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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Offenlegung von Finanzinstrumenten
23 November 2007
IFRS Update für CFOs und Controller
Lukas Marty, PartnerInternational Accounting & Reporting
Patricia Bielmann, DirectorInternational Accounting & Reporting
2© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Ziel Zusammenfassung der bisherigen Offenlegungsvorschriften in IAS 32 und IAS
30
Offenlegung von Wesen und Ausmass der Risiken, denen ein Unternehmen ausgesetzt ist und wie es diese steuert
Vermittlung von entscheidungsrelevanten Informationen über Höhe, Zeitpunkt und die Wahrscheinlichkeit des Eintretens der künftigen Cash Flows aus Finanzinstrumenten
Erfüllung der minimalen Anforderungen versus Fülle der Angaben
AllgemeinZiel und Umfang von IFRS 7
3© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Risk Management
Ausfallrisiko
Liquiditätsrisiko
Marktrisiko
Schwierigkeiten bei der Umsetzung von IFRS 7
Änderungen zu IAS 1: Capital Disclosures
Agenda
4© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Angaben zu Bedeutung der Finanzinstrumente für die Finanzlage und die Ertragskraft des Unternehmens sowie zu den Bilanzierungsmethoden
Bilanz
Erfolgsrechnung und Eigenkapital
Andere Anhangsangaben
Offenlegungspflichten zu Art und Umfang der aus den Finanzinstrumenten resultierenden Risiken
Qualitative Angaben bzgl. dem Risk Exposure, Risk Management und Messung dieser Risiken
Quantitative Angaben bzgl. Ausfallrisiko, Liquiditätsrisiko und Marktrisiken
AllgemeinZwei grundlegende Prinzipien der Offenlegung
5© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Wesentlichste Änderungen
Bilanz Offenlegung der Buchwerte pro Kategorie
Offenlegung der Fortschreibung des Wertberichtigungskontos
Erfolgsrechnung Netto Gewinn bzw. Verlust pro Kategorie der Finanzinstrumente
Rechnungslegungsprinzipien: Wie werden Gewinne bzw. Verluste bestimmt
Total Zinsertrag und Total Zinsaufwand (exklusive Zinsertrag und –aufwendungen auf Instrumenten der Kategorie erfolgswirksam zu Marktwerten bewerten)
Andere Anhangsangaben Rechnungslegungspolitik
Sicherheiten
6© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von FinanzinstrumentenOffenlegung Buchwert pro Kategorie
Die finanziellen Vermögenswerten können folgenden Kategorien zugeordnet werden:
Die finanziellen Verbindlichkeiten werden wie folgt kategorisiert:
Orell Füssli, Geschäftsbericht 2006, S. 20
7© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von FinanzinstrumentenFortschreibung Wertberichtigungskonto
Danske Bank A/S, Annual Report 2006, S. 129
Allowance account broken down by type of impairment:
Allowance account broken down by impairment reason (individual impairment charges):
8© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Risk Management
Ausfallrisiko
Liquiditätsrisiko
Marktrisiko
Schwierigkeiten bei der Umsetzung von IFRS 7
Änderungen zu IAS 1: Capital Disclosures
Agenda
9© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
AusfallrisikoDefinition und Anforderungen gem. IFRS 7
Ausfallrisiko
Risiko eines finanziellen Verlustes, der entsteht, wenn ein Vertragspartner seinen Zahlungsverpflichtungen nicht nachkommt
Wichtigste Angaben zum Ausfallrisiko
• Maximales Ausfallrisiko, ohne Berücksichtigung von erhaltenen Sicherheiten
• Beschreibung der erhaltenen Sicherheiten
• Informationen zur Kreditqualität von Finanzaktiven, die weder fällig noch wertgemindert sind.
• Buchwert von Finanzaktiven, deren Vertragsbedingen geändert wurden, welche unter der vorherigen Bedingungen fällig oder wertgemindert waren.
• Umfassende Offenlegung für Finanzaktiven, welche bereits fällig oder wertgemindert sind
10© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
AusfallrisikoMaximales Ausfallrisiko - Praxisbeispiel
Deutsche Telekom, Geschäftsbericht 2006, S.188
… Das maximale Ausfallrisiko wird zum einen durch die Buchwerte der in der Bilanz angesetzten finanziellen Vermögenswerte (einschliesslich derivativer Finanzinstrumente mit positivem Marktwert) wiedergegeben. Mit Ausnahme der in Anmerkung 24 genannten Collateral-Verträge liegen zum Abschlussstichtag keine wesentlichen, das maximale Ausfallrisiko mindernde Vereinbarungen (wie z.B. Aufrechnungsvereinbarungen) vor. Zum anderen ist die Deutsche Telekom auch durch die Gewährung finanzieller Garantien einem Ausfallrisiko ausgesetzt. Zum Abschlussstichtag waren Garantiebeträge im Nominalvolumen von insgesamt 216 Mio. EUR zugesagt…
11© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
AusfallrisikoMaximales Ausfallrisiko - Praxisbeispiel
Nobel Biocare, Annual Report 2006, S.109
… At the balance sheet date, the maximum exposure to credit without taking into account any collateral held or other credit enhancement is represented by the carrying amount of each financial asset.
The maximum exposure to credit risk was:
Trade Receivables
The Group‘s exposure to credit risk in respect of trade receivables is considered low. The Group‘s customer base mainly consists of dentists, dental clinics and dental laboratories. The default risk of this industry is very low. No individual customer represents a significant portion of the total trade receivables (less than 1%). The demographics of the Group‘s customer base also has a low degree of influence on credit risk again due to the very low default risk in the industry. The maximum exposure to credit risk for trade receivables at the reporting sate by geographical region was:
12© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
AusfallrisikoRisikokonzentration - PraxisbeispielDie Post, Jahresbericht 2006, S. 140
Zusammensetzung der grössten Gegenparteien1
1 Beinhaltet Forderungen gegenüber Finanzinstituten (ohne gedeckte Ausleihungen) und Finanzanlagen; Basis Marktwerte
31.12.2006 31.12.2005
Mio. CHF
Schweizerische Eidgenossenschaft, Bern 1661 2306
Pfandbriefbank der schweizerischen Hypothekarinstitute, Zürich 2263 2178
Pfandbriefzentrale der schweizerischen Kantonalbanken, Zürich 1551 1438
13© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Ausfallrisiko Kreditqualität - Praxisbeispiel
Kreditqualität von Bankforderungen, Festgelder, Obligationen (andere Finanzanlagen)
…. Im Finanzierungsbereich werden Geschäfte nur mit Kontrahenten mit einem Kredit-Rating von mindestens BBB+/Baa1 abgeschlossen, verbunden mit einem laufenden Bonitätsmanagement-System…. (Deutsche Telekom, Geschäftsbericht 2006, S.188)
…. Finanzinstitute müssen ein unabhängiges, minimales Rating von A aufweisen, um mit Orell Füssli Bankbeziehungen pflegen zu können. Ausserdem werden allfällige Risiken auf flüssigen Mitteln weiter minimiert, indem nicht ein einzelnes Bankinstitut, sondern verschiedene Finanzdienstleister berücksichtigt werden…. (Orelll Füssli, Geschäftsbericht 2006, S.15)
14© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Ausfallrisiko Kreditqualität - Praxisbeispiel
…. Die mit der Anlagetätigkeiten der Tresorie PostFinance am Geld- und Kapitalmarkt verbundenen Kreditrisiken werden durch spezielle Anlagevorschriften und Limitenvorgaben streng begrenzt. So dürfen beispielsweise nur Anlagen bei Schuldnern eingegangen werden, die über ein Rating verfügen und deren Bonität erstklassig ist.
Ratingstruktur der festverzinslichen Finanzanlagen:
(Die Post, Geschäftsbericht 2006, S.140)
31.12.2006 31.12.2005
Anteil der festverzinslichen Finanzanlagen der Ratingkategorie
AAA 57% 56%
AA 31% 34%
A 11% 9%
<A <1% <1%
15© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Ausfallrisiko Kreditqualität - Praxisbeispiel
Kreditqualität von Forderungen aus Lieferungen und Leistungen
…… Aufgrund von Erfahrungswerten ist die Gruppe überzeugt, dass keine weitere Wertbeeinträchtigung notwendig ist für noch nicht überfällige Forderungen. 80% der ausstehenden Forderungen bestehen mit Kunden mit einer sehr guten Kredithistory mit der Gruppe. ….
16© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
AusfallrisikoFinanzaktiven - überfällig aber noch nicht wertberichtigt
InBev, Annual Report 2006, S. 87
… The ageing of our current receivables, interest receivables, other receivables and loans to customers can be detailed as follows:
In accordance with IFRS 7 Financial Instruments; Disclosures requirement the above analysis of the age of financial assets that are past due as at the reporting date but not impaired includes the non-current part of loans to customers. Past due amounts were not impaired when collection is still considered likely, for instance because the amounts can be recovered from the tax authorities or has sufficient collateral…
17© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
AusfallrisikoFinanzaktiven - überfällig aber noch nicht wertberichtigt
… Die Gliederung der Forderungen aus Lieferungen und Leistungen noch nicht überfälliger sowie überfälliger Forderungen gemäss den mit den Kunden vereinbarten Bedingungen sowie die Altersstruktur der Überfälligkeit stellen sich wie folgt dar:
Die Wertberichtigung für zweifelhafte Forderungen werden auf Grund der Differenz zwischen dem nennwert der Forderungen und dem geschätzten einbringbaren Nettobetrag ermittelt. Novartis legt die Wertberichtigung für zweifelhafte Forderungen anhand von erfahrungswerten fest…
(Novartis, Jahresbericht 2006, S. 182)
18© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Risk Management
Ausfallrisiko
Liquiditätsrisiko
Marktrisiko
Schwierigkeiten bei der Umsetzung von IFRS 7
Änderungen zu IAS 1: Capital Disclosures
Agenda
19© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
LiquiditätsrisikoFälligkeitsanalyse
Fälligkeitsanalyse für finanzielle Verbindlichkeiten
Laufzeitbänder werden durch Unternehmung festgelegt
Kann der Gläubiger kündigen, frühest möglicher Zeitpunkt der Tilgung angeben
Undiskontierte vertraglich vereinbarte Cash Flows
In der Analyse zwischen derivativen und nicht-derivativen Finanzinstrumenten unterscheiden
Beschreibung des Liquiditätsmanagements
20© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
LiquiditätsmanagementPraxisbeispiel Liquiditätsmanagement & Fälligkeitsanalyse
Liquiditätsrisiko
Das Liquiditätsrisiko beschreibt das Risiko, das entsteht, wenn der Konzern nicht in der Lage ist, seine Verpflichtungen bei Fälligkeit oder zu einem vernünftigen Preis zu erfüllen. Die Group Treasury ist verantwortlich für die Überwachung der Liquidität, Finanzierung und Tilgung. Zudem werden Abläufe und Richtlinien in diesem Zusammenhang durch das Management kontrolliert. Novartis bewirtschaftet sein Liquiditätsrisiko auf konsolidierter Basis auf Grund von geschäftspolitischen, steuerlichen, finanziellen oder aufsichtsrechtlichen Überlegungen, falls notwendig, durch Nutzung unterschiedlicher Finanzierungsquellen, um Flexibilität zu bewahren.
Novartis, Geschäftsbericht 2006, S. 185
21© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
LiquiditätsmanagementPraxisbeispiel Liquiditätsmanagement & Fälligkeitsanalyse
Die folgende Tabelle enthält Angaben zu Restlaufzeiten der Finanzanlagen und –verbindlichkeiten, ohne Kundenforderungen und Lieferantenverbindlichkeiten per 31.12.2006:
Novartis, Geschäftsbericht 2006, S. 187
22© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Risk Management
Ausfallrisiko
Liquiditätsrisiko
Marktrisiko
Schwierigkeiten bei der Umsetzung von IFRS 7
Änderungen zu IAS 1: Capital Disclosures
Agenda
23© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Marktpreisrisiken Definition und wichtigste Anforderungen
Marktpreisrisiken beinhaltet die folgenden Risiken
Zins
Währung
Andere Preisrisiken Aktienpreisrisiko
Rohstoffe
24© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenDefinition und wichtigste Anforderungen
Sensitivitätsanalyse für jede Marktrisikoart
Auswirkung hypothetischer Änderung der Risikofaktoren (Zins, Währung andere Marktpreisrisiken) auf
Eigenkapital
Erfolgsrechnung
Realistische Veränderung auf beiden Extremwerten der Bandbreite
Verwendete Methoden und getroffenen Annahmen Alternative Methoden z. B. Value at Risk möglich
25© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenVerwendete Modelle & getroffene Annahmen – Praxisbeispiel
Deutsche Telekom, Geschäftsbericht 2006, S.286f
Beispiel für die Beschreibung eines Risikomanagements
Novartis, Geschäftsbericht 2006, S.186:
Beispiel für die Beschreibung eines Value at Risk-Modells
26© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität – Praxisbeispiel
Deutsche Telekom, Geschäftsbericht 2006, S. 186
… Die Deutsche Telekom ist demnach nur Währungsrisiken aus bestimmten Devisenderivaten ausgesetzt. Dabei handelt es sich zum einen um Devisenderivate, die in eine wirksame Cash-Flow-Hedge-Beziehung zur Absicherung wechselkursbedingter Zahlungsschwankungen nach IAS 39 eingebunden sind. Kursänderungen der diesen Geschäften zu Grunde liegenden Währungen haben Auswirkungen auf die Sicherungsrücklage im Eigenkapital und auf den Fair Value dieser Sicherungsgeschäfte. Zum anderen handelt es sich um die Devisenderivate, welche weder in eine Sicherungsbeziehung nach IAS 39 noch in eine Sicherungsbeziehung mit bilanzwirksamen Grundgeschäften (Natural Hedge) eingebunden sind. Diese Derivate dienen der Sicherung von Planpositionen. Kursänderungen der solchen Finanzinstrumenten zu Grunde liegenden Währungen wirken sich auf das sonstige Finanzergebnis (Bewertungsergebnis aus der Anpassung der finanziellen Vermögenswerten an den beizulegenden Zeitwert) aus.
27© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität – Praxisbeispiel
Deutsche Telekom, Geschäftsbericht 2006, S. 186 (Forts.)
Wenn der Euro gegenüber dem US Dollar zum 31. Dezember 2006 um 10% aufgewertet (abgewertet) gewesen wäre, wären die Sicherungsrücklagen im Eigenkapital und der Fair Value der Sicherungsgeschäften um 125 Mio. € niedriger (höher) (31. Dezember 2005): 68 Mio. € höher (niedriger)) gewesen.
Wenn der Euro gegenüber sämtlichen Währungen zum 31. Dezember 2006 um 10% aufgewertet (abgewertet) gewesen wäre, wären das sonstige Finanzergebnis und der Fair Value der Sicherungsgeschäfte um 29 Mio. Eur höher (niedriger) (31. Dezember 2005: 3 Mio. € niedriger (höher)) gewesen. Die hypothetische Ergebnisauswirkung von +29 Mio. € ergibt sich im Einzelnen aus den Währungssensitivitäten EUR/USD: -14 Mio €; EUR/AED: +1 Mio. €; EUR/GBP: + 8 Mio. EUR; EUR/HUF: +8 Mio. €; EUR/PLN: +22 Mio. €; EUR/SKK: +4 Mio. €
28© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität – von IFRS 7 nicht verlangt
InBev, Financial Report 2006, S. 102
…Around 80% of InBev‘s revenue is generated by subsidiaries, referred to as foreign operations, of which the activities are conducted in a currency other than the euro. A currency translation risk arises when the financial data of these foreign operations are converted in InBev‘s presentation currency, the euro. The foreign currencies in which the main InBev’s subsidiaries operate are the Brazilian real, the Canadian dollar, the US dollar, The pound sterling, the South Korean won, the Russian ruble and the Argentinean peso. On the basis of the volatility of these currencies against the euro in 2006, we estimated the reasonable possible change of the exchange rate of these currencies against the euro as follows:
If the euro had weakened/strengthened during 2006 by the above estimated possible changes against the above listed currencies with all other variables held constant, the profit would have been 392m euro (18%) higher/lower while the translation reserves in equity would have been 1,790m euro (14% of total equity) higher/lower.
29© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität – von IFRS 7 nicht verlangt
Nobel Biocare, Financial Report 2006, S.112
… The table „Transactional Effect“ shows how the value of the actual revenues and expenditures against the reporting currency EUR of the most important currencies would have been affected by a general 10% strengthening of the currency against the EUR. The transactional exposure is defined as the net result of all revenues, product cost, operating expenses and tax expenses in a currency other than the EUR….
IFRS 7 verlangt nur Offenlegung der Fremdwährungssensitivität auf monetäre Bilanzpositionen
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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität - Beispiel
Muttergesellschaft GBP USD CHF EUR
(CHF = Funktionalwährung) Beträge in lokaler Währung
Flüssige Mittel 300 200 200
Forderungen aus Lieferungen & Leistungen 100 300 500
Forderungen Gruppengesellschaften 100 50
Finanzverbindlichkeiten -150 -200 -800
Verbindlichkeiten Lieferungen & Leistung -100 -200
Net exposure 250 100 -600 550
CHF / £ CHF / $ CHF / €
Wechselkurse 2.39 1.22 1.61
Net exposure (in CHF) 597 122 - 885
31© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität - Beispiel
Muttergesellschaft GBP USD CHF EUR CHF/£ CHF/$ CHF/€ £/$ £/€
(CHF = Funktionalwährung) Beträge in lokaler Währung in CHF in CHF in CHF in CHF in CHF
Net exposure 250 100 -600 550 597 122 885 - -
Tochtergesellschaft GBP USD CHF EUR CHF/£ CHF/$ CHF/€ £/$ £/€
(GBP = Funktionalwährung) Beträge in lokaler Währung in CHF in CHF in CHF in CHF in CHF
Net exposure 100 550 700 550 -700 - - 670 885
Total FW exposure (Gruppe) CHF/£ CHF/$ CHF/€ £/$ £/€
Bilanz in CHF in CHF in CHF in CHF in CHF
Net exposure -103 122 885 670 885
32© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität - Beispiel
Total FW exposure of the Group
CHF / £
CHF / $
CHF / € £ / $ £ / €
Balance Sheet in CHF in CHF in CHF in CHF in CHF Net exposure -103 122 885 670 885
Foreign currency sensitivity analyses (IFRS 7.B24) CHF /
£CHF /
$CHF /
€ £ / $ £ / € Reasonably possible change (IFRS 7.B19) + / - 4.0% 3.0% 2.5% 5.0% 3.5% Positive effect on P/L pre tax 4 4 22 34 31 Negative effect on P/L pre tax -4 -4 -22 -34 -31
Pro Währung realistische
Veränderung festlegen
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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
MarktpreisrisikenFremdwährungssensitivität - Beispiel
InBev, Annual Report 2006, S.103
…The estimation is based on the standard deviation of daily volatilities of the foreign exchange rates during the past 250 days at 31 December, 2006 and using a 95% confidence interval.
34© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Offenlegung des Zinssatzrisikos auf Finanzinstrumente, welche bereits in der Bilanz erfasst sind (z.B.
Darlehen, Obligationen etc)
Finanzinstrumente, welche noch nicht bilanzwirksam sind (z. B. Finanzielle Zusagen)
Sensitivitätsanalyse Fair Value Sensitivität für fix verzinsliche Finanzinstrumente (Effekt in
EK/ER)
Cash Flow Sensitivität für variabel verzinsliche Finanzinstrumente (Effekt der ER)
Marktpreisrisiken
Zinsrisiko
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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Zinsrisiko Zinssensitivität – Praxisbeispiel
… Wenn das Marktzinsniveau zu, 31. Dezember 2006 um 100 Basispunkte höher (niedriger) gewesen wäre, wäre das Ergebnis um 265 Mio. EUR (31. Dezember 2005: 158 Mio. EUR) geringer (höher) gewesen. Die hypothetische Ergebnisauswirkung von -254 Mio. EUR ergibt sich aus den potenziellen Effekten aus Zinsderivaten von -206 Mio. EUR und originären, variable verzinslichen Finanzschulden von -48 Mio EUR. Wenn das Marktzinsniveau zum 31. Dezember 2006 um 100 Basispunkte höher (niedriger) gewesen wäre, wäre das Eigenkapital um 27 Mio. EUR höher (geringer) gewesen….
… Marktzinssatzänderungen von originären Finanzinstrumenten mit fester Verzinsung wirken sich nur dann auf das Ergebnis aus, wenn diese zum beizulegenden Zeitwert bewertet sind. Demnach unterliegen alle zu fortgeführten Anschaffungskosten bewerteten Finanzinstrumente mit fester Verzinsung keinen Zinsänderungsrisiken im Sinne von IFRS 7….
Deutsche Telekom, Geschäftbericht 2006, S. 187
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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Zinsrisiko Sensitivitätsanalyse
… The fixed rate financial instruments used by the Group consist principally of part of the portfolio of the financial services companies (Basically customer financing and financial leases) and part of debt (including subsidised loans and bonds)
The potential loss in fair value of fixed rate financial instruments (including the effect of interest rate derivative financial instruments) held at December 31, 2006, resulting from a hypothetical, unfavourable and instantaneous change of 10% in market interest rates, would have been approximately 105 million euros (33 million euros at December 31, 2005).
(FIAT, Annual Report 2006, S. 185)
37© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Risk Management
Ausfallrisiko
Liquiditätsrisiko
Marktrisiko
Schwierigkeiten bei der Umsetzung von IFRS 7
Änderungen zu IAS 1: Capital Disclosures
Agenda
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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Erheblicher Mehraufwand Datenerhebung bei Tochtergesellschaften
Sensitivitätsanalysen
Fälligkeitsanalysen
Gewährung Einblick in vertrauliche Daten Risikokonzentration (Möglichkeit von Rückschlüssen auf Kunden und
Volumen)
Liquiditätsrisiko (Einblick in zukünftig erwartete Mittelzu- und –abflüsse)
Sensitivitätsanalyse (Rückschlüsse auf verwendete Derivative zu Absicherungszwecken)
Standard ist sehr allgemein gehalten und gibt wenig Hinweise auf konkrete Umsetzung
Finanzinstrumente im FokusSchwierigkeiten der Umsetzung von IFRS 7
39© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Bedeutung von Finanzinstrumenten
Risk Management
Ausfallrisiko
Liquiditätsrisiko
Marktrisiko
Schwierigkeiten bei der Umsetzung von IFRS 7
Änderungen zu IAS 1: Capital Disclosures
Agenda
40© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Änderungen zu IAS 1Capital Disclosures
Zusätzliche Offenlegungspflichten
Zielsetzung und Prozesse zur Eigenkapitalbewirtschaftung
Quantitative Angaben was die Unternehmung als Eigenkapital betrachtet
Aussage, ob die Gesellschaft die Eigenkapitalvorschriften und allfällige vertragliche Eigenkapital-bestimmungen eingehalten hat
Falls nicht eingehalten, Beschreibung der Konsequenzen
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© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Änderungen zu IAS 1Capital Disclosures - Praxisbeispiel
The Group defines the capital that it manages as the Group’s total equity, including minority interests. The Group’s objectives when managing capital are:
To safeguard the Group’s ability to continue as a going concern, so that it can continue to provide benefits for customers and returns to investors.
To provide an adequate return to investors based on the level of risk undertaken.
To have available the necessary financial resources to allow the Group to invest in areas that may deliver future benefits for customers and returns to investors.
To maintain sufficient financial resources to mitigate against risks and unforeseen events.
Capital is monitored on the basis of the equity ratio, which is calculated as being the equity (including minority interests) as a percentage of total assets. This is reported to senior management as part of the Group’s regular internal management reporting. The Group’s capital and equity ratio are shown in the table below.
…
The Group is not subject to any externally imposed capital requirements.
42© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Änderungen zu IAS 1Capital Disclosures - Praxisbeispiel
Orell Füssli, Geschäftsbericht 2006, S. 16
…
Die Orell Füssli Gruppe überwacht die Kapitalstruktur auf Basis des Netto-verschuldungsgrades.
…
Ziel der Orell Füssli Gruppe im Geschäftsjahr 2006 war es, einen Nettoverschuldungsgrad von unter 50% zu erzielen, während im Vorjahr eine kurzfristig höhere Fremdfinanzierung durch den Kauf der restlichen Aktien von Atlantic Zeiser geplant war.
Der Nettoverschuldungsgrad stellt sich an den Stichtagen wie folgt dar:
…
43© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Danske Bank A/S, Annual Report 2006 S. 26ff.
Änderungen zu IAS 1Capital Disclosures - Praxisbeispiel
44© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
44
Patricia Bielmann Director
KPMGBadenerstrasse 172Postfach8026 Zürich
Telefon +41 44 249 48 84Natel +41 79 238 19 53Fax +41 44 249 21 21pbielmann@kpmg.com
KontaktKontakt
© 2007 KPMG AG/SA/Ltd, a subsidiary of KPMG Holding Ltd, a Swiss corporation and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. Printed in Switzerland.
Lukas Marty Partner
KPMGBadenerstrasse 172Postfach8026 Zürich
Telefon +41 44 249 21 18Natel +41 79 372 04 03Fax +41 44 249 21 21lmarty@kpmg.com
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