Akuntansi

Derivatif dan Hedging

Direktorat Jenderal Pengelolaan Utang

Presented : Dwi Martani

Agenda

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1.

Latar Belakang

2.

Akuntansi

3.

Standar Akuntansi

4
4.

Ilustrasi Transaksi

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Derivative
e at e Secu
Securities
t es

Latar Belakang

Market risks

commodity price risk

interest rate risk

foreign currency risk

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Instrumen Keuangan

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Derivative Securities

Hedges adalah kontrak yang melindungi dari risiko

pasar misalnya,
misalnya forward,
forward options
options, and swaps.
swaps
Derivative securities, or simply derivatives,

adalah kontrak yang nilainya diturunkan dari nilai

aset lain atau item ekonomi tertentu saham/stock,
bond, commodity price,
interest rate, or currency exchange rate
Sulit untuk mencari derivatif yang benar-benar
dapat melindungi diri dari risiko.
Risiko
Ri ik ketidakpastian
k tid k
ti di masa mendatang
d t
Melindungi dari risiko = memastikan
ketidakpastian.
Kontrak lindung nilai memiliki risiko

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Derivative Financial Instruments

A derivative is a financial instrument that meets the

following three criteria:
Its value changes
in response to a
change in an
underlying

Requires little or
no initial
investment

Settled at a future
date

Scope Exemption:
IAS 39:5 exempts contracts which meet the definition of a
derivative from the standard if the contract is entered into
to meet the entitys usual purchase, sale or usage
requirements
Tan & Lee Chapter 9

2009

Derivative Securities

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Instrumen keuangan atau kontrak lain

dengan karakteristik:

Nilainya berubah akibat dari perubahan

variabel yg mendasari (spt suku bunga,
bunga harga,
harga
nilai tukar, dll).
Tanpa investasi awal neto atau nilainya lebih
k il dari
kecil
d i nilai
il i kontrak
k t k sejenis
j i yang memberi
b i
pengaruh yang sama thd perubahan faktor
pasar.
Diselesaikan pd tgl tertentu di masa
mendatang.

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Tujuan Akuntansi Hedging

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Klasifikasi Derivatif
F
Freestanding
t di derivatif
d i tif
( ti
(option,
forward contract, swap, future
contract)
t t)
Embedded derivatif

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Derivative Financial Instruments

Example of derivative instruments and their underlying

Types of derivative
instruments

Underlying

Used by

Option contracts
(call and put)

Security price

Producers, trading firms

Producers
firms,
financial institutions, and
speculators

Forward
F
d contracts
t t
e.g. foreign exchange
forward contract

Foreign
F
i
exchange rate

V i
Various
companies
i

Future
F
t
contracts
t t
e.g. commodity futures

Commodity
C
dit
prices

Producers
P
d
and
d
consumers

Swaps

Interest rate

Financial institutions

Tan & Lee Chapter 9

2009

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Derivative Securities
Derivatives
e at es

Hedge
Fair Value
Hedge

Speculative
Cash Flow
Hedge

Foreign
Currency
Hedge

Fair Value
Hedge

Cash Flow
Hedge

Hedge of Net
Investment in
Foreign
O
Operation
ti

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Derivative Financial Instruments

Use of derivatives
1. Manage market risk
2. Reduce borrowing cost
3. Profit from trading or speculation

Types of derivatives
1 For
1.
Forward
ard type
t pe derivatives
deri ati es such
s ch as forward
for ard contracts,
contracts ffuture
t re
contracts and swaps
2. Option-type derivatives such as call and put options, caps and
collars and warrants
3. Free standing derivatives
4. Embedded derivatives

Tan & Lee Chapter 9

2009

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Forward Contracts

An agreement between two parties (counterparties) whereby one

party agrees to buy and the other party agrees to sell a specified
amount (notional amount) of an item at a fixed price (forward rate)
for delivery at a specified future date (forward date)

Can either be a forward purchase contract or a forward sales

contract, depending on the perspective of the counterparties

A Company

Sells Forward
Contract

Forward sales contract

Tan & Lee Chapter 9

B Company

Forward purchase contract

2009

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Forward Contracts

Not standardized contracts as they are not traded on an

exchange
They entail counterparty risks
They are can be tailored to specific needs of counterparties
They involve lower transaction costs

Fair value of forward contract:

Notional x
amount
where

(Current forward rate contracted forward rate )

(1+r)

Contracted forward rate is forward rate

fixed at inception

r = discount rate

Current forward rate is forward rate for

remaining period to maturity

t = period to maturity

At inception date, the fair value of a forward contract is nil.

Tan & Lee Chapter 9

2009

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Future Contracts

A future contract is similar to a forward contract except that it is a

standardized contract and is traded on an exchange

Futures contracts are marked-to-market and settled on a daily basis

Futures contracts require payment of a margin deposit which has to

be maintained throughout the contract period

Wide range of exchange-traded future contracts

Commodity futures
Interest rate futures
Currencyy futures

Tan & Lee Chapter 9

2009

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Option Contracts

Contract that gives holder the right but not the obligation to buy or
sell a specified item at a specified price

2 type of option contracts

1. Call option right, but not obligation to buy
2. Put option right, but not obligation to sell

Can be American option (exercisable anytime to expiration) or

European option (exercisable only on maturity date)

Can also be customized (not traded) or standard contract quoted on

exchange (listed options)

Tan & Lee Chapter 9

2009

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Option Contracts

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Main features
Purchaser (holder) pays premium to seller (writer of option)
Holder has the right, but not obligation to perform; while write has
obligation
g
to p
perform
Asymmetrical pay-off profile
Holder has limited loss (due to premium) and unlimited gain
Writer has limited g
gain and unlimited loss

Relationship between the strike price and the underlying

Strike price>
Underlying
y g
(spot price)

Strike price>
Underlying
y g
(spot price)

Strike price>
Underlying
y g
(spot price)

Holder of call
option

Out-of-the-money

At-the-money

In-the-money

Holder of put
option

In-the-money

At-the-money

Out-of-the-money

Tan & Lee Chapter 9

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Option Contracts

Fair value of option contract

Fair value of an option = Intrinsic value + Time value

Listed options = quoted price

Not traded options = Valuation
model ( Black-Scholes model)

Diminishes over time

Zero at expiration

Call option = Max [0, Notional amount x (Spot price Strike Price)
Put option = Max [0, Notional amount x (Strike price Spot Price)

Tan & Lee Chapter 9

2009

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Embedded Derivatives
Derivative that is part of a hybrid financial instrument
Hybrid Instrument
Host Instrument
Embedded derivative:
Linked to underlying and change in
underlying causes change in cash flow

Example is bond whose ultimate proceed are linked to price of

commodity, such as oil, or to a consumer price index

Tan & Lee Chapter 9

2009

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Split Accounting of Embedded Derivatives

IAS 39 requires embedded derivatives to be separately recognized
from the host instrument and accounted for in the same way as a
stand-alone derivative if the following conditions are met:

Conditions for separation of embedded derivative

Economic
characteristics and risk
of host instrument are
not closely related to
that of the derivative

Tan & Lee Chapter 9

There is a separate
instrument with same
terms as the embedded
derivative

2009

Hybrid instrument is not

measured at fair value,
with changes in fair
value recognized in
profit and loss

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Accounting for Derivatives

Default accounting treatment for derivatives under IAS 39:

Derivatives are classified under the Fair Value through Profit or
Loss category and changes in their fair values are taken to income
statement
Exception - when a derivative is designated as a hedge of an
identified risk and the hedge is effective
effective. In this case
case, accounting for
the derivative follows hedge accounting rules

Tan & Lee Chapter 9

2009

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Accounting for Forward Contract

At inception

During life of contract

Dr Forward Contract
(asset)
Cr Gain on forward
contract

No jjournal entry
y as
fair value is nil

Tan & Lee Chapter 9

Closing position or
at expiration
Dr Cash
Cr Forward contract

or
Dr Loss on forward
contract
Cr Forward Contract
(liability)

Dr Forward contract

j
fair value and
Adjust
record gain/loss

Close out and record

net settlement of
contract

2009

Cr Cash

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Accounting for Future Contract

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At inception

During life of contract

Dr Cash
Cr Gain on future
contract

Dr Margin deposit
Cr Cash

payment
y
of
Record p
initial margin deposit
Tan & Lee Chapter 9

Closing position or
at expiration
Dr Cash
Dr Gain on future
f t re
contract
Cr Margin Contract

or
Dr Loss on futures
contract
Cr Cash

Dr Cash
Cr Loss on future
contract
Cr Margin Contract

Record dailyy
settlement of future
contracts

Close out and recover

margin deposit

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Purchased Option Contract

At inception

During life of contract

Dr Option Contract
Cr Gain on future
contract

Dr Option contract
(asset)
Cr Cash

Closing position or
at expiration
Dr Cash*
Dr Gain on option
contract
Cr Option Contract

or
Dr Loss on futures
contract
Cr Option
p
Contract

Dr Cash*
Cr Loss on option
contract
Cr Option Contract
(* assume expires in-the-money)

payment
y
of
Record p
initial margin deposit
Tan & Lee Chapter 9

Adjust
j
for fair value
and record gain/loss
2009

Close out and record

net settlement of
contract
24

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Written Option Contract

At inception

During life of contract

Dr Option Contract
Cr Gain on future
contract

Dr Cash
Cr Option contract
(liability)

or
Dr Loss on futures
contract
Cr Option
p
Contract

Closing position or
at expiration
Dr Option contract
Cr Gain on Option
Contract
(Expires out-of-themoney)
Dr Option contract
Dr Loss on option
Cr Cash
(Expires in-the-money)

Record p
payment
y
of
initial margin deposit
Tan & Lee Chapter 9

Adjust
j
for fair value
and record gain/loss
2009

Close out and record

net settlement of
contract
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Hedging
Propose is to neutralize an exposed risk
Loss on hedge item offset by gain on hedging instrument
Reduce volatility than preserve gains

Other ways of hedging through non-derivative derivatives

Money market instruments (money market hedge)
Natural hedge (offsetting foreign currency assets and liability in the
same currency)

Special accounting rules called hedge

hedge accounting
accounting applies when
derivatives are used for hedging purposes

Tan & Lee Chapter 9

2009

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Rationale of Hedge Accounting

Arises because of the mismatch of income-offsetting

income offsetting effect between
hedged item and hedging instrument

Situations requiring hedge accounting

Hedge item and hedging instrument are measured using different bases
(One is at cost while the other is at fair value)
Hedged item yet to be recognized in financial statement
Different treatment for changes in fair value (changes taken to equity
while the other is taken to income statement)

Tan & Lee Chapter 9

2009

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Risks That Qualify for Hedge Accounting

Interest rate risk

Foreign exchange risk

Spec c risks
Specific
s s
that qualify for
hedge accounting

Risks must be specific risk,

not general business risks

Tan & Lee Chapter 9

Price risk

Credit risk

Possible for a derivative to

hedge more than one risk

2009

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Qualifying Hedging Instruments

(IAS 39: 72 73)

Instruments that qualify include:

D
Designated
i
t dd
derivatives
i ti
((exceptt written
itt options)
ti
)
Embedded Derivatives
Designated non-derivatives financial asset/ liability that hedge
f i exchange
foreign
h
risks
i k only
l

Value used to determine hedge effectiveness

If used in its entirety, fair value is used
If broken into time value and intrinsic value, permissible to use
intrinsic value. However, it must be explicitly documented at
inception

If derivative is used as a hedge of more than 1 risk

Individual designated component must meet hedge accounting
criteria
Permissible for portion of notional amount to be designated
Tan & Lee Chapter 9

2009

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Qualifying
y g Hedged
g Items
(IAS 39: 78 -79)

Qualify

Do not qualify

Financial assets and liabilities

with exposure to changes in fair
value

Held-to-maturity instruments
(regardless of fixed rate or
variable rate)

Non-financial assets exposed to

foreign exchange or price risks

Investment in an associated
company

Firm commitment

Highly
g yp
probable forecast
transaction with exposures to
future cash flows

Net investment in foreign entity

Tan & Lee Chapter 9

2009

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Criteria for Hedge Accounting

(IAS 39
39: 88)

C diti
Conditions
tto b
be mett ffor h
hedge
d accounting
ti tto apply
l
Enterprise must have exposure to risk that affects income
statement
Derivative contract specifically entered to hedge underlying
exposure
Hedge must be highly effective
Effectiveness of hedge can be reliably measured
Hedging relationship must be formally documented at the
inception of the hedge
Tan & Lee Chapter 9

2009

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Assessing Hedge Effectiveness

IAS 39:9 - The degree to which changes in the fair value or cash
flows of the hedged item that is attributable to a hedged risk are
offset by changes in the fair value or cash flow of the hedging
instrument
Hedge effectiveness is evaluated
Prospectively on inception of hedge; and
Retrospectively
p
y on an ongoing
g g basis

On inception, hedge effectiveness is assessed on

Comparison of the principal or critical terms
Historical analysis
Correlation analysis

Tan & Lee Chapter 9

2009

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Efektivitas Hedging

Efektifitas dihitung secara prospektif dan

retrospektif
H il aktual
Hasil
kt l berada
b d dalam
d l
ki
kisaran
80 125%
Seluruh lindung nilai yang tidak efektif
diakui dalam laporan L/R (termasuk
ketidakefektifan dalam kisaran 80 -125%)

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Efektivitas Hedging

Risks must be identifiable

Risk must be foreseeable
Risk must be realisticallyy measured
Precise attribution of hedging instrument to
hedged
g item
Reason:
p
of hedging
g g in financial report
p should be
Impact
as neutral as possible

Kriteria & Dokumentasi

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Kriteria
Tdpt kebijakan tertulis, tujuan manajemen risiko &
strategi lindung nilai.
Hubungan
H b
li d
lindung
nilai
il i diharapkan
dih
k efektif
f ktif utk
tk saling
li
menghapuskan perubahan nilai wajar.

Dokumentasi

Identifikasi hedged items vs hedging instruments.

Sifat risiko yang dilindungi
Strategi manajemen risiko dan lindung nilai
Penilaian efektifitas instrumen lindung nilai

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Assessing Hedge Effectiveness

During the duration of hedge, hedge effectiveness is assessed on

dollar-offset method:

Hedge effectiveness ratio (HER):

Hedge effectiveness Changes in fair value or future cash flow of hedging instrument
=
(or delta ratio)
Changes in fair value or future cash flow of hedged item
08
0.8

12
1.25

Effective hedge (IAS 39: AG 105b)

Exceptions for effective hedge even if HER falls out of range

IAS
S 39 a
allows
o s hedge
edge e
effectiveness
ect e ess to be assessed o
on cu
cumulative
u at e bas
basis
s
if hedge is designated and conditions are properly documented

Tan & Lee Chapter 9

2009

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Assessing Hedge Effectiveness

Exclusion of time value of certain derivatives to be excluded from
hedge relationship
Derivative separated into 2 component
1. Time value (options) or interest (forwards)
2. Intrinsic (options) or spot element (forwards)
Excluded time value taken to income statement as per default treatment
Should result in highly effective hedge, as intrinsic/ spot component
moves in tandem with underlying, while time/interest component does
not
If critical terms of hedging instruments and hedged item are exactly the
same, HER should be equal or around 1

Tan & Lee Chapter 9

2009

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Classification of Hedging Relationships

Causes
Fair value
hedge

Cash flow
hedge

Hedge of a net
investment in a
f i entity
foreign
tit
Tan & Lee Chapter 9

Explanation
Hedge of the
the exposure to changes in fair value of a
recognized asset or liability or an unrecognized firm
commitment, or an identified portion of such asset, liability
or firm commitment, which is attributable to a particular
risk
i k and
d could
ld affect
ff t profit
fit or loss
l
(IAS 39
39:86a)
86 )
Hedge of the exposure to variability in cash flows that
(i) is attributable to a particular risk associated with a
recognized
i d assett or liliability
bilit ((such
h as allll or some ffuture
t
interest payment on variable debt instrument )or a highly
probable future transaction, and
((ii)) could affect p
profit or loss ((IAS 39:86b))
Hedge of the foreign currency risk associated with a
foreign operation whose financial statements are required
to be translated into the presentation currency of the
parent company
2009

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Classification of Hedging Relationships

The designation of a derivative as a fair value hedge or a cash flow

hedge is determined by the hedged risk, that is, whether the entity
has a fair value exposure or a cash flow exposure

An exception where a derivative can be designated as either a fair

value hedge or a cash flow hedge is where the hedged risk is the
foreign exchange risk of a firm commitment

Tan & Lee Chapter 9

2009

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Accounting for a Fair Value Hedge

Hedged Item (recognized asset

or liability or firm commitment)

Hedging Instruments

Change in fair value

Change in fair value

Income statement
Gain (loss) on hedging instrument
offset loss (gain) on hedged item

Balance sheet
Change in fair value adjusted
against carrying amount
Tan & Lee Chapter 9

Change in fair value adjusted

against carrying amount
2009

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Illustration 1:
Hedge of inventory (fair value
hedge)

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Scenario
31/10/20x3
Inventory of 10,000 ounces of gold
Carried at cost of $3
$3,000,000
000 000 ($300 per ounce)
Price of gold was $352 per ounce

1/11/20x3
Sold forward contract on 10,000
10 000 ounce for forward price of $350 ounce
Forward contract matures on 31/3/20x4

31/12/20x3
F
Forward
d price
i ffor 31/3/20
31/3/20x4
4 contract
t t was $340 per ounce and
d spott price
i
of gold was $342 per ounce
Hedge effective ratio of 1 on 31/12/20x3

Tan & Lee Chapter 9

2009

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Illustration 1:
Hedge of inventory (fair value
hedge)

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1/11/20x3
No entry or just a memorandum entry as the fair value of the forward
contract is nil
31/12/20 3
31/12/20x3
Dr

Forward contract .

Cr
C

Gain on
Ga
o forward
o a d contract
co t act ...

100,000
100,000
00,000

Gain on forward contract: 10,000 x ($340 -$350)

Dr

Loss on inventory

Cr

Inventory ..

Taken to income
statement

100 000
100,000
100,000

Gain on forward contract: 10,000 x ($342 - $352)

Tan & Lee Chapter 9

2009

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Illustration 1:
Hedge of inventory (fair value
hedge)

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31/3/20x4
Inventory
y is sold to third-party
p y at $
$330 p
per ounce ((also maturity
y date of
forward contract
Dr

Forward contract .

Cr

Gain on forward contract ...

100,000
100 000
100,000

Gain on forward contract: 10,000 x ($330 -$340)

Dr

Loss on inventory

Cr

Inventory ..

120 000
120,000
120,000

Gain on forward contract: 10,000 x ($330 - $342)

Dr

Cash ..

Cr

Sales .

3,300,000
3,300,000

Sale of inventory: 10,000

10 000 x $330
Tan & Lee Chapter 9

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Accounting for a Cash Flow Hedge

Effective Cash Flow Hedge (IAS
39:95)

Effective portion
of gain/ loss

Ineffective portion
of gain/ loss

Recognized
directly in equity
through statement
of changes in
equity

Recognized in profit
or loss

Tan & Lee Chapter 9

2009

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Accounting for a Cash Flow Hedge

Cash flo
flow hedges are applicable to the following:
follo ing

Forecasted
transactions
involving financial
and
d non-financial
fi
i l
assets/liabilities
which will result
in cash inflow/
outflow

Tan & Lee Chapter 9

IInterest
t
t rate
t
swaps

2009

Other
transactions
which affect
future
cash flows

45

Effective and ineffective portions

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Scenario
1/1/20 1
1/1/20x1
Entered into futures contract to hedged forecast transaction at
30/4/20x1
Classified as cash flow hedge
Period
ending

in fair value
of future contracts

in present value of
expected future cash
flow

31/1/20x1

$100

$(105)

28/2/20x1

90

(80)

31/3/20x1

103

(105)

30/4/20x1

(38)

45

Tan & Lee Chapter 9

2009

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Illustration 2:
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Effective and ineffective portions of a

cash flow hedge

Determination of effective and ineffective portions of a cash flow hedge

Effective
Lesser of
portion
two
credited/
cumulative (debited)
amount in to equity in
absolute
current
period
terms
(c)
(

Ineffective
portion
credited/
(debited)
to income
statement
in current
period

Period
ending

Cumulative
in FV of
future
contracts
(a)

Cumulative
in PV of
expected
cash flow
(b)

31/1/20x1

$100

$(105)

$100

$100

$0

28/2/20x1

190

((185))

185

85

31/3/20x1

293

(290)

290

105

(2)

30/4/20x1

255

(245)

245

(45)

Tan & Lee Chapter 9

2009

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Hedge of a Net Investment

i a Foreign
in
F
i Entity
E tit
Hedge risk is foreign exchange risk
Applies to foreign operations whose functional currencies are the
currencies of the country where the foreign operations are located
Closing
g rate method may
y result in significant
g
translation loss from
depreciating currencies

Accounting
g treatment similar to cash flow hedge
g

Hedge effectiveness =

Cumulative change in fair value of hedging instrument (A)

Cumulative translation difference on net investment (B)

Hedge is effective if the delta ratio is between 0.8 and 1.25.

Unlike a fair value hedge or a cash flow hedge, a non-derivative is
allowed to be the hedging instrument
instrument, for example
example, a foreign currency
loan.
Tan & Lee Chapter 9

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Hedge
g of a Net Investment in a Foreign
g Entity
y

Scenario
Functional currency is the dollar ($)
Acquired 100% interest in foreign company (functional currency is FC)

31/12/20x3
Exchange rate is $1.85 to FC1
Loan of FC1
FC1,200,000
200 000 at 5% interest taken to hedge foreign investment
Foreign currency translation reserves showed $15,000 (credit balance)

31/12/200x4
31/12/200
Exchange rate is $1.70 to FC1
Average rate is $1.78 to FC1
Foreign company reported net profit of FC380,000
Tan & Lee Chapter 9

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Hedge
g of a Net Investment in a Foreign
g Entity
y

Translation difference in foreign investments FS for 31/12/20x4

On net assets on 1/1/20x4 (FC 1,200,000 x $(1.70-1.85) .

$(180,000)

On net profit for 20x4 (FC380,000 x $(1.70-1.85) ..

(30,400)

Translation loss for 20x4

$(210,400)

Foreign currency translation reserves (credit balance)

(195,400)

Journal entries for parent

31/12/20x3
Dr

Cash ..

Cr

Loan payable ...

2 200 000
2,200,000
2,200,000

The loan payable is designated as a hedge of the net investment:

FC1 200 000 x spott rate
FC1,200,000
t off $1
$1.85
85
Tan & Lee Chapter 9

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Hedge of a Net Investment in a Foreign Entity

31/12/20x4
Dr

Interest expense
p
.

Cr

Accrued interest ..

106,800
,
106,800

Interest expense during the year at 5% x FC1,200,000 x $1.78

Dr

Accrued interest ..

Cr

Cash ..

Cr

Exchange gain .

106,800
102,000

Taken to equity
4 800 to
4,800
t offset
ff t
translation loss

Settlement of accrued interest at year-end

Dr

Loan payable ...

Cr

Foreign currency translation

reserves

180,000
180,000

Exchange gain on FC loan taken directly to equity:

FC 1,200,000 x ($1.70 - $1.85)
Tan & Lee Chapter 9

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Discontinuation or Termination
of Hedge Accounting

Consideration for discontinuation or termination of hedge accounting

Hedging instrument
has reached maturity
date or is closed off or
terminated

Criteria for
hedge accounting
is no longer met

Hedge designation
is revoked

Accounting treatment depends on type of hedge

Tan & Lee Chapter 9

2009

52

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J U

Penghentian Lindung Nilai

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J U

Evaluation of Hedge Accounting

Objective of hedge accounting
Reflect effectiveness of hedging activities of a firm
Reduce volatility of reported earnings

Compliance with hedge accounting may result in considerable

expenditure of resources

There are challenges in compliance with hedge accounting criteria

for macro hedges

Issue is whether the additional costs of compliance more than offset

the benefit of applying hedge accounting

Tan & Lee Chapter 9

2009

54

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Referensi

Tan & Lee Advance Financial Accounting, ch 9: Accounting

f Derivatives
for
D i ti
and
dH
Hedge
d A
Accounting
ti
PSAK 50 dan 55
IAS 32 dan 39
International Financial Reporting Standards Certificate
Learning Material The Institute of Chartered Accountants
Accountants,
England and Wales
Materi Public Hearing PSAK 55

dwimartani@yahoo.com atau martani@ui.ac.id

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