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[经验] CAS24-套期会计学习笔记2-预期有效性

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发表于 2020-4-24 13:52:36 | 显示全部楼层 |阅读模式
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CAS24:

第三章  套期关系评估
第十五条   公允价值套期、现金流量套期或境外经营净投资套期同时满足下列条件的,才能运用本准则规定的套期会计方法进行处理:
(一)套期关系仅由符合条件的套期工具和被套期项目组成。
(二)在套期开始时,企业正式指定了套期工具和被套期项目,并准备了关于套期关系和企业从事套期的风险管理策略和风险管理目标的书面文件。该文件至少载明了套期工具、被套期项目、被套期风险的性质以及套期有效性评估方法(包括套期无效部分产生的原因分析以及套期比率确定方法)等内容。
(三)套期关系符合套期有效性要求。
套期有效性,是指套期工具的公允价值或现金流量变动能够抵销被套期风险引起的被套期项目公允价值或现金流量变动的程度。套期工具的公允价值或现金流量变动大于或小于被套期项目的公允价值或现金流量变动的部分为套期无效部分。
第十六条   套期同时满足下列条件的,企业应当认定套期关系符合套期有效性要求:
(一)被套期项目和套期工具之间存在经济关系。该经济关系使得套期工具和被套期项目的价值因面临相同的被套期风险而发生方向相反的变动。
(二)被套期项目和套期工具经济关系产生的价值变动中,信用风险的影响不占主导地位。
(三)套期关系的套期比率,应当等于企业实际套期的被套期项目数量与对其进行套期的套期工具实际数量之比,但不应当反映被套期项目和套期工具相对权重的失衡,这种失衡会导致套期无效,并可能产生与套期会计目标不一致的会计结果。例如,企业确定拟采用的套期比率是为了避免确认现金流量套期的套期无效部分,或是为了创造更多的被套期项目进行公允价值调整以达到增加使用公允价值会计的目的,可能会产生与套期会计目标不一致的会计结果。
第十七条   企业应当在套期开始日及以后期间持续地对套期关系是否符合套期有效性要求进行评估,尤其应当分析在套期剩余期限内预期将影响套期关系的套期无效部分产生的原因。企业至少应当在资产负债表日及相关情形发生重大变化将影响套期有效性要求时对套期关系进行评估。
第十八条   套期关系由于套期比率的原因而不再符合套期有效性要求,但指定该套期关系的风险管理目标没有改变的,企业应当进行套期关系再平衡
本准则所称套期关系再平衡,是指对已经存在的套期关系中被套期项目或套期工具的数量进行调整,以使套期比率重新符合套期有效性要求。基于其他目的对被套期项目或套期工具所指定的数量进行变动基于其他目的对被套期项目或套期工具所指定的数量进行调整,不构成本准则所称的套期关系再平衡。
企业在套期关系再平衡时,应当首先确认套期关系调整前的套期无效部分,并更新在套期剩余期限内预期将影响套期关系的套期无效部分产生原因的分析,同时相应更新套期关系的书面文件。
根据本准则第十七条规定,企业应当持续地对套期有效性进行评价,并确保该套期关系在被指定的会计期间高度有效。常见的套期有效性评价方法主要有:(1)主要条款比较法;(2)比率分析法;(3)回归分析法等。

(一)主要条款比较法

主要条款比较法,是通过比较套期工具和被套期项目的主要条款,以确定套期是否有效的方法。如果套期工具和被套期项目的所有主要条款均能准确地匹配,可认定因被套期风险引起的套期工具和被套期项目公允价值或现金流量变动可以相互抵销。套期工具和被套期项目的“主要条款”包括:名义金额或本金、到期期限、内含变量、定价日期、商品数量、货币单位等。

(二)比率分析法

比率分析法,是通过比较被套期风险引起的套期工具和被套期项目公允价值或现金流量变动比率,以确定套期是否有效的方法。运用比率分析法时,企业可以根据自身风险管理政策的特点选择以累积变动数(即自套期开始以来的累积变动数)为基础比较,或以单个期间变动数为基础比较。
如果上述比率在80%至125%的范围内,可以认定套期是高度有效的。.

(三)回归分析法

回归分析法是在掌握一定数量观察数据基础上,利用数理统计方法建立自变量和因变量之间回归关系函数的方法。将此方法运用到套期有效性评价中,需要分析套期工具和被套期项目价值变动之间是否具有高度相关性,进而判断套期是否有效。运用回归分析法,自变量反映被套期项目公允价值变动或预计未来现金流量现值变动,因变量反映套期工具公允价值变动。相关回归模型如下:

条款比较法举例:
1.jpg

回归分析法举例及方法论:

套期有效性测试——回归分析法

对于套期会计预期有效性测试,我们根据对风险因素的假设,评估被套期项目和套期工具的现值变化。为了评估套期关系在指定期间的套期有效性,我们采用如回归分析的统计分析方法来支撑其对经济关系的评估。

◆ 方法论
回归分析是一个估计变量之间关系的统计方法。套期有效性测试的目标是确定由风险因子波动导致的未来被套期项目的价值变化和由其导致的未来指定套期工具的价值变化是高度相关,且相互抵消的关系。回归分析中因变量与自变量之间的线性关系可以表示为:

𝑌 = 𝛽0 + 𝛽1𝑋 + ℇ

其中,

• X 为自变量,即因指定风险导致的被套期项目公允价值变化量 ;
• Y 为因变量,即因指定风险导致的套期工具公允价值变化量;
• 𝛽0为 y 轴上的截距;
• 𝛽1为回归直线的斜率,反映套期工具与被套期项目公允价值变动的比率;
• ℇ为随机误差项,均值为零的随机变量,服从正态分布。

◆ 主要步骤
评价套期有效性的回归分析可分为三个主要步骤,总结如下:

• 步骤 1:确定回归分析的输入,即被套期项目和套期工具在不同情景下的公允价值变化。
• 步骤 2:根据输入的 X 和 Y 变量通过“最小二乘法”拟合归直线,“最小二乘法”
可以确定直线的斜率和截距,从而使观测到的 Y 和预测 Y 之间的平方差异最小化。与极大似然估计等其他方法相比,最小二乘估计更易于实现。
• 步骤 3:分析统计数据,确定是否满足套期有效性要求。

◆ 统计结果
下列三项统计结果必须达到可接受的水平,才能为经济关系的存在提供充分的证据,认为

套期有效:
• R-squared 大于等于 80%;
• 斜率近似等于-1,且通过 t 检验;
• 回归模型 F 检验的 p 值小于 0.05。

◆ 回归分析样本点
进行回归分析的第一步是获得输入项,即根据历史市场风险因子反应情况,利用与合约存
续期相对应期限的、指定风险因子导致的套期工具和被套期项目公允价值的变化量。其中,所
有回归分析中使用的样本点数目为 xx 个。

2.jpg

预期有效性的IFRS9结论基础
Qualifying criteria for hedge accountingEffectiveness assessment

[Refer: paragraphs 6.4.1(c) and B6.4.1]

BC6.230

To qualify for hedge accounting in accordance with IAS 39, a hedge had to be highly effective, both prospectively and retrospectively. Consequently, an entity had to perform two effectiveness assessments for each hedging relationship. The prospective assessment supported the expectation that the hedging relationship would be effective in the future. The retrospective assessment determined that the hedging relationship had been effective in the reporting period. All retrospective assessments were required to be performed using quantitative methods. However, IAS 39 did not specify a particular method for testing hedge effectiveness.

BC6.231

The term ‘highly effective’ referred to the degree to which the hedging relationship achieved offsetting between changes in the fair value or cash flows of the hedging instrument and changes in the fair value or cash flows of the hedged item attributable to the hedged risk during the hedge period. In accordance with IAS 39, a hedge was regarded as highly effective if the offset was within the range of 80–125 per cent (often colloquially referred to as a ‘bright line test’).

BC6.232

In the deliberations leading to the 2010 Hedge Accounting Exposure Draft, the IASB noted that it had received feedback on the hedge effectiveness assessment under IAS 39 from its outreach activities that accompanied those deliberations. The feedback showed that:


  • (a)

    many participants found that the hedge effectiveness assessment in IAS 39 was arbitrary, onerous and difficult to apply;

  • (b)

    as a result, there was often little or no link between hedge accounting and the risk management strategy; and

  • (c)

    because hedge accounting was not achieved if the hedge effectiveness was outside the 80–125 per cent range, it made hedge accounting difficult to understand in the context of the risk management strategy of the entity.



BC6.233

Consequently, in its 2010 Hedge Accounting Exposure Draft the IASB proposed a more principle-based hedge effectiveness assessment. The IASB proposed that a hedging relationship meets the hedge effectiveness requirements if it:


  • (a)

    meets the objective of the hedge effectiveness assessment (ie that the hedging relationship will produce an unbiased result and minimise expected hedge ineffectiveness); [Refer: paragraphs BC6.237−BC6.251] and

  • (b)

    is expected to achieve other than accidental offsetting. [Refer: paragraphs BC6.252−BC6.255]



BC6.234

Most respondents to the 2010 Hedge Accounting Exposure Draft supported the removal of the 80–125 per cent quantitative test. Those respondents also supported the IASB in avoiding the use of bright lines in hedge accounting generally and the move towards a more principle-based effectiveness assessment.

BC6.235

Only a few respondents disagreed with the proposal, largely because they believed that the quantitative threshold in IAS 39 was appropriate. They also believed that an approach that was completely principle-based would generate operational difficulties and would have the potential to inappropriately extend the application of hedge accounting.

BC6.236

The sections below elaborate on the IASB’s considerations.

The objective of the hedge effectiveness assessment

[Refer: paragraphs B6.4.9−B6.4.11

paragraph BC6.233(a)]

BC6.237

Traditionally, accounting standard-setters have set high thresholds [Refer: paragraph BC6.257] for hedging relationships to qualify for hedge accounting. The IASB noted that this resulted in hedge accounting that was considered by some as arbitrary and onerous. Furthermore, the arbitrary ‘bright line’ of 80–125 per cent resulted in a disconnect between hedge accounting and risk management. Consequently, it made it difficult to explain the results of hedge accounting to users of financial statements. To address those concerns, the IASB decided that it would propose an objective-based model for testing hedge effectiveness instead of the 80–125 per cent ‘bright line test’ in IAS 39. [Refer: paragraph BC6.252]

BC6.238

During its deliberations, the IASB initially considered an objective-based assessment to determine which hedging relationships would qualify for hedge accounting. The IASB’s intention was that the assessment should not be based on a particular level of hedge effectiveness. The IASB decided that, in order to avoid the arbitrary outcomes of the assessment under IAS 39, it had to remove, instead of just move, the bright line. The IASB held the view that the objective of the hedge effectiveness assessment should reflect the fact that hedge accounting was based on the notion of offset.

BC6.239

In accordance with the approach that the IASB initially considered, the effectiveness assessment would have aimed only to identify accidental offsetting and prevent hedge accounting in those situations. This assessment would have been based on an analysis of the possible behaviour of the hedging relationship during its term to ascertain whether it could be expected to meet the risk management objective. The IASB believed that the proposed approach would therefore have strengthened the relationship between hedge accounting and risk management practice.

BC6.240

However, the IASB was concerned that this approach might not be rigorous enough. This was because, without clear guidance, an entity might designate hedging relationships that would not be appropriate because they would give rise to systematic hedge ineffectiveness that could be avoided by a more appropriate designation of the hedging relationship and hence be biased. The IASB noted that the bright line of 80–125 per cent in IAS 39 created a trade-off when an entity chose a hedge ratio that would have a biased result, because that result came at the expense of higher ineffectiveness and hence increased the risk of falling outside that range. However, the IASB noted that the 80–125 per cent range would be eliminated by its proposals and therefore decided to extend its initial objective of the effectiveness assessment so that it also included the hedge ratio. Consequently, in its 2010 Hedge Accounting Exposure Draft, the IASB proposed that the objective of assessing the effectiveness of a hedging relationship was that the entity designated the hedging relationship so that it gave an unbiased result and minimised expected ineffectiveness.

BC6.241

The IASB noted that many types of hedging relationships inevitably involve some ineffectiveness that cannot be eliminated. For example, ineffectiveness could arise because of differences in the underlyings or other differences between the hedging instrument and the hedged item that the entity accepts in order to achieve a cost-effective hedging relationship. The IASB considered that when an entity establishes a hedging relationship there should be no expectation that changes in the value of the hedging instrument will systematically either exceed or be less than the change in value of the hedged item. As a result, the IASB proposed in its 2010 Hedge Accounting Exposure Draft that hedging relationships should not be established (for accounting purposes) in such a way that they include a deliberate mismatch in the weightings of the hedged item and of the hedging instrument. [Refer: paragraph B6.4.2]

BC6.242

However, many respondents to the 2010 Hedge Accounting Exposure Draft asked the IASB to provide further guidance on the objective-based effectiveness assessment, particularly on the notions of ‘unbiased result’ and ‘minimise expected hedge ineffectiveness’. Those respondents were concerned that the requirements, as drafted in the 2010 Hedge Accounting Exposure Draft, could be interpreted to be more restrictive and onerous than the bright line effectiveness test in IAS 39 and would be inconsistent with risk management practice. More specifically, those respondents were concerned that the objective of the hedge effectiveness assessment as drafted in the 2010 Hedge Accounting Exposure Draft could be interpreted as requiring entities to set up a hedging relationship that was ‘perfectly effective’. They were concerned that this would result in an effectiveness assessment that would be based on a bright line of 100 per cent effectiveness, and that such an approach:


  • (a)

    would not take into account that, in many situations, entities do not use a hedging instrument that would make the hedging relationship ‘perfectly effective’. They noted that entities use hedging instruments that do not achieve perfect hedge effectiveness because the ‘perfect’ hedging instrument is:


    • (i)

      not available; or

    • (ii)

      not cost-effective as a hedge (compared to a standardised instrument that is cheaper and/or more liquid, but does not provide the perfect fit).


  • (b)

    could be interpreted as a mathematical optimisation exercise. In other words, they were concerned that it would require entities to search for the perfect hedging relationship at inception (and on a continuous basis), because if they did not, the results could be considered to be biased and hedge ineffectiveness would probably not be ‘minimised’. [Refer: paragraph BC6.258]



BC6.243

In the light of the concerns about the use of hedging instruments that are not ‘perfectly effective’, the IASB noted that the appropriate hedge ratio was primarily a risk management decision instead of an accounting decision. When determining the appropriate hedge ratio, risk management would take into consideration, among other things, the following factors:


  • (a)

    the availability of hedging instruments and the underlyings of those hedging instruments (and, as a consequence, the level of the risk of differences in value changes involved between the hedged item and the hedging instrument);

  • (b)

    the tolerance levels in relation to expected sources of hedge ineffectiveness (which determine when the hedging relationship is adjusted for risk management purposes); and

  • (c)

    the costs of hedging (including the costs of adjusting an existing hedging relationship).



BC6.244

The IASB’s intention behind its proposal in the 2010 Hedge Accounting Exposure Draft was that an entity would choose the actual hedge basing its decision on commercial considerations, designate it as the hedging instrument and use it as a starting point to determine the hedge ratio that would comply with the proposed requirements. In other words, the IASB did not intend that an entity would have to consider the hedge effectiveness and related hedge ratio that could have been achieved with a different hedging instrument that might have been a better fit for the hedged risk if it did not enter into that hedging instrument.

BC6.245

The IASB also reconsidered the proposed objective of the hedge effectiveness assessment in the light of the concerns that it might result in a mathematical optimisation exercise. In particular, the IASB considered the effect of its proposal in situations in which a derivative is designated as a hedging instrument only after its inception so that it is already in or out of the money at the time of its designation (often colloquially referred to as a ‘late hedge’). The IASB considered whether the hedge ratio would have to be adjusted to take into account the (non-zero) fair value of the derivative at the time of its designation. This is because the fair value of the hedging instrument at the time of its designation is a present value. Over the remaining life of the hedging instrument this present value will accrete to the undiscounted amount (the ‘unwinding of the discount’). The IASB noted that there is no offsetting fair value change in the hedged item for this effect (unless the hedged item was also in or out of the money in an equal but opposite way). Consequently, in situations in which the derivative is designated as the hedging instrument after its inception, an entity would expect that the changes in the value of the hedging instrument will systematically either exceed or be less than the changes in the value of the hedged item (ie the hedge ratio would not be ‘unbiased’). To meet the proposed objective of the hedge effectiveness assessment an entity would need to explore whether it could adjust the hedge ratio to avoid the systematic difference between the value changes of the hedging instrument and the hedged item over the hedging period. However, to determine the ratio that would avoid that systematic difference, an entity would need to know what the actual price or rate of the underlying will be at the end of the hedging relationship. Hence, the IASB noted that the proposed objective of the hedge effectiveness assessment could be interpreted to the effect that, in the (quite common) situations in which an entity has a ‘late hedge’, the proposed hedge effectiveness requirements would not be met. This is because the entity would not be able to identify a hedge ratio for the designation of the hedging relationship that would not involve an expectation that the changes in value of the hedging instrument will systematically either exceed or be less than the changes in the value of the hedged item. The IASB did not intend this outcome when it developed its proposals in its 2010 Hedge Accounting Exposure Draft.

BC6.246

The IASB noted that the feedback about the requirement that the hedging relationship should minimise hedge ineffectiveness suggested that identifying a ‘minimum’ would involve considerable effort in all situations in which the terms of the hedging instrument and the hedged item are not fully matched. Hence, the requirement to minimise hedge ineffectiveness would bring back many of the operational problems of the hedge effectiveness assessment in IAS 39. Furthermore, regardless of the effort involved, it would be difficult to demonstrate that the ‘minimum’ had been identified.

BC6.247

The IASB noted that when it developed its 2010 Hedge Accounting Exposure Draft, it included the notions of ‘unbiased’ and ‘minimise expected hedge ineffectiveness’ to ensure that:


  • (a)

    entities would not deliberately create a difference between the quantity actually hedged and the quantity designated as the hedged item in order to achieve a particular accounting outcome; and

  • (b)

    an entity would not inappropriately designate a hedging relationship such that it would give rise to systematic hedge ineffectiveness, which could be avoided by a more appropriate designation.



The IASB noted that both aspects could result in undermining the ‘lower of’ test for cash flow hedges or achieving fair value hedge adjustments on a greater quantity of the hedged item than an entity actually hedged (ie fair value accounting would be disproportionately expanded compared to the quantity actually hedged).

BC6.248

Taking into account the responses to the 2010 Hedge Accounting Exposure Draft, the IASB decided to remove the terms ‘unbiased’ (ie no expectation that changes in the value of the hedging instrument will systematically either exceed or be less than the changes in the value of the hedged item such that they would produce a biased result) and ‘minimising expected hedge ineffectiveness’. Instead, the IASB decided to state, more directly, that the entity’s designation of the hedging relationship shall use a hedge ratio based on:


  • (a)

    the quantity of the hedged item that it actually hedges; and

  • (b)

    the quantity of the hedging instrument that it actually uses to hedge that quantity of hedged item.



BC6.249

The IASB noted that this approach has the following advantages:


  • (a)

    the use of the hedge ratio resulting from the requirement in this Standard provides information about the hedge ineffectiveness in situations in which an entity uses a hedging instrument that does not provide the best fit (for example, because of cost-efficiency considerations). The IASB noted that the hedge ratio determined for risk management purposes has the effect of showing the characteristics of the hedging relationship and the entity’s expectations about hedge ineffectiveness. This includes hedge ineffectiveness that results from using a hedging instrument that does not provide the best fit.

  • (b)

    it also aligns hedge accounting with risk management and hence is consistent with the overall objective of the new hedge accounting model.

  • (c)

    it addresses the requests from respondents to the 2010 Hedge Accounting Exposure Draft for clarification that the relevant hedging instrument to be considered in the hedge effectiveness assessment is the actual hedging instrument the entity decided to use.

  • (d)

    it retains the notion proposed in the 2010 Hedge Accounting Exposure Draft that the hedge ratio is not a free choice for accounting purposes as it was inIAS 39 (subject to passing the 80–125 per cent bright line test).



BC6.250

The IASB noted that the only situation open to abuse is if the entity purposefully (for risk management purposes) used a hedge ratio that would be considered ‘inappropriately loose’ from an accounting perspective, for example:


  • (a)

    if an entity uses an excess quantity of the hedging instrument it would have more costs and risks because of having more hedging instruments than needed to mitigate the risks resulting from the hedged items. However, from an accounting perspective, this would not lead to any advantage because it would create fair value changes for the hedging instrument that affect profit or loss for both fair value hedges and cash flow hedges. The result of an entity using an excess quantity of the hedging instrument would therefore solely be the presentation of fair value changes within profit or loss as hedge ineffectiveness instead of other or trading gains or losses. This would increase the hedge ineffectiveness in an entity’s financial statements while having no impact on overall profit or loss.

  • (b)

    if an entity uses a quantity of the hedging instrument that is too small it would leave, economically, a gap in its hedging. From an accounting perspective, this might create an advantage for fair value hedges if an entity wanted to achieve fair value hedge adjustments on a greater quantity of ‘hedged items’ than it would achieve when using an appropriate hedge ratio. In addition, for cash flow hedges, an entity could abuse the lower of test because the hedge ineffectiveness arising from the larger change in fair value on the hedged item compared to that on the hedging instrument would not be recognised. Consequently, even though using a ‘deficit’ quantity of the hedging instrument would not be economically advantageous, from an accounting perspective it might have the desired outcome for an entity.



BC6.251

The IASB noted that the potential for abuse, as illustrated above, was implicitly addressed in IAS 39 by the 80–125 per cent bright line of the retrospective hedge effectiveness assessment. Given its decision to remove that bright line (see paragraph BC6.237), the IASB decided to explicitly address this potential for abuse. As a consequence, this Standard requires that, for the purpose of hedge accounting, an entity shall not designate a hedging relationship in a manner that reflects an imbalance between the weightings of the hedged item and the hedging instrument that would create hedge ineffectiveness (irrespective of whether recognised or not) that could result in an accounting outcome that would be inconsistent with the purpose of hedge accounting.

Other than accidental offsetting

[Refer: paragraphs 6.4.1(c)(i) and (ii) and B6.4.4−B6.4.6

paragraph BC6.233(b)]

BC6.252

IAS 39 was based on a purely accounting-driven percentage-based bright line test (the 80–125 per cent range). This disconnected accounting from risk management (see paragraph BC6.237). Consequently, the IASB proposed replacing the bright line test with a notion that aims to reflect the way entities look at the design and monitoring of hedging relationships from a risk management perspective. Inherent in this was the notion of ‘other than accidental offsetting’. This linked the risk management perspective with the hedge accounting model’s general notion of offset between gains and losses on hedging instruments and hedged items. The IASB also considered that this link reflected the intention that the effectiveness assessment should not be based on a particular level of effectiveness (hence avoiding a new bright line).

BC6.253

Many respondents to the 2010 Hedge Accounting Exposure Draft asked the IASB to provide further guidance on the notion of ‘other than accidental offsetting’. Many also suggested that the IASB revise the proposed guidance by introducing a direct reference to the aspect of an economic relationship between the hedged item and the hedging instrument that was included in the application guidance proposed in the 2010 Hedge Accounting Exposure Draft.

BC6.254

The IASB noted that qualifying criteria that use terminology such as ‘other than accidental offsetting’ can be abstract. The feedback suggested that this makes the relevant aspects or elements of the hedge effectiveness assessment more difficult to understand. The IASB considered that it could address the respondents’ request and reduce the abstractness of this proposal by avoiding the use of an ‘umbrella term’ and instead making explicit all aspects that the requirement comprises. This would provide greater clarity and facilitate a better understanding of what aspects are relevant when assessing hedge effectiveness. [Refer: paragraph BC6.260]

BC6.255

Consequently, the IASB decided to replace the term ‘other than accidental offsetting’ with requirements that better conveyed its original notion:


  • (a)

    an economic relationship between the hedged item and the hedging instrument, which gives rise to offset, must exist at inception and during the life of the hedging relationship; and

  • (b)

    the effect of credit risk does not dominate the value changes that result from that economic relationship.



A ‘reasonably effective’ thresholdBC6.256

A few respondents suggested that the IASB could consider using a ‘qualitative threshold’ instead of a principle-based hedge effectiveness assessment. Those respondents believed that, in order to meet the hedge effectiveness criteria, a hedging relationship should be required to be ‘reasonably effective’ in achieving offsetting changes in the fair value of the hedged item and in the fair value of the hedging instrument.

BC6.257

The IASB noted that a ‘reasonably effective’ criterion would retain the threshold design of the effectiveness assessment that was used in IAS 39. The IASB considered that moving, instead of removing, the threshold would not address the root cause of the problem (see paragraph BC6.237). The suggested approach would instead only change the level of the threshold. The IASB considered that, even though the threshold would be of a qualitative nature, it would still create a danger of reverting back to a quantitative measure (such as the percentage range of IAS 39) in order for it to be operational. The IASB noted that similar concerns had been raised as part of the feedback to the 2010 Hedge Accounting Exposure Draft.

BC6.258

The IASB also noted that one of the major concerns that respondents had raised about the reference in the 2010 Hedge Accounting Exposure Draft to ‘unbiased result’ was that it could be perceived as requiring entities to identify the ‘perfect’ hedging instrument or that the entity’s commercial decision of which hedging instrument to actually use could be restricted or second guessed (see paragraph BC6.242).

BC6.259

The IASB considered that using a reference to ‘reasonably effective’ would give rise to similar concerns because it would raise the question of how much ineffectiveness that results from the choice of the actual hedging instrument is ‘reasonable’ (similar to the notion of ‘unbiased’ proposed in the 2010 Hedge Accounting Exposure Draft). The IASB was also concerned that this might have a particular impact on emerging economies because entities in those economies often have to transact hedging instruments in more liquid markets abroad, which means that it is more difficult for them to find a hedging instrument that fits their actual exposure than it is for entities in economies with those liquid markets.

BC6.260

Furthermore, the IASB was concerned that using the single term ‘reasonably effective’ would mingle different aspects, which would be tantamount to aggregating the different aspects of the effectiveness assessment that the IASB had considered (ie the economic relationship, the effect of credit risk and the hedge ratio). The IASB noted that it was clear from feedback received on its proposed objective of the hedge effectiveness assessment that a single term was too abstract if the notion described by that term included a number of different aspects (see also paragraph BC6.254).

BC6.261

Consequently, the IASB decided not to use a qualitative ‘reasonably effective’ threshold for assessing hedge effectiveness.

Frequency of assessing whether the hedge effectiveness requirements are met

[Refer: paragraph B6.4.12]

BC6.262

In the deliberations leading to the 2010 Hedge Accounting Exposure Draft, as a consequence of its proposed hedge effectiveness requirements, the IASB considered how frequently an entity should assess whether the hedge effectiveness requirements were met. The IASB decided that an entity should perform this assessment at the inception of the hedging relationship.

BC6.263

Furthermore, the IASB considered that an entity should assess, on an ongoing basis, whether the hedge effectiveness requirements are still met, including any adjustment (rebalancing) that might be required in order to continue to meet those requirements (see paragraphs BC6.300–BC6.313). This was because the proposed hedge effectiveness requirements should be met throughout the term of the hedging relationship. The IASB also decided that the assessment of those requirements should be only forward-looking (ie prospective) because it related to expectations about hedge effectiveness.

BC6.264

Hence, in the deliberations leading to the 2010 Hedge Accounting Exposure Draft, the IASB concluded that the reassessment of the hedge ratio should be performed at the beginning of each reporting period or upon a significant change in the circumstances underlying the effectiveness assessment, whichever comes first.

BC6.265

Given that the changes made to the proposed hedge effectiveness requirements when redeliberating the 2010 Hedge Accounting Exposure Draft did not affect the IASB’s rationale for its proposals for the frequency of the assessment, the IASB retained its original decision.

Method of assessing hedge effectiveness

[Refer: paragraphs B6.4.13−B6.4.19]

BC6.266

The method used to assess the effectiveness of the hedging relationship needs to be suitable to demonstrate that the objective of the hedge effectiveness assessment has been achieved. The IASB considered whether the effectiveness of a hedging relationship should be assessed on either a qualitative or a quantitative basis.

BC6.267

Hedging relationships have one of two characteristics that affect the complexity of the hedge effectiveness assessment:


  • (a)

    the critical terms of the hedged item and hedging instrument match or are closely aligned. If there are no substantial changes in the critical terms or in the credit risk of the hedging instrument or hedged item, the hedge effectiveness can typically be determined using a qualitative assessment.

  • (b)

    the critical terms of the hedged item and hedging instrument do not match and are not closely aligned. These hedging relationships involve an increased level of uncertainty about the degree of offset and so the effectiveness of the hedge during its term is more difficult to evaluate.



BC6.268

Qualitative hedge effectiveness assessments use a comparison of the terms of the hedged item and the hedging instrument (for example, the commonly termed ‘critical-terms-match’ approach). The IASB considered that, in the context of an effectiveness assessment that does not use a threshold, it can be appropriate to assess the effectiveness qualitatively for a hedging relationship for which the terms of the hedging instrument and the hedged item match or are closely aligned.

BC6.269

However, assessing the hedging relationship qualitatively is less effective than a quantitative assessment in other situations. For example, when analysing the possible behaviour of hedging relationships that involve a significant degree of potential ineffectiveness resulting from terms of the hedged item that are less closely aligned with the hedging instrument, the extent of future offset has a high level of uncertainty and is difficult to determine using a qualitative approach. The IASB considered that a quantitative assessment would be more suitable in such situations.

BC6.270

Quantitative assessments or tests encompass a wide spectrum of tools and techniques. The IASB noted that selecting the appropriate tool or technique depends on the complexity of the hedge, the availability of data and the level of uncertainty of offset in the hedging relationship. The type of assessment and the method used to assess hedge effectiveness therefore depends on the relevant characteristics of the hedging relationship. Consequently, in the deliberations leading to the 2010 Hedge Accounting Exposure Draft, the IASB decided that an entity should assess the effectiveness of a hedging relationship either qualitatively or quantitatively depending on the relevant characteristics of the hedging relationship and the potential sources of ineffectiveness. However, the IASB decided not to prescribe any specific method of assessing hedge effectiveness.

BC6.271

The IASB retained its original decisions when redeliberating its 2010 Hedge Accounting Exposure Draft.


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