IAS 39 Financial Instruments: Recognition and MeasurementThis revised Standard supersedes IAS 39 (revised 2000) FinancialInstruments: Recognition and Measurement and should be applied for annualperiods beginning on or after 1 January 2005. Earlier application is permitted. Contents INTRODUCTION IN1-IN29 International Accounting Standard 39 Financial Instruments:Recognition and Measurement Objective 1 Scope 2-7 Definitions 8-9 Embedded derivatives 10-13 Recognition and derecognition 14-42 Initial Recognition Derecognition of a Financial Asset 15-37 Transfers that Qualify for Derecognition 24-28 Transfers that Do Not Qualify forDerecognition 29 Continuing Involvement in TransferredAssets 30-35 All Transfers 36-37 Regular Way Purchase or Sale of a FinancialAsset 38 Derecognition of a Financial Liability 39-42 Measurement 43-69 Initial Measurement of Financial Assetsand Financial Liabilities 43-44 Subsequent Measurement of Financial Assets45-46 Subsequent Measurement of FinancialLiabilities 47 Fair Value Measurement Considerations 48-49 Reclassifications 50-54 Gains and Losses 55-57 Impairment and Uncollectibility of FinancialAssets 58-70 Financial Assets Carried at Amortised Cost63-65 Financial Assets Carried at Cost 66 Available-for-Sale Financial Assets 67-70 Hedging 71-102 Hedging Instruments 72-77 Qualifying Instruments 72-73 Designation of Hedging Instruments 74-77 Hedged Items 78-84 Qualifying Items 78-80 Designation of Financial Items as HedgedItems 81 Designation of Non-Financial Items asHedged Items 82 Designation of Groups of Items as HedgedItems 83-84 Hedge Accounting 85-102 Fair Value Hedges 89-94 Cash Flow Hedges 95-101 Hedges of a Net Investment 102 Effective date and transition 103-108 Withdrawal of Other Pronouncements 109-110 Appendix A: Application Guidance AG1-AG111 Scope AG1-AG4 Definitions AG5-AG26 Effective Interest Rate AG5-AG8 Derivatives AG9-AG12 Transaction Costs AG13 Financial Assets and Financial LiabilitiesHeld for Trading AG14-AG15 Held-to-Maturity Investments AG16-AG25 Loans and Receivables AG26 Embedded Derivatives AG27-AG33 Recognition and Derecognition AG34-AG63 Initial Recognition AG34-AG35 Derecognition of a Financial Asset AG36-AG52 Transfers that Qualify for Derecognition AG45-AG46 Transfers that Do Not Qualify forDerecognition AG47 Continuing Involvement in TransferredAssets AG48 All Transfers AG49-AG50 Examples AG51-AG52 |
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板凳#
发布于：2012-02-15 16:05
International Financial Reporting Standards (including International Accounting Standards and SIC and IFRIC Interpretations), Exposure Drafts, and other IASB publications are copyright of the International Accounting Standards Committee Foundation (IASCF). The approved text of International Financial Reporting Standards and other IASB publications is that published by the IASB in the English language and copies may be obtained from the IASCF. Please address publications and copyright matters to:
IASCF Publications Department, 1st Floor, 30 Cannon Street, London EC4M 6XH, United Kingdom. Tel: +44 (0)20 7332 2730 Fax: +44 (0)20 7332 2749 Email: publications@iasb.org Web: www.iasb.org All rights reserved. No part of this publication may be translated, reprinted or reproduced or utilised in any form either in whole or in part or by any electronic, mechanical or other means, now known or hereafter invented, including photocopying and recording, or in any information storage and retrieval system, without prior permission in writing from the International Accounting Standards Committee Foundation. The IASB logo/"Hexagon Device", "IAS", "IASB", "IASCF", "IASC", "IFRIC", "IFRS", "International Accounting Standards" and "International Financial Reporting Standards" are Trade Marks of the International Accounting Standards Committee Foundation. EU Accounting Regulatory Committee Contents IAS 39 State of play - Proposal for a Draft Commission Regulation [6 September 2004] IAS 39 State of play - Proposal for a Draft Commission Regulation - annotated version [6 September 2004] Explanatory Memorandum of the Commission Services on the Proposal for a Regulation Adopting IAS 39 [24 September 2004] ARC Meeting On 1 October Working Document On IAS 39 [27 September 2004] Commission Regulation (EC) No .../.. amending Regulation (EC) No 1725/2003 on the adoption of certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards the insertion of IAS 39 [24 September 2004] IAS 39: Table of Concordance This table shows how the contents of the superseded version of IAS 39 and the current version of IAS 39 correspond. Paragraphs are treated as corresponding if they broadly address the same matter even though the guidance may differ. The table also shows how the disclosure requirements formerly included in IAS 39 have been incorporated into the current version of IAS 32. Except where indicated, all references are to IAS 39. Superseded paragraph Current paragraph Superseded paragraph Current paragraph Objective 1 21 9 1 2 22 10 2 AG1 23 11 3 AG2 24 AG30 4 AG3 25 AG33 5 AG4 26 12 6 5 27 14 7 6 28 AG34 8 9, IAS 32.11 29 AG35 9 IAS 32.14 30 38, AG53 10 9 31 AG54 11 IAS 32.11(d), IAS 32.21 32 AG55 33 AG56 12 IAS 32.11, IAS 32.21 34 D.2.1* 35-56 15-37, AG36-AG52 13 AG9 14 6, 7 57 39 15 AG11 58 AG57 16 AG12 59 AG59 17 AG13 60 AG61 18 AG15 61 40 19 None 62 AG62 20 None 63 41 Superseded paragraph Current paragraph Superseded paragraph Current paragraph 64 AG63 97 AG74-AG76 65 None 98 AG69 66 43 99 AG71, AG72 67 AG64 100 AG74, AG79 68 45 101 AG72, AG74 69 46 102 AG81 70 None 103 55 71 None 104 None 72 AG66 105 None 73 46 106 57 74 AG79, AG84 107 50 75 AG68 108 56 76 AG6-AG8 109 58 77 AG67 110 59, 61 78 AG83 111 63, AG84 (part) 79 AG16 112 64 80 AG17 113 AG84 81 AG18 114 65 82 AG19 115 66 83 9 116 AG93 84 AG20 117 67 85 AG21 118 68 86 AG22 119 69, 70 87 AG23 120 None 88 AG24 121 71 89 AG25 122 72 90 51 123 AG97 91 53 124 AG94 92 54 125 AG95 93 47 126 AG96 94 AG83 127 78, 79 95 AG80, AG81 128 81 96 None 129 82 Superseded paragraph Current paragraph Superseded paragraph Current paragraph 130 AG100 157 92 131 76 158 95 132 83 159 96 133 84, AG101 160 97, 98 134 73 161 97 135 AG98 162 100 136 85 163 101 137 86 164 102 138 AG102 165 None 139 AG103 166 None 140 AG104 167 IAS 32.61, IAS32.92 141 None 142 88 168 IAS 32.93 143 AG111 169 IAS 32.56 IAS 32.58 IAS 32.59 144 74 145 75 146 AG105 170(a) IAS 32.94(h)(ii) 147 AG107, AG108 170(b) IAS 32.90 148 AG109 170(c) IAS 32.94(h) 149 AG110 170(d) IAS 32.94(a) 150 AG99 170(e) IAS 32.94(g) 151 AG106-AG108 170(f) IAS 32.94(i) 152 AG111 170(g) IAS 32.94(b) 153 89 170(h) IAS 32.94(c) 154 None 171 104 155 90 172 105 156 91 * This paragraph of the Standard has been moved to the Implementation Guidance |
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地板#
发布于：2012-02-15 16:05
Contents
Section A: Scope A.1 Practice of settling net: forward contract to purchase a commodity A.2 Option to put a non-financial asset Section B: Definitions B.1 Definition of a financial instrument: gold bullion B.2 Definition of a derivative: examples of derivatives and underlyings B.3 Definition of a derivative: settlement at a future date, interest rate swap with net or gross settlement B.4 Definition of a derivative: prepaid interest rate swap (fixed rate payment obligation prepaid at inception or subsequently) B.5 Definition of a derivative: prepaid pay-variable, receive-fixed interest rate swap B.6 Definition of a derivative: offsetting loans B.7 Definition of a derivative: option not expected to be exercised B.8 Definition of a derivative: foreign currency contract based on sales volume B.9 Definition of a derivative: prepaid forward B.10 Definition of a derivative: initial net investment B.11 Definition of held for trading: portfolio with a recent actual pattern of short-term profit taking B.12 Definition of held for trading: balancing a portfolio B.13 Definition of held-to-maturity financial assets: index-linked principal B.14 Definition of held-to-maturity financial assets: index-linked interest B.15 Definition of held-to-maturity financial assets: sale following rating downgrade B.16 Definition of held-to-maturity financial assets: permitted sales B.17 Definition of held-to-maturity investments: sales in response to entity-specific capital requirements B.18 Definition of held-to-maturity financial assets: pledged collateral, repurchase agreements (repos) and securities lending agreements B.19 Definition of held-to-maturity financial assets: 'tainting' B.20 Definition of held-to-maturity investments: sub-categorisation for the purpose of applying the 'tainting' rule B.21 Definition of held-to-maturity investments: application of the 'tainting' rule on consolidation B.22 Definition of loans and receivables: equity instrument B.23 Definition of loans and receivables: banks' deposits in other banks B.24 Definition of amortised cost: perpetual debt instruments with fixed or market-based variable rate B.25 Definition of amortised cost: perpetual debt instruments with decreasing interest rate B.26 Example of calculating amortised cost: financial asset B.27 Example of calculating amortised cost: debt instruments with stepped interest payments B.28 Regular way contracts: no established market B.29 Regular way contracts: forward contract B.30 Regular way contracts: which customary settlement provisions apply? B.31 Regular way contracts: share purchase by call option B.32 Recognition and derecognition of financial liabilities using trade date or settlement date accounting Section C: Embedded derivatives C.1 Embedded derivatives: separation of host debt instrument C.2 Embedded derivatives: separation of embedded option C.3 Embedded derivatives: accounting for a convertible bond C.4 Embedded derivatives: equity kicker C.5 Embedded derivatives: debt or equity host contract C.6 Embedded derivatives: synthetic instruments C.7 Embedded derivatives: purchases and sales contracts in foreign currency instruments C.8 Embedded foreign currency derivatives: unrelated foreign currency provision C.9 Embedded foreign currency derivatives: currency of international commerce C.10 Embedded derivatives: holder permitted, but not required, to settle without recovering substantially all of its recognised investment C.11 Embedded derivatives: reliable determination of fair value Section D: Recognition and Derecognition D.1 Initial Recognition D.1.1 Recognition: cash collateral D.2 Regular Way Purchase or Sale of a Financial Asset D.2.1 Trade date vs. settlement date: amounts to be recorded for a purchase D.2.2 Trade date vs. settlement date: amounts to be recorded for a sale D.2.3 Settlement date accounting: exchange of non-cash financial assets Section E: Measurement E.1 Initial Measurement of Financial Assets and Financial Liabilities E.1.1 Initial measurement: transaction costs E.2 Fair Value Measurement Considerations E.2.1 Fair value measurement considerations for investment funds E.2.2 Fair value measurement: large holding E.3 Gains and Losses E.3.1 Available-for-sale financial assets: exchange of shares E.3.2 IAS 39 and IAS 21 - Available-for-sale financial assets: separation of currency component E.3.3 IAS 39 and IAS 21 - Exchange differences arising on translation of foreign entities: equity or income? E.3.4 IAS 39 and IAS 21 - Interaction between IAS 39 and IAS 21 E.4 Impairment and Uncollectibility of Financial Assets E.4.1 Objective evidence of impairment E.4.2 Impairment: future losses E.4.3 Assessment of impairment: principal and interest E.4.4 Assessment of impairment: fair value hedge E.4.5 Impairment: provision matrix E.4.6 Impairment: excess losses E.4.7 Recognition of impairment on a portfolio basis E.4.8 Impairment: recognition of collateral E.4.9 Impairment of non-monetary available-for-sale financial asset E.4.10 Impairment: whether the available-for-sale reserve in equity can be negative Section F: Hedging F.1 Hedging Instruments F.1.1 Hedging the fair value exposure of a bond denominated in a foreign currency F.1.2 Hedging with a non-derivative financial asset or liability F.1.3 Hedge accounting: use of written options in combined hedging instruments F.1.4 Internal hedges F.1.5 Offsetting internal derivative contracts used to manage interest rate risk F.1.6 Offsetting internal derivative contracts used to manage foreign currency risk F.1.7 Internal derivatives: examples of applying Question F.1.6 F.1.8 Combination of written and purchased options F.1.9 Delta-neutral hedging strategy F.1.10 Hedging instrument: out of the money put option F.1.11 Hedging instrument: proportion of the cash flows of a cash instrument F.1.12 Hedges of more than one type of risk F.1.13 Hedging instrument: dual foreign currency forward exchange contract F.1.14 Concurrent offsetting swaps and use of one as a hedging instrument F.2 Hedged Items F.2.1 Whether a derivative can be designated as a hedged item F.2.2 Cash flow hedge: anticipated issue of fixed rate debt F.2.3 Hedge accounting: unrecognised assets F.2.4 Hedge accounting: hedging of future foreign currency revenue streams F.2.5 Cash flow hedges: 'all in one' hedge F.2.6 Hedge relationships: entity-wide risk F.2.7 Cash flow hedge: forecast transaction related to an entity's equity F.2.8 Hedge accounting: risk of a transaction not occurring F.2.9 Held-to-maturity investments: hedging variable interest rate payments F.2.10 Hedged items: purchase of held-to-maturity investment F.2.11 Cash flow hedges: reinvestment of funds obtained from held-to-maturity investments F.2.12 Hedge accounting: prepayable financial asset F.2.13 Fair value hedge: risk that could affect profit or loss F.2.14 Intragroup and intra-entity hedging transactions F.2.15 Internal contracts: single offsetting external derivative F.2.16 Internal contracts: external derivative contracts that are settled net F.2.17 Partial term hedging F.2.18 Hedging instrument: cross-currency interest rate swap F.2.19 Hedged items: hedge of foreign currency risk of publicly traded shares F.2.20 Hedge accounting: stock index F.2.21 Hedge accounting: netting of assets and liabilities F.3 Hedge Accounting F.3.1 Cash flow hedge: fixed interest rate cash flows F.3.2 Cash flow hedge: reinvestment of fixed interest rate cash flows F.3.3 Foreign currency hedge F.3.4 Foreign currency cash flow hedge F.3.5 Fair value hedge: variable rate debt instrument F.3.6 Fair value hedge: inventory F.3.7 Hedge accounting: forecast transaction F.3.8 Retrospective designation of hedges F.3.9 Hedge accounting: designation at the inception of the hedge F.3.10 Hedge accounting: identification of hedged forecast transaction F.3.11 Cash flow hedge: documentation of timing of forecast transaction F.4 Hedge Effectiveness F.4.1 Hedging on an after-tax basis F.4.2 Hedge effectiveness: assessment on cumulative basis F.4.3 Hedge effectiveness: counterparty credit risk F.4.4 Hedge effectiveness: effectiveness tests F.4.5 Hedge effectiveness: less than 100 per cent offset F.4.6 Hedge effectiveness: underhedging F.4.7 Assuming perfect hedge effectiveness F.5 Cash Flow Hedges F.5.1 Hedge accounting: non-derivative monetary asset or non-derivative monetary liability used as a hedging instrument F.5.2 Cash flow hedges: performance of hedging instrument (1) F.5.3 Cash flow hedges: performance of hedging instrument (2) F.5.4 Cash flow hedges: forecast transaction occurs before the specified period F.5.5 Cash flow hedges: measuring effectiveness for a hedge of a forecast transaction in a debt instrument F.5.6 Cash flow hedges: firm commitment to purchase inventory in a foreign currency F.6 Hedging: Other Issues F.6.1 Hedge accounting: management of interest rate risk in financial institutions F.6.2 Hedge accounting considerations when interest rate risk is managed on a net basis F.6.3 Illustrative example of applying the approach in Question F.6.2 F.6.4 Hedge accounting: premium or discount on forward exchange contract F.6.5 IAS 39 and IAS 21 - Fair value hedge of asset measured at cost Section G: Other G.1 Disclosure of changes in fair value G.2 IAS 39 and IAS 7 - Hedge accounting: cash flow statements Table of Concordance ________________________________________ Guidance on Implementing IAS 39 Financial Instruments: Recognition and Measurement This guidance accompanies, but is not part of, IAS 39. Guidance on Implementing IAS 39 Financial Instruments: Recognition and Measurement is published by the International Accounting Standards Board, 30 Cannon Street, London EC4M 6XH, United Kingdom. Tel: +44 (0)20 7246 6410 Fax: +44 (0)20 7246 6411 Email: iasb@iasb.org Web: www.iasb.org Copyright © 2003 International Accounting Standards Committee Foundation (IASCF) ISBN for this part: 1-904230-36-9 ISBN for complete publication (three parts): 1-904230-33-4 |
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发布于：2012-02-15 16:05
IE17. On this basis, Entity A computes that it has sold 8 per cent of the assets allocated to the three-month time period, ie CU8 million (8 per cent of CU96 million). The proceeds received are CU8,018,400, equal to the fair value of the assets.* On derecognition of the assets, Entity A also removes from the separate balance sheet line item an amount that represents the change in the fair value of the hedged assets that it has now sold. This is 8 per cent of the total line item balance of CU45,511, ie CU3,793.
* The amount realised on sale of the asset is the fair value of a prepayable asset, which is less than the fair value of the equivalent non-prepayable asset shown in paragraph IE7. IE18. Entity A makes the following accounting entries to recognise the sale of the asset and the removal of part of the balance in the separate balance sheet line item. Dr Cash CU8,018,400 Cr Asset CU8,000,000 Cr Separate balance sheet line item CU3,793 Cr Income statement (gain) CU14,607 To recognise the sale of the asset at fair value and to recognise a gain on sale. Because the change in the amount of the assets is not attributable to a change in the hedged interest rate no ineffectiveness arises. IE19. Entity A now has CU88 million of assets and CU80 million of liabilities in this time period. Hence the net amount Entity A wants to hedge is now CU8 million and, accordingly, it designates CU8 million as the hedged amount. IE20. Entity A decides to adjust the hedging instrument by designating only a proportion of the original swap as the hedging instrument. Accordingly, it designates as the hedging instrument CU8 million or 40 per cent of the notional amount of the original swap with a remaining life of two months and a fair value of CU18,963.† It also complies with the other designation requirements in paragraphs 88(a) and AG119 of the Standard. The CU12 million of the notional amount of the swap that is no longer designated as the hedging instrument is either classified as held for trading with changes in fair value recognised in profit or loss, or is designated as the hedging instrument in a different hedge.* † CU47,408 × 40 per cent * The entity could instead enter into an offsetting swap with a notional principal of CU12 million to adjust its position and designate as the hedging instrument all CU20 million of the existing swap and all CU12 million of the new offsetting swap. IE21. As at 1 February 20x1 and after accounting for the sale of assets, the separate balance sheet line item is CU41,718 (CU45,511 – CU3,793), which represents the cumulative change in fair value of CU17.6† million of assets. However, as at 1 February 20x1, Entity A is hedging only CU8 million of assets that have a cumulative change in fair value of CU18,963.§ The remaining separate balance sheet line item of CU22,755‡ relates to an amount of assets that Entity A still holds but is no longer hedging. Accordingly Entity A amortises this amount over the remaining life of the time period, ie it amortises CU22,755 over two months. † CU19.2 million-(8 % • CU19.2 million) § CU41,718 • (CU8 million ) CU17.6 million) ‡ CU41,718 – CU18,963 IE22. Entity A determines that it is not practicable to use a method of amortisation based on a recalculated effective yield and hence uses a straight-line method. End of month 2 (28 February 20x1) IE23. On 28 February 20x1 when Entity A next tests effectiveness, LIBOR is unchanged. Entity A does not revise its prepayment expectations. The fair value of the designated interest rate swap with a notional principal of CU8 million is (CU9,518)** (the swap is a liability). Also, Entity A calculates the fair value of the CU8 million of the hedged assets as at 28 February 20x1 is CU8,009,518††. ** CU23,795 [see paragraph IE8] × (CU8 million ) CU20 million) †† CU20,023,795 [see paragraph IE7] × (CU8 million ) CU20 million) IE24. Entity A makes the following accounting entries relating to the hedge in this time period: Dr Cash CU71,707 Cr Income statement (interest income) CU71,707 To recognise the interest received on the hedged amount (CU8 million). Dr Income statement (interest expense) CU71,707 Cr Income statement (interest income) CU62,115 Cr Cash CU9,592 To recognise the interest received and paid on the portion of the swap designated as the hedging instrument (CU8 million). Dr Derivative liability CU9,445 Cr Income statement (gain) CU9,445 To recognise the change in the fair value of the portion of the swap designated as the hedging instrument (CU8 million) (CU9,518 - CU18,963). Dr Income statement (loss) CU9,445 Cr Separate balance sheet line item CU9,445 To recognise the change in the fair value of the hedged amount (CU8,009,518-CU8,018,963). IE25. The net effect on profit or loss (excluding interest income and interest expense) is nil reflecting that the hedge is fully effective. IE26. Entity A makes the following accounting entry to amortise the line item balance for this time period: Dr Income statement (loss) CU11,378 Cr Separate balance sheet line item CU11,378* To recognise the amortisation charge for the period. * CU22,755 ÷ 2 End of month 3 IE27. During the third month there is no further change in the amount of assets or liabilities in the three-month time period. On 31 March 20x1 the assets and the swap mature and all balances are recognised in profit or loss. IE28. Entity A makes the following accounting entries relating to this time period: Dr Cash CU8,071,707 Cr Asset (balance sheet) CU8,000,000 Cr Income statement (interest income) CU71,707 To recognise the interest and cash received on maturity of the hedged amount (CU8 million). Dr Income statement (interest expense) CU71,707 Cr Income statement (interest income) CU62,115 Cr Cash CU9,592 To recognise the interest received and paid on the portion of the swap designated as the hedging instrument (CU8 million). Dr Derivative liability CU9,518 Cr Income statement (gain) CU9,518 To recognise the expiry of the portion of the swap designated as the hedging instrument (CU8 million). Dr Income statement (loss) CU9,518 Cr Separate balance sheet line item CU9,518 To remove the remaining line item balance on expiry of the time period. IE29. The net effect on profit or loss (excluding interest income and interest expense) is nil reflecting that the hedge is fully effective. IE30. Entity A makes the following accounting entry to amortise the line item balance for this time period: Dr Income statement (loss) CU11,377 Cr Separate balance sheet line item CU11,377* To recognise the amortisation charge for the period. * CU22,755 × 2 Summary IE31. The tables below summarise: (a) changes in the separate balance sheet line item; (b) the fair value of the derivative; (c) the profit or loss effect of the hedge for the entire three-month period of the hedge; and (d) interest income and interest expense relating to the amount designated as hedged. Description 1 Jan 20x1 31 Jan 20x1 1 Feb 20x1 28 Feb 20x1 31 Mar 20x1 CU CU CU CU CU Amount of asset hedged 20,000,000 19,200,000 8,000,000 8,000,000 8,000,000 (a) Changes in the separate balance sheet line item Brought forward: Balance to be amortised Nil Nil Nil 22,755 11,377 Remaining balance Nil Nil 45,511 18,963 9,518 Less: Adjustment on sale of asset Nil Nil (3,793) Nil Nil Adjustment for change in fair value of the hedged asset Nil 45,511 Nil (9,445) (9,518) Amortisation Nil Nil Nil (11,378) (11,377) Carried forward: Balance to be amortised Nil Nil 22,755 11,377 Nil Remaining balance Nil 45,511 18,963 9,518 Nil (b) The fair value of the derivative 1 Jan 20x1 31 Jan 20x1 1 Feb 20x1 28 Feb 20x1 31 Mar 20x1 CU20,000,000 Nil 47,408 - - - CU12,000,000 Nil - 28,445 No longer designated as the hedging instrument. CU8,000,000 Nil - 18,963 9,518 Nil Total Nil 47,408 47,408 9,518 Nil (c) Profit or loss effect of the hedge 1 Jan 20x1 31 Jan 20x1 1 Feb 20x1 28 Feb 20x1 31 Mar 20x1 Change in line item: asset Nil 45,511 N/A (9,445) (9,518) Change in derivative fair value Nil (47,408) N/A 9,445 9,518 Net effect Nil (1,897) N/A Nil Nil Amortisation Nil Nil N/A (11,378) (11,377) In addition, there is a gain on sale of assets of CU14,607 at 1 February 20x1. (d) Interest income and interest expense relating to the amount designated as hedged Profit or loss recognised for the amount hedged 1 Jan 20x1 31 Jan 20x1 1 Feb 20x1 28 Feb 20x1 31 Mar 20x1 Interest income - on the asset Nil 172,097 N/A 71,707 71,707 - on the swap Nil 179,268 N/A 62,115 62,115 Interest expense - on the swap Nil (179,268) N/A (71,707) (71,707) Guidance on Implementing International Accounting Standard 39 Financial Instruments: Recognition and Measurement |
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5楼#
发布于：2012-02-15 16:04
Illustrative Example
Editorial note: Inserted by Amendments to IAS 39, March 2004 with effect for annual periods beginning on or after 1 January 2005. An entity shall apply the amendments to an earlier period when it applies IAS 39 (as revised in 2003) and IAS 32 (as revised in 2003) to that period. This example accompanies, but is not part of, the Standard. Facts IE1. On 1 January 20x1, Entity A identifies a portfolio comprising assets and liabilities whose interest rate risk it wishes to hedge. The liabilities include demandable deposit liabilities that the depositor may withdraw at any time without notice. For risk management purposes, the entity views all of the items in the portfolio as fixed rate items. IE2. For risk management purposes, Entity A analyses the assets and liabilities in the portfolio into repricing time periods based on expected repricing dates. The entity uses monthly time periods and schedules items for the next five years (ie it has 60 separate monthly time periods).* The assets in the portfolio are prepayable assets that Entity A allocates into time periods based on the expected prepayment dates, by allocating a percentage of all of the assets, rather than individual items, into each time period. The portfolio also includes demandable liabilities that the entity expects, on a portfolio basis, to repay between one month and five years and, for risk management purposes, are scheduled into time periods on this basis. On the basis of this analysis, Entity A decides what amount it wishes to hedge in each time period. IE3. This example deals only with the repricing time period expiring in three months' time, ie the time period maturing on 31 March 20x1 (a similar procedure would be applied for each of the other 59 time periods). Entity A has scheduled assets of CU100 million and liabilities of CU80 million into this time period. All of the liabilities are repayable on demand. * In this Example principal cash flows have been scheduled into time periods but the related interest cash flows have been included when calculating the change in the fair value of the hedged item. Other methods of scheduling assets and liabilities are also possible. Also, in this Example, monthly repricing time periods have been used. An entity may choose narrower or wider time periods. IE4. Entity A decides, for risk management purposes, to hedge the net position of CU20 million and accordingly enters into an interest rate swap* on 1 January 20x1 to pay a fixed rate and receive LIBOR, with a notional principal amount of CU20 million and a fixed life of three months. IE5. This Example makes the following simplifying assumptions: (a) the coupon on the fixed leg of the swap is equal to the fixed coupon on the asset; (b) the coupon on the fixed leg of the swap becomes payable on the same dates as the interest payments on the asset; and (c) the interest on the variable leg of the swap is the overnight LIBOR rate. As a result, the entire fair value change of the swap arises from the fixed leg only, because the variable leg is not exposed to changes in fair value due to changes in interest rates. In cases when these simplifying assumptions do not hold, greater ineffectiveness will arise. (The ineffectiveness arising from (a) could be eliminated by designating as the hedged item a portion of the cash flows on the asset that are equivalent to the fixed leg of the swap.) IE6. It is also assumed that Entity A tests effectiveness on a monthly basis. IE7. The fair value of an equivalent non-prepayable asset of CU20 million, ignoring changes in value that are not attributable to interest rate movements, at various times during the period of the hedge is as follows. 1 Jan 20x1 31 Jan 20x1 1 Feb 20x1 28 Feb 20x1 31 Mar 20x1 Fair value (asset) (CU) 20,000,000 20,047,408 20,047,408 20,023,795 Nil IE8. The fair value of the swap at various times during the period of the hedge is as follows. 1 Jan 20x1 31 Jan 20x1 1 Feb 20x1 28 Feb 20x1 31 Mar 20x1 Fair value (liability) (CU) Nil (47,408) (47,408) (23,795) Nil * The Example uses a swap as the hedging instrument. An entity may use forward rate agreements or other derivatives as hedging instruments. Accounting Treatment IE9. On 1 January 20x1, Entity A designates as the hedged item an amount of CU20 million of assets in the three-month time period. It designates as the hedged risk the change in the value of the hedged item (ie the CU20 million of assets) that is attributable to changes in LIBOR. It also complies with the other designation requirements set out in paragraphs 88(d) and AG119 of the Standard. IE10. Entity A designates as the hedging instrument the interest rate swap described in paragraph IE4. End of month 1 (31 January 20x1) IE11. On 31 January 20x1 (at the end of month 1) when Entity A tests effectiveness, LIBOR has decreased. Based on historical prepayment experience, Entity A estimates that, as a consequence, prepayments will occur faster than previously estimated. As a result it re-estimates the amount of assets scheduled into this time period (excluding new assets originated during the month) as CU96 million. IE12. The fair value of the designated interest rate swap with a notional principal of CU20 million is (CU47,408)* (the swap is a liability). IE13. Entity A computes the change in the fair value of the hedged item, taking into account the change in estimated prepayments, as follows. (a) First, it calculates the percentage of the initial estimate of the assets in the time period that was hedged. This is 20 per cent (CU20,000 ) CU100,000). (b) Second, it applies this percentage (20 per cent) to its revised estimate of the amount in that time period (CU96 million) to calculate the amount that is the hedged item based on its revised estimate. This is CU19.2 million. (c) Third, it calculates the change in the fair value of this revised estimate of the hedged item (CU19.2 million) that is attributable to changes in LIBOR. This is CU45,511 (CU47,408† × (CU19.2 million ÷ CU20 million)) * See paragraph IE8 † ie CU20,047,408 – CU20,000,000. See paragraph IE7. IE14. Entity A makes the following accounting entries relating to this time period: Dr Cash CU172,097 Cr Income statement (interest income)* CU172,097 To recognise the interest received on the hedged amount (CU19.2 million). Dr Income statement (interest expense) CU179,268 Cr Income statement (interest income) CU179,268 Cr Cash Nil To recognise the interest received and paid on the swap designated as the hedging instrument. Dr Income statement (loss) CU47,408 Cr Derivative liability CU47,408 To recognise the change in the fair value of the swap. Dr Separate balance sheet line item CU45,511 Cr Income statement (gain) CU45,511 To recognise the change in the fair value of the hedged amount. * This Example does not show how amounts of interest income and interest expense are calculated. IE15. The net result on profit or loss (excluding interest income and interest expense) is to recognise a loss of (CU1,897). This represents ineffectiveness in the hedging relationship that arises from the change in estimated prepayment dates. Beginning of month 2 IE16. On 1 February 20x1 Entity A sells a proportion of the assets in the various time periods. Entity A calculates that it has sold 8 per cent of the entire portfolio of assets. Because the assets were allocated into time periods by allocating a percentage of the assets (rather than individual assets) into each time period, Entity A determines that it cannot ascertain into which specific time periods the sold assets were scheduled. Hence it uses a systematic and rational basis of allocation. Based on the fact that it sold a representative selection of the assets in the portfolio, Entity A allocates the sale proportionately over all time periods. |
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6楼#
发布于：2012-02-15 16:04
Approval of Amendments to IAS 39 by the Board
These Amendments to International Accounting Standard 39 Financial Instruments: Recognition and Measurement - The Fair Value Option were approved for issue by eleven of the fourteen members of the International Accounting Standards Board. Professor Barth, Mr Garnett and Professor Whittington dissented. Their dissenting opinions are set out on the following page. Sir David Tweedie Chairman Thomas E Jones Vice-Chairman Mary E Barth Hans-Georg Bruns Anthony T Cope Jan Engström Robert P Garnett Gilbert Gélard James L Leisenring Warren J McGregor Patricia L O'Malley John T Smith Geoffrey Whittington Tatsumi Yamada Dissenting Opinions Dissent of Mary E Barth, Robert P Garnett and Geoffrey Whittington DO1. Professor Barth, Mr Garnett and Professor Whittington dissent from the amendment to IAS 39 Financial Instruments: Recognition and Measurement - The Fair Value Option. Their dissenting opinions are set out below. DO2. These Board members note that the Board considered the concerns expressed by the prudential supervisors on the fair value option as set out in the December 2003 version of IAS 39 when it finalised IAS 39. At that time the Board concluded that these concerns were outweighed by the benefits, in terms of simplifying the practical application of IAS 39 and providing relevant information to users of financial statements, that result from allowing the fair value option to be used for any financial asset or financial liability. In the view of these Board members, no substantive new arguments have been raised that would cause them to revisit this conclusion. Furthermore, the majority of constituents have clearly expressed a preference for the fair value option as set out in the December 2003 version of IAS 39 over the fair value option as contained in the amendment. DO3. Those Board members note that the amendment introduces a series of complex rules, including those governing transition which would be entirely unnecessary in the absence of the amendment. There will be consequential costs to preparers of financial statements, in order to obtain, in many circumstances, substantially the same result as the much simpler and more easily understood fair value option that was included in the December 2003 version of IAS 39. They believe that the complex rules will also inevitably lead to differing interpretations of the eligibility criteria for the fair value option contained in the amendment. DO4. These Board members also note that, for paragraph 9(b)(i), application of the amendment may not mitigate, on an ongoing basis, the anomaly of volatility in profit or loss that results from the different measurement attributes in IAS 39 any more than would the option in the December 2003 version of IAS 39. This is because the fair value designation is required to be continued even if one of the offsetting instruments is derecognised. Furthermore, for paragraphs 9(b)(i), 9(b)(ii) and 11A, the fair value designation continues to apply in subsequent periods, irrespective of whether the initial conditions that permitted the use of the option still hold. Therefore, these Board members question the purpose of and need for requiring the criteria to be met at initial designation. [*]In this Standard, monetary amounts are denominated in 'currency units' (CU) |
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7楼#
发布于：2012-02-15 16:04
(d) to comply with IAS 39, paragraph 50, an entity classifies a nonderivative financial asset or non-derivative financial liability in its opening IFRS balance sheet as at fair value through profit or loss if, and only if, the asset or liability was:
(i) … (iii) designated as at fair value through profit or loss at the date of transition to IFRSs. , for an entity that presents its first IFRS financial statements for an annual period beginning on or after 1 January 2006. (iv) designated as at fair value through profit or loss at the start of its first IFRS reporting period, for an entity that presents its first IFRS financial statements for an annual period beginning before 1 January 2006 and applies paragraphs 11A, 48A, AG4B-AG4K, AG33A and AG33B and the 2005 amendments in paragraphs 9, 12 and 13 of IAS 39. If the entity restates comparative information for IAS 39 it shall restate the comparative information only if the financial assets or financial liabilities designated at the start of its first IFRS reporting period would have met the criteria for such designation in paragraph 9(b)(i), 9(b)(ii) or 11A of IAS 39 at the date of transition to IFRSs or, if acquired after the date of transition to IFRSs, would have met the criteria in paragraph 9(b)(i), 9(b)(ii) or 11A at the date of initial recognition. For groups of financial assets, financial liabilities or both that are designated in accordance with paragraph 9(b)(ii) of IAS 39 at the start of the first IFRS reporting period, the comparative financial statements should be restated for all the financial assets and financial liabilities within the groups at the date of transition to IFRSs even if individual financial assets or liabilities within a group were derecognised during the comparative period. |
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8楼#
发布于：2012-02-15 16:04
Appendix: Amendments to other Standards
The amendments in this appendix shall be applied for annual periods beginning on or after 1 January 2006. If an entity applies the amendments to IAS 39 for an earlier period, the amendments in this appendix shall be applied for that earlier period. Amendments to IAS 32 Financial Instruments: Disclosure and Presentation Paragraph 66 is amended (new text is underlined and deleted text is struck through), as follows. 66. In accordance with IAS 1, an entity provides disclosure of all significant accounting policies, including the general principles adopted and the method of applying those principles to transactions, other events and conditions arising in the entity's business. In the case of financial instruments, such disclosure includes: (a) the criteria applied in determining when to recognise a financial asset or financial liability and when to derecognise it; (b) the basis of measurement applied to financial assets and financial liabilities on initial recognition and subsequently; and (c) the basis on which income and expenses arising from financial assets and financial liabilities are recognised and measured.; and (d) for financial assets or financial liabilities designated as at fair value through profit or loss: (i) the criteria for so designating such financial assets or financial liabilities on initial recognition. (ii) how the entity has satisfied the conditions in paragraph 9, 11A or 12 of IAS 39 for such designation. For instruments designated in accordance with paragraph 9(b)(i) of IAS 39, that disclosure includes a narrative description of the circumstances underlying the measurement or recognition inconsistency that would otherwise arise. For instruments designated in accordance with paragraph 9(b)(ii) of IAS 39, that disclosure includes a narrative description of how designation as at fair value through profit or loss is consistent with the entity's documented risk management or investment strategy (iii) the nature of the financial assets or financial liabilities the entity has designated as at fair value through profit or loss. Paragraph 94 is amended (new text is underlined and deleted text is struck through), as follows, and subparagraphs (g)-(j) are renumbered as (j)-(m). 94. … Financial assets and financial liabilities at fair value through profit or loss (see also paragraph AG40) … (e) An entity shall disclose the carrying amounts of financial assets and financial liabilities that: (i) financial assets that are classified as held for trading; and (ii) financial liabilities that are classified as held for trading; (iii) financial assets that were, upon initial recognition, were designated by the entity as financial assets and financial liabilities at fair value through profit or loss (ie those that are not financial instruments assets classified as held for trading). (iv) financial liabilities that, upon initial recognition, were designated by the entity as financial liabilities at fair value through profit or loss (ie those that are not financial liabilities classified as held for trading). (f) An entity shall disclose separately net gains or net losses on financial assets or financial liabilities designated by the entity as at fair value through profit or loss. (g) If the entity has designated a loan or receivable (or group of loans or receivables) as at fair value through profit or loss, it shall disclose: (i) the maximum exposure to credit risk (see paragraph 76(a)) at the reporting date of the loan or receivable (or group of loans or receivables), (ii) the amount by which any related credit derivative or similar instrument mitigates that maximum exposure to credit risk, (iii) the amount of change during the period and cumulatively in the fair value of the loan or receivable (or group of loans or receivables) that is attributable to changes in credit risk determined either as the amount of change in its fair value that is not attributable to changes in market conditions that give rise to market risk; or using an alternative method that more faithfully represents the amount of change in its fair value that is attributable to changes in credit risk. (iv) the amount of the change in the fair value of any related credit derivative or similar instrument that has occurred during the period and cumulatively since the loan or receivable was designated. (fh) If the entity has designated a financial liability as at fair value through profit or loss, it shall disclose: (i) the amount of change during the period and cumulatively in its the fair value of the financial liability that is not attributable to changes in a benchmark interest rate (eg LIBOR) credit risk; and determined either as the amount of change in its fair value that is not attributable to changes in market conditions that give rise to market risk (see paragraph AG40); or using an alternative method that more faithfully represents the amount of change in its fair value that is attributable to changes in credit risk. (ii) the difference between its the carrying amount of the financial liability and the amount the entity would be contractually required to pay at maturity to the holder of the obligation. (i) The entity shall disclose: (i) the methods used to comply with the requirement in (g)(iii) and (h)(i). (ii) if the entity considers that the disclosure it has given to comply with the requirements in (g)(iii) or (h)(i) does not faithfully represent the change in the fair value of the financial asset or financial liability attributable to changes in credit risk, the reasons for reaching this conclusion and the factors the entity believes to be relevant. … Paragraph AG40 is amended (new text is underlined and deleted text is struck through), as follows. AG40. If an entity designates a financial liability or a loan or receivable (or group of loans or receivables) as at fair value through profit or loss, it is required to disclose the amount of change in the fair value of the liability financial instrument that is not attributable to changes in a benchmark interest rate credit risk (eg LIBOR). Unless an alternative method more faithfully represents this amount, the entity is required to determine this amount as the amount of change in the fair value of the financial instrument that is not attributable to changes in market conditions that give rise to market risk. Changes in market conditions that give rise to market risk include changes in a benchmark interest rate, commodity price, foreign exchange rate or index of prices or rates. For contracts that include a unit-linking feature, changes in market conditions include changes in the performance of an internal or external investment fund. If the only relevant changes in market conditions for a financial liability are changes in an observed (benchmark) interest rate For a liability whose fair value is determined on the basis of an observed market price, this amount can be estimated as follows: (a) First, the entity computes the liability's internal rate of return at the start of the period using the observed market price of the liability and the liability's contractual cash flows at the start of the period. It deducts from this rate of return the observed (benchmark) interest rate at the start of the period, to arrive at an instrument-specific component of the internal rate of return. (b) Next, the entity calculates the present value of the cash flows associated with the liability using the liability's contractual cash flows at the start of the period and a discount rate equal to the sum of the observed (benchmark) interest rate at the end of the period and the instrument-specific component of the internal rate of return at the start of the period as determined in (a). (c) The amount determined in (b) is then adjusted decreased for any cash paid or received on the liability during the period and increased to reflect the increase in fair value that arises because the contractual cash flows are one period closer to their due date. (d) The difference between the observed market price of the liability at the end of the period and the amount determined in (c) is the change in fair value that is not attributable to changes in the observed (benchmark) interest rate. This is the amount to be disclosed. The above example assumes that changes in fair value that do not arise from changes in the instrument's credit risk or from changes in interest rates are not significant. If, in the above example, the instrument contained an embedded derivative, the change in fair value of the embedded derivative would be excluded in determining the amount in paragraph 94(h)(i). Amendments to IFRS 1 First-time Adoption of International Financial Reporting Standards Paragraphs 25A and 43A are amended (new text is underlined and deleted text is struck through), as follows. Designation of previously recognised financial instruments 25A. IAS 39 Financial Instruments: Recognition and Measurement (as revised in 2003) permits a financial instrument asset to be designated on initial recognition as available for sale or a financial instrument (provided it meets certain criteria) to be designated as a financial asset or financial liability at fair value through profit or loss or as available for sale. Despite this requirement exceptions apply in the following circumstances, (a) any entity is permitted to make such an available-for-sale designation at the date of transition to IFRSs. (b) an entity that presents its first IFRS financial statements for an annual period beginning on or after 1 September 2006 - such an entity is permitted to designate, at the date of transition to IFRSs, any financial asset or financial liability as at fair value through profit or loss provided the asset or liability meets the criteria in paragraph 9(b)(i), 9(b)(ii) or 11A of IAS 39 at that date. (c) an entity that presents its first IFRS financial statements for an annual period beginning on or after 1 January 2006 and before 1 September 2006 - such an entity is permitted to designate, at the date of transition to IFRSs, any financial asset or financial liability as at fair value through profit or loss provided the asset or liability meets the criteria in paragraph 9(b)(i), 9(b)(ii) or 11A of IAS 39 at that date. When the date of transition to IFRSs is before 1 September 2005, such designations need not be completed until 1 September 2005 and may also include financial assets and financial liabilities recognised between the date of transition to IFRSs and 1 September 2005. (d) an entity that presents its first IFRS financial statements for an annual period beginning before 1 January 2006 and applies paragraphs 11A, 48A, AG4B-AG4K, AG33A and AG33B and the 2005 amendments in paragraphs 9, 12 and 13 of IAS 39 - such an entity is permitted at the start of its first IFRS reporting period to designate as at fair value through profit or loss any financial asset or financial liability that qualifies for such designation in accordance with these new and amended paragraphs at that date. When the entity's first IFRS reporting period begins before 1 September 2005, such designations need not be completed until 1 September 2005 and may also include financial assets and financial liabilities recognised between the beginning of that period and 1 September 2005. If the entity restates comparative information for IAS 39 it shall restate that information for the financial assets, financial liabilities, or group of financial assets, financial liabilities or both, designated at the start of its first IFRS reporting period. Such restatement of comparative information shall be made only if the designated items or groups would have met the criteria for such designation in paragraph 9(b)(i), 9(b)(ii) or 11A of IAS 39 at the date of transition to IFRSs or, if acquired after the date of transition to IFRSs, would have met the criteria in paragraph 9(b)(i), 9(b)(ii) or 11A at the date of initial recognition. (e) for an entity that presents its first IFRS financial statements for an annual period beginning before 1 September 2006 - notwithstanding paragraph 91 of IAS 39, any financial assets and financial liabilities such an entity designated as at fair value through profit or loss in accordance with subparagraph (c) or (d) above that were previously designated as the hedged item in fair value hedge accounting relationships shall be de-designated from those relationships at the same time they are designated as at fair value through profit or loss. Designation of financial assets or financial liabilities 43A. An entity is permitted to designate a previously recognised financial asset or financial liability as a financial asset or financial liability at fair value through profit or loss or a financial asset as available for sale in accordance with paragraph 25A. The entity shall disclose the fair value of any financial assets or financial liabilities designated into each category at the date of designation and their classification and carrying amount in the previous financial statements. Basis for Conclusions In the Basis for Conclusions, paragraph BC63A is amended (new text is underlined and deleted text is struck through), as follows. Designation of previously recognised financial instruments BC63A IAS 39 (as revised in 2003) permits an entity to designate, on initial recognition only, a financial instrument as (a) available for sale (for a financial asset) or (b) a financial asset or financial liability at fair value through profit or loss (provided the asset or liability qualifies for such designation in accordance with paragraph 9(b)(i), 9(b)(ii) or 11A of IAS 39) or (b) available for sale. Despite this requirement, an entity that had already applied IFRSs before the effective date of IAS 39 (as revised in March 20042003) may (a) designate a previously recognised financial asset as available for saleon initial application of IAS 39 (as revised in March 20042003), or (b) designate a previously recognised financial instrument as at fair value through profit or loss in the circumstances specified in paragraph 105B of IAS 39., so designate a previously recognised financial instrument. The Board decided to treatthat the same considerations apply to first-time adopters in the same way as to entities that already apply IFRSs. Accordingly, a firsttime adopter of IFRSs may similarly designate a previously recognised financial instrument in accordance with paragraph 25A. at the date of transition to IFRSs. Such an entity is required to disclose the amount of previously recognised financial instruments that it so designates. Such an entity shall disclose the fair value of the financial assets or financial liabilities designated into each category at the date of designation and their classification and carrying amount in the previous financial statements. In paragraph IG56 of the Implementation Guidance, subparagraph (d)(iii) is amended (new text is underlined and deleted text is struck through) and (d)(iv) is added, as follows. Measurement IG56. … |
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9楼#
发布于：2012-02-15 16:03
Other matters
BC80. IAS 39 (as revised in 2000) contained an accounting policy choice for the recognition of gains and losses on available-for-sale financial assets - such gains and losses could be recognised either in equity or in profit or loss. The Board concluded that the fair value option removed the need for such an accounting policy choice. An entity can achieve recognition of gains and losses on such assets in profit or loss in appropriate cases by using the fair value option. Accordingly, the Board decided that the choice that was in IAS 39 (as revised in 2000) should be removed and that gains and losses on available-for-sale financial assets should be recognised in equity when IAS 39 was revised in 2003. BC80A. The fair value measurement option enables permits (but does not require) entities to measure financial instruments at fair value with changes in fair value recognised in profit or loss. Accordingly, it does not restrict an entity's ability to use other accounting methods (such as amortised cost). Some respondents to the Exposure Draft of proposed amendments to IAS 39 published in June 2002 would have preferred more pervasive changes to expand the use of fair values and limit the choices available to entities, such as the elimination of the held-to-maturity category or the cash flow hedge accounting approach. Although such changes have the potential to make the principles in IAS 39 more coherent and less complex, the Board did not consider such changes as part of thise project to improve IAS 39. Paragraphs BC81 and BC84 are amended (new text is underlined), as follows. BC81. Comments received on the Exposure Draft of proposed amendments to IAS 39 published in June 2002 also questioned the proposal that all items measured at fair value through profit or loss should have the descriptor 'held for trading'. Some comments noted that 'held for trading' is commonly used with a narrower meaning, and it may be confusing for users if instruments designated at fair value through profit or loss are also called 'held for trading'. Therefore, the Board considered using a fifth category of financial instruments - 'fair value through profit or loss' - to distinguish those instruments to which the fair value option was applied from those classified as held for trading. The Board rejected this possibility because it believed that adding a fifth category of financial instruments would unnecessarily complicate the Standard. Rather, the Board concluded that 'fair value through profit or loss' should be used to describe a category that encompasses financial instruments classified as held for trading and those to which the fair value option is applied. BC84. The Board also decided to include in IAS 39 (as revised in 2003) the ability for entities to designate a loan or receivable as available for sale (see paragraph 9). The Board decided that, in the context of the existing mixed measurement model, there are no reasons to limit to any particular type of asset the ability to designate an asset as available for sale. After paragraph BC84 the heading and paragraphs BC85 and BC86 are amended (new text is underlined and deleted text is struck through) and paragraph BC86A is added, as follows. Application of the Fair Value Option to a Component or a Proportion (Rather than the Entirety) of a Financial Asset or a Financial Liability BC85. Some comments received on the Exposure Draft of proposed amendments to IAS 39 published in June 2002 argued that the fair value measurement option should be extended so that it could also be applied to a portion component of a financial asset or a financial liability (eg changes in fair value attributable to one risk such as changes in a benchmark interest rate). The arguments included (a) concerns regarding inclusion of own credit risk in the measurement of financial liabilities and (b) the prohibition on using non-derivatives as hedging instruments (cash instrument hedging). BC86. The Board concluded that IAS 39 should not extend the fair value option to portions components of financial assets or financial liabilities. It was concerned (a) about difficulties in measuring the change in value of the portion component because of ordering issues and joint effects (ie if the portion component is affected by more than one risk, it may be difficult to isolate accurately and measure the portion component); (b) that the amounts recognised in the balance sheet would be neither fair value nor cost; and (c) that a fair value adjustment for a portion component may move the carrying amount of an instrument away from its fair value. The Board agreed to address separately the issue of cash instrument hedging. In finalising the 2003 amendments to IAS 39, the Board separately considered the issue of cash instrument hedging (see paragraphs BC144 and BC145). BC86A. Other comments received on the April 2004 Exposure Draft of proposed restrictions to the fair value option contained in IAS 39 (as revised in 2003) suggested that the fair value option should be extended so that it could be applied to a proportion (ie a percentage) of a financial asset or financial liability. The Board was concerned that such an extension would require prescriptive guidance on how to determine a proportion. For example if an entity were to issue a bond totalling CU100 million in the form of 100 certificates each of CU1 million, would a proportion of 10 per cent be identified as 10 per cent of each certificate, 10 million specified certificates, the first (or last) 10 million certificates to be redeemed, or on some other basis? The Board was also concerned that the remaining proportion, not being subject to the fair value option,could give rise to incentives for an entity to 'cherry pick' (ie to realise financial assets or financial liabilities selectively so as to achieve a desired accounting result). For these reasons, the Board decided not to allow the fair value option to be applied to a proportion of a single financial asset or financial liability. However, if an entity simultaneously issues two or more identical financial instruments, it is not precluded from designating only some of those instruments as being subject to the fair value option (for example, if doing so achieves a significant reduction in a recognition or measurement inconsistency, as explained in paragraph AG4G). Thus, in the above example, the entity could designate 10 million specified certificates if to do so would meet one of the three criteria in paragraph BC74. After paragraph BC86A the heading and paragraphs BC87-BC90 are amended (new text is underlined and deleted text is struck through), as follows. Own Credit Risk of Liabilities BC87. The Board discussed the issue of including changes in own the credit risk of a financial liability in the its fair value measurement of financial liabilities. It considered responses to the Exposure Draft of proposed amendments to IAS 39 published in June 2002 that expressed concern about the effect of including this component in the fair value measurement and that suggested the fair value option should be restricted to exclude all or some financial liabilities. However, the Board concluded that the fair value option could be applied to any financial liability, and decided not to restrict the option in the Standard (as revised in 2003) because to doing so would negate some of the benefits of the fair value option set out in paragraph BC74A. BC88. The Board considered comments on the same Exposure Draft that disagreed with the view that, in applying the fair value option to financial liabilities, an entity should recognise income as a result of deteriorating credit quality (and a loan expense as a result of improving credit quality). Commentators noted that it is not useful to report lower liabilities when an entity is in financial difficulty precisely because its debt levels are too high, and that it would be difficult to explain to users of financial statements the reasons why income would be recognised when an entity's a liability's creditworthiness deteriorates. These comments suggested that fair value should exclude the effects of changes in own the instrument's credit risk. BC89. However, the Board noted that because financial statements are prepared on a going concern basis, credit risk affects the value at which liabilities could be repurchased or settled. Accordingly, the fair value of a financial liability reflects the credit risk relating to that liability. Therefore, it decided to include credit risk relating to a financial liability in the fair value measurement of that liability for the following reasons: (a) entities realise changes in fair value, including fair value attributable to own the liability's credit risk, for example, by renegotiating or repurchasing liabilities or by using derivatives; (b) changes in credit risk affect the observed market price of a financial liability and hence its fair value; (c) it is difficult from a practical standpoint to exclude changes in credit risk from an observed market price; and (d) the fair value of a financial liability (ie the price of that liability in an exchange between a knowledgeable, willing buyer and a knowledgeable, willing seller) on initial recognition reflects the its credit risk relating to that liability. The Board believes that it is inappropriate to include credit risk in the initial fair value measurement of financial liabilities, but not subsequently. BC90. The Board also considered whether the portion component of the fair value of a financial liability attributable to changes in credit quality should be specifically disclosed, separately presented in the income statement, or separately presented in equity. The Board decided that whilst separately presenting or disclosing such changes might would often be difficult in practice, not be practicable because it might not be possible to separate and measure reliably that part of the change in fair value. However, it noted that disclosure of such information would be useful to users of financial statements and would help alleviate the concerns expressed. Therefore, it decided to include in IAS 32 to require a disclosure to help identify of the changes in the fair value of a financial liability that is not attributable to changes in a benchmark rate that arise from changes in the liability's credit risk. The Board believes this is a reasonable proxy for the change in fair value that is attributable to changes in the liability's credit risk, in particular when such changes are large, and will provide users with information with which to understand the profit or loss effect of such a change in credit risk. |
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