美国会计准则FIN46

©2004 Ernst & Young LLP. All rights reserved.This material is proprietary, confidential, and for internal use only.Unauthorized distribution or reproduction of this program or its contents violates firm policy and copyright laws.FIN 46 Implementation“I’ve got VIEs –What do I do now?”“I’ve got VIEs -What do I do now?”2Agenda•FIN 46 Overview •Planning the Project•Constructing a FIN 46 Concept 7 Cash Flow Model •Exhibit –Example FIN 46 Concept 7 Model©2004 Ernst & Young LLP. All rights reserved.This material is proprietary, confidential, and for internal use only.Unauthorized distribution or reproduction of this program or its contents violates firm policy and copyright laws.Planning the Project“I’ve got VIEs -What do I do now?”4Overview•Two step process•First-determine whether entityshould be evaluated for consolidation using control criteria or not–Based on whether there is sufficient equity at risk and whether the equity has voting control–If so, the old voting control consolidation rules apply •Second-if the tests for consolidation based on control are not met–The entity is a VIE–SOP 78-9 is not applicable“I’ve got VIEs -What do I do now?”5Overview•For a VIE, the criteria for consolidation are totally different–Control is not a decisive factor in the analysis-forget everything you ever knew about who consolidates –Party with the majority of the downside (if any) consolidates–If no downside majority holder then party with the majority of the upside (if any) consolidates–If no one has majority of upside or downside no one consolidates–Concept of upside and downside may be very different from what your instincts suggest“I’ve got VIEs -What do I do now?”6VIE paragraph 5•Entity that, by design, has:–An equity investment at risk that is not sufficient (next 2pages) (5(a)), or–Equity investors do not have:Direct or indirect ability to make decisions (5(b)(1)), Obligation to absorb expected entity losses (5(b)(2)), or Right to receive residual entity returns (5(b)(3))“I’ve got VIEs -What do I do now?”7Equity Investment at Risk paragraph 5(a)•Reported as equity in entity’s financial statements •Includes only equity that participatessignificantly in profits or losses, even if no voting rights (5(a)(1))•Does not include amounts:–Issued in exchange for subordinated interests in other VIEs (5(a)(2))–Provided directly or indirectly by the entity or by other parties involved with the entity, unless provider is included in the same consolidated financial statements (5(a)(3))–Financed directly or indirectly by the entity or by other parties involved with the entity, unless financer is included in the same set of consolidated financial statements (5(a)(4))“I’ve got VIEs -What do I do now?”8Sufficient Equityparagraph 9•At least enough to absorb expected losses–Net expected losses on variable interests in specifiedassets and silos•Sufficiency demonstrated by showing that:–Entity can finance activities without additional subordinatedfinancial support (9(a)),–Entity has at least as much equity as other entities thathold similar amounts of similar quality assets, and operate with no additional subordinated financial support (9(b)), or –Investment exceeds expected entity losses based onreasonable quantitative evidence (9(c))•Third approach above predominates •The “10% rule” isn’t a rule“I’ve got VIEs -What do I do now?”9Decision-Making Ability paragraph 5(b)•The ability to make decisions that significantly affect the operating results of the entity•As the equity’s decision-making ability declines, consolidation based on ownership of voting interests becomes less relevant•If non-equity holders have substantive participating rights, equity holders would not be considered to have decision-making ability •Protective rights held by non-equity holders would not, in-and-of-themselves, cause equity holders to be considered to not have decision-making ability•Judgment, taking into account all facts and circumstances, may need to be applied on a case-by-case basis“I’ve got VIEs -What do I do now?”10Excerpt from Interpretation 46A variable interest entity’s expected losses are the expected negative variability in the fair value of its net assets exclusive of variable interests. A variable interest entity’s expected residual returns are the expected positive variability in the fair value of its net assets exclusive of variable interests. Expected variability in the fair value of net assets includes expected variability results from the operating results of the entity.“I’ve got VIEs -What do I do now?”11FIN 46 Implementation Process-What you need to know after you’ve read FIN 46Document and Group VIEs for analysisDevelop ModelFramework •Inputs •VariablesBuild Model •Test •DocumentAttest and ReportSee following slide for more detailSetup Project Team •Sponsor •Operations •Acctg/FIN •Legal •Acq/Disp •External Resources •External AuditorIdentify and Assess Entities with VIE Charac-teristicsManagement Oversight and ReviewCommunication and Issue Resolution“I’ve got VIEs -What do I do now?”12Project Team Members and RolesMemberRoleProject Sponsor Accounting/Finance Dept Legal DeptOps & Acquisition/Dispo-sition Dept External Resources External AuditorProject Leadership and Issue Resolution, typically, CFO, CAO, Controller or VP of Financial Reporting Provide project management and resources, along with model inputsProvide input and direction related to legal agreements and other contractual obligations Provide input and documentation to support key drivers of variability, other model inputs Provide process expertise, technical knowledge and/or resources to assist in documenting model inputs and variables and testingProvide technical expertise to assist in resolving issues and test client assertions“I’ve got VIEs -What do I do now?”13Key Model Drivers –Inputs and Variables•Group similar VIEs for evaluation •Inputs–Operational Info –Income Statement –Assets and Liabilities –Balance Sheet –Debt –Terms –Equity –Waterfall–Fees –Contracts and Agreements•Variables –Key Drivers by Industry Groups–What are the key drivers of variability–See following slide for examples by industry•Who are the VIE holders? (lenders, etc.)“I’ve got VIEs -What do I do now?”14Major Drivers of Variability by RE Industry GroupsHouse/ Land Value Site Improvement / Entitlement Cost IndustrialOperating Exps NOIRoom Rate Interest RateRenewal / Turnover Rate/SF Occupancy Cap Rate RetailMulti-FamilyOfficeHospitalityHomebuildersVariable ($ or %)©2004 Ernst & Young LLP. All rights reserved.This material is proprietary, confidential, and for internal use only.Unauthorized distribution or reproduction of this program or its contents violates firm policy and copyright laws.Building a FIN 46 Model“I’ve got VIEs -What do I do now?”16FIN 46 Concept 7 ApproachX The fair value of a asset has traditionally been determined by discounting the asset’s contractual cash flows at a rate that reflects the uncertainty in the amount and timing of their collection X Concept 7 provides general principles that govern the use of present value, and introduces the expected cash flow approach−Concept 7differs from the traditional approach as described above by projecting a distribution of multiple possible cash flowoutcomes based on explicit assumptions about the factors most likely to significantly affect the entity’s results of operations or the fair value of its assets, and assigning a judgmental estimate of the likelihood of occurrence to each outcome“I’ve got VIEs -What do I do now?”17Overview of FIN 46 ModelEntity Cash FlowFIN 46 ResultsAllocation of Losses and GainsFIN 46 Report (Determina-tion of Primary Beneficiary)Management’sCash Flow ModelReconcile Fair Value to Wtg Avg of SimulationsPermutation SimulationAllocation of Cash Flows toVIEsEquity Waterfall5b / Primary Beneficiary Test5a / Sufficiency of Equity Test/Deal Parameters•Operational Data •Assets and Liabilities •Debt Information •Equity Waterfall•Fees and Contractual Agreements Variables •Ownership/•VIE Holders“I’ve got VIEs -What do I do now?”18FIN 46 Modeling ProcessIdentify key drivers and VIE for each entity or group of VIEs Identify a Low, Mid-Low, Base, Mid-High, and High inputs for each predefined ranges of key drivers.Run model for all permutations and capture PV of cash flows for each VIE holder.Allocate weights to predefined ranges of key drivers and ensure PV of scenarios equals fair value of VIE holdersCreate/Attach cash flows based on management decision making models and key driversPrimary beneficiary test: Ascertain if a VIE holder receives the majority expected losses or gainsTest to see if sufficient equity under “5A”test is met“I’ve got VIEs -What do I do now?”1910.0%$3597%High9.0%$3395%Mid-High 8.0%$3093%Base 7.5%$2890%Mid-Low 7.0%$2585%Low CapitalizationRateRental RateOccupancyExpected Loses and Residual ReturnsIdentify Ranges for Key Drivers“I’ve got VIEs -What do I do now?”20Expected Losses And Residual ReturnsPermutations for Key Driver Ranges7.0%$2590%Perm 6Permutations10.0%$2585%Perm 59.0%$2585%Perm 48.0%$2585%Perm 37.5%$2585%Perm 27.0%$2585%Perm 1CapitalizationRateRental RateOccupancy“I’ve got VIEs -What do I do now?”21Expected Loses and Residual Returns125 Permutations for Key Drivers100.00%100.00%100.00%TotalKey Driver Weights1.00%5.00%10.00%High 25.00%20.00%20.00%Mid-High 48.00%50.00%40.00%Base 25.00%20.00%20.00%Mid-Low 1.00%5.00%10.00%Low CapitalizationRateRental RateOccupancy“I’ve got VIEs -What do I do now?”22Expected Losses And Residual ReturnsCompute Weight of Permutations48%8.0%CapitalizationRate0.24%5%10%Probability25%85%Assumption Overall WeightRental RateOccupancyPermutationNo. 3“I’ve got VIEs -What do I do now?”23Curve of Variability•Increasing the range of variability often increases the the amount of gains and losses and can impact which VIE holder receives the majority of the expected losses and/or expected residual returnsBase CaseProbability of OutcomesRange of VariabilityLossesGains“I’ve got VIEs -What do I do now?”24Testing / Documentation•Discuss required testing and documentation with external auditor •Key documentation–Determination of VIE Status –Initial Fair Value of assets –Model inputs–Model variables including support for the range of variability•Testing–Conduct stress testing to determine if conclusions change –Waterfall calculations need to be tested thoroughly to determine that they follow the entities legal agreementsModel Results•Outcomes–5A test–Consolidate Entity–De-Consolidate–No Primary Beneficiary•Use of Results–No simple answers to determine which entities arerequired to be consolidated–Model results may be used to determine whether otherentities with similar characteristics need to beconsolidated or not, or need to be modeled to determine 25“I’ve got VIEs-What do I do now?”。