利率波动率，折

现率曲线

利用动态利率模型模拟期限内利率行为

根据模拟出的利率计算提前还款率，预测现金流，

并对现金流折现及加总，得到债券价值


估值技术及公允价值层级—债券估值


股票类型估值方法估值所需主要参数参数来源公允价值层级流通股票采用市场交易价格市场交易价格活跃市场报价第一层级

流通受限股票

（与资产相关）

收益现值法：根据企

业预期未来收益来求

取价值

可比公司贴现率，贴现

率调整系数，企业盈利

预测

可比公司一般选取上市公司

调整系数根据被估值企业具

体情况确定

第二层级 /

第三层级

市场法：通过可比实

例的成交价格来求取

价格对象的价值

可比指标，可比指标调

整系数

可比公司一般选取上市公司

可比指标与企业价值直接相

关，并且可观测

调整系数根据被估值企业具

体情况确定

流通股票价格调整相同企业流通股票价格，

调整系数

调整系数与受限时间、受限

数额等因素有关

股票交易场所

• 上海证券交易所，深圳证券交易所，其它交易场所

估值技术及公允价值层级—股票估值


估值方法方法概述

估值所需主要参数

参数来源适用性公允价值层级

市场法

市场法是通过可比实例的

成交价格来求取价格对象

的价值，即选取一定数量的

可比实例并将它们与估价对

象进行比较，然后对这些可

比实例的成交价格进行适当

的处理来求取估价对象价

值的方法

被估企业价值 =可比企业价

值 x被估企业可比指标 /可

比企业可比指标

可比指

标，可比

指标调整

系数

可比公司一般选取上市

公司

可比指标与企业价值直

接相关，并且可观测

调整系数根据被估值企

业具体情况确定

适用于拥有上市可比公

司的企业

可反映市场情况，并可

反映企业未来发展

对于不同类型企业，选

取不同可比指标

第三层级

收益

现值法

收益法是根据估价对象的

预期未来收益来求取估价

对象价值的方法。

可比公司

贴现率，

贴现率调

整系数，

企业盈利

预测

可比公司一般选取上市

公司

调整系数根据被估值企

业具体情况确定

适用于企业有盈利，并

且可预测；与企业收益

相联系的风险也可预测

的情况

适用于对收益稳定的成

熟企业股权进行估值

第三层级

成本法

成本法即将资产负债表中各

项资产、负债的历史成本调

整为现时成本

企业财务

数据企业资产负债表

成本法估值属于静态估

值，不能反映企业未来

发展

成本法不适用于私募股

权基金 /风险投资基金

估值

N/A

• 通过对股权估值对私募股权基金/风险投资基金进行估值

• 股权估值分为市场法、收益现值法及成本法

估值技术及公允价值层级—私募股权基金/风险投资基金


估值技术及公允价值层级—衍生品估值

衍生品类型估值方法估值所需主要参数估值方法概述公允价值层级

期货采用市场交易价格市场交易价格 N/A 第一层级

利率

普通利率掉期、

交叉货币利率

掉期

折现现金流模型

(DCF)

远期利率曲线，折现率

曲线

已知未来现金流数目，利用远期利

率曲线预测未来现金流，利用折现

率曲线将每期现金流进行折现并进

行加总，得到公允价值

第二层级 /

第三层级

利率互换期权、

可撤销掉期

欧式 -布莱克模型

(Black Model)

远期利率曲线，利率波

动率，折现率曲线，即

期汇率，远期汇率曲线

利用远期利率曲线预测未来利率，

同时将利率波动率代入布莱克模型

估值

第二层级 /

第三层级

利率上限期权、

利率下限期权、

利率上下限期权

布莱克模型 (Black

Model)


动率，折现率曲线

利用远期利率曲线预测未来利率，

同时将利率波动率代入布莱克模型

估值

第二层级 /

第三层级

挂钩按日累计利

率掉期

蒙特卡罗模拟

(Simulation)


动率，折现率曲线

假定利率分布，代入相关市场数据

根据利率分布进行模拟，

第二层级 /

第三层级

汇率

汇率远期折现现金流模型

(DCF)

远期汇率曲线，折现率

曲线

利用远期汇率曲线预测未来现金流，

折现并进行加总，得到公允价值

第二层级 /

第三层级

汇率期权

欧式 -布莱克 -斯

科尔斯模型

(Black-Scholes

Model)

即期汇率，远期汇率曲

线，汇率波动率，折现

率曲线

将即期汇率、汇率波动率及折现率

代入布莱克 -斯科尔斯模型计算期权

价值

第二层级 /

第三层级

商品商品远期、商品

掉期

折现现金流模型

(DCF)

商品远期价格曲线，折

现率曲线

利用远期商品价格预测未来现金流，

折现并进行加总，得到公允价值

第二层级 /

第三层级

信用信贷违约掉期

（CDS） JP Morgan模型

信用违约掉期差价，折

现率曲线

由市场得到参照信用实体 (reference

entity)的信用违约掉期差价 (CDS

spread)，使用分析公式得到估值 (JP

Morgan公式 )

第二层级 /

第三层级

综合 /结构性衍生品蒙特卡罗模拟

(Simulation) 远期曲线，波动率等

选取风险因子模型进行模拟，预测

未来现金流并进行折现

第二层级 /

第三层级


产品类型估值方法估值所需主要参数估值方法概述公允价值层级

结构性

存款

期限可

变型

此类产品尚无成

熟估值方法

可近似使用折现

现金流模型

(DCF)及布莱克

模型 (Black

Model)进行估值

利率远期曲

线，利率波

动率，折现

率曲线

将期限可变产品拆分为不含权债券、可赎

回期权两部分

不含权债券部分使用折现现金流模型估值

可赎回期权部分利用布莱克模型估值


保本浮

动收

益型

蒙特卡罗模拟

(Simulation)

挂钩指标即

期值，挂钩

指标收益波

动率，折现

率曲线

假定挂钩指标分布

利用挂钩指标即期值、挂钩指标收益波动

率对指标模拟

利用模拟结果预测未来收益率，计算未来

现金流并折现


不良贷款折现现金流模型

(DCF)

PD，

Recovery

Rate及贷款

合同条款

根据合同条款及 PD，RC预测未来现金流

对现金流折现并加总得到不良贷款价值第三层级 /第二层级

估值技术及公允价值层级结构性存款及不良贷款估值

特别感谢以下参与本出版物翻译及编制的普华永道成员及其所做的贡献。

Special thanks to the following individuals for their contributions to translation and production of this publication.

陈燕华

Tracy YH Chen

会计咨询服务合伙人

姚忠兵

Willie Yao

管理咨询业务总监

程江

Alan Cheng

会计咨询服务高级经理

致谢Acknowledgements

北京 | Beijing杨伟志 Elton Yeung电话 Tel: ＋86 (10) 6533 2008电子邮件 Email: [email protected]

重庆 | Chongqing李松波 Bobby Lee电话 Tel: ＋86 (23) 6393 7388电子邮件 Email: [email protected]

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国际财务报告准则 实务指南...国际财务报告准则 实务指南 公允价值计量...

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国际财务报告准则实务指南...国际财务报告准则实务指南公允价值计量...