关于发布《关于固定收益品种的估值处理标准》的通知

主要修订内容:

(一)增加预期信用损失计量的相关内容

新金融工具准则将金融工具由“四分类”改为“三分类”,同时将金融工具的减值损失会计处理由“已发生损失法”改为“预期信用损失法”,强调信用风险损失的提前计量与确认是新金融工具准则的主要修订内容之一。本次修订《标准》时增加了预期信用损失计量的相关内容,满足新金融工具准则的要求,为行业提供统一的计量标准。

按照新金融工具准则及应用指南并结合行业特点,《标准》针对预期信用损失模型及参数、信用损失三阶段的认定、同一投资品种同时考虑不同阶段的信用损失计量、低信用风险投资品种的信用损失计量等问题提出了处理标准,允许行业使用第三方估值服务机构提供的模型参数或减值计量结果,并在附件中提出了具体的预期信用损失模型计量方法以供行业参考。

(二)增加违约债券估值的相关内容

原《标准》没有特别考虑违约债券的估值问题,但近年来随着债券违约多次发生,违约债券的估值问题已经成为行业中受到广泛关注和富有争议性的问题。个券在实质性违约后,其收益与风险特征与违约前存在明显差异,市场活跃度明显降低,估值存在重大不确定性,第三方估值服务机构对违约债券提供估值价格参考区间有助于资管产品管理人(以下简称管理人)判断其公允价值。为了管理人更好的履行估值责任和保护投资者利益,本次修订《标准》时增加了违约债券估值的相关内容,允许第三方估值服务机构可针对违约债券以推荐价格加区间数据的形式提供估值价格。

(三)推动固定收益品种采用估值全价进行估值

原《标准》针对部分固定收益品种建议选取第三方估值基准服务机构提供的估值净价进行估值。按照企业会计准则和《资管会计处理规定》的相关要求,以公允价值计量的金融工具在资产端应以全价进行列示。因此,本次修订《标准》时对以公允价值计量的固定收益品种建议采取估值全价进行估值。

(四)推动第三方估值基准服务机构的市场化竞争

为推动第三方估值基准服务机构的市场化竞争,同时确保其作为行业公共品提供商的权威性和专业性,《标准》将行业专家评审机机制作为第三方估值基准服务机构的引入标准,不再规定具体机构。目前通过协会委托的行业专家评审程序的第三方估值基准服务机构包括:中央国债登记结算公司、中证指数有限公司和中国外汇交易中心暨全国银行间同业拆借中心。

(五)删除易引起滥用成本法的相关内容

原《标准》中存在不再符合资管新规和新金融工具准则要求的内容,容易为资管产品滥用成本法或采用不活跃市场的收盘价进行估值提供空间,分别是:“对银行间市场未上市,且第三方估值机构未提供估值价格的债券,在发行利率与二级市场利率不存在明显差异、未上市期间市场利率没有发生大的变动的情况下,建议按成本估值”和“评估第三方估值机构提供的交易所债券估值价格与交易所收盘价是否存在差异及差异的合理性,若认定交易所收盘价更能体现公允价值,应采用收盘价”。本次修订《标准》时删除了该部分内容。

 

发文单位:基金业协会
发文时间:2022年12月30日

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