摘要
在全球金融國際化及台灣金控版圖的激烈競爭中，國內金融業者近年來亟欲以購併擴大其市場佔有率，並以業務轉型以提昇營運體質及績效並創新研發新型金融商品。由於近年利率走低，結合傳統金融商品如存款、固定收益商品與衍生性商品的混合型金融商品因設計上可賦予較多彈性，較能符合投資人各種避險、投資、兼顧風險與獲利等各種投資需求，遂順勢應運而生。有鑑於新金融商品不斷增加，國內對金融商品會計認列與衡量更加重視，而財務會計準則公報第三十四號“金融商品之會計處理準則“也於九十二年底公佈並規定於九十五年起實施。此公報與國際財務會計準則39號(IAS39)以及美國財務會計準則FASB#133類似，對衍生性金融商品之會計處理有詳細規定。然而由於新金融商品的不斷推出，不論國際或國內公報也陸續修改以因應新商品更複雜的架構及其適當的會計表達。 本研究以國內三十四號公報及美國財務會計準則FASB第133號規定為主，針對混合型商品中嵌入式衍生性商品是否與主契約分離之判斷及其會計處理加以分析。由於目前流通於投資市場之金融商品中以結構式存款或債券最為盛行，其連結商品多樣化且複雜，會計處理之判斷有相當的困難。其中又以利率型嵌入式衍生性商品與主債券契約看似緊密關聯，較難立即判斷，而須以分離測試(Bifurcation Test)結果方可判定，故本研究希望以利率型商品為例，就其經濟特性探討決定分離測試(Bifurcation Test)之因素及其輸入數值，以建立明確之判斷模式。 另外本研究也探討分割與不分割處理後所產生之會計問題作分析說明，如︰當嵌入式衍生性商品與主契約無需分別入帳時，其會計處理與其避險交易所產生之會計的不一致(Accounting Breakage)；或當嵌入式衍生性商品與主契約分開入帳時，第一天交易利潤不得認列損益項目而需分攤至合約期間作為利息調整項。 雖然會計不一致的產生為損益認列期間的不同，其總收益在合約到期後並無差異，但財務會計若無法正確反應商品的經濟架構及風險值，對專業經營金融商品之機構在管理上便難以做正確的績效評估，財務報表的表達也未臻正確。在財務工程技術不斷開發創新，投資市場對新金融商品殷殷冀求的同時，財務會計是否能將複雜之金融商品適度拆解，以允當表達金融商品之真正結構，並將其公允價值反應於財務報表中，為當前財會人員所面臨之最大挑戰。
並列摘要
The Taiwan financial market has altered dramatically in the last decade, and is likely to continue to do so. The competitive environment formed a firm strategy for the financial holding companies of being globalization and obtaining market share through merger and acquisition. While in low interest rate financial market, innovated financial products constantly provided to investors to meet their requirements of yield enhancement or higher investment return. Those financial products include high-yield notes and principal-protected deposits. However, the accounting treatment in the past was not clearly defined in accounting policies in Taiwan; it raised concerns from equity investors on the adequacy of financial reporting and disclosure for those enterprises that engaged in derivative transactions. The Taiwan Accounting Research and Development Foundation (“ARDF”) has issued the Financial Accounting Standard No 34“Accounting for Financial Instruments“on Dec. 25, 2003, and announced the implementation date will be Jan 1, 2006. Similar to U.S. FASB 133 and IAS 39, it contains detailed guidance on accounting for derivatives products. For hybrid instrument, it also gives guidance of when a company is required to bifurcate an embedded derivative from host contract. However, for many situations, it is not clear that bifurcation is required. The judgment relies on the bifurcation test, also known as the “Double, Double” test. Given the complexity of structured products, the bifurcation analysis becomes more subjective for structured notes (deposits, bonds) that contain embedded interest rate derivatives. This thesis provides a framework to perform the bifurcation analysis for these embedded interest rate derivatives. It focuses on how to choose a benchmark rate, and what are available in the market to be chosen. The thesis also touched issues for transactions that are not bifurcated from host contract; such as the accounting breakage between the embedded derivative that is not required to bifurcate from host contract and the hedging derivatives; and, per Derivatives Implementation Group (“DIG”) issue B6 in US, the day-one profit from structured products has to be amortized over the life of product, the amortized profit and loss should be booked as yield adjustment. The accounting breakage derived from structured product is a financial reporting issue. It is about timing difference in recognition of profit under mark-to-market and accrual accounting method. It however could distort the economic risk of both trading book and accrual book. How to split a hybrid instrument into the right components, report the fair value appropriately and adequately disclose in the financial statement, is now the challenge to the financial people.