Accounting for Derivatives. Ramirez Juan
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Название: Accounting for Derivatives
Автор: Ramirez Juan
Издательство: Автор
Жанр: Зарубежная образовательная литература
isbn: 9781118817964
isbn:
An entity may designate a risk component of an eligible item (or group of eligible items) as the hedged item in a hedging relationship. A component comprises less than the entire fair value change or cash flow variability of an item. In that case, an entity may designate only the following types of components (including combinations) as hedged items:
a. Only changes in the cash flows or fair value of an item attributable to a specific risk or risks (risk component), provided that, based on an assessment within the context of the particular market structure, the risk component is separately identifiable and the changes in the cash flows or the fair value of the item attributable to changes in that risk component must be reliably measurable. For example, it is possible to hedge only the USD Libor 6-month interest rate component in a loan with interest calculated as USD Libor 6-month plus a margin on its notional amount. Risk components include a designation of only changes in the cash flows or the fair value of a hedged item above or below a specified price or other variable (a one-sided risk).
b. One or more selected contractual cash flows.
c. Components of a nominal amount (i.e., a specified part of the amount of an item).
When identifying what risk components qualify for designation as a hedged item, an entity assesses such risk components within the context of the particular market structure to which the risk or risks relate and in which the hedging activity takes place. Such a determination requires an evaluation of the relevant facts and circumstances, which differ by risk and market.
When designating risk components as hedged items, an entity considers whether the risk components are explicitly specified in a contract (contractually specified risk components) or whether they are implicit in the fair value or the cash flows of an item of which they are a part (non-contractually specified risk components). Non-contractually specified risk components can relate to items that are not a contract (e.g., forecast transactions) or contracts that do not explicitly specify the component (e.g., a firm commitment that includes only a single price instead of a pricing formula that references different underlyings).
For example, an entity has a long-term supply contract for natural gas that is priced using a contractually specified formula that includes references to crude oil prices, fuel oil prices and other components such as transport charges. The entity hedges the crude oil component in that supply contract using a crude oil futures contract. Because the crude oil component is specified by the terms and conditions of the supply contract it is a contractually specified risk component, and therefore the entity concludes that the gas oil price exposure is separately identifiable. At the same time, there is a market for crude oil futures and forward contracts. Hence, the entity concludes that the crude oil price exposure is reliably measurable. Consequently, the crude oil price exposure in the supply contract is a risk component that is eligible for designation as a hedged item.
An entity may also designate only changes in the cash flows or fair value of a hedged item above or below a specified price or other variable (a “one-sided risk”).
CAP
An entity may buy a 6 % cap to hedge the variability of the Libor-linked flows of a floating rate liability. The entity can designate the hedged risk as the variability of future cash flow outcomes resulting from a Libor increase above 6 %.
COMBINATION OF A CAP AND A FLOOR
An entity buys a 6 % cap to hedge the variability of the Libor-linked flows of a floating rate liability. The entity simultaneously sells a 4 % floor to avoid paying a premium. Assuming that the combination of the cap and the floor (i.e., a collar) is an eligible hedging instrument, the entity can designate the hedged risk as the variability of future cash flow outcomes resulting from a Libor increase above 6 % and a Libor decline below 4 %.
CAP SPREAD
An entity buys a 6 % cap to hedge the variability of the Libor-linked flows of a floating rate liability. The entity simultaneously sells an 8 % cap to reduce the overall premium to be paid. Assuming that the combination of both caps (i.e., a cap spread) is an eligible hedging instrument, the entity can designate the hedged risk as the variability of future cash flow outcomes resulting from a Libor increase between 6 % and 8 %.
A layer component of an overall group of items (e.g., a bottom layer) only if:
a. it is separately identifiable and reliably measurable;
b. the risk management objective is to hedge a layer component;
c. the items in the overall group from which the layer is identified are exposed to the same hedged risk (so that the measurement of the hedged layer is not significantly affected by which particular items from the overall group form part of the hedged layer);
d. for a hedge of existing items (e.g., an unrecognised firm commitment or a recognised asset) an entity can identify and track the overall group of items from which the hedged layer is defined (so that the entity is able to comply with the requirements for the accounting for qualifying hedging relationships); and e. any items in the group that contain prepayment options meet the requirements for components of a nominal amount.
A layer component may be specified from a defined, but open, population, or from a defined nominal amount. Examples include:
a. A part of a monetary transaction volume denominated in foreign currency. For example, related to a sale denominated in USD, the next USD 10 cash flows after the first USD 20 in March 201X.
b. A part of a physical volume. For example, the bottom layer, measuring 5 million cubic metres, of the natural gas stored in location XYZ.
c. A part of a physical or other transaction volume. For example, the first 100 barrels of the oil purchases in June 201X or the first 100 MWh of electricity sales in June 201X.
d. A layer from the nominal amount of the hedged item. For example, the last EUR 80 million of a EUR 100 million firm commitment, the bottom layer of EUR 20 million of a EUR 100 million fixed rate bond or the top layer of EUR 30 million from a total amount of EUR 100 million of fixed rate debt that can be prepaid at fair value (the defined nominal amount is EUR 100 million).
Items Not Eligible for Designation as Hedged Items
A derivative alone cannot be designated as a hedged item. The only exception is an embedded purchased option that is hedged with a written option.
An entity's own equity instrument cannot be a hedged item because it does not expose the entity to a particular risk that could impact profit or loss. Similarly, a forecast dividend payment by the entity cannot be a hedged item as its distribution to equity holders is debited directly to equity and therefore does not impact profit or loss.
A firm commitment to acquire a business in a business combination cannot be a hedged item, except for foreign currency risk, because the other risks being hedged cannot be specifically identified and measured. Those other risks are general business risks.
An equity method investment cannot be a hedged item in a fair value hedge. This is because the equity method recognises in profit or loss the investor's share of the investee's profit or loss, rather than changes in the investment's fair value.
An investment in a consolidated subsidiary cannot be a hedged item in a fair value hedge. This is because consolidation recognises in profit or loss the subsidiary's profit or loss, rather than СКАЧАТЬ