Bab 12 - 13 Akuntansi Derivatif Dan Lindung Nilai SP Jan 2016

Derivatif: Konsep
dan
Transaksi
Umum
Copyright 2012 Pearson Education,

Inc. Publishing as Prentice Hall
121
Derivatives and Foreign Currency Concepts

and Common Transactions: Objectives
1. Understand the definition of a derivative and
the types of risks that derivatives can
manage.
2. Understand the structure, benefits and costs
of options, futures, forward contracts, and
swaps.

122
Derivatives and Foreign Currency:

Concepts and Common Transactions
1: DERIVATIVES

123
Hedges adalah kontrak yang melindungi dari

risiko pasar misalnya, forward, options, and
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: ketidakpastian di masa mendatang
Melindungi dari risiko =
memastikan ketidakpastian.
Kontrak lindung nilai memiliki risiko
Instrumen
keuangan atau kontrak
lain
dengan karakteristik:
Nilainya berubah akibat dari perubahan
variabel
yg mendasari (spt suku

bunga, harga,
nilai tukar, dll).
Tanpa investasi awal neto atau nilainya lebih
kecil dari nilai kontrak sejenis yang memberi
pengaruh
yang sama thd perubahan

faktor pasar.
Diselesaikan pd tgl tertentu di masa
mendatang.
The name given to a broad range of

financial
securities.
The derivative's value to the investor is
directly related to fluctuations in price,
rate or some other variable that
underlies it.
1.
2.
3.
4.
Derivative
digunakan untuk lindung
Interest rates
nilai
fluktuasi potensial
Commodity
prices
Foreign currency
exchange rates

124
hedge can
Shift risk of fluctuations in
sales prices, costs, interest
rates, or currency exchange
rates
Help manage costs
Reduce risks to improve
financial
position
127
Derivatives and
Foreign Currency:
Concepts and
Common Transactions

128
Ada
4 jenis
derivatives:
Forward Contracts
Futures Contracts
Options
Swaps
127
Forward Contracts are

Negotiated contracts between two
parties
For the delivery or purchase of
A commodity or
A foreign currency
At an agreed upon price, quantity,
and
delivery date.
Settlement of the forward contract
may be
1210
Futures contracts are a specific type of

forward contract
Characteristics are standardized
Characteristics are set by futures
exchanges (Rather than by the
contracting parties) so
performance risk is eliminated
Exchange guarantees
performance
Settlement
may also be made by

entering another futures contract in
the opposite direction.
1211
Options are right (but not the

obligation) to either
Call (buy), or
Put (sell)
With options, only one party is
obligated to perform depending on
the election of the other party to
exercise their option.
1212
Swaps
are contracts to exchange an

ongoing stream of cash flows, commonly
swapping interest rates.
Swap variable- for fixed-rate debt, or
Swap fixed- for variable-rate debt
Swaps
are commonly negotiated on an

individual basis like forward contracts,
but may be standardized and exchangetraded like futures.
1213
Derivatives adl nama umum utk banyak

sekuritas finansial
Nilai kontrak derivatif scr lgsung terkait

dgn fluktuasi dlm harga,
kurs atau variabel lain yg
mendasarinya.
Options contracts
Forward contracts
Future contracts
Options adl hak tp bkn kewajiban utk

melakukan suatu tindakan.
Forward contract adl kontrak yg

dinegosiasikan antar pihak dan tdk melalui
bursa.
Futures contracts adl kontrak yg mengikat

kedua pihak utk melakukan suatu tindakan
Cash flow hedge adl kontrak utk mengurangi

risiko perusahaan atas perubahan harga
dr pembelian yg direncanakan
Sebuah perusahaan menandatangani kontrak

opsi tgl 15 January 2003, dgn harga $1,000.
Perusahaan tsb dpt menggunakan opsinya

utk membeli 100,000 gallon minyak
dengan harga $1 per gallon.
Opsi kadaluarsa tgl 31 May 2003.
January 15, 2003

OPSI KONTRAK MINYAK
KAS
1,000
Perusahaan menyiapkan laporan kuartal

tgl 31 March 2003.
Harga pasar minyak adl $1.25.

Perusahaan dpt menggunakan opsinya
pada tgl ini
1,000
March 31, 2003

OPSI KONTRAK MINYAK
LABA KOMPREHENSIF
24,000
24,000
Tgl 31 May 2003, harga minyak adl $1.30.

Pembuat opsi hrs membayar perusahaan
sebesar $0.30 per gallon atau $30,000.
May 31, 2003

SEDIAAN MINYAK
KAS
KAS
130,000
130,000
30,000
OPSI KONTRAK MINYAK
25,000
LABA KOMPREHENSIF
5,000
Persediaan minyak digunakan tgl 15 June 2003.

June 15, 2003
HPP (KBT)
SEDIAA
N
PENDAPATAN
MINYAK LAIN
HPP (KBT)
130,000
130,000
30,000
30,000
Sam
decides to sell future production by

entering into a forward contract with Irene
for delivery of 10,000 items in one year
at a price of $10 per item. Thus, Sam
has determined their selling price
regardless of the market, and Irene has
locked in her purchase price.
Sam
risks loss of potential revenue if the

market price for the items increases in
the next year. Irene risks loss of
potential
savings if the market price for the
1223
If
Sams fixed costs are $50,000, and the

variable
cost is $3 per unit, Sam will lock in profit of
$20,000 ($100,000 revenue less $50,000
fixed costs less $30,000 variable costs).
If
the market price for the item increases, Sam

can sell at the higher market price and settle
with Irene by paying her the difference, or
simply sell the items to Irene at the contracted
price.Either way, Sam has profit of $20,000.

1224
Accounting for
Derivatives
and Hedging
Activities

1325
At inception, document
The relationship between hedged item and
derivative instrument
The risk management objective and
strategy
for the hedge
Hedging instrument
Hedged item
Nature of risk being hedged
Means of assessing effectiveness
1326
Item to be hedged
Accounts payable
Due January 1, 2012
For delivery of 10,000 euros
Variable is the changing value of euros
Hedge instrument
Forward contract
To accept delivery of 10,000 euros
On January 1, 2012
1327
To qualify for hedge accounting, the derivative

instrument must be highly effective in offsetting
gains or losses in the item being hedged.
Effectiveness considers
Nature of the underlying variable
Notional amount of the derivative
Item being hedged
Delivery date of derivative
Settlement date of the underlying
If critical terms are identical, effectiveness is
assumed.
1328
If critical terms of item to be hedged

and hedge instrument do not match,
statistical analysis can determine
effectiveness.
Regression analysis
Correlation analysis
Example
Using derivatives based on heating oil or
crude oil to hedge jet fuel costs
1329
Accounting for Derivatives

and Hedging Activities

1330
A Cash Flow Hedge is used

for anticipated or forecasted
transactions where there is
risk of variability in future
cash flows.
1331
A Cash Flow Hedge is

recorded at cost
adjusted to fair value at each reporting
date
accounted for in Other Comprehensive
Income (OCI) when there are gains or
losses
When the forecasted transaction

impacts
the income statement
Reclassify OCI to the hedged revenue
1332


1333
A Fair Value Hedge is used for

an asset or liability position,
or firm purchase or sale
commitment, where there is a
risk of variability in the value
of the position.
1334
Both the item being hedged and the

derivative are
adjusted to fair value at each
reporting date
accounted for immediately in
income with offsetting gains or
losses
1335


1336
Utility anticipates purchasing oil for sale to its

customers next February. On December 1,
Utility enters into a futures contract to acquire
4,200 gallons of oil at $1.4007 per gallon for
delivery on January 31. A margin of $10 is to be
paid up front.
On December 31, the price for delivery of oil
on January 31
is $1.4050.
On January 31, the spot rate for current
delivery is $1.3995.
Utility settles the contract, accepting delivery of
4,200 gallons of oil.
1337
In February, Utility sells all the oil to its

customers for $8,400 and reclassifies its OCI
from the hedge as cost of sales. Pertinent
rates:
Futures rate, for 1/31
Cost of 4,200 barrels
12/1
12/31
1/31
$1.4007 $1.4050 $1.3995
$5,882.94 $5,901.00 $5,877.90
Change in futures contract to 12/31 = $18.06

Change in futures contract to 1/31 = ($23.10)
The loss on the contract is ($5.04) OCI, and this
serves to increase Cost of Sales.
1338
Sign
contract
Adjust to
fair
value
Settle
contract;
collect
balance on
margin.
12/1 Futures contract

10.00
Cash
12/31 Futures contract
18.06
OCI
1/31 OCI
23.10
Futures contract
1/31 Cash
4.96
Futures contract
1/31 Inventory
5,877.90
Cash
10.00
18.06
23.10
4.96
5,877.90
Purchase inventory.
1339
Record
the sale
and cost
of
sales.
Feb. Cash
Sales
Feb. Cost of sales
Inventory
Feb. Cost of sales
OCI
8,400.00
8,400.00
5,877.90
5,877.90
5.04
5.04
The last entry reclassifies the loss on the contract

from OCI into Cost of Sales. The effect is to increase
Cost of Sales to $5,882.94. This is the cost of the oil
based on the futures contract signed on December 1.
1340
On 12/2/11, Winkler anticipates purchasing

equipment on 3/1/12 with payment on that date of
500,000. On 12/2/11, Winkler signs a 90-day
forward contract to buy 500,000 for $1.68 (the
spot rate is $1.70).
The $10,000 contract discount will be amortized
to Exchange Gain over three months using the
effective interest method. Implied interest is:
PV = 1.70(500,000) = $850,000
FV = 1.68(500,000) = $840,000
Period = 3 months
Monthly rate using Excel =rate(nper,pmt,pv,fv)
=rate(3,0,850000,-840000)
Result: 0.003937
1341
Forward rates and fair value of contract:

Notional
Date
Forward rate
12/2
12/31
3/1
$1.68
$1.69
$1.72
Amount
500,000
840,000
845,000
860,000
Contract
Fair value
Discounted
Fair value
5,000
20,000
4,901
15,099
The contract will be adjusted to its discounted fair

value. Use the incremental borrowing rate (12%,
or 1% monthly), discounting for the remaining
contract life.
12/31: 5,000 / (1.01)2
3/1 (end of contract): 15,000
Note: 1/31 would be equal to fair value / (1.01)1
1342
12/2 no entry for forward contract - no cash exchanged

12/31 Forward contract
4,901
OCI
4,901
Bring forward contract to discounted fair value.
12/31 OCI
3,346
Exchange gain
3,346
Effective interest method amortization of the 10,000
discount. 850,000 x .003937
The change in value for the

forward contract is an
unrealized gain put into
OCI.
The discount on the

contract is amortized
over the 3 months of
the contract.
1343
The final
balance in
OCI is
$10,000
CR.
This will
reduce the
equipment's
depreciation
over its life.

15,099
OCI
15,099
Bring forward contract to fair value, $20,000
3/1 Cash
20,000
Forward contract
20,000
for net settlement of contract: 860,000 current 840,000 contract
3/1 Equipment
860,000
Cash
860,000
Purchase equipment from supplier
3/1 OCI
6,654
Exchange gain
6,654
remaining amortization: 10,000 - 3,346
1344
Utility has accumulated 10,000 barrels of oil in

inventory that it will not sell until the later winter
months. Utility wants to maintain the value of the
inventory which is recorded at cost of $85 per
barrel, in the event that the price of oil falls
before they are able to sell it. On November 1,
Utility enters into a futures contract to sell the oil
for $90 a barrel in three months.
The contract will be settled net.
13-45
The market price of the oil is $92 per barrel at

December 31.
The estimated value of the forward contract on
December 31 is a liability of the $2 per barrel
difference between our contracted price and the
market price.
The liability is measured as
$20,000
/ (1.01), or $19,802, assuming a 1% per month
interest rate.
On January 31, the spot price is $89 and
Utility
settles the contract by receiving $10,000, or
1346
Report at fair
value at
reporting date.
Adjust
inventory to
fair value
Adjust
values prior
to final
settlement.
Settle
contract.
12/31 Loss on Forward

contract
Forward contract
12/31 Inventory
Gain on Inventory
Forward contract
Gain on Forward
contract
Loss on Inventory
Inventory
1/31 Cash
Forward contract
19,802
19,802
20,000
20,000
10,000
19,802
29,802
30,000
30,000
10,000

10,000
1347


1348
Cary membeli peralatan dengan kos 200,000 yen

pada tanggal 2 Des 2012 dengan jatuh tempo
pembayaran pada tanggal 30 Jan 2013. Pada
tanggal 2 Des 2012 Cary melakukan forward
contract untuk membeli 200,000 yen pada tgl 30
Jan 2013 dengan kurs forward contract $0.0095.
Date
2/12
31/12
30/1
Spot rate
$0.0094
$0.0092
$0.0098
Acct Pay Forward rate

$1,880
$0.0095
$1,840
$0.0093
$1,960
$0.0098

Cont Rec
$1,900
$1,860
$1,960
1349
Accounts payable:
Gain of $40 for December
Loss of $120 for January
Contract receivable:
Loss of $40 for
December
Gain of $100 for January
Total exchange loss on the
transaction = ($20)
The net gain/loss for
December = $0.
The net loss for January

1350
12/2: Buy
equipment
and sign
forward
contract.
12/31:
Adjust
foreign
monetary
accounts
to current
(year-end)
rate.
12/2 Peralatan (200.000 x 0,0094)

Utang Dagang ()
12/2 Piutang Kontrak () (x 0,0095
1,880
1,880
1,900
Utang Kontrak
12/31 Utang Dagang ()
1,900
40
Laba Selisih Kurs

12/31 Rugi Selisih Kurs
Piutang Kontrak ()

40
40
40
1351
1/30: Pay
promised
$1,900 on
forward
contract
and
receive
yen in
exchange
1/30 Utang Kontrak ($)

Kas ($)
1/30 Kas ()
Piutang Kontrak ()
Exchange gain
1/30 Accounts payable ()
Exchange loss
Cash ()
1,900
1,900
1,960
1,860
100
1,840
120
1,960
Use the yen to pay the supplier

1352

Bab 12 - 13 Akuntansi Derivatif Dan Lindung Nilai SP Jan 2016

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Derivatif: Konsep

Copyright 2012 Pearson Education,

Derivatives and Foreign Currency Concepts

Copyright 2012 Pearson Education,

Derivatives and Foreign Currency:

Copyright 2012 Pearson Education,

Hedges adalah kontrak yang melindungi dari

Derivative securities, or simply derivatives,

keuangan atau kontrak

yg mendasari (spt suku

yang sama thd perubahan

The name given to a broad range of

Copyright 2012 Pearson Education,

Copyright 2012 Pearson Education,

Forward Contracts are

Copyright 2012 Pearson Education,

Futures contracts are a specific type of

may also be made by

Options are right (but not the

are contracts to exchange an

are commonly negotiated on an

Derivatives adl nama umum utk banyak

Nilai kontrak derivatif scr lgsung terkait

Options adl hak tp bkn kewajiban utk

Forward contract adl kontrak yg

Futures contracts adl kontrak yg mengikat

Cash flow hedge adl kontrak utk mengurangi

Sebuah perusahaan menandatangani kontrak

Perusahaan tsb dpt menggunakan opsinya

Opsi kadaluarsa tgl 31 May 2003.

January 15, 2003

Perusahaan menyiapkan laporan kuartal

Harga pasar minyak adl $1.25.

March 31, 2003

Tgl 31 May 2003, harga minyak adl $1.30.

May 31, 2003

OPSI KONTRAK MINYAK

Persediaan minyak digunakan tgl 15 June 2003.

decides to sell future production by

risks loss of potential revenue if the

Sams fixed costs are $50,000, and the

the market price for the item increases, Sam

Copyright 2012 Pearson Education,

Copyright 2012 Pearson Education,

To qualify for hedge accounting, the derivative

If critical terms of item to be hedged

Accounting for Derivatives

Copyright 2012 Pearson Education,

A Cash Flow Hedge is used

A Cash Flow Hedge is

When the forecasted transaction

Accounting for Derivatives

Copyright 2012 Pearson Education,

A Fair Value Hedge is used for

Both the item being hedged and the

Accounting for Derivatives

Copyright 2012 Pearson Education,

Utility anticipates purchasing oil for sale to its

In February, Utility sells all the oil to its

Change in futures contract to 12/31 = $18.06

12/1 Futures contract

The last entry reclassifies the loss on the contract

On 12/2/11, Winkler anticipates purchasing