普华永道IAS39实务材料(对冲之会计处理)

IAS39HedgingAligningtheorywithpracticeFebruary20052PrefaceContentsPagePreface1Introduction3HedgeaccountingunderIAS393Hedgeaccountingataglance4Whatisthefairvalueofaderivative?7Hedgeeffectivenesstesting8Hedgedocumentation17Derivativepresentationwithinthebalancesheet18Presentationofresultswithintheincomestatement18Contacts19InsertsHedginginterestrateriskHedgingforeignexchangeriskHedgingcommoditypriceriskOtherpublicationsonIFRSPricewaterhouseCoopershaspublishedthefollowingpublicationsonInternationalFinancialReportingStandardsandcorporatepractices;theyareavailablefromyournearestPricewaterhouseCoopersoffice.Acquisitions–AccountingandtransparencyunderIFRS3ApplyingIFRS–Findingtherightsolution(availableonComperioIFRS1)AdoptingIFRS–IFRS1,First-timeadoptionofIFRSFinancialinstrumentsunderIFRSFinancialReportinginHyperflationaryEconomies–UnderstandingIAS29IFRSDisclosureChecklist2004IFRSMeasurementChecklist2004IFRSPocketGuide2004IllustrativeConsolidatedFinancialStatements2004–BanksIllustrativeConsolidatedFinancialStatements2004–InsuranceIllustrativeConsolidatedFinancialStatements2004–InvestmentPropertyIllustrativeCorporateConsolidatedFinancialStatements2004IllustrativeFinancialStatements2004–InvestmentFundsIllustrativeInterimFinancialStatementsforFirst-timeAdoptersShare-basedPayment–ApracticalguidetoapplyingIFRS2SimilaritiesandDifferences–AcomparisonofIFRSandUSGAAPUnderstandingIAS29–FinancialReportinginHyperinflationaryEconomiesIFRSNews–SheddinglightontheIASB’sactivitiesMakingtheChangetoInternationalFinancialReportingStandardsReadytotaketheplunge?IFRSreadinesssurvey2004Readyfortakeoff?IFRSreadinesssurvey(December2004update)WorldWatch–GovernanceandCorporateReportingAuditCommittees–GoodPracticesforMeetingMarketExpectationsBuildingtheEuropeanCapitalMarket–CommonPrinciplesforaCapitalMarketThesepublicationsandthelatestnewsonIFRScanbefoundat–:RecognitionandMeasurement(December2003)asamendedbytheprovisionssetoutinFairValueHedgeAccountingforaPortfolioHedgeofInterestRateRisk(March2004),includinginterpretationsasat31March2004.AsInternationalFinancialReportingStandardsareanevolvingareasubjecttonewguidanceandinterpretations,companiesshouldconfirmtheappropriatenessoftheirproposedhedgingstrategiesandaccountingdesignationswiththeirexternaladvisors.1IAS39HedgingAligningtheorywithpracticePrefaceIAS39FinancialInstruments:RecognitionandMeasurementisacomplexaccountingstandardandhasbeenthesubjectofmuchdebateforcompaniesconvertingtoInternationalFinancialReportingStandards(IFRS).Thedebatehasfocusedonanumberofissuessuchasmeasurementofinstrumentsatfairvalue,provisioningandhedgeaccounting.InthispublicationwefocusontheoneroushedgeaccountingrequirementsofIAS39whichtreasurersarerequiredtoalignagainstcurrenthedgingobjectivesandpractices.Whetherinafinancialinstitutionoracorporate,treasurersandfinancemanagersfacethesamebasicquestion–howtoeffectivelydeliverthehedgeaccountingresultswhentheactualeconomichedgingactivitiestypicallyreflecta“bestfit”approachtoriskmanagementintermsofcostsandbenefits?ThehedgingrequirementsofIAS39areonerousasaresultofthedetailedrulesanddocumentationstandardstobeachieved.Forexample,theunderlyingpremiseofhedgingwithinIAS39isthatcashflowsonthehedginginstrumentandthehedgeditemshouldmatchexactlyintiming,quantumandcurrencyifahedgerelationshipistobeeffectivefromanaccountingperspective;thereislittleallowanceforthe“bestfit”hedgingsolution.However,theintroductionofmeasurementrulesforderivativeinstrumentshasprovidedcompanieswiththeopportunitytore-evaluatetheirrisksandriskmanagementstrategies.AlignmentwithpracticeManyproblemsmayarisewhenapplyingatechnicaltheorytopracticalsituations.Forexample,agroup’sriskmanagementpolicymaybetoconsolidategroup-widecurrencyexposureswithinacentraltreasuryfunctionandtomanagethenetexposurebycurrencywithexternalderivatives,therebygeneratingeconomiesofscaleandpricingefficiency.Thesepracticesmaymeettheriskmanagementapproachbutwillnotnecessarilyachievethesameaccountingresult.Alternatively,inapplyingthehedgeaccountingrules,specificconstructionsofhedgerelationshipsmaybedevelopedanddocumented.However,reviewofthehedgedocumentsmaynotnecessarilyprovidethereaderwithagoodunderstandingoftheeconomicriskapproachesbeingadoptedbythecompany.Inaddition,asmoreoftheprocessesforhedgeaccountingareautomatedtheremaybesomedifficultreconciliationstobecompletedbetweenmanagementandfinancialinformation.Suchadisconnectbetweenstatutoryaccountingresultsandinternalmanagementreportingandperformancemeasuresisanissuethatmanygroupshaveyettoresolve.Itisoftenextremelydifficulttoachieveperfecthedgeeffectivenessfromanaccountingperspective.Asaresulttheapproachadoptedbyindividualcompaniesislikelytovaryfrom:•electingnottoapplyhedgeaccountinginanyformdespitevolatilityandrelyonrobustcommunicationstrategiestothemarketinexplainingtheresultantincomestatementvolatilityintroducedbyderivativeinstruments;to•undertakin