AC 和 FVOCI

依會計原則，金融資產會計處理共分成3類：透過損益按公允價值衡量之金融資產( FVPL)、透過其他綜合損益按公允價值衡量之金融資產(FVOCI)、按攤銷後成本衡量之金融資產(簡稱AC)

在 IFRS 9 下金融資產之分類方式，須考量金融資產之合約現金流量特性及企業管理金融資產之經營模式，公司或企業所持有之金融資產之會計處理下可分三類：

(1) 透過損益按公允價值衡量之金融資產( FVPL) ，在未賣出前，市價變動的評價損益（市價-帳列金額）計入當期損益計算

(2) 透過其他綜合損益按公允價值衡量之金融資產(FVOCI)：放在這個科目的股票、債券或基金，在未賣出前，市價變動的評價損益（市價-帳列金額）計入其他綜合損益計算。

(3) 按攤銷後成本衡量之金融資產(簡稱AC)：在以收取合約現金流量（本金及利息）為目的之經營模式下持有該金融資產，通常為債券工具投資 ，其因利率變動造成市場價格變動，無需計入損益表中，也不用評市場價格變動影響。不過依有效利率認列之利息收入、外幣兌換損益及（信用）減損損失係認列於當期損益。除列時，才將利益或損失（評價損益）列入當期損益。在未賣出前，市價變動的評價損益（市價-帳列金額）無需計入當期損益或其他綜合損益計算，因此市價變動並不會影響損益或淨值。

依會計原則，按攤銷後成本衡量之金融資產(AC)類係在以收取合約現金流量（本金及利息）為目的之經營模式下持有該金融資產，通常為債券工具投資 ，其因利率變動造成市場價格變動，無需計入損益表中。公司在編製財報將債券投資放AC類，則升息時因債券價格下跌所造成的資本損失，不用評估未實現損失；降息時因債券價格上升所產生的資本利得，也不會評估未實現收益。這也說明了AC類資產的市價變動並不會影響損益或淨值。

FVPL及FVOCI皆為為未實現損益，FVPL的直接計入當期損益計算，FVOCI類則計入其他綜合損益計算，並不會影響當期損益，但FVPL及FVOCI兩者皆會影響公司淨值。

因此，只要放在FVOCI類金額高，當升息使債券價格下跌、股市震盪使股價下滑，自然可能產生本期損益為正、但淨值大幅下降！倘若壽險公司大部分債券投資放ＡＣ類，則升息是不用評估未實現損失。

延伸閱讀》

(1) 為何各大壽險業狂買「金融特別股」停不下來，我可以買嗎？ 

(2)【金融特別股】王道銀甲特(2897A)，股息年利率４.25%，報酬率分析

(3)【金融特別股】國泰金甲特 (2882A) ，股息年利率3.80%，現在還能買嗎?

市場利率及儲蓄險專家黃大偉粉專，按讚收到更多好文章

IFRS9 会计新准则中规定了资产划分依据为合同现金流特征及业务模式。

关键词：资产负债表，利润表，损益，利率风险

---AC账户： 为收取合同约定的现金流。持有到期业务。

资产在持有期内不变，使用摊余成本法；票息收入计入利润表损益，持有期内不变。

因此，资产和损益都是不变的。

---FVPL账户： 为出售而持有金融资产。

资产要盯市计算；票息收入计入利润表收入，盯市损益直接计入利润表的“当期损益”科目，影响当期利润。

因此，资产与损益都是变化的。

---FVOCI账户：兼顾两种目的。

资产要盯市计算，资本公积要按照累计fair value进行扣减，计入资产负债表的“其他综合收益”科目，影响资本。票息收入不变同上。

因此，资产变化，利润损益不变。

Contents

• 1 Definition
  • 1.1 IFRS 9 Classification
• 2 Measurement
  • 2.1 FX gains or losses
• 3 Derecognition of Reclassification of FVOCI Instruments
• 4 Stress Testing Scope
  • 4.1 Market Risk
  • 4.2 Counterparty Risk
  • 4.3 Net Interest Income
  • 4.4 Impact on Capital
• 5 References

Definition

Fair Value through Other Comprehensive Income (FVOCI) is one of the three classification categories for financial assets under IFRS 9 that is applicable to particular simple debt instruments[1]

• Amortised Cost;
• fair value through other comprehensive income; or
• fair value through profit or loss (FVPL).

IFRS 9 Classification

A financial asset shall be measured at fair value through other comprehensive income if both of the following conditions are met:

• the financial asset is held within a Business Model whose objective is achieved by both collecting Contractual Cash Flows and selling financial assets and
• the contractual terms of the financial asset give rise on specified dates to cash flows that are Solely Payments of Principal and Interest (the SPPI condition) on the principal amount outstanding.

Measurement

The FVOCI measurement category recognises information in Profit and Loss as if the financial asset were measured at amortised cost (the amounts that are recognised in profit or loss are the same as the amounts that would have been recognised in profit or loss if the financial asset had been measured at amortised cost).

A gain or loss on a financial asset measured at fair value through other comprehensive income shall be recognised in other comprehensive income, except for

• impairment gains or losses (Section 5.5 of IFRS 9) and
• foreign exchange gains and losses (paragraphs B5.7.2–B5.7.2A of IFRS 9),

FX gains or losses

For the purpose of recognising foreign exchange gains and losses under IAS 21, a FVOCI asset is treated as a monetary item. Accordingly, it is treated as an asset measured at amortised cost in the foreign currency. Exchange differences on the amortised cost are recognised in profit or loss and other changes in the carrying amount are recognised in accordance with paragraph 5.7.10 of IFRS 9.

Derecognition of Reclassification of FVOCI Instruments

When a FVOCI asset is derecognised the cumulative gain or loss previously recognised in other comprehensive income is reclassified from equity to profit or loss as a reclassification adjustment (see IAS 1). If the financial asset is reclassified out of the fair value through other comprehensive income measurement category, the entity shall account for the cumulative gain or loss that was previously recognised in other comprehensive income in accordance with paragraphs 5.6.5 and 5.6.7. Interest calculated using the effective interest method is recognised in profit or loss.

Stress Testing Scope

Market Risk

Fair value positions (FVOCI and FVPL) are subject to the market risk approach for the assessment of PnL under regulatory stress testing[2]. The scope of the market risk stress methodology covers all positions under full or partial fair value measurement – i.e. positions in FVPL, FVOCI, and amortised cost positions being part of a hedge accounting relationship. This includes for example sovereign and securitisation exposures.

FVOCI items held for

• collecting contractual cash flows & selling financial assets or
• holding or selling equity position are all items measured at FVOCI that are not part of any hedge accounting relationship.

Counterparty Risk

For items that are measured at FVOCI and that would be subject to the impairment model of IFRS 9, all impacts from changes in the credit risk of counterparties should be measured at fair value and reported in OCI

Net Interest Income

All interest-earning or interest-paying positions across all accounting categories, including not only instruments subject to amortised cost measurement but also those subject to fair value measurement (such as FVOCI positions and FVPL positions, and hedge accounting instruments), are in the scope of this section

Impact on Capital

For items booked at fair value through other comprehensive income (“FVOCI”), fair value changes translate directly into capital (meaning that, e.g., a fair value loss would lead to a decrease in capital) but are recognised in the P&L account on the basis of the “staging” rules dictated by IFRS 9. Accordingly, it could be that no losses are recorded if a security experiences a drop in its fair value, but does not suffer a significant increase in credit risk[3]

References

1. ↑ IFRS Standard 9, Financial Instruments
2. ↑ 2018 EU-wide Stress Test - Methodological Note
3. ↑ How demanding and consistent is the 2018 stress test design in comparison to previous exercises? A.Resti