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文件题目：
LOAN COMMITMENTS-Issues Related to Pricing,Trading,and Accounting.pdf
文件大小：
525kb
文件格式：
pdf
出版单位：
United States Government Accountability Office(60页）
出版日期：
February 2005
文件内容：
Federal banking regulators reported that commercial banks held about $1.6 trillion in
syndicated loans in 2003. Loan commitments—a promise to make a set amount of credit available in
the future—represented $1 trillion (about 64 percent) of these loans. Issues have been
raised whether commercial banks systematically underprice loan commitments and
whether generally accepted accounting principles provide meaningful disclosure of the
economics of these commitments. This report discusses (1) differences between the pricing of
loan commitments and loans, and assesses data that are available
about the trading of loan commitments; (2) the extent to which credit default swaps are
used to reduce the credit risk from loan commitments, and what credit
default swap prices indicate about the prices of loan commitments;
and (3) differences between commercial and investment banks's accounting treatment of loan
commitments, and the strengths and weaknesses of fair value accounting.
Background--------------------------------------------------------------------------------3
Results in Brief---------------------------------------------------------------------------10
Differences in Purpose, Price Structure, and Collateral
Requirements Make Direct Comparisons between Prices of Loan
Commitments and Loans Difficult-----------------------------------------------------13
Loan Commitments Are Rarely Traded, and Available Data from
Secondary Market Does Not Support Claims of Systematic
Underpricing-------------------------------------------------------------------------------17
Although Commercial Banks Use Credit Default Swaps to Reduce
the Credit Risk of Their Loan Commitment and Loan Portfolios,
Prices of These Instruments Cannot Be Compared Directly----------------------19
Commercial and Investment Banks Follow Different Accounting
Models, but There Is No Evidence That Either Model Provides
a Consistent Competitive Advantage---------------------------------------------------23
Fair Value Accounting May Have Certain Advantages,
but Significant Implementation Issues Must Still Be Resolved----------------------28
Conclusions 32
Agency Comments 33
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