对冲之会计处理实务材料(英文版)(pdf 57页)
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对冲之会计处理实务材料目录：
一、Preface
二、Introduction
三、Hedge accounting under IAS 39
四、Hedge accounting at a glance
五、What is the fair value of a derivative?
六、Hedge effectiveness testing
七、Hedge documentation
八、Derivative presentation within the balance sheet
九、Presentation of results within the income statement
十、Contacts
对冲之会计处理实务材料内容提要：
IAS 39 Financial Instruments: Recognition and Measurement
is a complex accounting standard and has been the subject
of much debate for companies converting to International
Financial Reporting Standards (IFRS).
The debate has focused on a number of issues such as
measurement of instruments at fair value, provisioning
and hedge accounting. In this publication we focus on the
onerous hedge accounting requirements of IAS 39 which
treasurers are required to align against current hedging
objectives and practices. Whether in a financial institution
or a corporate, treasurers and finance managers face the
same basic question – how to effectively deliver the hedge
accounting results when the actual economic hedging
activities typically reflect a “best fit” approach to risk
management in terms of costs and benefits?
The hedging requirements of IAS 39 are onerous as a result
of the detailed rules and documentation standards to be
achieved. For example, the underlying premise of hedging
within IAS 39 is that cash flows on the hedging instrument
and the hedged item should match exactly in timing,
quantum and currency if a hedge relationship is to be
effective from an accounting perspective; there is little
allowance for the “best fit” hedging solution. However, the
introduction of measurement rules for derivative instruments
has provided companies with the opportunity to re-evaluate
their risks and risk management strategies.
Alignment with practice
Many problems may arise when applying a technical theory
to practical situations. For example, a group’s risk
management policy may be to consolidate group-wide
currency exposures within a central treasury function and
to manage the net exposure by currency with external
derivatives, thereby generating economies of scale and
pricing efficiency. These practices may meet the risk
management approach but will not necessarily achieve
the same accounting result.
Alternatively, in applying the hedge accounting rules, specific
constructions of hedge relationships may be developed and
documented. However, review of the hedge documents may
not necessarily provide the reader with a good understanding
of the economic risk approaches being adopted by the
company. In addition, as more of the processes for hedge
accounting are automated there may be some difficult
reconciliations to be completed between management and
financial information. Such a disconnect between statutory
accounting results and internal management reporting and
performance measures is an issue that many groups have
yet to resolve.
It is often extremely difficult to achieve perfect hedge
effectiveness from an accounting perspective. As a result
the approach adopted by individual companies is likely
to vary from:
• electing not to apply hedge accounting in any form despite
volatility and rely on robust communication strategies to
the market in explaining the resultant income statement
volatility introduced by derivative instruments; to
• undertaking detailed hedge accounting processes to
ensure that the hedge accounting benefits are obtained.
Ongoing application of hedging requirements
Most treasury and financial reporting areas have been
concentrating on developing the technical understanding
of both the hedging requirements and the initial implications.
They have not progressed to developing the actual practices
for implementation.
There are many implementation issues for the related
treasury activities, including the extent to which additional
or alternative practices may be required to be applied by
individual companies. This includes undertaking more or
different types of instruments and being able to undertake
the necessary reporting, monitoring and measurement
requirements for hedge accounting
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