UBS Group AGの開示例:予想信用損失の測定に関する会計上の見積り




As a consequence of the exceptional circumstances and prevailing uncertainties at the end of the first quarter of 2020, the weight allocation between the four scenarios has shifted significantly. The upside and mild downside scenarios have been temporarily weighted with a 0% probability, with the baseline scenario weighted at 70% and the severe downside scenario at 30% to best reflect management’s current sentiment regarding the boundaries of economic outcomes. The weight allocated to the severe downside scenario is substantially higher than the 15% weight applied in the fourth quarter of 2019, as there is significant uncertainty as to whether the pandemic can be contained sufficiently early and effectively. If not, a longer-term economic shock is expected, which could not be sufficiently counteracted by government measures, or, alternatively, could lead to potentially unstable fiscal positions with far-reaching consequences. With interest rates at their current level – and further lowered in some countries – there is extremely limited room for central banks to stimulate the economy. In such a severe downside scenario, the risk significantly increases that firms, while temporarily kept afloat with liquidity lines, will encounter a deteriorating credit standing or solvency problems.





 現在の水準の金利――一部の国ではさらに低い水準――では、中央銀行が経済を刺激する余地は非常に限られています。このような深刻な下振れシナリオでは、リスクが大幅に高まり、企業は、一時的に流動性枠(liquidity lines)に浮上する一方で、信用状態の悪化やソルベンシーの問題に直面します。(以下略)