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沪深300股指期货上市以来,股指期货套期保值业务在证券公司、基金公司、QFII和信托公司等机构投资者中都有采用,但目前对股指期货套保运用最为广泛的是证券公司。股指期货套期保值一直被证券公司广泛应用在融资融券、自营股票套保、“ETF+股指期货”套利等业务上。通过对上海、深圳、北京等地主要证券公司的实地调研,我们发现证券公司应用套保会计时面临会计处理不配比、有效性认定标准高、套保认定标准苛刻、净资本双重扣减、计提风险资本准备增加成本等问题。特别是在套保业务已被机构投资者广泛使用的背景下,套保的会计处理与套保业务间的矛盾严重阻碍了股指期货套期保值功能的发挥。本课题从股指期货套保业务、会计核算、内控、监管等四个维度入手解决上述问题。
Since the listing of Shanghai and Shenzhen 300 index futures, stock index futures hedging has been used by institutional investors such as securities companies, fund companies, QFIIs and trust companies. However, securities companies are currently the most widely used hedgers for stock index futures. Stock index futures hedging has been widely used by securities companies in margin trading, proprietary stock hedging, “ETF + index futures ” arbitrage and other businesses. Through the field research on the major securities companies in Shanghai, Shenzhen and Beijing, we find that the application of hedge accounting is unqualified in securities companies. The standard of validity is high, the standards of hedging are harsh, and the net deduction of net capital Mention venture capital increase costs and other issues. Especially in the hedging business has been widely used by institutional investors in the context of hedging accounting and hedging contradictions between business seriously hindered the performance of stock index futures hedging. The subject from the stock index futures hedging business, accounting, internal control, regulatory four dimensions to solve these problems.