IFRS 9

On July 14, 2009, Draft ED / 2009/7 “Financial Instruments: Classification and Measurement” was published, comments on which were accepted until September 14, 2009. IFRS 9 “Financial Instruments” was released on November 12, 2009, which was supposed to take effect on 01.01.2013, but was postponed. On May 11, 2010, Draft ED / 2010/4, “Fair Value of a Financial Liability Option,” was issued, comments on which were collected before July 16, 2010. On October 28, 2010, IFRS 9 was reissued with new requirements for accounting for financial liabilities and the transfer from IAS 39 of the requirements for derecognition of financial assets and financial liabilities, planning to take effect on 01.01.2013, but was later canceled. On August 4, 2011, Draft ED / 2011/3 was released with the amendments IFRS 9 (2009) and IFRS 9 (2010), comments on which were accepted until October 21, 2011. On December 16, 2011, the effective date of January 1, 2015 and the transitional disclosure points (amendments from IFRS 9 and IFRS 7 ) were published. On November 28, 2012, Draft ED / 2012/4, Classification and Evaluation: Limited Amendments to IFRS 9, as amended by IFRS 9 (2010), comments on which were accepted until March 28, 2013, was published. On November 19, 2013, the IASB amended the general hedge accounting, postponing the entry date from 01/01/2015. On July 24, 2014, the IASB issued IFRS 9 “Financial Instruments” with a new model of expected impairment losses and changes in the classification and measurement requirements for financial assets, the date of entry into force of the standard 01.01.2018, replacing IAS 39 ^[2] .

In Russia, IFRS 9 “Financial Instruments” (revised on 08/26/2015) was adopted by order of the RF Ministry of Finance on 02.04. 2013 N 36n ^[3] .

The purpose of the standard is to establish the principles for the preparation and presentation of financial statements in terms of financial assets and liabilities, presenting relevant and useful information, evaluating the amount, timing and uncertainty of future cash flows ^[3] . The standard establishes requirements for the recognition and measurement, impairment, derecognition of the general hedging procedure, not replacing the requirements for accounting for macro hedging (hedging the fair value of the portfolio relative to the interest rate), as it is allocated to a separate project ^[1] . The standard establishes the principles for recognizing expected credit losses for the entire life of a financial instrument ^[4] .

The standard applies to all financial instruments, except ^[4] :

• interests in subsidiaries, associates and joint ventures that are regulated by IFRS 10 , IAS 27 , IAS 28 ;
• financial assets and employer retirement benefit obligations of IAS 19 ;
• insurance contracts and financial instruments regulated by IFRS 4 ;
• financial instruments, contracts and liabilities involving stock-based payments regulated by IFRS 2 .

Financial instruments - an agreement resulting in a financial asset for one party and a financial liability or equity instrument for the other ^[4] .

Financial assets - assets ( cash , equity instruments of another company, the right to receive cash or other financial assets, the right to benefit from the exchange of financial assets or liabilities, an agreement with the calculation of own equity instruments ^[4] .

A financial liability is an obligation to supply cash or other financial assets, exchange financial instruments on unfavorable conditions, and calculate the company's own equity instruments ^[4] .

Equity instrument - an agreement confirming the owner’s right to an appropriate share of the company's assets after repayment of all obligations ^[4] . Financial instruments are divided into ^[4] :

• Simple (or primary) financial instruments - traditional ones that are not derivative (receivables or payables, investments in securities, cash);
• Derivatives - a financial instrument whose value varies depending on fluctuations in the base variable (interest rates, prices of financial instruments, commodity prices, currency exchange rates, price index, etc.), and the acquisition requires initial investment and calculations are made in the future .

The amortized cost of a financial asset or financial liability is the initial cost of a financial asset or liability, adjusted for the effective interest rate ^[5] .

Credit risk - the risk that the company will not fulfill a certain obligation ^[5] .

Expected credit losses - the discounted value of the probable shortfall in cash (credit losses) over the expected life of the financial instrument ^[5] .

A financial asset at amortized cost is recognized as an asset if it is simultaneously performed ^[5] :

• Asset management takes place within the framework of a business model where cash flows are provided;
• the contractual terms of the financial asset determine the occurrence of cash flows (payments of the principal amount and interest on the outstanding principal amount).

At amortized cost is estimated ^[5] :

• the right to early repayment or extension of the contract;
• variable interest rate, including with an upper and / or lower limit;
• interest rate tied to the inflation index.

A financial asset at fair value is recognized as an asset while fulfilling ^[5] :

• the business model assumes both receipt of cash flows from the contract and from the sale of a financial asset;
• cash flow represents only payments of principal and interest on the outstanding principal amount.

At fair value are estimated ^[5] :

• instruments containing an element of financial leverage;
• instruments with an interest rate tied to stock indices or commodity prices;
• convertible bonds.

Financial liabilities are carried at fair value - a financial instrument that meets one of three criteria ^[4] :

• contains an embedded derivative;
• it is managed on a fair value basis;
• fair value measurements are used only to eliminate “accounting inconsistencies”.

Financial liabilities at amortized cost classify all financial liabilities with the exception of those that ^[4] :

• do not meet the definition of financial liabilities carried at fair value;
• They are not contingent consideration (they are measured at fair value, taking into account the profit and loss account under IFRS 3 );
• are not financial guarantee contracts and commitments to provide loans at lower than market rates (they are measured at the higher of the two amounts: the estimated allowance for expected credit losses or the initially recognized amount minus the total amount of income recognized in the statement of profit and loss under IFRS 15 )

The initial recognition of a financial asset or financial liability in the statement of financial position occurs when the company becomes a party to the contract and is measured at fair value, including transaction costs for the asset and excluding these costs for liabilities not measured at fair value through profit or lesion. The value of derivative financial instruments at the time of their initial recognition is zero ^[5] .

Transaction costs include legal fees, rewards to agents (including sales staff), consultants, brokers, fees and taxes, and do not include premiums or discounts on debt obligations, financing costs, internal administrative expenses or storage costs. At the time of initial recognition, the difference between the fair value and the transaction price is charged to the income statement ^[4] .

Subsequent measurement of financial instruments depends on their classification at the time of initial recognition. Financial assets are measured at amortized cost for impairment, which is determined as the difference between the carrying amount of the asset and the present value of estimated future cash flows calculated at the effective interest rate and is recognized in the income statement, but can be reversed, and the financial carrying amount is reversed. the asset does not exceed the amortized cost (whenever impairment was recognized). The amount of reversal is recognized in the financial result. The income statement reflects the result of derecognition of a financial asset, accrual of interest income using the effective interest method, which is charged taking into account transaction costs, including commissions received, and modifications of a financial asset in connection with a revision of the terms of the contract ^[5] .

A financial asset at fair value is carried in the statement of other comprehensive income and remeasured at each subsequent reporting date until they are derecognized. Impairment losses, foreign exchange differences and gains and losses arising from changes in fair value are recognized in the income statement in the period when they arise. On derecognition of financial assets, the accumulated gain or loss previously recognized in other comprehensive income is reclassified to the income statement. Interest calculated using the effective interest method is recognized in the income statement ^[4] .

A financial asset is measured at fair value through profit or loss under other conditions. Changes in the fair value of equity investments that are not held for the purpose of deriving benefit from changes in their fair value are recognized in other comprehensive income. In the event of an impairment, sale, or disposal of an investment, the accumulated income and expenses are not reclassified to profit or loss, but can be transferred within equity (to retained earnings) ^[4] .

Dividends received from investments that are measured at fair value through other comprehensive income are recognized in profit or loss unless they represent part of the cost of the investment ^[4] . Derivatives are always carried at fair value through profit or loss, except in cases of hedging ^[4] .

Fair value financial liabilities at fair value through profit or loss. The fair value is recognized in the statement of financial position and the change in fair value in the statement of profit or loss, except for the portion of the change in fair value relating to the company's own credit risk, which is recognized in other comprehensive income. After derecognition of an obligation, the amounts recognized in other comprehensive income are reclassified to retained earnings ^[4] .

Amortized cost financial liabilities are carried at amortized cost, and changes in value (including interest expense) are recognized in the income statement using the effective interest method. Amortization of financial liabilities is recognized in profit or loss. Gains or losses on the repayment of the initial financial liability are recognized in the statement of comprehensive income. Financial liabilities are not reclassified ^[4] .

At each reporting date, an allowance is created for the amount of expected credit losses for ^[4] :

• financial assets measured at amortized cost;
• financial assets at fair value through other comprehensive income;
• lease receivables;
• Assets and receivables under contracts with customers under IFRS 15 ;
• loan commitments;
• financial guarantees.

If the estimated allowance for expected credit losses is recognized in the amount equal to the expected credit losses for the entire period of the financial instrument, and in the current reporting period it has been found that the condition for a significant increase in credit risk after initial recognition is not fulfilled, then the company must recognize the estimated provision for 12-month expected credit losses. An impairment loss (or recovery of an impairment loss) is recognized in the income statement ^[4] .

When assessing a significant increase in credit risk at each reporting date, a financial asset compares the risk of default, where a delay of more than 90 days is considered default and a delay of 30 days is the occurrence of a significant increase in credit risk. A forecast is made for the future, and not past factual information ^[4] .

Indicators of a significant increase in credit risk ^[4] :

• significant changes in the expected performance and behavior of the borrower;
• actual or expected decrease in the borrower's internal credit rating;
• existing or projected changes in economic conditions in the market;
• a significant increase in credit risk for other financial instruments of the borrower;
• actual or expected increase in negative changes in the legislative or technological environment of the borrower;
• Significant changes in financial support from the parent company or other affiliate company.

Expected Credit Loss Model

Increase in credit risk since initial recognition ^[4] :

• Stage 1 : at the time of occurrence or acquisition of a financial instrument, an allowance is created for the amount of 12-month expected credit losses (the loss is recorded in the profit and loss statement), and the provision is written off (interest income) at the effective interest rate on the gross carrying amount.
• Stage 2 : in the event of a significant increase in credit risk, deterioration in the credit quality of a financial asset above the level of an asset with low credit risk, the estimated reserve increases to the amount of expected credit losses for the entire life of the financial asset, write-off of the reserve at the effective interest rate on the gross book value.
• Stage 3 : in the event of an increase in credit risk when a financial asset becomes credit-impaired (defaulted), an allowance is created for the entire life of the financial asset, and the provision is written off at the effective interest rate on the amortized cost (gross carrying amount minus the estimated allowance) .

A hedging instrument is a derivative financial instrument ( derivative ) and a non-derivative financial instrument (financial asset or financial liability), a component of a non-production financial asset or non-production financial liability, depending on currency risk.

Hedging operations are transactions concluded with the aim of reducing (insuring) the company's potential risks in relation to other concluded transactions or assets ^[4] .

A hedged item is an asset or liability under a contract, a highly probable forecast transaction or frequent investment in a foreign operation that ^[4] :

• являются для компании источником риска изменений справедливой стоимости или будущих денежных потоков
• определяются как хеджируемые статьи.

Учёт при хеджировании применяется только тогда, когда выполнены все условия (критерии для применения учёта хеджирования) ^[4] :

• с самого начала компания зафиксировала в своих внутренних документах своё намерение применять учёт при хеджировании;
• в хеджировании участвуют только инструменты хеджирования, отвечающие установленным требованиям и хеджируемые статьи;
• ожидается, что хеджирование будет высокоэффективное.

Условия высокоэффективного хеджирования ^[4] :

• хеджирование компенсирует риски изменения в справедливой стоимости или денежного потока
• показатель фактической эффективности лежит в диапазоне 80-125 %.

Хеджирование денежных потоков

При хеджировании денежных потоков, ожидаемая сделка (хеджируемая статья) отвечает условиям ^[4] :

• её совершение представляется высоковероятным;
• ей сопутствует риск изменений денежных потоков, влияющих на финансовый результат.
• постоянно проводится оценка хеджирования, в результате чего была устанавливается высокая эффективность на протяжении всего отчетного периода.

Эффективность хеджирования — это степень, в которой связанные с хеджируемым риском изменения в справедливой стоимости или денежных потоках по объекту хеджирования компенсируются изменениями в справедливой стоимости или денежных потоках по инструменту хеджирования ^[4] .

Стандарт рассматривает операции хеджирования и задаёт виды хеджирования ^[4] :

• хеджирование справедливой стоимости, когда доход или расход от переоценки инструмента хеджирования признается в отчете о совокупном доходе, а балансовая стоимость хеджируемой статьи корректируется на сумму изменений в её справедливой стоимости, связанных с хеджируемым риском, и соответствующий доход или расход признаются в отчете о совокупном доходе;
• хеджирование денежных потоков, когда часть доходов или расходов от инструмента хеджирования, признанная эффективной, подлежит признанию непосредственно в прочем совокупном доходе до даты реализации хеджированных денежных потоков;
• хеджирование чистых инвестиций в зарубежные подразделения учитывается как хеджирование денежных потоков.