By Graeme Tosen
Graeme Tosen, the chief for technical accounting at HBOS Treasury companies in London, has written a step by step advisor to knowing and enforcing the hugely technical accounting ideas of the overseas monetary Reporting criteria (IFRS) that observe to derivatives and established finance.
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Extra info for A Practical Guide to IFRS for Derivatives and Structured Finance
The first is the time value and intrinsic value of options, which can be split and only one of the elements used as the hedging instrument. The second is the interest element and spot price of a forward contract. • Hedging instruments cannot be designated for a portion of their lives. The entity must at the designation date designate the derivative for the entire remaining maturity at that date. • One instrument hedging more than one risk is allowed. For instance, the entity can therefore have a derivative hedging the interest rate risk and the foreign currency risk of a hedged item.
Sales or reclassifications that fall under one of the following would not set off the tainting rules. • They are so close to maturity or call date that changes in the market interest rate would not have a significant impact on the asset’s fair value (note the use of significant – again, this is undefined, but leaves room for management interpretation). • They occur after substantially all of the original principal of the asset has been collected (through scheduled payments or prepayments). • They are attributed to an isolated event beyond the entity’s control.
Applying macro or portfolio hedging. – What can be hedged? (p. 38) – What cannot be hedged? (p. 39) – Fair value hedge accounting for a portfolio of interest rate risk (p. 43). Hedging any portion of exposure to a specific type of risk. – What can be hedged? (p. 38) – What cannot be hedged? (p. 39) Hedging of general business risk. – What can be hedged? (p. 38) – What cannot be hedged? (p. 39) Hedging of a net asset and liability position. – What can be hedged? (p. 38) – What cannot be hedged? (p.
A Practical Guide to IFRS for Derivatives and Structured Finance by Graeme Tosen