Читать книгу Accounting for Derivatives - Ramirez Juan - Страница 18

One of the three requirements for a hedging relationship to qualify for hedge accounting is that “at the inception of the hedging relationship there is formal designation and documentation of the hedging relationship and the entity's risk management objective and strategy for undertaking the hedge”. The formal documentation must include the following:

• The entity's risk management objective and strategy for undertaking the hedge: an explanation of the rationale for contracting the hedge. This should include evidence that the hedge is consistent with the entity's risk management objectives and strategies.

• The type of hedge: fair value, cash flow, or net investment hedge.

• The nature of the risk being hedged: foreign exchange risk, interest rate risk, inflation risk, equity price risk or commodity price risk.

• The identification of the hedging instrument: its terms and how it will be fair valued.

• The identification of the hedged item: a sufficiently detailed explanation of the hedged item.

• For fair value hedges, the document must include the method for recognising in earnings the gains or losses in the fair value of the hedged item.

• If the hedged item is a forecasted transaction, the documentation should also include reference to the timing (i.e., the estimated date), the nature, and amount of the forecasted transaction. It also should include the rationale for the forecasted transaction being highly probable to occur and the method for reclassifying into profit or loss amounts deferred in equity (if the hedged item is other than an equity instrument at FVOCI).

• How the entity will assess whether the hedging relationship meets the hedge effectiveness requirements, including the method (or methods) used, its analysis of the sources of hedge ineffectiveness and how it determines the hedge ratio. The documentation shall be updated for any changes to the method, its hedge ratio, etc.

The following is an example of hedging relationship documentation for a highly expected foreign currency export transaction hedged with an FX forward.