NOTE TO LECTURERS: These notes are the lecture guide for the IAS 32/39 training course. The Notes are intended to provide the lecturer with some background information when preparing the lecture. Where applicable, references to sections of the Standards are included. Also references to the IAS Desk publication Financial Instruments Accounting are noted (referred to as “FIA” in the lecture guide). Lecturers should refer to this publication for additional discussion of these topics. Lecturers should start the course by: introducing themselves to the class discussing their experience with this topic asking what experience participants have had with IAS 39 (client implementations, other training, etc) L’impatto dei nuovi principi contabili internazionali sulle istituzioni finanziarie e la convergenza con gli approcci di Basilea 2 Giuseppe Scimone Raffaele Mazzeo KPMG Facoltà di Economia Palermo 14 maggio 2003

AGENDA L’ impatto degli IAS sulle istituzioni finanziarie Il nuovo accordo di Basilea sul Capitale (“Basilea2”)

L’impatto degli IAS sulle istituzioni finanziarie

Alcune novità introdotte dagli IAS Nuove modalità di presentazione del Bilancio: applicazioni di principi standard internazionali e maggiore trasparenza delle performance dei diversi business del Gruppo Maggiore utilizzo del principio del “fair value” Regole più rigorose per la contabilizzazione degli strumenti di copertura e delle attività/passività coperte Nuove modalità di informativa e contabilizzazione dei crediti durante il loro ciclo di vita (rilevazione iniziale, valutazione dei crediti deteriorati, svalutazione per perdite sui crediti, rilevazione degli interessi, etc.)

Alcune novità introdotte dagli IAS Estensione dell’area di consolidamento anche a società non bancarie (es. Assicurazioni) Diversa determinazione e valutazione del goodwill (impairment test) Limitazioni alla derecognition dei crediti Limitazioni alla iscrizione delle immobizzazioni immateriali

L’impatto dei principi IAS nelle Istituzioni Creditizie B C D Leggenda rating: ALTO BASSO MEDIO/BASSO ALTO/MEDIO

Altri IAS di interesse oltre agli IAS 32&39 IFRS1 First time application : Applicazione retroattiva e differenze a patr. netto IAS 17 Leasing: si adotta la metodologia finanziaria (crediti e debiti) IAS 19 Compensi al personale: il TFR si attualizza – stock options IAS 21 Partite in valuta: Le partite monetarie si rivalutano con effetto sul conto economico IAS 22 Business combination: un principio sulle acquisizioni e fusioni IAS 27 Bilancio Consolidato: si consolidano tutte le società (es. banche e assicurazioni) IAS 30 Note al bilancio delle istituzioni finanziarie : in corso di revisione IAS 36 Impairment: regole specifiche per verificare recuperabilità degli attivi IAS 38 Immobilizzazioni immateriali: alcune spese non piu’ capitalizzabili IAS 40 Immobili detenuti a scopo di investimento: al costo o al valore di mercato + IAS 14, 24, 33 : IAS di disclosure: Informazioni Settoriali, Parti Correlate, Utile per Azione

Calendario di alcuni progetti IASB (2002-2004) Ad oggi la normativa non è stata ancora del tutto definita… Secondo semestre 2002 Primo semestre 2003 Secondo semestre 2003 2004 IAS 32 & 39 ED IFRS def. Prima applicazione degli IFRS Business combination - I Share-based payments Reporting performance Contratti assicurativi Legenda: ED: Exposure Draft; IFRS: International Financial Reporting Standards

IAS 32 & 39: Effect of first-time application – financial institutions % of opening equity

Gli effetti della applicazione degli US-GAAP sui bilanci delle società quotate sul mercato americano

IAS: un aspetto strategico E’ necessario che le banche si preparino per tempo ad affrontare alcuni aspetti chiave: Come potranno le banche gestire la complessità della informativa richiesta mantenendo la chiarezza espositiva alla comunità degli investitori? Le banche conoscono come lo IAS influenzerà il loro business, la misurazione delle performance, la misurazione dei rischi ed il reporting per gli investitori e per l’Autorità di Vigilanza ? la concorrenza frai diversi competitor sarà influenzata dai principali cambiamenti contabili e di informativa esterna ?

IAS: un aspetto strategico E’ necessario che le banche si preparino per tempo ad affrontare alcuni aspetti chiave: L’adozione degli IAS come si integra con gli attuali piani di cambiamento in corso e prospettici ? Ha correlazioni con Basilea? Esistono adeguate risorse e conoscenze per affrontare la conversione in modo efficiente ed efficace?

Quali direttrici di analisi presidiare IAS è molto più che l’implementazione di un altro standard contabile … Accounting & Reporting Systems & Processes Business People IAS … avrà un profondo impatto sull’ intera organizzazione

Alcuni impatti organizzativi Identificare i derivati e i derivati impliciti Classificare tutti gli strumenti finanziari Predisporre le delibere del CdA per i criteri di classificazione Modifiche ai sistemi informativi per: calcolo di fair value calcolo di costo ammortizzato ottenimento dati per segment reporting gestione contabile delle nuove modalità Misurare l’impatto finanziario complessivo sul bilancio NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Time line Date of transition Reporting date 1 Jan 2004 31 Dec 2004 Comparative period First IFRS financial statements

Contenuto dello IAS 39 (Macro Indice) pp 8-26 Definizioni Esistenti dallo IAS 32 Aggiuntive IAS 39 Sviluppo delle definizioni Derivati Incorporati pp 27-65 Rilevazione Rilevazione iniziale Storno - cancellazione Valutazione Valutazione iniziale Valutazione successiva pp 66-121 NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture Copertura Copertura di Fair Value Copertura di Flussi Finanziari Copertura di Investimenti in Entità Estere pp 122-165 pp 166-170 Informativa integrativa

Il Recepimento degli IAS in Italia In Italia alcuni principi previsti dallo IAS 39 sono stati utilizzati come base di riferimento per la predisposizione della normativa su: Vigilanza della Banca d’Italia (13° aggiornamento del 12 aprile 2000: Strumenti Finanziari Strutturati) Bilancio (Nota Tecnica della Banca d’Italia agosto 2000: Strumenti Finanziari Strutturati) Inoltre le autorità normative Consob e Banca d’Italia utilizzano nelle loro note tecniche e nelle loro comunicazioni di risposta ai quesiti in tema di Strumenti Finanziari, le indicazioni contenute nello IAS 39 (Esempio: Comunicazione Consob n° 1048210 del 15 giu 2001 - Trasferimento Titoli , comunicazione Consob n° 1026875 dell’11 apr 2001 – Interest Rate Swap di Copertura, comunicazione Consob n° 28731 del 14 apr 2000 – Copertura di Transazioni future, Lettera della Banca d’Italia giugno 2001: portafoglio titoli: rilevazione in bilancio). NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Classificazione 4 categorie di strumenti finanziari (IAS p 10) Categoria Definizione Attività e passività finanziarie acquisite principalmente con lo scopo di generare profitto dalle fluttuazioni di breve periodo del fair value Tutti i derivati (ad esclusione di quelli di copertura) Strumenti di negoziazione (held for trading) IAS pp 18, 103 Crediti originati dall’impresa IAS p 19 Attività finanziarie originate dall’ impresa fornendo denaro (o altri beni ) ad un debitore. Non vengono incluse fra quelle mantenute a scadenza e vengono trattate separatamente Investimenti posse-duti sino a scadenza (held-to-maturity) IAS pp 79-88 Attività finanziarie a scadenza fissa e con pagamenti fissi (o determinabili) che un’impresa ha l’intenzione e la capacità di mantenere sino alla scadenza NOTES: All categories should be presented separately HTM – most rules surrounding this category presumption in IAS that HTM is an EXCEPTION category strict tainting rules Loans and receivables generally created from an enterprise’s primary activities (loans, trade receivables) funds must be provided directly from lender to borrower, or funds provided at the moment of origination (through a 3rd party) Trading portfolios where there is evidence that intent is short term profit taking evidence may be a previous pattern of this activity AFS residual category Attività finanziarie che non rientrano fra: Crediti originati dall’impresa Investimenti posseduti sino a scadenza Strumenti finanziari di negoziazione Attività finanziarie disponibili per la vendita (available for sale) IAS p 103

IAS 39 cambierà in modo significativo la contabilizzazione degli strumenti finanziari Tutti i derivati sono rilevati nello stato patrimoniale “Sopra la linea” (IAS p 69) I derivati e altre categorie di strumenti finanziari sono misurati al fair value Il fair value dello strumento di copertura è la base dell’hedge accounting (IAS p 136) NOTES: Before IAS 39, companies may have been parties to derivative instruments but that were not recorded on the balance sheet or only a premium paid/received was recorded (examples: forward contracts, options contracts). Under IAS 39, not only are all financial instruments required to be recorded on the balance sheet, but all derivatives and many more financial assets must be carried at fair value. This represents a significant change from previous accounting. Under IAS 25 (whose scope is investments) many investments were carried either at cost or at the lower of cost or market (ie, “LOCOM”) with some subjectivity. In a hedge relationship, it is the change in value of the hedging instrument that drives the hedge accounting entries to be recorded by an enterprise. Under the hedge accounting models (fair value, cash flow, net investment – all discussed in a later module) it is the change in value of the hedging instrument that must be recorded each period that the hedge relationship is measured. IAS: IAS 39.27-29 (recognition) IAS 39.66-69 (measurement at fair value) IAS 39.153, 158 (changes in value of hedging instrument)

IAS 39: il fair value è la base per l’applicazione dell’hedge accounting (IAS pp 153, 158, 164) Valutazione della posizione coperta Valutazione dello strumento di copertura Visione precedente Valutazione della posizione coperta NOTES: Valutazione dello strumento di copertura IAS 39 hedge accounting

IAS 39 – Tipologie di hedge accounting Attività a tasso variabile Passività a tasso variabile Transazioni future Copertura di flussi finanziari Copertura di fair value Attività a tasso fisso Passività a tasso fisso Copertura investimenti esteri NOTES: This slide gives examples of hedged items under each model FX Hedges: relate only to translation of net investment Other Items w/ FX: follow the accounting for either cash flow hedge fair value hedge Investimenti netti in operazioni estere

Modello di copertura di flussi finanziari Valutazione dello strumento di copertura P netto Efficace Variazioni di fair value Accounting model Inefficace C.econ. TES: effective portion of hedge = to equity ineffective = immediately to P&L subsequently = when CF is realised or asset / liability recognised, the portion of hedge in equity = recycle to P&L

Estinzione (IAS pp 35-65) Uno strumento finanziario deve essere rimosso dal bilancio quando l’impresa ne perde il controllo. Stabilire quando un’impresa ha perso il controllo di una attività finanziaria dipende dalla posizione di entrambe le parti Posizione dell’impresa cedente Posizione di chi acquisisce La rappresentazione delle operazioni di securitization potrebbe cambiare significativamente!

Il nuovo approccio contabile Aumenta la volatilità del patrimonio netto (esempi): La valutazione al mercato AFS confluisce a PN La valutazione al mercato del cash flow hdg confluisce a PN Gli equity instruments influenzeranno il PN In altre parole le poste di bilancio saranno piu’ sensibili alle variazioni dei prezzi di mercato, ma alcuni effetti si avranno sul Parimonio Gli IAS avvicinano la logica contabile alla logica finanziaria (esempi): Attualizzazione finanziaria per gli strumenti al costo Frequente ricorso al fair value Component approach: Esempi: Separare le componenti di equity da quelle di debito nelle obb. Convertibili Separare gli embedded derivatives nei titoli strutturati Gestire separatamente nell’hedge accounting l’intrinsic value dal time value delle option Gestire separatamente il credit risk dall’interest risk nell’hedge accounting NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Il nuovo accordo di Basilea sul Capitale (“Basilea2”)

L’evoluzione della Finanza Negli anni ’80 si sviluppavano le tradizionali operazioni in Titoli e in Cambi. Nella prima metà degli anni ’90 si sviluppavano le operazioni in Strumenti derivati. Nella seconda metà degli anni ’90 si sviluppano i titoli strutturati, i derivati su crediti. Nel 2000, con l’evoluzione dei sistemi informatici le banche costruiscono operazioni sempre più complesse per la gestione e il trasferimento dei rischi finanziari. Dal 2001 si assiste al “boom” delle cartolarizzazioni e delle altre operazioni di trasferimento del rischio di credito (derivati di 2^ generazione)

Le tendenze (da bilanci bancari 2001) Attività Passività Attività cartolarizzate di terzi (ABS) Attività proprie cartolarizzate Titoli strutturati Emissioni di titoli strutturati Patrimonio netto Emissioni di Bond subordinati ---------------------------------------------------------- Operazioni fuori bilancio Derivati su crediti Derivati su tassi - cambi

L’evoluzione della normativa di vigilanza 1994: le segnalazioni statistiche individuali e consolidate vengono “allineate” all’informativa sui bilanci bancari introducendo un notevole numero di informazioni statistiche sul comparto finanziario. 1995: Viene introdotto il nuovo modello di misurazione dei rischi di mercato (“Building Block Approach”) da confrontare al patrimonio di vigilanza (di tasso, di controparte, di cambio, di solvibilità, di concentrazione). 1999: il Comitato di Basilea con un nuovo accordo (“Basilea 2”) raccomanda di sviluppare e affinare i sistemi di rating interni in materia di rischio di credito. Febbraio 2000: Si da la possibilità alle banche di utilizzare sistemi interni (VAR e altri) per la misurazione dei rischi di mercato ai fini di vigilanza, purché i modelli utilizzati, alternativi rispetto a quelli normativi, rispettino i requisiti di validazione dettati dalla Banca d’Italia.

L’evoluzione della normativa di vigilanza Febbraio 2000: sono emanate nuove regole per l’inclusione nel patrimonio di vigilanza di strumenti innovativi di capitale quali:  Preference Shares (Tier 1); Strumenti ibridi di patrimonializzazione (Tier 2); Titoli a b.t. per copertura dei soli rischi di mercato (Tier 3). Aprile 2000: viene regolamentato il trattamento delle operzioni strutturate (Reverse convertible, Index linked, Reverse floater, Constant Maturity swap ) con la richiesta di nuove informazioni sui derivati da ‘scorporare’ dai titoli. Nuove regole per il trattamento delle options nei rischi di mercato con l’utilizzo dei coefficienti ‘delta’,’ vega’ e ‘gamma’ definiti nel modello di Black & Scholes). Dicembre 2001: vengono emanate le norme prudenziali sulle cartolarizzazioni Maggio 2003: Si continua a mettere a punto l’accordo di Basilea “

Il Sistema bancario in vista del cambiamento La Banca d’Italia, in considerazione dei recenti sviluppi sul dibattito degli IAS e dell’ accelerazione delle fasi necessarie al loro recepimento, invita il sistema bancario ad assumere un atteggiamento culturale ATTIVO e non passivo. La Banca d’Italia, inoltre, nell’auspicare la convergenza delle nuove regole contabili in materia di strumenti finanziari con gli approcci di Basilea 2 e la minimizzazione delle differenze con le segnalazioni di vigilanza, ritiene opportuno che ciascuna azienda istituisca al proprio interno, compatibilmente con le proprie risorse e dimensioni, un osservatorio permanenente attivo sullo IASB e sull’OIC, per seguire gli sviluppi degli IAS.

Il Sistema bancario in vista del cambiamento L’approccio con il mercato presuppone da parte delle istituzioni finanziarie un livello di informativa coerente con i profili di rischio, di redditività e di posizionamento con il mercato. Questo aspetto viene enfatizzato con gli IAS ed e’ anche riportato nella nuova normativa di Basilea 2 dove l’informativa e la trasparenza assumono un ruolo preponderante con riferimento alla determinazione dei requisiti patrimoniali

La convergenza IAS – Basilea2 L’approccio per rischi L’approccio con il mercato La valutazione dei rischi di credito Il patrimonio La disclosure (III° Pillar): la rappresentazione e la misurazione dei rischi Ambedue contribuiscono alla globalizzazione e allo sviluppo dei mercati finanziari NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

La convergenza IAS – Basilea2 Oltre alla valutazione dei rischi di credito e all’approccio con il mercato vi sono fondamentali elementi di convergenza Riserve da "Restatement" alla First Time Application "Avaiable for Sale Reserve" "Cash Flow Hedging Reserve" Obbligazioni emesse convertibili in azioni Preferedd shares Option acquistate su proprie azioni - call e put Option call emesse su proprie azioni (Stock option) Impegni a termine di vendita proprie azioni convergenza nel patrimonio Con gli IAS nuove poste di patrimonio netto: NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

La convergenza IAS – Basilea2 Oltre alla valutazione dei rischi di credito e all’approccio con il mercato vi sono fondamentali elementi di convergenza IAS 32 Financial Instruments "Disclosure & Presentation" IAS 14 Segment Reporting IAS 24 Parti correlate IAS 33 Earning per share Basilea 2 Pillar III: rappresentazione e misurazione dei rischi convergenza nella trasparenza informativa ‘Disclosure’ verso il mercato NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

La convergenza IAS – Basilea2 Basilea 2 e IAS contribuiranno non solo a sviluppare la “disclosure” delle istituzioni finanziarie verso il mercato, ma anche la comunicazione delle imprese verso i loro finanziatori: Per fornire i dati “anagrafici” necessari ad alimentare i sistemi di rating interni delle banche, le imprese dovranno fornire le informazioni qualitative e quantitative su: Variabili economiche, patrimoniali e finanziarie Sostenibilità e qualità dei redditi Capacità competitiva Il livello del management NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

La Vigilanza Prudenziale: l’attuale regolamentazione NOTE TO LECTURERS: These notes are the lecture guide for the IAS 32/39 training course. The Notes are intended to provide the lecturer with some background information when preparing the lecture. Where applicable, references to sections of the Standards are included. Also references to the IAS Desk publication Financial Instruments Accounting are noted (referred to as “FIA” in the lecture guide). Lecturers should refer to this publication for additional discussion of these topics. Lecturers should start the course by: introducing themselves to the class discussing their experience with this topic asking what experience participants have had with IAS 39 (client implementations, other training, etc)

Vigilanza prudenziale Il Comitato di Basilea Organizzazione internazionale degli organi di vigilanza delle banche centrali; Costituito nel 1975 Emana raccomandazioni sulla vigilanza vincolanti per le banche. NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Vigilanza prudenziale L’attuale sistema di vigilanza prudenziale trae origine dal documento del Comitato di Basilea 1988 “Convergenza Internazionale della misurazione del capitale e dei coefficienti patrimoniali” NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Vigilanza prudenziale: l’attuale regolamentazione Patrimonio di vigilanza = Patrimonio di Base (Primario) + Patrimonio Supplementare - NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture Elementi da dedurre Il patrimonio di vigilanza rappresenta l’elemento fondamentale per coprire i rischi d’impresa

Vigilanza prudenziale: l’attuale regolamentazione Il patrimonio di vigilanza Patrimonio di Base (Primario) Patrimonio Supplementare Elementi Positivi + Capitale versato (voce 120 del passivo) + Sovrapprezzi di emissione + Riserve (voce 140del passivo) + Utili portati a nuovo (voce 160 del passivo) + Fondo per rischi bancari generali (voce 100 del passivo) + Strumenti innovativi di capitale Elementi Positivi + Riserve di rivalutazione (voce 150 del passivo) + Strumenti innovativi di capitale non computabili nel patrimonio + Strumenti ibridi di patrimonializzazione + Passività subordinate + Fondo rischi su crediti (voce 90 del passivo) + Plusvalenze nette su partecipazioni + Elementi Negativi Capitale sottoscritto non versato (voce 110 dell’attivo) Azioni o quote proprie (voce 120 dell’attivo) Avviamento e altre immobilizzazioni immateriali (voce 90) Perdite portate a nuovo (voce 160 del passivo) - Perdita di esercizio (voce 170 del passivo) Elementi Negativi Minusvalenze nette su: Titoli Partecipazioni Altri elementi negativi: Crediti Altri NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture Dal patrimonio di vigilanza si deducono ulteriori elementi come ad esempio le partecipazioni in enti creditizi e finanziari

Vigilanza prudenziale: l’attuale regolamentazione I principali rischi d’Impresa Rischio di credito Rischi di mercato Rischi del portafoglio non immobilizzato Rischio di posizione: Titoli Operazioni fuori bilancio Rischio di regolamento Rischio di cambio Rischio paese Rischio di concentrazione NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Vigilanza prudenziale: l’attuale regolamentazione Metodologia di misurazione dei rischi di credito (1) Rischio di credito = “Exposure at defalut (EAD)” x “Ponderazione rischio di credito standard” (%) 12,5 Il risultato corrisponde al patrimonio minimo (2) necessario a fronteggiare i rischi di credito. Nota (1): Esempio Rischio verso governi 0% Rischio verso banche 20% Rischio ipotecario verso settore privato 50% Rischio non garantito verso settore privato 100% NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture Nota (2): Inversamente, il patrimonio minimo deve essere pari almeno all’8% dell’attività di rischio ponderato.

Vigilanza prudenziale: l’attuale regolamentazione Metodologia di misurazione dei rischi di mercato Esempio: rischio generico sulle posizioni in titoli e derivati (Rischio di tasso) NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture Il rischio generico di posizione del portafoglio non immobilizzato corrisponde a quanto patrimonio è necessario a coprire le eventuali perdite sul portafoglio se dovessero variare i tassi di mercato a breve termine dell’1%.

Il nuovo accordo di Basilea sul Capitale (“Basilea 2”) NOTE TO LECTURERS: These notes are the lecture guide for the IAS 32/39 training course. The Notes are intended to provide the lecturer with some background information when preparing the lecture. Where applicable, references to sections of the Standards are included. Also references to the IAS Desk publication Financial Instruments Accounting are noted (referred to as “FIA” in the lecture guide). Lecturers should refer to this publication for additional discussion of these topics. Lecturers should start the course by: introducing themselves to the class discussing their experience with this topic asking what experience participants have had with IAS 39 (client implementations, other training, etc)

Il nuovo accordo di Basilea sul capitale Nel giugno 1999 il Comitato di Basilea ha elaborato “The New Basel Capital Accord” (cd “Basilea2”) L’accordo sulla nuova regolamentazione non è ancora definitivo. Nel Maggio 2003 è uscita la 3° versione del nuovo accordo di Basilea Il progetto di modifica dovrebbe entrare in vigore a partire dal 2006 NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

I 3 Pilastri (Pillar) di Basilea 2 I tre pilastri costituiscono un insieme unitario. Di conseguenza, il Nuovo Accordo non può considerarsi pienamente attuato se non sono operanti tutti e tre i pilastri. (Pillar 1) Regole Quantitative (requisiti patrimoniali minimi obbligatori) (Pillar 2) Processo di controllo Prudenziale (Capital allocation con i sistemi interni di misurazione dei rischi) (Pillar 3) Trasparenza (Disclosure di mercato)

I requisiti patrimoniali minimi Basilea 2: I° pilastro I requisiti patrimoniali minimi Le opzioni per la misurazione dei rischi di credito Rischi di credito Approccio “internal rating based” Approccio “standard” “Foundation” “Advanced”

Basilea 2 Misurazione Rischio credito 1/1 Approccio Standard L’approccio standard è il più semplice dei tre proposti è simile all’attuale sistema di misurazione del rischio differenzia maggiormente i pesi di rischiosità le ponderazioni di rischio dipendono dalla categoria di debitore e dal suo “rating” NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

Basilea 2 Misurazione Rischio credito 1/3 Approccio Internal Rating Based (IRB) Expected Loss (“EL”) Exsposure at default (“EAD”) X Probability of default (“PD”) NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture X Loss given default (“LGD”)

Basilea 2 Misurazione Rischio credito 2/3 Approccio Internal Rating Based (IRB) IRB Foundation approach Probability of default stimata dalla banca (PD) NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture Loss given Default (LGD) fornita dalle autorità di vigilanza (standard)

Basilea 2 Misurazione Rischio credito 3/3 Approccio Internal Rating Based (IRB) IRB Advanced approach Probability of default e Loss given Default stimate dalla banca NOTES: Discuss the reasons why new accounting standards on financial instruments have become necessary. The sophistication in worldwide markets has increased quickly due to IT and telecom advances in recent decades. Accounting standards that keep pace with the changing markets are needed. There is increasing use of complex financial instruments in financial markets throughout the world. Usage of derivatives has become common practice in many countries and in all types of industries. Many companies are using derivative products in order to alter their risk profile. As hedge accounting rules were limited or did not exist in many cases, there was a need to develop a consistent set of rules for use of special hedge accounting. However prior to IAS 39, derivative instruments often were not accounted for on a company’s balance sheet (and were not carried at fair value unless the derivatives were held for speculative purposes) Capital-raising markets are being established in more countries, including many that use IAS as their local GAAP In order to perform accurate risk management analyses, decision makers need fair value information on their assets, liabilities and other committed and expected transactions. Disadvantages of the pre-IAS 39 models include: changes in FV are not apparent to users of financial statements until impairment / write-down historical cost not always a realistic picture

KPMG nel mondo e lo IAS KPMG partecipa all’Implementation Guidance Committee IAS ed ha attivato un proprio sito internet a servizio dei propri clienti . Pubblicazioni: IAS 39 Financial Instruments accounting – Sept. 2000; Illustrative Financial statement for banks (redatto secondo: IAS 39, IAS 32, IAS 30, IAS 21) Principi Contabili – Il passaggio alle regole IASB (feb 2003). http://ias.kpmg.com/