CPA 115 hedge accounting 详细讲解 （粤语版）

Calvin_Mai

123極速惡補 - hedge accounting (1) - (5) (完)
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(1)

近呢一兩個月都有唔少朋友PM在下, 想問問關於hedge accounting既野. 同時我自己
做野呢度都有好多同事仔喊晒口咁嗌晒救命, 因為financial instruments甚至hedge
accounting好似都係第一次入special topic (無左share based payment同埋foreign
exchange).  其實, hedge accounting只係HKAS39入面既para 85 - 102, 但係同事
仔就話我聽CLP直頭將佢當係自己一個topic, 唔講仲以為出個個新standard齋講hedge
accounting.  仲要無past papers.  (其實有架, 我記得ACCA好似有, 請有心人自
己抄下啦) 換句話講, hedge accounting考硬.

先講句唔好意思, 但係因為近日真係好忙, 所以拖到而家先至有時間覆 (而家都仲
好忙架, 不過詐病放假), 希望大家趕得切溫書 (星期六考試係咪? Good luck!).
我之前望過下D CLP, hedge accounting後面既 practice question好似要計數, 睇
黎要一反常態, 老作D example出黎, 齋講無益.

雖然話係極速惡補, 但係講hedge accounting之前首先要從hedging講起 (畢竟羊毛
出自羊身上).

究竟點解要做對沖? 就係唔想因為未來既uncertainty而虧錢.  但係, 你係hedge
against your potential loss既同時, 同時間cap左自己既potential gain.  對沖
就係咁, 你係為左將來唔好虧損而將你自己可能既賺規既範圍去縮細.  呢個世界上
, 只有option係可以俾你一樣 "有限風險, 無限回報"既投資.  你首先一定要明白
點解要做對沖, 因為如果唔係既話以下所有野你會睇唔明.

比個例, 油價咁鬼貴, 如果你係國泰CFO, 你點都要買D期油去對沖下啦係咪? 如果
唔係高油價對你個cost影響好大. 無幾耐之前Goldman Sachs仲有條友 (就係3年話
油價會升穿1舊水個位神人, 個陣時油價仲做緊35蚊筒) 話油價會升穿兩舊水, 唔做
下對沖點得呀?

如果大家有抄過下窩輪期指既話, 你可能對呢一類衍生工具唔陌生, 唔識既朋友就
唔好意思啦, 因為呢堂係惡補, 所以我唔徙時間係呢D basic野度, 請自己搵料.
好, 講hedge accounting之前要講既, 仲有derivatives既accounting.  因為如果
唔識呢樣, 下面既基本上就唔洗睇落去. 時間關係, 我將之前一位朋友關於hedging既
PM問題既答案貼番出黎.  以下既例子係用forward contract, 即係到期個日先至進
行交收 (所謂既交收即係net settlement), 如果係期貨合約甚至係options既話其
實大致上差唔多, 因為derivatives as financial assets/ liabilities 都係classified
as fair value through P&L.

例子如下:

假設我今日買一張一年期既100萬歐羅forward contract (簡稱FC), 今日既spot rate係
12蚊, 一年後既forward rate係13蚊. 你張FD就會用13蚊個forward rate定價, 到
期日就用13蚊交收.

Forward contract既玩法通常都係一買一賣 - 比如話賣港紙買歐羅, 即係話你用港
紙去買歐羅.比如話到期個日, 如果歐羅個spot rate係貴過當初day 1既forward rate既
話, 理論上你只係需要用forward rate個價錢去買歐羅, 轉過手賣番就即賺個差價
. 但係實情係你唔洗真係用一大舊港紙係到期個日去同銀行買一舊歐羅返黎, 通常
銀行係會因應你張contract升左(或者跌左)幾多而去找數俾你(或者叫你找數). 換
句話講, 即係settlement on net basis (佢只係俾番個差價你/ 或者你俾番個差價
佢).

(有興趣既話你可以去問問自己banker D FC係點樣形式, 故不贅)
FC係derivative (即係Financial Asset at fair value through P&L), 所以第一
日當你買左張FC要recognise既時候, fair value應該係0蚊. 一條0蚊既entry好簡
單, 所以唔再多講 (我唔assume hedge accounting):

Dr  Financial asset - Forward contract       $0
     Cr   Financial liability - Forward contract   ($0)

好啦, 到年底(31/12)埋數, 假設仲有5個月到期, 咁你就要係年底個日, 問銀行究
竟5個月後既forward rate (唔係用spot rate架, 因為係計數之前都係唔會用到spot
rate) 係幾多, 而去計你張contract既FV. 假設歐羅升緊, 係呢日, 5個月後既forward
rate係13.5既話, 條entry就係:

Dr    Financial Asset - Forward Contract       $500K  (1,000,000 * [13.5-13.0])
       Cr   Fair value gain                                    ($500K)

你一定會(唔係, 應該話你一定要)明白點解forward rate升左你張forward contract係
FV gain, 如果唔明既話, 我根本就唔洗講forward contract, 因為我解釋極都係唔
會明.

好啦, 最後到期個日就會結算, 而當初我話你可以用forward contract gain去hedge你
歐羅上昇既原因, 就係因為到期個日(derecognise張forwrad contract既時候)係net
settlement. 到呢日你先至去睇個spot rate, 假設歐羅當日spot rate係13.6蚊既
話, 條entry就會係咁 (因為我懶, 所以將fair value gain同derecognition條entry夾
埋一齊做):

Dr   Cash                                            $600K
      Cr      Fair value gain                                      ($100K)
      Cr      Financial Asset - Forward contract           ($500K)

銀行會找$600K net數俾你. 即係話, 如果你今日要用13.6個spot rate去換歐羅既
話, 咪慳左$600K.  In substance你係用番當初同銀行定個forward rate, 即係13.0,
去兌換今日既歐羅 (13.6). 吊番轉, 如果張contract係fair value loss既話, 你
就嘔突

左出黎. 總言之, 無論賺虧, 你已經將自己個exchange rate cap左係13.0個個forward
rate.

當然, 係現實生活裡面, 銀行D forward contract一定係有個spread (因為要賺錢),
所以你個hedge一定唔會係perfect hedge, 不過, 雖不中亦不遠矣.
Forward contract大概就係咁玩.  D人好多時就係用forward contract去做cash flow
hedge, 雖然hedge accounting入數方法同以上好唔同, 不過in substance都係做緊
同一樣野.



Hedge accounting其實好多都係會用以上既一D derivatives去做hedging, 但係入
賬既時候, 表面睇黎可以同上面做既entries完全唔同, 甚至可以挑戰你對accounting
standard既認知. 究竟HKAS39入面呢17段有咩咁難? 答案係 - 無! 只要你明白hedging背
後既動機, hedge accounting其實唔難做, 只係極度麻煩 (basic個D梗係簡單, 係
覆雜個D先煩).

係你決定用咩fair value hedge定係cash flow hedge之前, 你首先要知道你要hedge
D咩 (hedge item), 用咩去hedge (hedging instrument), 先一而後二 (D definition我
唔去解啦, 自己睇standard啦).  第三樣要諗既先後可唔可以去做hedge accounting.
通常hedging instrument都係用derivatives, 所以如果你係用derivatives去hedge既
話, 除左written option之外基本上都無乜限制.

但係用non-derivatives既話情況就唔同, 因為除非你係hedge foreign exchange
risk (簡稱forex risk)你係唔可以用non-derivative financial asset/ liabilities.

即係話, 你可以用一舊bond去做hedging instrument, 但係只限於cash flow hedge
against forex risk, 同埋你舊bond本身可能會有price risk (點解? 入數係用effective
interest method質番舊amortised cost姐, 但係實際上, 只要出面個息口高過你個
coupon rate既話你舊bond既價格就會下跌, 呢D係finance, 唔再講), 要再整個舊
option去hedge against the price risk. (D乜risk乜risk個D都係係HKFRS7度出黎
, 唔知係咩請自己去睇)

至於hedged item. 基本上好多野都可以做hedged item, 只要舊野會subject to changes
in FV or future cash flow, 而你designate佢為hedged item就得? inventory得唔
得? 梗係得啦! Firm commitment亦得, 連forecast transaction (即係話你未來一
年後可能去買台機器番黎, 個個就係forecast transaction)都得.

但係有D野唔做得hedged item - equity method investment (即係associates, 用
equity method既JCE等), investment in subsidiaries, firm commitment to acquire
a business (但係可以做forex risk既hedging)呢D.

Held-to-maturity既financial instrument都唔可以做fair value hedge既hedge
item, 因為都話明要hold to maturity囉, FV郁唔關你事 (quoted bond到期日既價
格一定會係face value嘛), 但係可以做credit risk或者forex risk既hedging.
Intragroup transactions唔可以做hedged item, 因為係group level會eliminate晒
(除非eliminate唔晒), 但係係company level就可以做, group level勾番出黎架
姐.

[ 本帖最后由 Calvin_Mai 于 2010-4-21 00:12 编辑 ]

Calvin_Mai

(2)
究竟點樣先可以用hedge accounting?


88. A hedging relationship qualifies for hedge accounting under paragraphs
89-102 if, and only if, all of the following conditions are met.

(a) At the inception of the hedge there is formal designation and documentation
of the hedging relationship and the entity’s risk management objective
and strategy for undertaking the hedge. That documentation shall include
identification of the hedging instrument, the hedged item or transaction,
the nature of the risk being hedged and how the entity will assess the hedging
instrument’s effectiveness in offsetting the exposure to changes in the
hedged item’s fair value or cash flows attributable to the hedged risk.
(呢點係講緊你要有好多好多文件去寫明你點解要對沖, 對沖D乜, 用乜對沖等等)


(b) The hedge is expected to be highly effective (see Appendix A paragraphs
AG105-AG113) in achieving offsetting changes in fair value or cash flows
attributable to the hedged risk, consistently with the originally documented
risk management strategy for that particular hedging relationship. (你個
hedge基本上要真係hedge得到先好)

(c) For cash flow hedges, a forecast transaction that is the subject of
the hedge must be highly probable and must present an exposure to variations
in cash flows that could ultimately affect profit or loss. (呢個好簡單,
唔解)


(d) The effectiveness of the hedge can be reliably measured, i.e. the fair
value or cash flows of the hedged item that are attributable to the hedged
risk and the fair value of the hedging instrument can be reliably measured
(see paragraphs 46 and 47 and Appendix A paragraphs AG80 and AG81 for guidance
on determining fair value). (究竟你個對沖有幾effective? 要真係計到先得)

(e) The hedge is assessed on an ongoing basis and determined actually to
have been highly effective throughout the financial reporting periods for
which the hedge was designated. (你個hedge要不斷去睇實至好)



總之, fair value hedge要符合以上四點, cash flow hedge要符合五點, 因為 (c)
個點只係關CF hedge事. 符合到以上幾點, 就可以去玩hedge accounting.
先講fair value hedge, fair value hedge既精華就係晒呢一段度:


89. If a fair value hedge meets the conditions in paragraph 88 during the
period, it shall be accounted for as follows:

(a) the gain or loss from remeasuring the hedging instrument at fair value
(for a derivative hedging instrument) or the foreign currency component of its
carrying amount measured in accordance with HKAS 21 (for a non-derivative
hedging instrument) shall be recognised in profit or loss; and

(b) the gain or loss on the hedged item attributable to the hedged risk
shall adjust the carrying amount of the hedged item and be recognised in profit or loss.

This applies if the hedged item is otherwise measured at cost. Recognition
of the gain or loss attributable to the hedged risk in profit or loss applies
if the hedged item is an available-for-sale financial asset.


上面話, hedging instrument既gain/ loss自然就沖晒落P&L, 但係連hedged item既
gain/ loss 都沖埋落P&L. 即係話, 如果你既hedged item係一D inventory既話,
你可以完全無視HKAS 2個條 lower of cost or NRV rule, 總之個FV有乜風吹草動
就乜Q都沖晒落去P&L.

勁唔勁? 點解要咁樣做? 因為唔洗你做impairment囉, 雖然in substance你舊inventory係
write down左, 但係你既loss on inventory write down就俾你hedging instrument個
gain offset番, 對你個P&L無實質影響.

到呢度, 相信有好多人會問, 究竟點解要做呢D野? 陣間做埋個example你就會知道點
解. 其實hedge accounting本質都係離開business, 都係為左盤數 (特別係P&L) 睇
落靚D架姐, 你陣間就會知道點解.

到cash flow hedge:-

95. If a cash flow hedge meets the conditions in paragraph 88 during the
period, it shall be accounted for as follows:

(a) the portion of the gain or loss on the hedging instrument that is determined
to be an effective hedge (see paragraph 88) shall be recognised directly in
equity through the statement of changes in equity (see HKAS 1); and

(b) the ineffective portion of the gain or loss on the hedging instrument
shall be recognised in profit or loss.

以上就係話你聽如果用cash flow hedge既話, hedging instrument既gain/ loss就
落equity. 換言之, 無野落P&L. 如果你細心D既話你就會發現FV hedge個段係有講
到hedged item同埋hedging instrument, 但係CF hedge剩係講hedging instrument.

講多樣野, hedge effectiveness其實好緊要, 因為HKAS39話, hedge effectiveness要
係80 - 125%之內既先至叫effective, 如果你做得個hedge但係最後發現唔到呢個ratio既
話你就要勾番晒出黎架啦.

點解呢可? 睇下兩個既definition:-

86. Hedging relationships are of three types:

(a) fair value hedge: a hedge of the exposure to changes in fair value of
a recognised asset or liability or an unrecognised firm commitment, or an
identified portion of such an asset, liability or firm commitment, that
is attributable to a particular risk and could affect profit or loss.

(b) cash flow hedge: a hedge of the exposure to variability in cash flows
that (i) is attributable to a particular risk associated with a recognised asset or
liability (such as all or some future interest payments on variable rate debt) or
a highly probable forecast transaction and (ii) could affect profit or loss.

(c) hedge of a net investment in a foreign operation as defined in HKAS 21.

FV hedge既definition係好簡單, 你想hedge既野其實係changes in fair value.

總言之, 只要你驚舊asset或者liability既價格變動會影響到你, 你就用FV hedge.
CF hedge都係, 只要你擔心cash flow或者會因為某D原因而增多減少, 你就可以用
cash flow.

FV hedge最典型既例子就係你D inventory既價格.  比如話你賣金條 (假設當inventory入
), 金條既價格係海鮮價, 日日唔同.  HKAS 2叫你用lower of cost or NRV rule入
賬, 但係你唔係下下價格波動就走去write down架嘛, 唔通個價升番你就reverse?

如果係咁既話, 你P&L盤數一定勁過火山車.  Hedge accounting就係將呢個波幅offset左
, 你個bottom line就唔會郁得咁犀利.

CF hedge最典型既例子就係你係外國入左一台幾百萬甚至成千萬既機器, 要用歐羅
找數.  歐羅今日12蚊就好, 假設你下年找數, 歐羅變左14蚊點算? 我買台一千萬歐
羅既野, 到時咪要俾多兩千萬? CF hedge可以幫你hedge兌換率既浮動, 換言之就係
hedge against variability of cash flow (因為你可能俾多左或者少左錢出去).

呢個應該可以幫到你去決定究竟你應該用CF hedge定係FV hedge (所以話你黎到呢
點之前首先要知道你想hedge D乜同埋用咩去hedge)

細心D既朋友應該又睇到D野, 以上CF hedge既例子, 如果你想hedge係個台機器既FV既
話, 你亦都可以用FV hedge. 又係個句, 睇下你想hedge D乜架姐.

第三個(hedge of a net investment in foreign operations)其實只可以係CF hedge,
因為之前講過啦, investment in subsid個D唔可以hedge架嘛, 你只可以hedge against
forex risk (即係cash flow hedge).

換句話講 - FV hedge係容於你件asset/ liability既value (FV), 而CF hedge係用
於一D transaction上面, 所以係頭先CF hedge個段野入面你唔會見到講hedged item,
因為好多時都係講緊forecast transaction, 即係一D未發生既野.  FV hedge係由
day 1開始就一直係度做野, 但係CF hedge係你單transaction發生左之後先至開始
做野.

Calvin_Mai

(3)
好, 講多無謂, 睇例子:-

Fair Value hedge

假設我既生意係賣石油, 我有500蚊係個inventory度 (假設cost係25蚊既話我有20筒
).  今日既售價係30蚊筒, 但係我驚佢會跌得好勁 (可能跌到落10蚊, 我咪虧死?),
如果軻軼打唔俾我write down既話, 話係呢D短期波幅唔係objective evidence既話
我咪死得?

我可以係今日30蚊沽5張期油 (假設一張期油係用錢或者3筒交收...即係imperfect
hedge), 咁佢跌幾多我就賺幾多. 不過, 為左(大家)簡單起見, 我都係整張forward
contract一個月後賣晒20筒, 用28蚊一筒呢個價錢賣 (呢個係forward price).  我
用hedge accounting.

好, day 1乜entry都唔洗做, 因為derivative既initial cost係零.

好, 假設一個禮拜之後油價勁升到40蚊, 你到期日既forward price自然就都跟住升

到36蚊.你條entry就係咁入:

Dr     Inventory                                           $200
        Cr     FV gain on inventory                      ($200)      (20 * [$40 - $30])

見唔見到我用selling price去計個FV gain in inventory? 記住要selling price對
selling price咁去計個difference (because that's your change in fair value).
因為你已經唔係用HKAS2, 所以唔好理個cost.

另外一邊, 張forward contract就即係虧錢啦 (因為無論如何你都要用番28蚊個個
forward price賣嘛).

Dr    FV loss on forward contract                                  $160       (20* [$36 - $28])
             Cr      Financial liability - Forward contract                 ($160)

Inventory balance = 500 + 200 = $700, forward contract個balance =  ($160)

好, 我地去睇下個hedge effectiveness先. 其實要計好簡單, 你賺既同你虧既除一
除就得.  即係160/ 200 = 80%, 又或者 200/ 160 = 125%. 只要keep住係入面就OK架
啦.

好啦, 假設第三個禮拜D油價忽然勁跌, 跌到得番27蚊, 個forward price都跟住跌
跌到得番25蚊. Entries就係咁入:-

Dr          FV loss on inventory                         $260       (20* [$40 - $27])
              Cr   Inventory                                          ($260)

雖然你個inventory而家虧錢, 但係張forward contract就有賺:

Dr    Financial liability - Forward contract                     $220   (20* [$36 - $25])
               Cr     FV gain on Forward contract                       ($220)

Hedge effectiveness = 220/ 260 = 84.6% or 260/220 = 118%.

Inventory balance = $700 - $260 = $440, forward contract balance = (160) + 220 = $60
(即係financial liability變做financial asset).

好啦, 到期日找數, 油價當日係$29蚊. 我懶, 所以最後個條FV adjustment同derecognition撈
埋一齊做:-

Dr   FV loss on forward contract                       $80              (20 * [$29 - $25])
                Cr   Financial asset -   Forward contract       ($60)
                Cr   Cash                                                   ($20)

Inventory都做埋最後一條FV adjustment你就用$29呢個價錢賣石油:

Dr      Cash                          $580
            Cr      Sales                   ($580)        (20 * $29)

Dr   Cost of sales               $480
                 Cr    FV gain on inventory               ($40)        (20 * [$29 - $27])
                 Cr    inventory                               ($440)

GP = $580 - $480 = $100

如果無用hedge accounting, 用番當初個cost ($25)既話 (假設無得用HKAS2 write
down既話), GP = $580 - $500 = $80.

有無計過如果你係day 1就用海鮮價賣晒D石油既話GP係幾多? GP = $600 - $500 =
$100.

你又會問, 咁當初點解要用forward price? 點解後來無左件事? 等陣, 你睇下你張
forward contract先. 你Cr Cash個20蚊咪就係你張forward contract最終個FV loss囉
. 你試下將所有有forward contract既FV adjustment加埋一齊個net loss (Dr) 係
咪$20? 個forward price交收價一直都係28蚊, 但係到期個日個海鮮價係29蚊, 咁
你個FV loss咪係 20 * [$29 - $28] = $20囉. 唔係撞彩架, 係有數得計.

呢個係用hedge accounting既其中一個原因.  因為呢個價格變動最終會影響到P&L
(你去睇番個FV hedge個definition), 你做左hedge既話, 你個GP就keep住係100蚊
, 如果唔係你個GP就會跌.你個GP變得靚仔左, 但係就有FV loss, 所以bottom line都
係無變到. 其實D數一直都係度無消失過, 不過變左係第二個地方出現姐.

Calvin_Mai

(4)
幾時要停用FV hedge?


91. An entity shall discontinue prospectively the hedge accounting specified
in paragraph 89 if:

(a) the hedging instrument expires or is sold, terminated or exercised (for
this purpose, the replacement or rollover of a hedging instrument into another
hedging instrument is not an expiration or termination if such replacement
or rollover is part of the entity’s documented hedging strategy); (當你玩完要
找數同埋derecognise既時候)

(b) the hedge no longer meets the criteria for hedge accounting in paragraph
88; (當你個hedge唔能夠satisfy當初既qualifications個4點既時候)

or

(c) the entity revokes the designation. (當你唔想再玩既時候)


CF hedge玩法同FV hedge差唔多, 但係因為CF hedge主要都係hedge一D未來出現既
transactions, 所以係單transaction真係發生之前你只會有hedging instrument而
唔會有hedged item, hedging instrument既所有gain/ loss都會入equity (hedging
reserve)而唔係入P&L.

不過, firm commitment係一個例外. 係正常既會計角度, 你根本唔需要recognise一
個firm commitment (因為都未發生), 但係, 如果你用hedge accounting既話, HKAS39會
俾你recognise舊firm commitment做asset/ liability, 再一次挑戰你既會計常識.

請注意, 雖然上面話到ineffective portion of the hedge要入P&L (即係話如果你
個hedge effectiveness計出黎得80%或以下, 或者125%或以上, 突左出黎個忽 (比
如話 80% - 75% = 5%, 呢5%就係ineffective) 就要落P&L), 但係小心, 如果不斷
都係有ineffective portion既時候, 到時就唔好怪D軻軼打出手無情, 因為如果你
個hedge唔係highly effective既話就satisfy唔到hedge accounting個qualification,
係無得再用hedge accounting (請看下面).


96. More specifically, a cash flow hedge is accounted for as follows:

(a) the separate component of equity associated with the hedged item is
adjusted to the lesser of the following (in absolute amounts):

(i) the cumulative gain or loss on the hedging instrument from inception
of the hedge; and
(ii) the cumulative change in fair value (present value) of the expected
future cash flows on the hedged item from inception of the hedge;

(hedging reserve一係就係hedging instrument既gain/ loss, 一係就係hedge item既
gain/ loss, 兩者取較低個個)

(b) any remaining gain or loss on the hedging instrument or designated component
of it (that is not an effective hedge) is recognised in profit or loss;
and (唔effective既部份落P&L)

(c) if an entity’s documented risk management strategy for a particular
hedging relationship excludes from the assessment of hedge effectiveness a specific
component of the gain or loss or related cash flows on the hedging instrument
(see paragraphs 74, 75 and 88(a)), that excluded component of gain or loss
is recognised in accordance with paragraph 55.

(如果你本身根本唔做呢單野既hedge effectiveness既assessment既話, 咁gain/
loss既treatment就跟番hedging instrument本身個classification黎做.  唔好撈
亂, 呢個唔係完全唔做,完全唔做hedge effectiveness assessment係用唔到hedge
accounting, 通常都係因為你覺得呢類 forecast transaction太濕碎唔所以先唔做
架姐)


雖然係QP既層面可能都係考forecast transaction (即係hedge forex risk)既多,
不過亦都有其他類型既CF hedge.  如果你聽過interest rate swap既話, fixed-for-variable既
interest rate swap其實都係CF hedge既一種.

通常你單forecast transaction出現左之後你梗係會有D野走左出黎, 比如話你買左
一台機器或者一D inventory番黎 (即係results in recognition of a non-financial
asset/ liability or a firm commitment), 又或者買左D bond番黎 (results in
recognition of a financial asset/ liability).  CF hedge對於呢兩種又有唔同
既treatment:


97. If a hedge of a forecast transaction subsequently results in the recognition
of a financial asset or a financial liability, the associated gains or losses
that were recognised directly in equity in accordance with paragraph 95 shall be reclassified
into profit or loss in the same period or periods during which the asset acquired
or liability assumed affects profit or loss (such as in the periods that interest income
or interest expense is recognised). However, if an entity expects that all or a portion
of a loss recognised directly in equity will not be recovered in one or more future
periods, it shall reclassify into profit or loss the amount that is not expected to
be recovered.


(如果單forecast transaction既end result係financial asset/ financial liability既
話, 咁之前直接落左reserve既數就勾番晒落P&L.  視乎你單transaction啦, 如果
係一砲過recognise to P&L既話咁你就跟住一砲過沖, 如果係細水長流既你就跟住
細水長流.  收唔番番黎個D唔該即沖落P&L)


98. If a hedge of a forecast transaction subsequently results in the recognition
of a non-financial asset or a non-financial liability, or a forecast transaction
for a non-financial asset or non-financial liability becomes a firm commitment
for which fair value hedge accounting is applied, then the entity shall adopt (a)
or (b) below:

(a) It reclassifies the associated gains and losses that were recognised
directly in equity in accordance with paragraph 95 into profit or loss in the same period
or periods during which the asset acquired or liability assumed affects
profit or loss (such as in the periods that depreciation expense or cost of sales
is recognised). However, if an entity expects that all or a portion of a loss
recognised directly in equity will not be recovered in one or more future
periods, it shall reclassify into profit or loss the amount that is not
expected to be recovered.

(b) It removes the associated gains and losses that were recognised directly
in equity in accordance with paragraph 95, and includes them in the initial
cost or other carrying amount of the asset or liability.

99. An entity shall adopt either (a) or (b) in paragraph 98 as its accounting
policy and shall apply it consistently to all hedges to which paragraph 98 relates.


(如果單forecast transaction既end result係non-financial asset/ liability或
者firm commitment既話, 咁你有兩個選擇. (1) 將你個hedging reserve, 係舊non-financial
asset/ liability recognise to P&L既時候 (例如當佢depreciate既時候) 跟住續
忽續忽沖落P&L, 或者 (2) 你入埋當initial cost.  同樣, 收唔番既即沖落P&L.
不過, 兩者只能選其一, 仲要consistently apply至得)

Calvin_Mai

(5)
100. For cash flow hedges other than those covered by paragraphs 97 and 98,
amounts that had been recognised directly in equity shall be recognised
in profit or loss in the same period or periods during which the hedged forecast
transaction affects profit or loss (for example, when a forecast sale occurs).


(如果最後乜野都無recognise到既話就最簡單, 都係沖番落P&L.)

幾時要停用CF hedge? (我都唔知點解段野要長咁多, 其實講緊既野同上面FV hedge一
樣)


101. In any of the following circumstances an entity shall discontinue prospectively
the hedge accounting specified in paragraphs 95-100:

(a) The hedging instrument expires or is sold, terminated or exercised (for
this purpose, the replacement or rollover of a hedging instrument into another
hedging instrument is not an expiration or termination if such replacement
or rollover is part of the entity’s documented hedging strategy). In this
case, the cumulative gain or loss on the hedging instrument that remains recognised
directly in equity from the period when the hedge was effective (see paragraph
95(a)) shall remain separately recognised in equity until the forecast
transaction occurs. When the transaction occurs, paragraph 97, 98 or 100
applies.


(都係當你玩完既時候.  如果玩完既時候單forecast transaction仲未發生, 舊hedging
reserve就擺到佢發生為止, 跟住就一係慢慢reclass一係當initial cost)


(b) The hedge no longer meets the criteria for hedge accounting in paragraph
88.

In this case, the cumulative gain or loss on the hedging instrument that
remains recognised directly in equity from the period when the hedge was
effective (see paragraph 95(a)) shall remain separately recognised in equity
until the forecast transaction occurs. When the transaction occurs, paragraph
97, 98 or 100 applies.


(都係當個hedge satisfy唔到hedge accounting qualification個5點既時候. 同樣
, 如果當時單forecast transaction仲未發生, 舊hedging reserve就擺到佢發生為
止, 跟住就一係慢慢reclass一係當initial cost)


(c) The forecast transaction is no longer expected to occur, in which case
any related cumulative gain or loss on the hedging instrument that remains
recognised directly in equity from the period when the hedge was effective
(see paragraph 95(a)) shall be recognised in profit or loss. A forecast transaction
that is no longer highly probable (see paragraph 88(c)) may still be expected
to occur.


(你單forecast transaction係唔會發生架啦, 係咁既話就沖番落P&L.  最後個句好
得意, 係話你聽no longer highly probable唔等於no longer expected to occur,
因為前者只係代表你唔用得hedge accounting, 但係唔代表你舊hedging reserve要
即時勾番出黎, 即係兜番個圈講上面(b)個point)


(d) The entity revokes the designation. For hedges of a forecast transaction,
the cumulative gain or loss on the hedging instrument that remains recognised
directly in equity from the period when the hedge was effective (see paragraph
95(a)) shall remain separately recognised in equity until the forecast
transaction occurs or is no longer expected to occur. When the transaction
occurs, paragraph 97, 98 or 100 applies. If the transaction is no longer
expected to occur, the cumulative gain or loss that had been recognised
directly in equity shall be recognised in profit or loss.


(又係當你唔想玩既時候.  再一次提你, 如果當時單forecast transaction仲未發
生既話, 舊hedging reserve就擺到佢發生為止, 跟住就一係慢慢reclass一係當initial
cost.  當佢唔再發生就落P&L)

幾時都話D standard "尋"氣到死, 講完又講.

整個例子先:-

Cash Flow hedge

(呢個同上面既forward contract既入賬方法差唔多, 只係有少少唔同)
假設我同歐洲某公司買左一台機, 但係要三個月後先交貨找數, 價錢係一千萬歐羅
. 今日歐羅做緊12蚊 (即係1億2千萬), 但係我驚佢三個月係升到13蚊, 你睇下今日

美金又跌到新低, 到時13蚊既話我咪要俾多1,000萬?

所以, 我今日買左張1,000萬歐羅既forward contract (賣港紙買歐羅), 三個月後
交收, forward rate係12.3蚊.

(hedged item就係你單1,000萬歐羅既forecast transaction, 而你既hedging instrument自
然就係張forward contract.  因為你係hedge forex risk, 即係variability of cash
flow, 所以你呢個就係cash flow hedge去做hedge accounting.)

Day 1既entry就係一條0蚊既entry (假設張forward contract既initial cost係零
), 所以就唔洗入.

好, 比如話第一個月後, 到期日既歐羅forward rate升到$12.5, entry就係:

Dr      Financial asset - Forward contract           $2M        (10M * [12.5-12.3])
       Cr      Hedging reserve                                ($2M)

請注意, 係呢個時候係未有hedged item架, 因為你單forecast transaction仲未發
生.

咁hedge effectiveness點樣計? 其實係呢D簡單既例子入面, 你既FV gain on forward
contract (即increase in cash inflow) 其實會同個1000萬歐羅升值而產生既cash
outflow係一樣, 因為大家都係用同一個forward rate去compare.  當然, 係現實世
界裡面就好難perfect啦.

假設第二個月之後, 到期日歐羅既forward rate跌左, 得番12.1蚊:

Dr    Hedging reserve                      $4M                     (10M * [12.5 -12.1])
        Cr    Financial asset - forward contract   ($4M)

Financial asset變左financial liability, 個balance係 ($2M), hedging reserve個
balance就係 $2M.

好啦, 假設到期個日個spot rate係12.4蚊既話, derecognise forward contract:

Dr    Cash                                                         $1M
Dr    Financial liability - forward contract              $2M        
         Cr    Hedging reserve                                     ($3M)     (10M * [12.4 - 12.1])

Hedging reserve個balance係($1M)

跟住到你台機器入賬:

Dr            PPE                        $124M                   (EUR10M * 12.4)
        Cr                  Cash                 ($124M)

HKAS39話你而家有兩個choice, (1) 你可以將hedging reserve個 ($1M)入番台機既
initial cost入面:

Dr            Hedging reserve      $1M
                Cr        PPE                        ($1M)

假設台機既useful life係十年既話你條depreciation既entry就會係 $12.3M 一年
係咪?  ($123M / 10 = $12.3M)  條entry太簡單, 唔做啦.

(2) 你個hedging reserve亦可以跟住個depreciation一樣, 續年續年沖番落P&L.

價值$124M既機器每年既depreciation cost就會係 $124M / 10 = $12.4M, 每一年
既entry如下:

Dr            Depreciation expense             $12.3M
Dr            Hedging reserve                    $0.1M                  ($1M / 10)
                 Cr    PPE - accumulated depre.       ($12.4M)

In substance你台機器對你P&L既影響就唔再係每年$12.4M, 而係每年$12.3M. 即係
話, 你台機既實際價錢係 $123M (唔好唔記得你收左銀行$1M net settlement), 但
係因為個spot rate既關係你部機變左$124M, 所以cash flow hedge一來係經過張forward
contract幫你慳番$1M, 二來用hedging reserve去減少因為forex risk而對你既P&L做
成既影響.

我地再假設另一個情況 - 如果張forward contract係半年後交收既, 不過台機器係
第三個月已經到左仲俾埋錢 (即係話張forward contract仲未到期), 咁你就要將呢
三個月既hedging reserve個數一係質入initial cost一係慢慢沖, 但係剩番個三個
月, 張forward contract既gain/ loss就要落番P&L直至找數derecognise為止.

好, 極速惡補班係咁多先, good luck! (我都要開始做野)

Calvin_Mai

看完顿悟，比CPA的书好多了·····

[ 本帖最后由 Calvin_Mai 于 2010-4-21 22:29 编辑 ]

arthurliqun

灰长牛逼!

michaelbbc

看不懂，求牛人用简体解释下哈哈

oasisspirit

kan bu dong,  you pure English version de ma?

ozgo

同8楼, 看不懂

mmmm2

mark mark...

teesee

niu

cpastep

goods. thank you very much.

莎莎

绝对要收藏啦！第日考试可能有用！太佩服作者了～～

camiumiu

勁!!!我覺得寫cpa個本書ge人好有問題!!!

wateverulike

very cool .thanks for sharing

Goodday006

Thanks for sharing! Useful information!

148352142

厉害 哈哈
谢谢啦

rukawal

看不懂

dragon1628

WOW.....nice one! Thx!

qweasd

噢謝謝。。。

真係好過睇書。
仲有幾日考，希望吸收得晒。

cygrace

没有白话文的吗?

diaoni

Wooot...nei ho lan 7 q ging gum wor...  
hey ppl...u can use Google Chrome to read this and translate into other language...but i think some cantonese words cannot be tranlated properly

lelaliu

These translation is good.

电电驼

实在看得太费力了。。有哪位可以翻译成白话文不。。。呵呵。。。

rachelyan

cool

meatball

看着比英文还费解

diaoni

hmmm I'll translate it into pure english if i have time...

lucia_keroro

我第一次发现多看tvb剧的好处

ji009

写得也太好了太详细了～赞！