Accounting Recognition And Measurement Of Interest Rate Futures Research

After the disintegration of Bretton Woods System, financial freedom, oil crisis, and other similar world economic affairs in 1970s, International financial market risks increase, financial innovation correspondingly advances rapidly. So interest rate futures(IRFs) dealings spread urgently, variously and technically, which demands high level of financial supervision. Our country economy has developed quickly in recent years and especially the China Financial Futures Exchange was established on September 8, 2006, which afford an opportunity for dealing in IRFs, so the study of IRFs accounting is no time to delay.Interest rate futures contract is a long-term or short-term credit instrument of transferable agreement to make or take delivery of a fixed income security at a certain time in the future for a certain price. With its calendar spreading, leverage, fictitious quality, and high risk, IRFs accounting theory is different from traditional accounting theory, which means that IRFs accounting is a process of initial recognition, subsequent valuation, derecognition and has to adopt fair valuation model, and which brings great influences on the whole accounting theory.The dissertation begins with the financial definition of IRFs and simply describes its naissance, definition, and characteristics which make it different from traditional accounting objects, so it will bring great influences on the whole accounting theory. The first part then describes IRFs accoungting theory of recognition and valuation, which is the theory basis of constituting IRFs accoungting standards and also illuminates IRFs accoungting's particularity and complexity. The second part simply introduces IRFs accoungting's correlative criteria of Financial Accounting Standards Board(FASB), International Accounting Standards Committee(IASC), Accounting Standards Board(ASB), and China; then, mainly expatiates FASB's and IASC's, comparing and analysing the differences between the two. The third part describes our country IRFs accounting practice's actualities. Last part proposes the problems and their solutions of our country IRFs accounting practice.The innovation of the dissertation is that it pioneers a new way to study Derivative Financial Instruments accounting. That is to say that with comparing and analysing FASB and IASC correlative standards, and the exertion of our new accounting standards, the dissertation studys deeply IRFs accounting practice's problems. The conclusions of dissertation are as follows: First, IRFs assets and IRFs liabilities should be calculated through "buying IRFs contract", "IRFs contract accounts payable", "selling IRFs contract", "IRFs contract accounts receivable" four accounts. Second, IRFs's valuation should adopt the result of financial pricing formula, and should calculate holding /delivering profit and loss through "IRFs investment profit", "IRFs investment loss" two accounts. Third, the dissertation analyses three IRFs hedges' relationship and gives examples of them. Last, the dissertation proposes four developmental directions of derivative financial instruments accounting and even financial instruments accounting. The deficiencies of the dissertation are that it doesn't refer the problems of IRFs transfer, continue to involve IRFs transferred, embeded IRFs, etc, which all need to be further studied.