Gli strumenti finanziari

Agenda Strumenti finanziari Iscrizione iniziale e valutazione successiva Impairment Derecognition Hedge Accounting Derivati impliciti

Definizione di strumento finanziario Uno strumento finanziario è un contratto in grado di originare: - un’attività finanziaria per una delle parti - una passività finanziaria o uno strumento di capitale per l’altra Attività finanziaria Passività finanziaria Strumento di capitale Disponibilità liquide Strumento rappresentativo del capitale di un’altra entità Diritto contrattuale a ricevere disponibilità liquide o un’altra attività finanziaria o a scambiare attività o passività finanziarie con un’altra entità a condizioni potenzialmente favorevoli Alcuni contratti regolati con strumenti di capitale dell’entità stessa Obbligazione contrattuale a consegnare disponibilità liquide o altre attività finanziarie a un’altra entità o a scambiare attività o passività finanziarie con un’altra entità a condizioni potenzialmente sfavorevoli all’entità Alcuni contratti regolati con strumenti di capitale dell’entità stessa Contratto che rappresenta una partecipazione residua nell’attività dell’entità, dopo aver estinto tutte le passività. Instruments that meet the definition of financial instruments are in the scope of this standard, except for certain exceptions discussed later. Presenters may wish to choose an example of a financial asset or liability to demonstrate application of the above definitions. The term “contract” in the above definitions refer to an agreement between two or more parties that has clear economic consequences and that the parties have little, if any, discretion to avoid, usually because the agreement is enforceable by law. An example of an item not meeting the definition of a financial liability would be a tax liability, as it is not based on a contract. Contracts that will or may be settled in the entity’s own equity instruments may result in the recognition of a financial asset or a financial liability or in the recognition of an equity instrument (depending on the terms and conditions of the instrument). Recognition of equity is generally only appropriate if the entity has no contractual obligation to deliver cash and the instruments results in a fixed number of shares in exchange for a receiving a fixed amount of cash (detailled guidance is included in IAS 32.11 and15-27; additional guidance on compound financial instruments containing both equity and liability components and on accounting for treasury share transactions is available in IAS 32.28-.34). The definitions of a financial asset and a financial liability have been expanded to include some contracts that will or may be settled in the entity’s own equity instruments and there is guidance on derivative contracts on an entity’s own equity and liabilities. The Standard requires a derivative with settlement options to be classified as a financial asset or a financial liability unless all the settlement alternatives would result in equity classification, which is detailed further in this presentation. References: IAS 32.11-14, AG3-AG24 on definitions, IAS 32.15-27, AG25-AG29 on classification of equity and liability, IAS 32.28-.32, AG30-AG35 on compound financial instruments and IAS 32.33-.34, AG36 on accounting for treasury share transactions. For further guidance see also the Illustrative Examples accompanying IAS 32.

I contratti derivati Tra gli strumenti finanziari sono ricompresi anche i contratti derivati. I derivati sono contratti con le seguenti caratteristiche: Il loro valore cambia in relazione al cambiamento dello specifico sottostante Non richiedono un investimento netto iniziale o richiedono un investimento minore di quanto sarebbe richiesto da altri tipi di contratto Sono regolati ad una data futura The scope of the Standard is broad and covers all financial instruments, both primary (e.g. trade receivables) and derivatives (e.g. most options, forwards or swaps). The listed four categories of financial instruments will be examined in detail further in this presentation. These categories of financial assets and liabilities are mentioned here to introduce the idea. These will be revisited in a greater detail in the section on “Recognition and measurement”. The referred underlying is the source from which the derivative “derives” its value (e.g. an interest rate or foreign exchange rate). The requirement relating to no or little initial net investment has been interpreted to mean any amount that is less than the investment needed to acquire a primary financial instrument that has a similar response to market changes. A contract must have all of the three characteristics shown on the slide to meet the definition of a derivative. The definition of a derivative states that a contract will meet the definition of a derivative regardless of whether it is settled net or gross. Presenter may note that this differs from US GAAP which excludes contracts that are settled gross. In addition, the definition of a derivative under US GAAP also requires that the contract has a notional amount which is not required under IAS 39. Accordingly, a contract may meet the definition of a derivative under IAS 39 while it may not meet the definition of a derivative under FAS 133. Reference: IAS 39.9 on definitions

Principi di riferimento Gli strumenti finanziari sono prevalentemente trattati dallo IAS 39 per quanto riguarda la loro rilevazione e valutazione; per quanto riguarda invece l’esposizione delle informazioni relative a tali strumenti, il principio di riferimento è l’IFRS7. Gli strumenti finanziari rientranti nella definizione di strumenti di capitale ricadono invece nell’ambito di applicazione dello IAS 32. Lo IAS 39, nel paragrafo 2 infatti, definisce l’ambito di applicazione del principio, elencando le esclusioni specifiche, riportate nel seguito. The reasons for these exclusions are mainly to avoid overriding other existing standards. References: IAS 32.4-10 on scope IAS 39.2-7 on scope IAS 39.10-13 on embedded derivatives

Principi di riferimento (segue) Gli strumenti finanziari esclusi dall’ambito di applicazione dello IAS 39 e dei suoi successivi amendment sono: Partecipazioni in società controllate, collegate e sottoposte a controllo congiunto cui si applicano le disposizioni rispettivamente degli IAS 27, 28 e 31; Alcuni diritti e obbligazioni derivanti da contratti di leasing a cui si applica lo IAS 17; (ad eccezione di impairment, derecognition e dei derivati incorporati); Diritti e obbligazioni dei datori di lavoro contenuti nei piani relativi ai benefici per i dipendenti, ai quali si applica lo IAS 19; Strumenti finanziari emessi dall’entità che rientrano nella definizione di strumento rappresentativo di capitale dello IAS 32; Diritti e obbligazioni derivanti da contratti di assicurazione (IFRS 4); Accordi con corrispettivo subordinato ad eventi futuri in un’operazione di aggregazione aziendale (questa eccezione si applica solo all’acquirente) ; The reasons for these exclusions are mainly to avoid overriding other existing standards. References: IAS 32.4-10 on scope IAS 39.2-7 on scope IAS 39.10-13 on embedded derivatives

Principi di riferimento (segue) Strumenti finanziari, contratti e obbligazioni derivanti da transazioni che comportano il pagamento tramite forme di partecipazione al capitale (cui si applica l’IFRS 2); Alcuni contratti per l’acquisto o la vendita di uno strumento non finanziario (es. contratti su commodity); Contratti tra acquirente e venditore per la vendita/acquisto di una partecipazione ad una data futura (IFRS 3); Impegni all’erogazione di finanziamenti che non possono essere regolati “net in cash” o tramite la consegna di altro strumento finanziario. The reasons for these exclusions are mainly to avoid overriding other existing standards. References: IAS 32.4-10 on scope IAS 39.2-7 on scope IAS 39.10-13 on embedded derivatives

Agenda Strumenti finanziari Iscrizione iniziale e valutazione successiva Impairment Derecognition Hedge Accounting Derivati impliciti

Iscrizione iniziale Tutte le attività e le passività finanziarie, inclusi i derivati, devono essere rilevate nello stato patrimoniale quando l’entità diventa parte nelle clausole contrattuali dello strumento. Attività finanziarie @ “fair value del corrispettivo pagato” Passività finanziarie @ “fair value del corrispettivo ricevuto” Under the Standard, an entity is required to recognise a financial asset or liability on its balance sheet when, and only when, it becomes a party to the contractual provisions of the instrument. Financial assets and liabilities are initially measured at fair value. Usually this will be the same as the fair value of the consideration given (in the case of an asset) or received (in the case of a liability). However, if this is not the case, any difference is accounted for depending on the nature of the difference. Except where a financial asset or liability is classified at fair value through profit or loss, the amount initially recognised should include incremental costs and fees that are “directly attributable” to its acquisition or issue. This means that for items recorded at amortised cost, such expenses will be reflected in the effective yield (this point is further detailed later in the presentation). Where a transaction is not at fair value (either due to related party relationship or because it contains something else) there will be a “spare” debit or credit, which is income or expense unless it qualifies as an asset or liability. For example a low interest loan to employees: the employer (i.e. the lender) will record the loan at its fair value at inception and will expense the difference (arising on lower than market value) immediately. And the employer will accrete the resulting discount to bring the loan to its redemption amount through the income statement over the term of the loan using the effective interest rate method. Looking at the fair value measurement at inception of the financial liability (low interest loan receivable), the employer must use the market rate of interest for a similar loan to determine the imputed interest. Ref: IAS 39.9 on definitions IAS 39.14 on initial recognition IAS 39.43-44 on initial measurement I costi di transazione sono costi marginali che sono direttamente attribuiti all’acquisizione, all’emissione o alla dismissione di un’attività o di una passività finanziaria.

Categorie di attività finanziarie Categoria Definizione Attività finanziarie al fair value con contropartita Conto Economico Attività finanziarie acquisite a scopo di trading Derivati, esclusi quelli di copertura Attività finanziarie iscritte inizialmente in questa categoria Finanziamenti e crediti Attività finanziarie (diverse da strumenti derivati) caratterizzate da pagamenti fissi o determinabili che non siano quotate in mercati attivi Investimenti posseduti sino a scadenza Attività finanziarie con scadenza fissa e con pagamenti fissi o determinabili che un’entità ha intenzione e la capacità di mantenere sino alla scadenza Attività finanziarie disponibili per la vendita Tutte le attività finanziarie che non sono state classificate in un’altra categoria The Standard requires that financial assets are all classified into one of the four categories below, which dictate their subsequent measurement. Financial assets at fair value through profit or loss A financial asset is held for trading if acquired or originated principally for the purpose of generating a profit from short-term fluctuations in price or dealer’s margin or if it is part of a portfolio of identified instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking. In June 2005 the IASB issued an amendment limiting the Fair Value Option in IAS 39. The designation remains elective to the reporting entity (except for held for trading instruments). We elaborate on this amendment in later slides. Loans and receivables These typically arise when an entity provides money, goods or services directly to a debtor with no intention of trading the receivable. If the holder does not expect to recover substantially all its initial investment from a financial asset, other than because of credit deterioration, it cannot classify it as a loan or receivable. The definition of loans and receivables category includes purchased loans and receivables that are not quoted in an active market, as well as originated ones. This recognises the fact that originated and purchased loans are often managed together. At the same time it is clarified that an instrument that is quoted in an active market is not a loan or receivable. Held-to-maturity investments Equity securities cannot be classified as held-to-maturity (HTM) because they do not have a fixed maturity date. The intent and ability must be assessed not only when the assets are initially acquired but also at each subsequent balance sheet date. A positive intent to hold assets to maturity is a much higher hurdle than simply having no present intention to sell (see further details on the slide on reclassifications). Available-for-sale financial assets The available-for-sale category includes all equity securities other than those classified as at fair value through P&L. (It may also include quoted bonds that are not held for trading or held-to-maturity). This is essentially a residual category, but an entity also has the right to designate any asset, other than a trading one, to this category at inception. Ref: IAS 39.9 on definitions IAS 39. 45-46 on subsequent measurement of financial assets Insights 3.6.4 pages 264-270

Amendments to IAS 39 Adottato con Regolamento n Amendments to IAS 39 Adottato con Regolamento n. 1004/2008 del 15 ottobre dell’Unione Europea Le modifiche allo IAS 39 consentono la riclassifica di talune attività finanziarie (esclusi derivati), iscritte inizialmente nella categoria “fair value rilevato a conto economico”, fuori dal comparto di negoziazione, in particolare: Per le attività che presentano le caratteristiche di “finanziamenti e crediti” la riclassificazione può avvenire se l’entità ha l’intenzione e la capacità di possedere l’attività finanziaria nel prevedibile futuro o fino a scadenza; Per le attività che non hanno le caratteristiche indicate nel bullet precedente (i.e. azioni) la riclassificazione può avvenire solo in rare circostanze: lo IASB identifica nella crisi dei mercati finanziari una “rara circostanza” che possa giustificare tale riclassificazione. Viene inoltre consentito di riclassificare un’attività finanziaria inizialmente iscritta fra gli AFS e che possiede le caratteristiche di finanziamento e credito fra i L&R. The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Amendments to IAS 39 Adottato con Regolamento n Amendments to IAS 39 Adottato con Regolamento n. 1004/2008 del 15 ottobre dell’Unione Europea HTM FVTPL L&R AFS 50B Trading Designated 50D 50D 50B û Derivatives Non- derivatives û ü Other Loans and receivables Paragraphs: 50B = only in rare circumstances 50D = intention and ability to hold for foreseeable future or until maturity

Amendments to IAS 39 Adottato con Regolamento n Amendments to IAS 39 Adottato con Regolamento n. 1004/2008 del 15 ottobre dell’Unione Europea AFS L&R Loans and receivables Other ü Paragraph: 50F = intention and ability to hold for foreseeable future or until maturity

Amendments to IAS 39 (segue) Adottato con Regolamento n Amendments to IAS 39 (segue) Adottato con Regolamento n. 1004/2008 del 15 ottobre dell’Unione Europea In caso di riclassificazione il nuovo costo dell’attività riclassificata risulta essere il FV alla data della riclassifica. Nel caso la riclassifica riguardi attività precedentemente iscritte fra gli AFS, l’eventuale riserva di patrimonio netto sarà contabilizzata in accordo con quanto disposto dallo IAS 39.54, ovvero: se l’attività ha una scadenza fissa, gli utili e/o le perdite devono essere ammortizzati a conto economico lungo la durata residua dell’investimento secondo il tasso dell’interesse effettivo; se l’attività non ha una scadenza fissa, gli utili e/o perdite devono rimanere iscritti a patrimonio netto fino alla vendita dell’attività finanziaria. Tali modifiche sono applicabili dal 1 luglio 2008 se la riclassifica è effettuata entro il 31 ottobre 2008; dopo tale data non è prevista un’applicazione retroattiva. The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Categorie di passività finanziarie Categoria Definizione Passività finanziarie al fair value con contropartita Conto Economico Passività finanziarie di trading Passività finanziarie classificate al fair value con imputazione al Conto Economico Altre passività finanziarie – al costo ammortizzato Tutte le passività finanziarie che non sono classificate al fair value con imputazione al Conto Economico The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Future evoluzioni dello IAS 39 exposure draft IAS 39 - luglio 2009 Riduzione delle categorie di attività finanziarie dalle attuali 4 a solo 2, con valutazione alternativa al costo ammortizzato o al fair value. Nuovi criteri per la classificazione di un’attività/passività finanziaria al costo ammortizzato, in particolare: Basic loans feature (con flussi di cassa futuri composti solo da interessi e capitale); Managed on a contractual yield basis. Introduzione del divieto di riclassifica tra strumento finanziario a fair value e costo ammortizzato. The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Future evoluzioni dello IAS 39 (segue) exposure draft IAS 39 - luglio 2009 Contabilizzazione nell’OCI (introdotto dal nuovo IAS 1) delle componenti economiche riconducibili agli strumenti di capitale non detenuti con finalità di trading (vecchi AFS), inclusi variazioni di fair value, dividendi ed eventuali impairment. Tali componenti non verranno più girate a conto economico. Eliminazione della possibilità di valutare gli strumenti di capitale non detenuti con finalità di trading al costo e della necessità di effettuare impairment sugli stessi titoli designati al momento dell’iscrizione iniziale al fair value con contropartita OCI. The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Future evoluzioni dello IAS 39 (segue) exposure draft IAS 39 - luglio 2009 Modifica delle condizione per la classificazione di un’attività/passività in “fair value option”; essendo di fatto applicabile a categorie ben definite la classificazione a costo ammortizzato, il fair value diventa il criterio principale per la classificazione e valutazione successiva. Eliminazione della categoria Held to maturity e della relativa tainting rule. The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Future evoluzioni dello IAS 39 (segue) exposure draft IAS 39 - luglio 2009 Eliminazione dell’obbligo di scorporare i derivati impliciti qualora lo strumento ospite rientri nello scope dello IAS 39 e classificazione dell’intera attività alternativamente a FVTPL o al costo ammortizzato sulla base del “basic loans feature” test. Ad esempio, la classificazione di un prestito obbligazionario convertibile in azioni applicando l’attuale versione dello IAS 39 prevedrebbe quanto segue: - il derivato implicito nel prestito viene scorporato dal bond (in quanto le caratteristiche del derivato non sono closely related a quello del prestito obbligazionario) e valutato al FV; - il prestito obbligazionario viene iscritto al costo ammortizzato. Sulla base delle modifiche proposte nell’ED dello IAS 39, la contabilizzazione del medesimo strumento prevederbbe invece che, non rispettando lo strumento la “basic loans feature”, non si proceda allo scorporo del derivato e lo strumento nel suo complesso venga iscritto a FVTPL. The Standard requires that financial liabilities are all classified into one of the two liabilities categories, which dictate their accounting treatment. Financial at fair value through profit or loss : derivative liabilities that are not accounted for as hedging instruments; obligations to deliver securities or other financial assets borrowed by a short seller; financial liabilities that are incurred with the intention to repurchase them in the near term; and financial liabilities that form part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-term profit taking As with financial assets, an entity has the ability under IAS 39 to opt for the fair value option, as discussed in previous slides, provided it meets the requirements. Ask the audience why would entities choose to use this option. They might use this designation to avoid: separating the embedded derivatives in a compound product; or hedge accounting because then, for example both bond and swap will be fair valued through profit or loss. Ref: IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.4 pages 264-270

Valutazione degli strumenti finanziari in base all’attuale IAS 39 Cambiamenti di valore Attività finanziarie al fair value con contropartita al Conto Economico Fair value P&L Investimenti detenuti fino a scadenza Costo ammortizzato (tasso di interesse effettivo) Non rilevante (eccetto impairment) Finanziamenti e crediti Costo ammortizzato (tasso di interesse effettivo) Non rilevante (eccetto impairment) Attività disponibili per la vendita Fair value OCI (eccetto impairment) The financial assets and financial liabilities are subsequently measured either at fair value, or at amortised cost. The held-to-maturity (HTM) category is limited in its application since, if the entity sells or reclassifies more than an immaterial part of the portfolio, apart from in a few exceptional/limited circumstances, it is banned from using the category for at least a two year period (see further details under the slide on reclassifications). Of course, the benefit of using this category is to avoid volatility from fair value changes over the life of the asset. The category of loans and receivables that is accounted for at amortised cost is used for loan portfolios of banks and also trade and other receivables of corporates. Loans quoted in an active market cannot be classified as loans and receivables. Changes in fair value of an AFS asset must be recorded in equity, until it is impaired or derecognised, at which time the cumulative gain or loss is transferred to profit or loss. Any interest arising on an AFS asset must be recorded at the effective yield (including amortisation of any premium or discount and transaction costs). Therefore the gain or loss taken to equity for an AFS debt instrument will only be the extent to which the fair value is greater or less than the asset’s amortised cost. The Standard prohibits designating financial instruments as at fair value through profit or loss, if fair value cannot be reliably measured. However, the circumstances in which fair value through profit or loss or AFS items should be held at cost, because the fair value cannot be reliably measured, is very limited. It is reserved for unquoted equity instruments and derivatives thereon, only where a valuation methodology cannot be applied as the range of fair value estimates is significant or the probabilities of the various estimates within the range cannot be reasonably assessed. Ref: IAS 39. 45-46 on subsequent measurement of financial assets IAS 39.47 on subsequent measurement of financial liabilities Insights 3.6.7 page 274-275 Passività finanziarie al fair value con contropartita al Conto Economico Fair value P&L Altre passività Costo ammortizzato Non rilevante Derivati Fair value P&L (eccetto cash flow hedge)

Costo ammortizzato e metodo dell’ interesse effettivo Ammontare iscritto all’origine - Rimborsi di capitale -/+ Interessi accumulati - Perdite durevoli di valore Il costo ammortizzato è calcolato usando il metodo del tasso di interesse effettivo Ad ogni reporting date si applica il tasso di interesse effettivo al valore di carico al fine di determinare gli interessi attivi e passivi. Amortised cost means recording the asset or liability so that the recorded income or expense, including amortisation of any discount or premium, or directly attributable acquisition or issue expenses, or fees received at inception, is equal to the effective interest rate or yield. The effective interest rate is defined as “the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument or, where appropriate, a shorter period to the net carrying amount of the financial asset or financial liability”. An exception is made for those rare cases when it is not possible to estimate expected cash flows reliably, in which cases the Standard requires the use of contractual cash flows over the contractual life of the instrument. It further stipulates that when accounting for a change in estimates, entities need to adjust the carrying amount of the instrument in the period of change with a corresponding gain or loss recognised in profit or loss. Generally any costs, premium or discount will need to be amortised over an instrument’s expected life. However, if they relate to accrued interest on a variable rate instrument which reprices to market, any discount or premium is amortised over the period to the next interest repricing date. Ref: IAS 39.9 on definitions Insights 4.6.2 pages 608-612 (guidance for applying effective interest rate method)

Costo ammortizzato e metodo dell’ interesse effettivo: esempio Le scritture contabili relative al costo ammortizzato saranno le seguenti: All’erogazione: Crediti @ Banca 1.013.500 Al pagamento della prima rata relativamente alla solo componente interessi: Banca @ Interessi attivi 55.000 Interessi attivi @ Crediti 1.057 Amortised cost means recording the asset or liability so that the recorded income or expense, including amortisation of any discount or premium, or directly attributable acquisition or issue expenses, or fees received at inception, is equal to the effective interest rate or yield. The effective interest rate is defined as “the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument or, where appropriate, a shorter period to the net carrying amount of the financial asset or financial liability”. An exception is made for those rare cases when it is not possible to estimate expected cash flows reliably, in which cases the Standard requires the use of contractual cash flows over the contractual life of the instrument. It further stipulates that when accounting for a change in estimates, entities need to adjust the carrying amount of the instrument in the period of change with a corresponding gain or loss recognised in profit or loss. Generally any costs, premium or discount will need to be amortised over an instrument’s expected life. However, if they relate to accrued interest on a variable rate instrument which reprices to market, any discount or premium is amortised over the period to the next interest repricing date. Ref: IAS 39.9 on definitions Insights 4.6.2 pages 608-612 (guidance for applying effective interest rate method)

Il Fair Value di uno strumento finanziario Lo IAS dà una definizione puntuale di fair value, inteso come il corrispettivo al quale un’attività potrebbe essere scambiata o una passività potrebbe essere estinta in una libera transazione tra parti consapevoli e indipendenti. La migliore evidenza del fair value (valore equo) è l’esistenza di quotazioni ufficiali in un mercato attivo; se il mercato di uno strumento finanziario non è attivo, l’entità determina il suo FV utilizzando una tecnica di valutazione. Le tecniche di valutazione includono l’utilizzo di recenti operazioni di mercato normali tra parti consapevoli e disponibili, se a disposizione, il riferimento al fair value di uno strumento analogo, analisi con flussi finanziari attualizzati e modelli di prezzo. The reasons for these exclusions are mainly to avoid overriding other existing standards. References: IAS 32.4-10 on scope IAS 39.2-7 on scope IAS 39.10-13 on embedded derivatives

Il Fair Value di uno strumento finanziario A seguito della crisi dei mercati finanziari il regolatore e la comunità finanziaria hanno richiesto alle banche sempre maggiore attenzione e trasparenza nella valutazione degli strumenti finanziari presenti nei portafogli di proprietà. In particolare lo IASB ha fornito le proprie indicazioni in diversi documenti quali il “Measuring and disclosing the fair value of financial instruments in markets that are no longer active” (Ottobre 2008) e “Improving Disclosures about Financial Instruments” (Marzo 2009). Anche le Autorità di Vigilanza nazionali ed internazionali hanno posto recentemente l’accento su tale tematica: in particolare, nell’aprile 2009, il Comitato di Basilea ha emesso il documento “Supervisory guidance for assessing banks’ financial instrument fair value practices”. The reasons for these exclusions are mainly to avoid overriding other existing standards. References: IAS 32.4-10 on scope IAS 39.2-7 on scope IAS 39.10-13 on embedded derivatives

Agenda Strumenti finanziari Iscrizione iniziale e valutazione successiva Impairment Derecognition Hedge Accounting

Requisiti per l’Impairment Un’attività o un gruppo di attività finanziarie ha subito una perdita di valore se, e solo se, vi è l’obiettiva evidenza di una riduzione di valore in seguito ad uno o più eventi che si sono verificati dopo la rilevazione iniziale; e tale evento di perdita ha un impatto sui futuri flussi finanziari stimati Una perdita di valore è misurata come differenza tra: Il valore contabile dell’attività e il valore attuale dei futuri flussi di cassa stimati – per L&R o attività HTM; e I costi di acquisto (al netto dei rimborsi e dell’ammortamento) e il valore corrente, al netto delle perdite di valore precedentemente rilevate - per le attività AFS IAS 39 adopts an incurred loss model. Therefore, expected losses, no matter how likely, should not be recognised. First, an entity needs to identify an objective evidence of impairment. The standard does not require the identification of a single, discrete event that caused the impairment and combined result of several events may cause the impairment. Second, the event has to have an impact on the estimated future cash flows. Thus, if there is objective evidence that impairment has been incurred and as a result there is decrease in the estimated future cash flows, then the asset is impaired. The calculation of impairment losses for different types of financial assets is considered separately in the presentation. For financial assets carried at cost or amortised cost (loans and receivables, held-to-maturity investments and unquoted equity investments not carried at fair value because its fair value cannot be reliably measured), an impairment loss is the difference between the asset’s carrying amount and the present value of the estimated future cash flows (not incurred, future losses are excluded). Cash flows are discounted at the asset’s original effective interest rate i.e. rate computed on initial recognition (for loans and receivables and held-to-maturity investments) or the current market rate of return for similar financial assets (for unquoted equity instruments that are not carried at fair value). The use of original effective rate prevents a fair value approach from being imposed for loans and receivables which are measured at amortised cost. When the financial assets carries variable interest rate, the discount rate would be the current effective interest rate determined under the contract. For available-for-sale financial assets an impairment loss is the difference between the acquisition cost (net of any principal repayment and amortisation) and current fair value, less any impairment loss on the asset previously recognised in profit or loss. Ref: IAS 39.58-70; AG84-AG92 on impairment and uncollectibility of financial assets

Finanziamenti e crediti: evidenze di impairment Ad ogni data di bilancio l’entità deve valutare se esiste una evidenza obiettiva che un’attività o un gruppo di attività possa aver subito una perdita durevole di valore Significative difficoltà finanziarie dell’emittente/debitore Violazione del contratto, quale un inadempimento o un mancato pagamento degli interessi o del capitale Concessione di un agevolazione al creditore Fallimento o procedure di ristrutturazione finanziaria del debitore Scomparsa del mercato attivo di quell’attività finanziaria dovuta a difficoltà finanziarie Diminuzione sensibile nei futuri flussi di cassa stimati Assessment of whether there is objective evidence of impairment for loans is a judgemental process. The Standard lists a number of indicators when an asset may be impaired. Assessment of impairment for loans is a two step process. The entity must first determine whether objective evidence of impairment exists for a financial asset or group of financial assets. This assessment should be done at least at each reporting period. If there is no objective evidence of impairment for an individually assessed financial asset, the asset is included in a group of financial assets with similar credit risk characteristics and collectively assessed for impairment. If there is objective evidence of impairment, the entity should recognise an impairment loss during the period resulting in the financial asset being recognised at the present value of estimated future cash flows. It should be noted that the disappearance of an active market or the downgrade of an entity’s credit rating is not in itself, evidence of impairment. Although it may be evidence of impairment when considered with other information. The Standard also requires an impairment loss to be recorded where there is observable data indicating a “measurable decrease” in the estimated future cash flows from a group of financial assets, even if the decrease cannot yet be identified for individual assets in the group. Indicators of this include: adverse changes in the payment status of borrowers (e.g. delays in payment, full utilisation of limits etc); and national or local economic conditions that correlate with defaults on assets in the group. Ref: IAS 39.58-62; AG84-AG92 on impairment and uncollectibility of financial assets

Finanziamenti e crediti: valutazione dell’impairment Solamente sulla base di Incurred Loss e non anche di Expected Loss Attività finanziaria Mancanza di una obiettiva evidenza di impairment (no loss event noti) Obiettiva evidenza di impairment (loss event) Sia attività singolarmente significative che non singolarmente significative Attività singolarmente significativa Attività non singolarmente significativa Valutazione per classi omogenee di rischio Valutazione analitica Valutazione analitica The determination of whether an asset is impaired should be carried out separately for each individually significant asset and individually or collectively for assets that are not individually significant. If assets are individually significant and have been tested and no impairment is indicated, they are required by the Standard to be included in a further, collective assessment. For the purposes of a collective evaluation of impairment, financial assets are grouped on the basis of similar credit risk characteristics (for example, on the basis of a credit risk evaluation or grading process that considers asset type, industry, geographical location, collateral type, past due status and other relevant factors). These characteristics should be relevant to the estimation of future cash flows for groups of such assets by being indicative of the debtors’ ability to pay all amounts due according to the contractual terms of the assets being evaluated. If an entity does not have a group of assets with similar risk characteristics, it does not make the additional assessment. Assets that are individually assessed for impairment and for which an impairment loss is or continues to be recognised are not included in a collective assessment of impairment. Ref: IAS 39.63-65; AG84-AG92 on financial assets carried at amortised cost oppure

Finanziamenti e crediti: valutazione dell’impairment su base analitica Flussi di cassa futuri Stima dei flussi di cassa sulla base del presumibile valore di realizzo determinato dalle funzioni competenti Stima data di chiusura della posizione a sofferenza e del valore attuale dei flussi di cassa futuri Tasso di sconto Tasso di interesse originario effettivo al momento del default da utilizzare per l’attualizzazione Future cash flows in a group of financial assets that are collectively evaluated for impairment are assessed on the basis of the estimated future cash flows of the assets in the group and historical loss experience for assets with credit risk characteristics similar to those in the group. The methodology and assumptions used for estimating future cash flows are reviewed regularly to reduce any differences between loss estimates and actual loss experience. Historical loss experience should be adjusted, on the basis of observable data, to reflect the effects of current conditions. Changes in estimates of future cash flows should be directionally consistent with changes in underlying observable data. Entities that have none or insufficient loss experience of their own, should use peer group experience for comparable groups of financial assets. The requirement to subject individually assessed assets to a second, collective assessment, is designed to recognise losses that are believed to exist in the portfolio but not yet evident on an individual basis (‘losses incurred but not reported’). Ref: IAS 39.63-65; AG84-AG92 on financial assets carried at amortised cost

Finanziamenti e crediti: valutazione dell’impairment su base collettiva Flussi di cassa futuri Stima dei flussi di cassa Esperienza di perdite storiche Cambiamenti nei dati osservabili ad essi collegati Tasso di sconto Tasso di interesse originario effettivo Perdite effettive ma non riportate Ad ogni fine anno il valore attuale dei flussi di cassa stimati è ricalcolato e la perdita di valore è riconosciuta per la differenza tra questo ammontare e il valore di carico del portafoglio. I cash flows stimati prendono in considerazione le perdite “incurred”, non le perdite future attese Quando i crediti sono identificati come individualmente “impaired”, vengono esclusi dalla valutazione collettiva Future cash flows in a group of financial assets that are collectively evaluated for impairment are assessed on the basis of the estimated future cash flows of the assets in the group and historical loss experience for assets with credit risk characteristics similar to those in the group. The methodology and assumptions used for estimating future cash flows are reviewed regularly to reduce any differences between loss estimates and actual loss experience. Historical loss experience should be adjusted, on the basis of observable data, to reflect the effects of current conditions. Changes in estimates of future cash flows should be directionally consistent with changes in underlying observable data. Entities that have none or insufficient loss experience of their own, should use peer group experience for comparable groups of financial assets. The requirement to subject individually assessed assets to a second, collective assessment, is designed to recognise losses that are believed to exist in the portfolio but not yet evident on an individual basis (‘losses incurred but not reported’). Ref: IAS 39.63-65; AG84-AG92 on financial assets carried at amortised cost

Finanziamenti e crediti: valutazione dell’impairment su base collettiva Perdita effettiva = Tasso di perdita X storico Periodo di conferma X della perdita Esposizione stimata al momento del default La Perdita effettiva definisce la perdita durevole di valore Il Tasso di perdita storico è determinato usando dati storici modificati in relazione alle condizioni economiche esistenti alla data del bilancio (PDxLGD) Il Periodo di conferma della perdita è il periodo medio intercorrente tra l’insorgere della perdita e la data di conferma della stessa (LCP) La data in cui insorge la perdita è la data nella quale si verifica una obiettiva evidenza di perdita su una singola attività (anche se non è ancora nota alla società) La data di conferma della perdita è la data nella quale viene identificata dalla società una obiettiva evidenza di perdita su base individuale IAS 39 explicitly prohibits recognition of expected losses and therefore the methodology for measuring impairment should ensure that an impairment loss is not recognised immediately on initial recognition. However, losses ‘incurred but not reported’ i.e. losses that have been incurred but it is not evident which individual financial assets are impaired shall be recognised. Historical loss experience is used to determine incurred loss. It should be adjusted on the basis of current observable data to reflect the effects of current conditions that did not affect the period on which the historical loss experience is based and to remove the effects of conditions in the historical period that do not exist currently. It is necessary to periodically review the historic loss rate and modify it to reflect the current economic situation. Reasons for the need for modifications include: changes in historic recovery; aging of loan portfolio; changes in the bank’s underwriting standards; and changes in economic conditions of a region/country (e.g. consumer lending). Loss confirmation period (referred to also as an ‘emergence period’) is the time it takes an entity to identify that the loss event actually occurred or a time period that elapses between the date the loss event occurred and the date an entity identified it had occurred. Emergence period may vary across entities and portfolios. Hand out the case study 2 on Impairment and use it to illustrate this area further.

Agenda Strumenti finanziari Iscrizione iniziale e valutazione successiva Impairment Derecognition Hedge Accounting Derivati impliciti

Derecognition di attività finanziarie Lo IAS 39 definisce la derecognition come la cancellazione dallo stato patrimoniale di un’entità di un’attività finanziaria o passività finanziaria rilevata precedentemente. Un’entità deve eliminare un’attività finanziaria quando e solo quando: scadono i diritti contrattuali legati a quell’attività; l’entità ha effettivamente trasferito l’attività finanziaria. Un’entità trasferisce un’attività finanziaria se e solo se: trasferisce i diritti contrattuali a ricevere i flussi finanziari dell’attività finanziaria; mantiene i diritti contrattuali a ricevere i flussi finanziari dell’attività finanziaria, ma assume un’obbligazione contrattuale a pagare tali flussi ad uno o più soggetti terzi. Nel trasferimento di un’attività finanziaria l’entità deve valutare la misura in cui essa mantiene i rischi e benefici della proprietà dell’attività finanziaria; qualora tali rischi e benefici siano sostanzialmente rimasti in capo all’entità o quest’ultima continui a mantenere il controllo dell’attività finanziaria oggetto di cessione, deve continuare a rilevare tale attività finanziaria in bilancio. The reasons for these exclusions are mainly to avoid overriding other existing standards. References: IAS 32.4-10 on scope IAS 39.2-7 on scope IAS 39.10-13 on embedded derivatives

Derecognition di attività finanziarie (continua) I diritti a ricevere i flussi finanziari derivanti dall’attività sono scaduti? Sì Eliminare l’attività L’entità ha mantenuto sostanzialmente tutti i rischi e i benefici? Sì Continuare a rilevare l’attività No L’entità ha trasferito i propri diritti a ricevere i flussi finanziari derivanti dall’attività? No L’entità ha mantenuto il controllo dell’attività? No Eliminare l’attività No L’entità ha assunto un’obbligazione a pagare i flussi finanziari derivanti dall’attività che soddisfa le condizioni del paragrafo 19? Sì No Continuare a rilevare l’attività Sì Continuare a rilevare l’attività nella misura del coinvolgimento residuo della società Sì L’entità ha trasferito sostanzialmente tutti i rischi e i benefici? Sì Eliminare l’attività No

La derecognition può avere grande impatto su… Cartolarizzazioni Prestito titoli Pronti contro termine Parziale trasferimento di attività/passività Trasferimento a special purpose entities Derecognition abbinata a nuove attività o passività When an entity has transferred a financial asset, but only some of the risks and rewards, it has to determine whether it has retained control of the financial asset. In cases where the transferor has neither retained nor transferred substantially all risks and rewards, the asset has to be recognised to the extent of its “continuing involvement”. In summary, the transferor usually needs to be able to demonstrate it can satisfy the pass-through test and it has not retained substantially all the risks and rewards associated with the asset, in order to at least achieve partial derecognition. A transaction is accounted for as a collateralised borrowing if the transfer does not satisfy the conditions for derecognition. The entity recognises a financial liability for the consideration received for the transferred asset. If the transferee has the right to sell or repledge the collateral the asset is presented separately in the balance sheet (e.g. as loaned asset, pledge securities, or repurchase receivable). Ref: IAS 39.15-.37 and .AG36-.AG52 on derecognition of financial assets IAS 39.AG52 for an example of the application of the continuing involvement approach

Agenda Strumenti finanziari Iscrizione iniziale e valutazione successiva Impairment Derecognition Hedge Accounting Derivati impliciti

La necessità di copertura Rischi delle attività/passività finanziarie che possono essere coperti: Rischio di tasso di interesse Rischio di tasso di cambio Rischio di credito Rischio di prezzo di mercato Rischi delle attività/passività non finanziarie che possono essere coperti: Rischio di tasso di cambio The objective of hedge accounting is to change the timing of recognition of changes in value where otherwise there would be mismatches due to the following: recognition differences between hedged item and hedging instrument in the balance sheet or income statement; or measurement differences between hedged item and hedging instrument because hedged item is not measured at fair value.

Tipi di copertura Copertura di Fair Value Copertura dell’esposizione alle variazioni di “fair value” di: Una attività o passività rilevata in bilancio; un impegno irrevocabile non iscritto; una parte identificata di tale attività, passività o impegno irrevocabile che è attribuibile a uno specifico rischio con impatto a Conto Economico Copertura di flussi finanziari Copertura all’esposizione di variazioni di “cash flow” che: 1. è attribuibile ad uno specifico rischio associato a una attività o passività rilevata, o a una operazione futura altamente probabile (anche infragruppo); 2. e con impatto a Conto Economico. Hedge accounting may be applied in three types of hedging relationships: fair value hedges; cash flow hedges; and hedges of a net investment in a foreign operation. In April 2005 the IASB amended IAS 39 to allow for a highly probable forecast internal transaction (under conditions) to be designated as a hedged item. A hedge of a foreign currency risk of a firm commitment may be accounted for as a fair-value hedge or a cash-flow hedge. Fair value hedge accounting for a portfolio hedge of interest rate risk - Based on the original requirements of the revised Standard, most portfolio hedges of interest rate risk (sometimes referred to as “macro hedging”) did not qualify for fair value hedge accounting. Because of the significance of the issue, in particular for banks, the IASB released an amendment to IAS 39 in March 2004. The objective is to permit fair value hedge accounting for a portfolio hedge of interest rate risk and provide guidance for it. Fundamental IAS 39 hedge accounting principles remain in place. Macro-hedge accounting should be based on existing risk management practice with the designation of an amount of currency as hedged item instead of individual assets or liabilities. Net position (net amount including assets and liabilities) and financial liabilities with a demand feature cannot be designated as hedged item; hedged items are allocated to time bands based on expected rather than contractual repayment dates Ref: IAS 39.86 on types of hedging relationships IAS 39.89A and AG 114-132 on fair-value hedge of a portfolio of interest rate risk Copertura di un investimento netto Copertura di un investimento netto in una gestione estera (inclusa la copertura di un elemento monetario che è contabilizzato come parte dell’investimento netto), come definito nello IAS 21.

Modello contabile - copertura di Fair Value Valutazione degli strumenti di copertura Variazioni nel fair value Fair value Conto economico Valutazione degli elementi coperti Fair value con riferimento al rischio oggetto di copertura (*) The objective of a fair-value hedge is to protect the entity from changes in the fair value of the asset or liability arising from market price movements. It must be stressed that the Standard gives the entity an option to treat hedges of the foreign currency exposure of a firm commitment as either a fair value or a cash flow hedge. In a fair value hedge, the gain or loss from remeasuring the hedging instrument at fair value (derivative) or the foreign currency component of the carrying amount (non-derivative) is recognised immediately in the income statement. At the same time, the carrying amount of the hedged item is adjusted for the gain or loss attributable to the hedged risk and the change is also recognised immediately in the income statement to offset the value change on the derivative. Examples of fair value hedges include: a receive fixed, pay floating, interest rate swap used to hedge a fixed rate liability; a purchased put option used to hedge an AFS equity instrument; a forward foreign exchange contract used to hedge the foreign currency exposure on an AFS equity instrument; and an oil forward contract used to hedge oil inventory. Ref: IAS 39.89-94 on fair value hedges Insights 3.6.16 page 325-327 (*) questo si applica anche se un elemento coperto è valutato al costo

Modello contabile - copertura di Cash Flow Valutazione degli strumenti di copertura Variazioni nel fair value Fair value OCI efficace inefficace Conto economico Cash flow hedges are used where, for instance, the cash flows on an asset or liability are not fixed (e.g. a floating rate bond), so that the entity is at risk not to changes in fair value but to changes in cash flows. Hedges of the foreign currency risk associated with firm commitments may be designated as cash flow hedges. The portion of the gain or loss on the hedging instrument that is determined to be an effective hedge is recognised directly in equity. The gain or loss deferred in equity is recycled to the income statement when the hedged cash flows affect income. If the hedged cash flows result in the recognition of a non-financial asset or liability on the balance sheet, the entity can choose to adjust the basis of the asset or liability by the amount deferred in equity. This choice has to be applied consistently to all such hedges. However, such basis adjustment is prohibited if a financial asset or liability results from the hedged cash flows. Examples of cash flow hedges include: a pay fixed, receive floating, interest rate swap used to lock in the cost of a floating rate liability; a foreign exchange forward contract used to hedge the currency exposure of an operating lease denominated in another currency; a forward foreign exchange contract entered into to hedge a highly probable forecast transaction; and a pay fixed, receive floating, interest rate swap used to lock in the cost of a future, highly probable, borrowing. Ref: IAS 39.95-101 on cash flow hedges Insights 3.6.16 page 327-328

Contabilizzazione delle operazioni di copertura La relazione di copertura deve essere designata formalmente L’esposizione deve derivare da uno specifico rischio che in ultima istanza influenza il conto economico Inizialmente, la copertura deve essere altamente efficace e l’efficacia deve poter essere valutata in modo attendibile La copertura deve rimanere altamente efficace durante l’intero periodo di copertura La documentazione formale è richiesta all’inizio del periodo di copertura e deve includere : L’identificazione degli strumenti di copertura e degli elementi o delle transazioni coperti La natura del rischio coperto L’obiettivo del risk management e la strategia per intraprendere la copertura Come l’efficacia sarà valutata The Standard requires that hedges meet certain criteria in order to qualify for hedge accounting. These include requirements for formal designation of the hedging relationship as well as rules on hedge effectiveness. A hedging relationship qualifies for hedge accounting if, at inception of the hedge, there is formal documentation of the hedging relationship and the entity’s risk management objective and strategy for undertaking the hedge. It must be stressed that hedges cannot be designated or documented retrospectively. Ref: IAS 39.85-88 on hedge accounting See Financial Instruments accounting for Illustrative example of hedge documentation (cases 8.3 and 8.4 pages 122 and 123) Le norme sono severe, per cui devono essere presi in considerazione i costi e i benefici derivanti dalla qualificazione delle operazioni come “di copertura”

Valutazione dell’efficacia della copertura Valutazione prospettica All’inizio e durante tutto il periodo di copertura Elevata efficacia nel realizzare una compensazione nelle variazioni di fair value Metodi di test (es. regression analysis, risk-reduction test, etc.). La copertura si mantiene all’interno di un intervallo 80-125% Valutazione retrospettiva Ad ogni data di reporting lungo la durata della copertura Metodi di test (es. monetary unit offset, regression analysis, etc.) I risultati della copertura entro il range 80-125% Copertura inefficace; hedge accounting non permesso To qualify for hedge accounting, the Standard requires the hedge to be highly effective. There are two separate assessments to be realized: prospective and retrospective and these are mandatory: Prospective – at inception and throughout its life, each hedge must be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk during the period for which the hedge is designated. If an entity hedges less than 100 per cent of the exposure on an item, such as 85 per cent, it shall designate the hedged item as being 85 per cent of the hedged exposure and shall measure effectieness based on the change in that designated 85 per cent. Retrospectively – measured each period, the hedge is effective, if actual results are within a range of 80-125%. The objective is to demonstrate that the hedging relationship has been effective by showing that actual results of the hedge are within the set range. In measuring effectiveness the Standard allows segregating the time value from the intrinsic value of an option (or the interest element and spot price of a forward contract) and designating only the latter as part of the hedge relationship. The effect will be to account for the time value as an ineffective portion of the hedge and record the change in profit or loss. The method of testing effectiveness is not dictated by the Standard (and in practice different methods are used) but it needs to be selected at the outset, formally documented at inception and applied consistently. Ref: IAS 39.88 on qualifying hedging relationships IAS 39.74 on segregating time value Insights 3.6.16 pages 319-325 125% Copertura parzialmente efficace; l’inefficacia va imputata a Conto Economico Hedge accounting; ineffectiveness to profit or loss 100% Copertura parzialmente efficace; l’inefficacia va imputata a Conto Economico 80% Copertura inefficace; hedge accounting non permesso

Agenda Strumenti finanziari Iscrizione iniziale e valutazione successiva Impairment Derecognition Hedge Accounting Derivati impliciti

Derivati impliciti - embedded derivatives Come identificarli? un elemento implicito o esplicito in un contratto ne rende il comportamento simile a quello di un derivato Quando separarli? Le caratteristiche economiche e i rischi del derivato incorporato non sono strettamente correlati alle caratteristiche economiche e ai rischi del contratto ospite Uno strumento separato con le stesse caratteristiche del derivato incorporato soddisferebbe la definizione di derivato Lo strumento ospite non è valutato al fair value con le variazioni nel fair value rilevate nel Conto Economico Strumenti con l’opzione per estendere il termine del debito Strumenti con caratteristiche di conversione It is necessary to separate embedded derivatives in order to achieve consistent treatment of all derivatives, whether embedded or not, and prevent enterprises from circumventing the requirement of carrying derivatives at their fair value with fair value changes recorded in profit of loss. For this reason the Standard requires the identification of hybrid instruments that contain embedded derivatives. The derivative element can be based on an interest rate, security or commodity price, foreign exchange rate, index of prices or rates, or other variable. A derivative element may need to be separated and accounted for separately if certain conditions are met. While looking for embedded derivatives, the following are to be considered: are host and embedded derivative clearly and closely related? is the host already measured at fair value with changes in P&L? If the features of the embedded are closely related to those of the host contract, there is no need to separate the embedded derivative. To determine whether closely related, one should evaluate the interdependency between the embedded derivative and the host contract. We will discuss this further later. If the host contract is already carried at fair value through P&L, there is no need to separate the embedded derivative from the host contract, as effectively the embedded derivative is being carried at fair value already. Examples of when an embedded derivative is closely related or not can be found in IAS 39.AG30 and AG33. Foreign currency derivatives will need to be separated in some circumstances, e.g. if payment is required in a currency that is not the functional currency of either party of the contract (see IAS 39.AG33(d)). On the other hand, separation is not required if payment is in a currency that is commonly used in contracts to purchase or sell non-financial items in the economic environment in which the transaction takes place (ie. a relatively stable and liquid currency). A prepayment option embedded in a host debt contract is not closely related unless the option's exercise price is approximately equal to the debt instrument’s amortised cost on each exercise date. Hand out Case Study 1 on Embedded derivatives and use it to illustrate this further. Ref: IAS 39.10-13 and AG27-AG33 on embedded derivatives Transazione in “terza valuta” Pagamenti Index linked

Derivati impliciti - embedded derivatives (segue) Contabilizzazione nel caso di separazione: IAS 32/39 per il contratto ospite (o altro IAS applicabili se il contratto ospite non è uno strumento finanziario) Il derivato separato è valutato al fair value con imputazione al Conto Economico Contabilizzazione quando è difficile identificare precisamente le caratteristiche del contratto incorporato: Se è difficile separare il derivato incorporato, si può scegliere di valutare l’intero contratto combinato al fair value con imputazione al Conto Economico. Il contratto “ospite” deve però essere uno strumento finanziario Contabilizzazione quando è impossibile la separazione: Se il derivato incorporato non può essere identificato e valutato in maniera affidabile, l’intero strumento combinato è contabilizzato come uno strumento finanziario al fair value (fair value option) If the host contract is not a financial instrument, other Standards may apply and the entity should follow the applicable standard to account for the host contract. However, even if the host contract is not accounted for under IAS 39, separation of the embedded derivative may still be required. If separation of the embedded derivative is difficult, the use of fair value option would effectively achieve the same result as separation by recognising gains or losses on the combined contract in profit or loss (but would also lead to fair value measurement of the host contract). If there is an embedded derivative that should be separated, however the entity determines that it cannot measure it reliably, it must record the entire contract at fair value with changes recorded through profit or loss. References: IAS 39.10-13 on embedded derivatives