適用IFRS 9避險會計對銀行利率風險管理之影響

2014年國際會計準則委員會推出國際報導準則（International Financial Reporting Standards, IFRS）第九號完整版，其中避險會計之部分有重大修改，相較於原先國際會計準則（International Accounting Standards, IAS）三十九號之規範更得貼近企業實際之風險管理實務，除了允許更多避險活動得適用避險會計，亦降低了適用避險會計之複雜度與困難度。自金融市場自由化及國際化後，商業銀行承受之風險不斷增加，該情形促使銀行必須建置良好之風險管理機制，而利用衍生工具對其暴險進行避險活動即是其一種風險管理之手段，故銀行也成為避險會計之主要使用者。而銀行營運所承受之眾多風險中，因銀行特殊之商業模式及避險工具取得之簡易性，利率風險更係於避險活動中最常被規避之風險之一。本研究主要介紹銀行利率風險管理與 IFRS 9 避險會計，將銀行對於利率風險管理之方法以及IFRS 9完整之避險會計規範作詳細說明，再將其互相連結，探討於適用 IFRS 9 避險會計後，對於銀行之利率避險活動及相關之會計處理會有何種影響。此篇研究選出與利率風險避險較為攸關之項目群組（包含淨部位）避險、彙總暴險以及沿用 IAS 39 利率組合之公允價值避險例外規範作深入解說，探討上述更動對於銀行風險管理及其避險會計之影響，並藉由準則介紹與釋例呈現加深讀者對於此部分避險會計之認識。

關鍵字

銀行；利率風險管理； IFRS9 ；避險會計

並列摘要

In 2014, International Accounting Standards Board (IASB) published the full version of International Financial Reporting Standards 9 (IFRS 9), which the hedge accounting component was significantly modified compared to the International Accounting Standards 39 (IAS39). The new standards are more applicable for practical risk management of entity, including allowing more risk management activities to apply to hedge accounting and reducing the complexity and difficulties. The liberalization and internationalization of the financial market have increased the risks borne by commercial banks. In this situation, banks should establish complete risk management systems to deal with them. As a result, the use of derivatives to hedge risks, an important means of risk management, have made banks a main users of hedge accounting. Among the many risks that banks bear, interest rate risk is one of the most frequently avoided risks in hedging activities because the business model of banks and interest rate risk hedging instruments are more accessible. This study focuses on interest rate risk management of banks and new hedge accounting standards, giving an overview of interest rate risk management technics of banks and requirements of IFRS9 hedge accounting. The study further links them to each other to explore the impact of bank interest rate hedging activities and related accounting treatments. This study selects the most related parts of bank interest rate risk in IFRS 9 hedge accounting, which includes hedging groups (including net position), aggregate exposure and the IAS 39 amendment to fair value hedge accounting for a portfolio hedge of interest rate risk, and discuss how these changes impact interest rate risk management and hedge accounting of banks. In addition, this research also tries to deepen reader’s understanding about these topics though illustrating with rules and examples.