IAS 39 Финансовые инструменты: признание и оценка
Источник: материалы с конгресса «Международные Стандарты Финансовой Отчетности ~ Переход на МСФО в России», 23-24 ноября 2004 г, Москва
Опубликовано: 16 сентября 2005

Financial Instruments Accounting

Underlying principles

Mixed attribute model

  • Amortised cost
  • Fair value


Hedge accounting

Impairment of loans

Underlying Principles

Financial instruments & derivatives are assets & liabilities

Fair value is most relevant measure for financial instruments, and is the only relevant measure for derivatives

Deferred losses are not assets

Deferred gains are not liabilities

Special accounting only for qualifying items

Classification of Financial Instruments

Financial assets

  • Held for trading (HFT)
  • Held to maturity (HTM)
  • Loans and receivables

Available for sale (AFS)

Financial liabilities

  • Held for trading (HFT)
  • Other

Financial Assets

Measure at fair value (changes in P&L)

  • Financial assets held for trading
  • All derivatives
  • Election at inception for all others

Measure at amortised cost

  • Held-to-maturity investments
  • Loans and receivables

Measure at fair value (changes in equity)

  • All others (except some unquoted equities)

Financial Liabilities

Measure at fair value (changes in P&L)

  • Financial liabilities held for trading
  • All derivatives
  • Election at inception for all others (change to old IAS 39)

Amortised cost

  • AII others

Definition of Fair Value

• Fair value:

> Is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arm's length transaction

• Best evidence:

> Quoted market price in active market

• No quote:

> Estimation techniques (similar instruments, DCF, option pricing models)

Derivatives Principles

Derivatives should be recognised

  • they create assets and liabilities

Derivatives should be measured at fair value

  • only relevant measurement attribute

cost is nil

are often highly leveraged

  • provides transparency about their use

Derivatives embedded in other assets or liabilities should be separated

Examples of Underlying Risks

Interest rate

Security price (equity, debt)

Commodity price

Foreign exchange rate

Credit rating

Scope exclusions:

  • Weather derivatives
  • Certain credit default products
  • Certain commodity contracts

Embedded Derivatives

Separate an embedded derivative if:

  • Economic characteristics and risks not closely related to the host insurance contract
  • Separate instrument meets the definition of a derivative
  • Combined instrument is not measured at fair value, with changes in fair value reported in P&L

Use fair value, with changes to P&L

Hedge Accounting

Need for hedge accounting

Existing requirements

Types of hedge:

  • Fair value hedge
  • Cash flow hedge
  • Hedge of net investment in foreign operations

Fair Value Hedge

Hedge of the exposure to changes in the fair value of a recognized asset or liability


  • Fixed rate debt hedged with a fixed/floating interest rate swap

Fair Value Hedge Accounting

Gain/loss on hedging instrument to net income

Gain/loss on hedged instrument attributable to hedged risk to net income AND adjust carrying amount of hedged item

Cash Flow Hedge

Hedge of exposure to variability in cash flows


  • Anticipated transactions in a foreign currency (e.g. anticipated sales or purchases) hedged with an FX forward contract

Cash Flow Hedge Accounting

Effective portion of gain/loss on hedging instrument recognised initially in equity

Subsequently, that amount is included in net income in the same period or periods during which the hedged item affects net income.