سلسله مراتب ارزش منصفانه (استاندارد حسابداری 42 اندازه‌گیری ارزش منصفانه (مصوب 1399))

71. در این استاندارد، برای افزایش ثبات رویه و قابلیت مقایسه در اندازه‌گیری ارزش منصفانه و افشاهای مرتبط با آن، سلسله مراتب ارزش منصفانه تعیین می‌شود كه به موجب آن، داده‌های ورودی تکنیکهای ارزشیابی برای استفاده در اندازه‌گیری ارزش منصفانه، در سه سطح طبقه‌بندی می‌شوند (به بندهای 75  تا 89 مراجعه شود). در سلسله مراتب ارزش منصفانه، بالاترین اولویت مربوط به قیمتهای اعلام‌شده (تعدیل‌نشده) در بازارهای فعال برای داراییها و بدهیهای همانند (داده‌های ورودی سطح 1) و پایین‌ترین اولویت مربوط به داده‌های ورودی غیرقابل مشاهده (داده‌های ورودی سطح 3) است.

7. در برخی موارد، داده‌های ورودی مورد استفاده برای اندازه‌گیری ارزش منصفانه یک دارایی یا یک بدهی، ممکن است در سطوح مختلف سلسله مراتب ارزش منصفانه طبقه‌بندی شوند. در این موارد، کلیت اندازه‌گیری ارزش منصفانه، در همان سطحی از سلسله مراتب ارزش منصفانه طبقه‌بندی می‌شود كه یک داده ورودی در پایین‌ترین سطحی که نسبت به کلیت اندازه‌گیری بااهمیت است، در آن سطح طبقه‌بندی شده باشد. ارزیابی اهمیت یک داده ورودی خاص نسبت به کلیت اندازه‌گیری، مستلزم قضاوت و در نظر گرفتن عوامل مختص دارایی یا بدهی است. هنگام تعیین سطحی از سلسله مراتب ارزش منصفانه‌ که اندازه‌گیری ارزش منصفانه در آن سطح طبقه‌بندی می‌شود، نباید تعدیلاتی برای دستیابی به اندازه‌گیری مبتنی بر ارزش منصفانه، مانند مخارج فروش هنگام اندازه‌گیری ارزش منصفانه پس از کسر مخارج فروش، لحاظ گردد.

73. قابلیت دسترسی به داده‌های ورودی مربوط و ماهیت نسبتاً ذهنی آنها ممكن است بر انتخاب تکنیکهای ارزشیابی مناسب اثر بگذارد (به بند 60 مراجعه شود). با وجود این، سلسله مراتب ارزش منصفانه، داده‌های ورودی تکنیکهای ارزشیابی، و نه تکنیکهای ارزشیابی مورد استفاده در اندازه‌گیری ارزش منصفانه، را اولویت‌بندی می‌کند. برای مثال، اندازه‌گیری ارزش منصفانه با استفاده از تکنیک ارزش فعلی، با توجه به اهمیت داده‌های ورودی نسبت به کلیت اندازه‌گیری و سطحی از سلسله مراتب ارزش منصفانه که داده‌های ورودی مزبور در آن سطح طبقه‌بندی شده‌اند، ممکن است در سطح 2 یا سطح 3 طبقه‌بندی شود.

74. اگر یک داده ورودی قابل‌ مشاهده مستلزم تعدیل با استفاده از یک داده ورودی غیرقابل مشاهده باشد و آن تعدیل به میزان قابل ملاحظه‌ای ارزش منصفانه را بالاتر یا پایین‌تر اندازه‌گیری كند، اندازه‌گیری حاصل در سطح 3 سلسله مراتب ارزش منصفانه طبقه‌بندی می‌شود. برای مثال، اگریک  فعال بازار، هنگام برآورد قیمت دارایی، اثر محدودیت فروش دارایی را در نظر گیرد، واحد تجاری برای انعکاس اثر آن محدودیت، قیمت اعلام‌شده را تعدیل می‌کند. اگر قیمت اعلام‌شده، یک داده ورودی سطح 2 و تعدیل مورد نظر، داده ورودی غیرقابل مشاهده‌ای باشد که نسبت به کلیت اندازه‌گیری بااهمیت است، اندازه‌گیری در سطح 3 سلسله مراتب ارزش منصفانه طبقه‌بندی می‌شود.


Fair value hierarchy - IFRS 13 Fair Value Measurement

72
To increase consistency and comparability in fair value measurements and related disclosures, this IFRS establishes a fair value hierarchy that categorises into three levels (see paragraphs 76⁠–⁠90) the inputs to valuation techniques used to measure fair value. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1 inputs) and the lowest priority to unobservable inputs (Level 3 inputs).
73
In some cases, the inputs used to measure the fair value of an asset or a liability might be categorised within different levels of the fair value hierarchy. In those cases, the fair value measurement is categorised in its entirety in the same level of the fair value hierarchy as the lowest level input that is significant to the entire measurement. Assessing the significance of a particular input to the entire measurement requires judgement, taking into account factors specific to the asset or liability. Adjustments to arrive at measurements based on fair value, such as costs to sell when measuring fair value less costs to sell, shall not be taken into account when determining the level of the fair value hierarchy within which a fair value measurement is categorised.
74
The availability of relevant inputs and their relative subjectivity might affect the selection of appropriate valuation techniques (see paragraph 61). However, the fair value hierarchy prioritises the inputs to valuation techniques, not the valuation techniques used to measure fair value. For example, a fair value measurement developed using a present value technique might be categorised within Level 2 or Level 3, depending on the inputs that are significant to the entire measurement and the level of the fair value hierarchy within which those inputs are categorised.
75
If an observable input requires an adjustment using an unobservable input and that adjustment results in a significantly higher or lower fair value measurement, the resulting measurement would be categorised within Level 3 of the fair value hierarchy. For example, if a market participant would take into account the effect of a restriction on the sale of an asset when estimating the price for the asset, an entity would adjust the quoted price to reflect the effect of that restriction. If that quoted price is a Level 2 input and the adjustment is an unobservable input that is significant to the entire measurement, the measurement would be categorised within Level 3 of the fair value hierarchy.

Level 1 inputs

76
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date.
77
A quoted price in an active market provides the most reliable evidence of fair value and shall be used without adjustment to measure fair value whenever available, except as specified in paragraph 79.
78
A Level 1 input will be available for many financial assets and financial liabilities, some of which might be exchanged in multiple active markets (eg on different exchanges). Therefore, the emphasis within Level 1 is on determining both of the following:
(a)
the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability; and
(b)
whether the entity can enter into a transaction for the asset or liability at the price in that market at the measurement date.
79
An entity shall not make an adjustment to a Level 1 input except in the following circumstances:
(a)
when an entity holds a large number of similar (but not identical) assets or liabilities (eg debt securities) that are measured at fair value and a quoted price in an active market is available but not readily accessible for each of those assets or liabilities individually (ie given the large number of similar assets or liabilities held by the entity, it would be difficult to obtain pricing information for each individual asset or liability at the measurement date). In that case, as a practical expedient, an entity may measure fair value using an alternative pricing method that does not rely exclusively on quoted prices (eg matrix pricing). However, the use of an alternative pricing method results in a fair value measurement categorised within a lower level of the fair value hierarchy.
(b)
when a quoted price in an active market does not represent fair value at the measurement date. That might be the case if, for example, significant events (such as transactions in a principal‑to‑principal market, trades in a brokered market or announcements) take place after the close of a market but before the measurement date. An entity shall establish and consistently apply a policy for identifying those events that might affect fair value measurements. However, if the quoted price is adjusted for new information, the adjustment results in a fair value measurement categorised within a lower level of the fair value hierarchy.
(c)
when measuring the fair value of a liability or an entity’s own equity instrument using the quoted price for the identical item traded as an asset in an active market and that price needs to be adjusted for factors specific to the item or the asset (see paragraph 39). If no adjustment to the quoted price of the asset is required, the result is a fair value measurement categorised within Level 1 of the fair value hierarchy. However, any adjustment to the quoted price of the asset results in a fair value measurement categorised within a lower level of the fair value hierarchy.
80
If an entity holds a position in a single asset or liability (including a position comprising a large number of identical assets or liabilities, such as a holding of financial instruments) and the asset or liability is traded in an active market, the fair value of the asset or liability shall be measured within Level 1 as the product of the quoted price for the individual asset or liability and the quantity held by the entity. That is the case even if a market’s normal daily trading volume is not sufficient to absorb the quantity held and placing orders to sell the position in a single transaction might affect the quoted price.

Level 2 inputs

81
Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.
82
If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following:
(a)
quoted prices for similar assets or liabilities in active markets.
(b)
quoted prices for identical or similar assets or liabilities in markets that are not active.
(c)
inputs other than quoted prices that are observable for the asset or liability, for example:
(i)
interest rates and yield curves observable at commonly quoted intervals;
(ii)
implied volatilities; and
(iii)
credit spreads.
(d)
market‑corroborated inputs.
83
Adjustments to Level 2 inputs will vary depending on factors specific to the asset or liability. Those factors include the following:
(a)
the condition or location of the asset;
(b)
the extent to which inputs relate to items that are comparable to the asset or liability (including those factors described in paragraph 39); and
(c)
the volume or level of activity in the markets within which the inputs are observed.
84
An adjustment to a Level 2 input that is significant to the entire measurement might result in a fair value measurement categorised within Level 3 of the fair value hierarchy if the adjustment uses significant unobservable inputs.
85
Paragraph B35 describes the use of Level 2 inputs for particular assets and liabilities.

Level 3 inputs

86
Level 3 inputs are unobservable inputs for the asset or liability.
87
Unobservable inputs shall be used to measure fair value to the extent that relevant observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. However, the fair value measurement objective remains the same, ie an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability. Therefore, unobservable inputs shall reflect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk.
88
Assumptions about risk include the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and the risk inherent in the inputs to the valuation technique. A measurement that does not include an adjustment for risk would not represent a fair value measurement if market participants would include one when pricing the asset or liability. For example, it might be necessary to include a risk adjustment when there is significant measurement uncertainty (eg when there has been a significant decrease in the volume or level of activity when compared with normal market activity for the asset or liability, or similar assets or liabilities, and the entity has determined that the transaction price or quoted price does not represent fair value, as described in paragraphs B37⁠–⁠B47).
89
An entity shall develop unobservable inputs using the best information available in the circumstances, which might include the entity’s own data. In developing unobservable inputs, an entity may begin with its own data, but it shall adjust those data if reasonably available information indicates that other market participants would use different data or there is something particular to the entity that is not available to other market participants (eg an entity‑specific synergy). An entity need not undertake exhaustive efforts to obtain information about market participant assumptions. However, an entity shall take into account all information about market participant assumptions that is reasonably available. Unobservable inputs developed in the manner described above are considered market participant assumptions and meet the objective of a fair value measurement.
90
Paragraph B36 describes the use of Level 3 inputs for particular assets and liabilities.