論混合型金融商品會計處理之研究－以利率型結構式存款為例
Date Issued
2005
Date
2005
Author(s)
楊郁民
DOI
zh-TW
Abstract
The Taiwan financial market has altered dramatically in the last decade, and is likely to continue to do so. The competitive environment formed a firm strategy for the financial holding companies of being globalization and obtaining market share through merger and acquisition. While in low interest rate financial market, innovated financial products constantly provided to investors to meet their requirements of yield enhancement or higher investment return. Those financial products include high-yield notes and principal-protected deposits. However, the accounting treatment in the past was not clearly defined in accounting policies in Taiwan; it raised concerns from equity investors on the adequacy of financial reporting and disclosure for those enterprises that engaged in derivative transactions.
The Taiwan Accounting Research and Development Foundation (“ARDF”) has issued the Financial Accounting Standard No 34“Accounting for Financial Instruments“on Dec. 25, 2003, and announced the implementation date will be Jan 1, 2006. Similar to U.S. FASB 133 and IAS 39, it contains detailed guidance on accounting for derivatives products. For hybrid instrument, it also gives guidance of when a company is required to bifurcate an embedded derivative from host contract. However, for many situations, it is not clear that bifurcation is required. The judgment relies on the bifurcation test, also known as the “Double, Double” test. Given the complexity of structured products, the bifurcation analysis becomes more subjective for structured notes (deposits, bonds) that contain embedded interest rate derivatives.
This thesis provides a framework to perform the bifurcation analysis for these embedded interest rate derivatives. It focuses on how to choose a benchmark rate, and what are available in the market to be chosen. The thesis also touched issues for transactions that are not bifurcated from host contract; such as the accounting breakage between the embedded derivative that is not required to bifurcate from host contract and the hedging derivatives; and, per Derivatives Implementation Group (“DIG”) issue B6 in US, the day-one profit from structured products has to be amortized over the life of product, the amortized profit and loss should be booked as yield adjustment.
The accounting breakage derived from structured product is a financial reporting issue. It is about timing difference in recognition of profit under mark-to-market and accrual accounting method. It however could distort the economic risk of both trading book and accrual book. How to split a hybrid instrument into the right components, report the fair value appropriately and adequately disclose in the financial statement, is now the challenge to the financial people.
Subjects
混合型商品
結構式債券
結構式存款
嵌入式衍生性商品
主契約
分離測試
Hybrid Instrument
Structured notes/Deposit
Embedded Derivatives
Host Contract
Bifurcation test
Accounting breakage
Day-one profit
Type
other
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