Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2106273
A model proposal for IFRS 16 IBR adjustment based on bond market pricing
David Delgado-Vaquero
José Morales-Díaz
Constancio Zamora-Ramírez
Sažetak
The Incremental Borrowing Rate (IBR) is generally used by companies
for discounting future lease payments and calculating the value of
the lease assets and liabilities under IFRS 16. According to this standard,
leased asset must be considered as a collateral, and therefore
the yield to be used should reflect an adequate Loss-Given Default
(LGD), which may vary depending on the estimated recovery rate of
the asset (machinery, real estate, vehicles, etc.). There is a lack of
accounting and finance literature focused on analysing how a standard
IBR should be adjusted to reflect the expected underlying asset
LGD in line with IFRS principles. In this context, we propose a model
that uses bond quoted information as a basis for introducing an
adjustment to the standard “unsecured” IBR. The model consists of
replicating the change in a certain bond yield when there is a change
in the LGD (usually due to a change in the seniority level). We empirically
demonstrate that the model works by using data from real
bond quotations (97 outstanding bonds quoted on several secondary
markets such as NY, Vienna, Frankfurt and London). The empirical
analysis has been performed for two different time periods: pre-
COVID 19 and post-COVID 19.
Ključne riječi
IFRS 16; Incremental Borrowing Rate (IBR); Loss Given Default (LGD); Yield-to-Maturity (YTM); bond pricing
Hrčak ID:
306621
URI
Datum izdavanja:
30.4.2023.
Posjeta: 159 *