New PDF release: A Practical Guide to IFRS for Derivatives and Structured

By Graeme Tosen

ISBN-10: 1843742675

ISBN-13: 9781843742678

Graeme Tosen, the executive for technical accounting at HBOS Treasury companies in London, has written a step by step consultant to knowing and enforcing the hugely technical accounting ideas of the overseas monetary Reporting criteria (IFRS) that follow to derivatives and dependent finance.

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Additional resources for A Practical Guide to IFRS for Derivatives and Structured Finance

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No. You either have to separate the derivative or you are not allowed to. There is no option/choice provided in the standard. How are synthetic positions treated where the derivative is legally a separate contract? Where you have a separate debt contract and derivative, which is treated as one synthetic contract by the entity, you may not apply the embedded derivative rules. The embedded derivative rules only apply where a derivative is embedded in the terms of a hybrid contract. In the synthetic case here, each contract would be treated separately and the derivative will have to be classified as held-for-trading, even if the terms, risks and characteristics are closely related to the debt contract.

Disaster scenarios that are only remotely possible are not considered (an example provided in the standard is a run on the bank). How are the foreign exchange profits/losses treated? Exchange profits/losses on AFS securities that are denominated in a different currency than the reporting currency (not referring to consolidated entities where the AFS security is in the currency of the specific entity) are treated as follows. Exchange difference in income statement Amortised cost end-amount × Spot rate minus Amortised cost begin amount × Original rate minus Amortised interest transfer to income statement (see below) Recognised in equity reserve FV end-amount × Spot rate minus Amortised cost end-amount × Spot rate Amortisation interest transfer to income statement Difference between: Interest received × Average exchange rate and Interest as per EIR method × Average exchange rate Interest recognised As per amortised cost EIR method.

The bank would probably hedge its exposure to interest rates in the market by taking out a derivative and have separate funding measured at amortised cost. If the bank were allowed to split the derivative out, they would have no accounting mismatch (two derivatives at fair value and a loan to the customer and its funding at amortised cost). The embedded derivative rules would prohibit the separation of the derivative, which suggests that one derivative would have to be accounted for at amortised cost.

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A Practical Guide to IFRS for Derivatives and Structured Finance by Graeme Tosen

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