Valoración y contabilidad de un swap de inflación como instrumento de cobertura bajo NIIF 9
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2024
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La contabilidad de coberturas permite reflejar en los estados financieros las operaciones de cobertura financieras, evitando asimetrías contables. Por ello, se ha revisado la Norma Internacional de Información Financiera 9, Instrumentos Financieros (en adelante, NIIF 9), con el fin de entender los requerimientos que deben cumplirse. Para clarificar esta normativa, se analiza un caso práctico sobre una cobertura contable de flujos de efectivo de un bono ligado a la inflación, cuya importancia ha aumentado en los últimos años. En este sentido, se ha escogido como instrumento de cobertura un swap de inflación con los típicos términos contractuales. Estos instrumentos financieros pueden suponer dificultades técnicas asociadas a su mecanismo de valoración. Además, existe cierta ambigüedad en la norma sobre la designación de la inflación como riesgo cubierto, pudiendo requerir de juicio profesional para una adecuada interpretación. Como conclusiones alcanzadas, se exponen los principales aspectos a considerar para poder aplicar contabilidad de coberturas, tales como la documentación inicial y la efectividad. En relación con el caso estudiado, se desprende la importancia de una correcta inclusión de la estacionalidad y otras variables particulares en el modelo de valoración.
Hedge accounting allows financial hedging transactions to be reflected in the financial statements, avoiding accounting asymmetries. Therefore, International Financial Reporting Standard 9, Financial Instruments (hereinafter IFRS 9), has been reviewed to understand the requirements that must be met. To clarify this standard, a case study on cash flow hedge accounting for an inflation linked bond, whose importance has increased in recent years, is presented. In this regard, an inflation swap with typical contractual terms has been chosen as the hedging instrument. These financial instruments may involve technical challenges related to their valuation mechanism. In addition, there is some ambiguity in the standard on the designation of inflation as a hedged risk, which may require professional judgment for proper interpretation. Key conclusions highlight the importance of initial documentation, effectiveness, and accurately incorporating seasonality and specific variables into the valuation model for applying hedge accounting.
Hedge accounting allows financial hedging transactions to be reflected in the financial statements, avoiding accounting asymmetries. Therefore, International Financial Reporting Standard 9, Financial Instruments (hereinafter IFRS 9), has been reviewed to understand the requirements that must be met. To clarify this standard, a case study on cash flow hedge accounting for an inflation linked bond, whose importance has increased in recent years, is presented. In this regard, an inflation swap with typical contractual terms has been chosen as the hedging instrument. These financial instruments may involve technical challenges related to their valuation mechanism. In addition, there is some ambiguity in the standard on the designation of inflation as a hedged risk, which may require professional judgment for proper interpretation. Key conclusions highlight the importance of initial documentation, effectiveness, and accurately incorporating seasonality and specific variables into the valuation model for applying hedge accounting.