Classification and Measurement under IFRS 9: A Commentary and Suggestions for Future Research

Figures & data

Table 1. Classification of financial assets under IAS 39 and IFRS 9 (in percent of total financial assets excl cash).

	Mean	Median	sd	N	Mean	Median	sd	N
IAS39 2014–2017	IAS39 2014–2017				IFRS9 2018–2022
Financial assets held at FVTPL
Loans to Banks & Customers	2.10%	0.00%	6.00%	513	2.37%	0.10%***	6.93%	664
Debt instruments	4.69%	1.67%	6.41%	513	4.83%	1.39%	7.51%	664
Equity instruments	1.22%	0.13%	3.14%	513	1.13%	0.32%***	2.10%	664
Financial assets at FVTPL (excl. Deriv. instr.)	8.09%	3.03%	11.04%	513	8.39%	2.79%*	11.68%	664
Derivative instruments	2.77%	0.35%	6.22%	513	2.02%*	0.18%**	4.56%	664
Financial assets at FVTPL (incl. Deriv. instr.)	10.85%	4.64%	14.09%	513	10.40%	3.95%	13.50%	664
Financial assets in OCI
Loans to Banks & Customers	0.01%	0.00%	0.05%	513	2.49%***	0.00%***	11.22%	664
Debt instruments	8.55%	6.21%	8.99%	513	6.51%***	3.61%***	8.49%	664
Equity instruments	1.13%	0.31%	1.88%	513	0.94%	0.10%***	2.04%	664
Financial assets in OCI	9.75%	8.59%	8.85%	513	10.02%	6.33%***	12.75%	664
Financial assets held at AC
Loans to Banks & Customers	75.96%	79.75%	14.44%	513	74.04%*	79.50%***	17.21%	664
Debt instruments	3.40%	0.66%	5.69%	513	5.41%***	2.30%***	8.07%	664
Financial assets held at AC	79.40%	83.05%	14.57%	513	79.49%	84.85%	17.85%	664

Notes: This table presents descriptive statistics for major financial asset categories of 139 banks applying IFRS from 28 European countries (EU 27 excluding Croatia and Luxembourg, but including Norway, Serbia, United Kingdom) for the sample period 2014–2020. The table shows descriptive statistics separately for the IAS 39 (2014–2017) and the IFRS 9 (2018–2022) periods. We retrieve data from S&P Global Market Intelligence. *, ** and *** indicate statistical significance at 10, 5 and 1% levels (two-sided test of equality of means and medians), respectively.

Table 2. Fair value option for liabilities (FVOL) election by European and US banks

Panel A: European banks (2014–2017)
	N	Mean	Median	sd	P1	P99
All banks
FVOL/TA	536	0.0139	0.0000	0.0312	0.0000	0.1665
FVOL/TL	536	0.0150	0.0000	0.0334	0.0000	0.1746
FVOL (m$)	536	6041.37	0.00	21,449.90	0.0000	104,003.21
Only FVOL users
FVOL/TA	237	0.0315	0.0156	0.0407	0.0000	0.2105
FVOL/TL	237	0.0340	0.0171	0.0434	0.0000	0.2211
FVOL (m$)	237	13,663.18	948.80	30,633.97	0.0138	123,039.76
Panel B: US bank holding companies (2014–2022)
	N	Mean	Median	sd	P1	P99
All banks
FVOL/TA	3,003	0.0028	0.0000	0.0385	0.0000	0.0531
FVOL/TL	3,003	0.0032	0.0000	0.0447	0.0000	0.0590
FVOL (m$)	3,003	1,841.25	0.00	17,343.14	0.0000	68,557.00
Only FVOL users
FVOL/TA	134	0.0624	0.0091	0.1724	0.0000	0.9020
FVOL/TL	134	0.0710	0.0102	0.2008	0.0000	1.0255
FVOL (m$)	134	41,263.19	134.62	71,765.08	0.0370	268,698.00
Panel C: FVOL by year (only FVOL users)
	European banks			US bank holding companies
	N	FVOL/TA	FVOL/TL	N	FVOL/TA	FVOL/TL
2014	59	0.0311	0.0334	17	0.0769	0.0860
2015	59	0.0316	0.0341	19	0.0672	0.0841
2016	62	0.0316	0.0342	18	0.0700	0.0798
2017	57	0.0315	0.0343	19	0.1162	0.1305
2018	NA	NA	NA	15	0.0279	0.0311
2019	NA	NA	NA	12	0.0376	0.0416
2020	NA	NA	NA	12	0.0418	0.0458
2021	NA	NA	NA	10	0.0473	0.0515
2022	NA	NA	NA	12	0.0391	0.0427

Notes: The table provides descriptive statistics on the fair value option (FVO) for liabilities election. Panel A (Panel B) presents information for a sample of listed European banks (listed US bank holding companies) for which we have data on FVO for liabilities in the period 2014–2017 (2014–2022). FVOL/TA (FVOL/TL) is the ratio of liabilities under the FVO to total assets (total liabilities). FVOL are the liabilities under the FVO. TA (TL) are total assets (liabilities). Panel C provides information on the mean FVOL/TA and FVOL/TL by year for FVOL users. We define a bank as a FVOL user if it elects the FVO for liabilities (FVOL > 0).