換匯換利避險會計之研究

Abstract

伴隨全球資本市場的發展，公司將換匯換利作為規避外匯及利率波動的避險工具日益增長。換匯換利又稱為雙率交換(cross-currency swap)，是一種用來避險的金融衍生工具，主要被避險項目係針對公司發行的外幣債。透過換匯換利，公司可以同時鎖定外幣債的本金及每期利息因匯率及利率的波動，達到公司風險管理的目的。 本論文針對換匯換利的避險會計提出七個說明釋例，主要探討在三種情境換匯換利的會計處理，包括完美避險、公司債存有信用價差，及換匯換利存有外幣基差等情況下，其相關的會計評價、分錄及財務報表。我國實施國際財務報導準則第9號金融工具(IFRS9)取代過去國際會計準則第39號金融工具：認列與衡量(IAS39)，其中外幣基差的避險會計處理部分與過去的處理方式有很大的不同，但國內幾乎沒有針對此部分做會計相關的探討，故本論文也希望可以藉此補足國內在這方面的會計文獻。

With the development of our global capital market, companies are increasing their use on cross-currency swaps (CCSs) as a hedging tool to avoid fluctuations in foreign exchange and interest rates. A cross-currency swap is a financial derivative often used in risk hedging for a company's foreign currency debt. Companies can simultaneously lock the fluctuations of both principal and interest rates of each period from foreign exchange risk and interest rate risk through a cross-currency swap, achieving its purposes of risk management. This research presents seven explanatory examples for hedge accounting of cross-currency swaps under three scenarios, including perfect hedge, the existence of credit spreads in corporate bonds, and the existence of basis spread in cross-currency swaps. Such examples will provide detailed explanations of its valuations, its journal entries, and its presentation on financial statements. Due to the lack of discussion on basis spread in cross-currency swaps, and the adoption of International Financial Reporting Standard No. 9 (IFRS9), in this research, we would like to shed light on those complicated transactions that are not yet widely discussed in the accounting field in Taiwan and provide more comprehensive knowledge on related issues.