Simulation of Impacts of Changing in the International Standard of Financial Instruments (IFRS 9) in the Major Brazilian Banks

Abstract

This article aimed to verify the impact of changes in the net profit and their respective volatilities resulting from changes of the international standard of financial instruments, from IAS 39 to IFRS 9, in regard to aspects: (i) the future change in the methodology of the impairment calculated e (ii) the elimination of the category "available for sale" and their reclassification to the category "fair value through profit or loss". The study was based on simulations in profits expected to sixteen quarters, from 31/12/2010 to 31/12/2014, to the five largest financial institutions in Brazil. For such simulations it were projected interest rates that fluctuate according to the estimated model of the term structure of interest rates using the Monte Carlo method. According to the projected interest rates set new credit risk levels, which resulted changes in the impairment and fair value of financial assets previously classified as available for sale. The results showed an early impact in Q1, in view of their adaptation to the new standard. Subsequently, there was no significant change in the results and their respective volatilities.

Keywords

• IFRS 9
• IAS 39
• Impairment
• Financial Assets
• Banks.