Scienze economiche e statistiche

Il lavoro si propone di introdurre un criterio di valutazione delle banche commerciali. Il modello proposto si fonda sul criterio del residual income e permette di enucleare il valore dei beni intangibili di una banca.

Il presente elaborato propone un’analisi empirica volta a verificare se l’informativa di bilancio relativa agli strumenti finanziari disciplinati dallo IAS 39 è value relevant. L’analisi, condotta su un campione di 138 banche commerciali europee nell’orizzonte temporale 2008-2010, è stata sviluppata secondo due prospettive. Una prima prospettiva di tipo “orizzontale” indaga la value relevance dell’informazione aggiuntiva (riportata in Nota Integrativa) del delta fair value di talune poste di bilancio valutate al costo ammortizzato: crediti (loans), obbligazioni emesse e depositi verso la clientela. La seconda prospettiva di analisi è di tipo “verticale” e analizza la qualità dell’informativa riguardante gli strumenti finanziari valutati al fair value, per i quali l’IFRS 7 prevede una classificazione secondo la fair value hierarchy. I risultati relativi alla prima indagine suggeriscono che il delta fair value dei crediti e delle obbligazioni emesse non è rilevante per il mercato. Diversamente costituisce una misura value relevant il delta fair value dei depositi. Le evidenze empiriche relative all’analisi della value relvance della fair value hierarchy suggeriscono che gli strumenti finanziari classificati nel Livello 1 (mark-to-market) contribuiscono in modo significativo a spiegare la quotazione e vengono valutati a premio (circa il 10%) rispetto alla valorizzazione complessiva delle attività. Diversamente sia il Livello 2 sia il Livello 3 non forniscono informazioni value relevant. Ulteriori analisi, volte a spiegare le ragioni che rendono il fair value di Livello 2 e di Livello 3 non significativo, hanno evidenziato che la disclosure integrativa sui trasferimenti che interessano il Livello 3 conduce ad un maggiore apprezzamento delle informazioni di bilancio da parte del mercato.

FASB introduction of FIN 46/R variable interest consolidation model proved revolutionary as it ties up the accounting to the economic/financial frameworks and the judicial one. Legal structures and agreements among stakeholders of entities, creating net assets’ variability, have from now on to be compared with expected losses and expected returns distribution, prior to identify which stakeholder will need to consolidate pursuant this Interpretation. As a result, return variability gains weight in the definition of variable interest entity with consequences still to be completely digested by practitioners and reporting enterprises. Because of the implementation of this Interpretation, consolidation by a party that absorbs most of the entity expected losses will have precedence even over stock-ownership’s control by the parent company (voting rights driven). The revolution though is only meant for a wide, yet selected, subset of entities' classes being securitisations, life and health insurances and governmental organisations aimed for profit, left outside the scope of this Interpretation. Consolidation through variable interest model is the result of four major steps. First alone is the definition of entity, being any legal structure to conduct activities and hold assets. Second, the identification of the variable interests in it, deriving from recognition of the aggregate which fair value changes with changes in fair value of net assets, exclusive of variable interests. These changes in fair value are considered regardless of embedded voting rights; hence, mezzanine finance, preferred stock and any hybrid equity instrument in general need to be detailed in their features prior to taking further decision. Third, the estimate of expected losses and residual returns whose value relevance has been given vast insight in this paper. Fourth and last step, the recognition of the primary beneficiary, when it exists, which is the party that absorbs the greatest share of expected losses and/or that benefits the most from expected residual returns and ultimately, the party that will consolidate the variable interest in object. Throughout the variable interest consolidation process, the concept of ‘equity at risk’ is introduced by FASB to define which is the effective portion of equity that absorbs variability created by net assets of the variable interest entity. Notwithstanding an introduced sufficiency test, aimed at deducting from US GAAP equity, all components that are not legal obligations to capitalise the entity, still difficulties exist. This is due to a series of exclusions namely; legal equity is to be deducted of fees, loans or guarantees thereof, shares issued in exchange of subordinated interests in other VIEs shall be subtracted as well from equity at risk, in the end also investments to be considered non significant shall be deducted. In this regard, valuations are either explicitly or implicitly to be done at fair value, hence book values need to make room for financial analysis giving in this respect value relevance to the Interpretation. The ‘equity at risk’ concept is the result of deductions that run through both sides of the balance sheet. Particular judgment shall be used in evaluating guarantees and other off-balance sheet obligations. This paper takes also in consideration the test proposed by FASB for ‘non significant investments’ proposing a refined method to reduce variability in interpretative judgment by the reporting entity. Furthermore, FASB identifies a new category of VIEs: variable interests in specified subset of assets of a VIE (i.e. a guarantee) which can be treated as distinctive VIEs by FASB only if the fair value of the same assets is greater than 50% of the whole fair value of the entity. If so happens, then equity at risk is to be deducted accordingly and expected losses/residual returns (EXLS/EXRR) of this subset of assets is not considered for sake of determining the primary beneficiary. The distinct VIE, which in accounting goes also under the name of Silo, will have to be treated separately as another VIE. From this analysis on assets and financial structure, which is derived from CON 6, FASB correctly deconstructs the accountancy legacy notion of control by segregating the decision making ability on the VIE from the variability absorption rights and obligations. The former, given by the financial decisions on VIE’s financial structure and by investment on net assets, the latter dictated by obligation to fund losses and to receive residual returns, i.e. by assigning the right to receive future residual returns and the obligation to make future capital contributions. Under a valuation viewpoint, assets and liabilities of newly consolidated VIE are measured at fair value while the ones already pertaining to a primary beneficiary, which is already a parent, remain reported at carrying value being already in the consolidated balance sheet of the controlling company. FIN 46/R in this way allows goodwill to be recognised for acquisitions of VIEs, which constitute businesses for use in this Interpretation. If the consideration paid for the VIE interest (carrying value plus premium/discount) is instead lower than the fair value of its net assets at consolidation, then a decrease in value of the newly consolidated assets shall be reported. Exception is made by cash & marketable securities, tax assets, post retirement plans and the likes. In this regard VIEs, which are not businesses will originate extraordinary gains or losses accordingly, in case of extraordinary gains, the value of the newly acquired assets is stepped-up pro quota. While FIN 46/R valuation principles of expected losses, expected residual returns and definition of balance sheets arising from VIE consolidation, resides on fair values, practitioners and reporting enterprises alike base their forecast from use of private information. This in turn, gives birth to entity-specific values, which take into account private information comprising of entity plans and current competitive strategy, which are a function of present industry positioning. Part of the process in determining EXLS/EXRR and the existence or not of a primary beneficiary, in line with the variable interest consolidation model, is to go through a profit variability analysis to be done through discounted cash flow models. To try to shed some more light on this regard we have first refreshed the mathematics of series of random variables with the objective to estimate VIEs’ expected cash flows of income. VIEs are generally modelled as a random variable with statistic mean different from statistic mode, a fact omitted in some passages of FIN 46/R exposition. Subsequently we have underlined that the variability of returns is directly related with the interval of confidence set for distribution functions representing random variables when computing the reporting entity forecast of expected variability. The potential deadlock could be widening when different interest holders are implementing different modelling of the reporting entity which yield to different results, but still acceptable under the Interpretation prescriptions. FASB introduction of non-previous US GAAP measures like EXLS/EXRR are, as we believe, in need to be backed up by a more robust theoretical framework. To do so, we needed to characterise the choice of the discount rate. In this framework, we have once again taken the theoretical basis of cost of capital, highlighting the equivalence of the results of other methods; including pros and cons of the utility functions and certainty equivalence method and the risk adjusted probability method. We have then given evidence on why FASB should use the cost of capital method as the discount rate to compute income variability together with income streams. In fact, by using the cost of capital method, and the WACC deriving from CAPM, all financial risk is embedded in the discount rate leaving the reporting enterprise free to express in the books the operational risks known or of most suitable estimation. Nowadays marginal cost of debt and market value of equity are used in common practice, according with CAPM theory, and have their use extended to private businesses. The cost of capital for private enterprises make use of sensitivity correlation coefficient of the enterprise return over the market return (beta coefficient) are of difficult estimate for private entities although betas can be computed in a number of ways using assumptions which are proper of the enterprise and its industry peers. To close the chapter related to valuation, finally we have focused on how these methodologies are being implemented by corporate America realising that the fears for value relevancy and hardship in tailoring the application to the single entities is a shared feeling and still a process far from crystallisation. In particular, FASB does not impose a clear conversion from book values to either fair values or value-in-use ones. It neither rules out the use of different valuation methods, if not for particular aspects treated within its FSP 46/R-S, in the exercise of computation of expected variability, which we have to recognise has not been proper of the accountancy function until lately. This thesis proposes an algorithm that goes in detail in the application of FIN 46/R for a reporting enterprise taking into account all possible interrelations among interest holders and distinct interest in subset of assets. The algorithm brings to light the weaknesses in application of the Interpretation caused by potential interrelations between expected losses assessment and variable interests in specified assets, wherever the fair value of these is more than 50% of net assets, i.e. distinctive VIEs. The algorithm, despite being in line with FIN 46/R prescriptions, does not cope with situations of cross default of related parties’ investors in the same VIE. However while the application of a cause and effect model is not always possible we think increased consolidation constraints would highly reduce these possibilities. In the process for determining if the reporting entity is a VIE, FASB develops also the ‘at risk’ test, highlighting once again the relevant weaknesses of the concepts of ‘previous ability to finance operations without subordinate financial support’ and ‘comparability with other similar entities which autonomously finance themselves without subordinated support’. We believe that the "at risk test" should only be a numeric test to iron out misinterpretations and gain relevance in consistency. FASB introduction of an exclusion sufficiency test to exclude variable interests for being classified as VIEs leaves, in our opinion, some uncertainties to the ‘participation in VIE design’ concept or to the ‘non significant interest’ one. This test, we believe, ought not to be a determinant factor, the level of polarisation of risk/reward of the consideration should instead be the sole paramount predictor for exclusion. As far as the conditions used to determine if the entity has sufficient equity to sustain its operations without financial support, the condition sine qua non of the minimum 10% of equity value over total assets, coupled with the triad of valuation methods proposed by FASB, should have been more stringent and concise in its ruling. In fact, these methods leave again interpretative flexibility about the inputs used to demonstrate sufficiency. From a thorough profit variability analysis the thesis compares how the responsibilities and efforts to cope with FIN 46/R requirements are distributed among VIE stakeholders, namely auditors, reporting enterprises, standard setters and regulators. This has been done comparing the use of CON 7 approach to the traditional cost of capital approach used in corporate finance. Furthermore, we have put in evidence that by implementing FIN 46/R VIEs entities tend naturally to overstate income variability valuations, being income streams discounted at Rf, heightening capital requirements. We would like to close by making a forecast on long-term developments that we envisage this Interpretation will bring forward, by starting to think on which are the VIEs stakeholders that are bound to be the most disadvantaged. This is again the class of primary beneficiaries of smaller sizes, which will have either to recourse to more lending to cover for capitalisation requirements and increased financial leverage, or face financial distress. Both cases are precursors to industry consolidation and forebears of globalisation, while the class most favoured will be the banking industry.