Derivatif dan Hedging DJPU - sukirnopml.files.wordpress.com · hedged item and hedging instrument...

AkuntansiAkuntansiDerivatif dan Hedging

Direktorat Jenderal Pengelolaan Utang

Presented : Dwi Martani

DJPU AgendaJ U Agenda

Latar Belakang1.

Akuntansi2.

Standar Akuntansi3.

4 Ilustrasi Transaksi4.

DJPU Derivative SecuritiesJ U e at e Secu t es

Latar Belakang

Market risksMarket risks

commodity price risk interest rate risk

foreign currency risk

DJPU Instrumen KeuanganJ U Instrumen Keuangan

DJPU Derivative SecuritiesJ U Derivative SecuritiesHedges adalah kontrak yang melindungi dari risikopasar – misalnya forward options and swapspasar – misalnya, forward, options, and swaps.

Derivative securities, or simply derivatives,adalah kontrak yang nilainya diturunkan dari nilaiadalah kontrak yang nilainya diturunkan dari nilaiaset lain atau item ekonomi tertentu – saham/stock, bond, commodity price, interest rate, or currency exchange rate

Sulit untuk mencari derivatif yang benar-benardapat melindungi diri dari risiko.Ri ik k tid k ti di d tRisiko ketidakpastian di masa mendatangMelindungi dari risiko = memastikanketidakpastian.Kontrak lindung nilai memiliki risikoKontrak lindung nilai memiliki risiko

DJPU Derivative Financial InstrumentsJ U Derivative Financial InstrumentsA derivative is a financial instrument that meets the following three criteria:following three criteria:

Its value changes in response to a Settled at a futureRequires little or in response to a

change in an “underlying”

Settled at a future dateno initial

investment

Scope Exemption:

IAS 39:5 exempts contracts which meet the definition of aIAS 39:5 exempts contracts which meet the definition of a derivative from the standard if the contract is entered into to meet the entity’s usual purchase, sale or usage

Tan & Lee Chapter 9 ©2009 6

requirements

DJPU Derivative SecuritiesJ U

Instrumen keuangan atau kontrak lain dengan karakteristik:

Nilainya berubah akibat dari perubahanvariabel yg mendasari (spt suku bunga hargavariabel yg mendasari (spt suku bunga, harga, nilai tukar, dll).Tanpa investasi awal neto atau nilainya lebihk il d i il i k t k j i b ikecil dari nilai kontrak sejenis yang memberipengaruh yang sama thd perubahan faktorpasar.Diselesaikan pd tgl tertentu di masa mendatang.

DJPU Tujuan Akuntansi HedgingJ U Tujuan Akuntansi Hedging

DJPU Klasifikasi DerivatifJ U Klasifikasi Derivatif

F t di d i tif ( tiFreestanding derivatif (option, forward contract, swap, future

t t)contract)Embedded derivatif

DJPU Derivative Financial InstrumentsJ U Derivative Financial Instruments

Example of derivative instruments and their underlying

Types of derivative instruments

Underlying Used by

Option contracts Security price Producers trading firmsOption contracts(call and put)

Security price Producers, trading firms, financial institutions, and speculators

F d t t F i V i iForward contractse.g. foreign exchange forward contract

Foreign exchange rate

Various companies

F t t t C dit P d dFuture contractse.g. commodity futures

Commodityprices

Producers and consumers

Swaps Interest rate Financial institutions

Tan & Lee Chapter 9 10©2009

DJPU Derivative SecuritiesJ U Derivative Securities

Derivativese at es

Hedge SpeculativeSpeculative

Fair Value Hedge

Cash Flow Hedge

Foreign CurrencyHedge Hedge Currency Hedge

Fair Value Hedge

Hedge of Net Investment in Foreign O ti

Cash Flow Hedge

Operation

DJPU Derivative Financial InstrumentsJ U Derivative Financial Instruments

• Use of derivatives1. Manage market risk 2. Reduce borrowing cost3. Profit from trading or speculation

• Types of derivatives1 For ard t pe deri ati es s ch as for ard contracts f t re1. Forward type derivatives such as forward contracts, future

contracts and swaps2. Option-type derivatives such as call and put options, caps and

collars and warrantscollars and warrants3. Free standing derivatives4. Embedded derivatives


DJPU Forward ContractsJ U Forward Contracts

• An agreement between two parties (counterparties) whereby oneAn 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 counterpartiescontract, depending on the perspective of the counterparties

Sells Forward “A” Company “B” CompanyContract

“Forward sales contract” “Forward purchase contract”Tan & Lee Chapter 9 13©2009

DJPU Forward ContractsJ U Forward Contracts• Not standardized contracts as they are not traded on an

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

• Fair value of forward contract:Notional x

– Current forward rate׀) contracted forward rate ׀)Notional amount

x(1+r) t

whereContracted forward rate is forward rate r = discount rateContracted forward rate is forward rate fixed at inceptionCurrent forward rate is forward rate for remaining period to maturity

r discount rate

t = period to maturity


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

DJPU Future ContractsJ U Future Contracts

• A future contract is similar to a forward contract except that it is aA 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 are marked-to-market and settled on a daily basis

• Futures contracts require payment of a margin deposit which has tobe maintained throughout the contract period

• Wide range of exchange-traded future contracts– Commodity futures– Interest rate futures– Currency futuresy


DJPU Option ContractsJ U Option Contracts

• Contract that gives holder the right but not the obligation to buy orContract 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• 2 type of option contracts1. Call option – right, but not obligation to buy2. 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)



• Main featuresMain features– Purchaser (holder) pays premium to seller (writer of option)– Holder has the right, but not obligation to perform; while write has

obligation to performg p– Asymmetrical pay-off profile

• Holder has limited loss (due to premium) and unlimited gain• Writer has limited gain and unlimited lossg

Relationship between the strike price and the underlyingStrike price> Underlying

Strike price> Underlying

Strike price> Underlyingy g

(spot price)y g

(spot price)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


• Fair value of option contractFair value of option contract

Fair value of an option = Intrinsic value + Time value

Diminishes over timeListed options = quoted priceNot traded options = Valuation Zero at expiration Not traded options = Valuation model ( Black-Scholes model)

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


DJPU Embedded DerivativesJ U Embedded Derivatives

• Derivative that is part of a hybrid financial instrumentDerivative that is part of a hybrid financial instrument

Host Instrument

Hybrid Instrument

Host Instrument

Embedded derivative:Linked to underlying and change inLinked 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


DJPU Split Accounting of Embedded DerivativesJ U Split Accounting of Embedded Derivatives

• IAS 39 requires embedded derivatives to be separately recognizedIAS 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

Hybrid instrument is not measured at fair value,

with changes in fair

There is a separate instrument with same of host instrument are

not closely related to that of the derivative

with changes in fair value recognized in

profit and loss

terms as the embedded derivative


DJPU Accounting for DerivativesJ U 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 incomeLoss 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 In this case accounting foridentified risk and the hedge is effective. In this case, accounting for the derivative follows hedge accounting rules


DJPU Accounting for Forward ContractJ U Accounting for Forward Contract

At inception During life of contract Closing position orAt inception During life of contract Closing position or at expiration

Dr Forward Contract (asset)

Dr Cash

No journal entry as

(asset)Cr Gain on forward contractor

Cr Forward contract

j yfair value is nil Dr Loss on forward

contractCr Forward Contract

or

Dr Forward contract

Cr Cash(liability)

Adjust fair value and Close out and record

Cr Cash


jrecord gain/loss net settlement of

contract

DJPU Accounting for Future ContractJ U Accounting for Future Contract


Dr CashCr Gain on future

Dr CashDr Gain on f t reCr Gain on future

contract

or

Dr Gain on future contractCr Margin ContractDr Margin deposit

Dr Loss on futurescontractCr Cash

Dr CashCr Loss on future contract

Cr Cash

Record daily Close out and recover

Cr Margin Contract

Record payment of


ysettlement of future contracts

margin depositp y

initial margin deposit

DJPU Purchased Option ContractJ U Purchased Option Contract


Dr Option ContractCr Gain on future

Dr Cash*Dr Gain on optionCr Gain on future

contract

or

Dr Gain on option contractCr Option ContractDr Option contract

(asset)Dr Loss on futurescontractCr Option Contract

or

Dr Cash*Cr Loss on option contract

(asset)Cr Cash

p

Adjust for fair value Close out and record

Cr Option Contract

Record payment of

(* assume expires in-the-money)


jand record gain/loss net settlement of

contract

p yinitial margin deposit

DJPU Written Option ContractJ U Written Option Contract


Dr Option ContractCr Gain on future

Dr Option contractCr Gain on OptionCr Gain on future

contract

or

Cr Gain on Option Contract

Dr CashCr Option contract

(Expires out-of-the-money)

Dr Loss on futurescontractCr Option Contract

or

Dr Option contractDr Loss on optionCr Cash

Cr Option contract (liability)

money)

p

Adjust for fair value Close out and record Record payment of

(Expires in-the-money)


jand record gain/loss net settlement of

contract

p yinitial margin deposit

DJPU HedgingJ U Hedging

• Propose is to neutralize an exposed riskPropose 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– Natural hedge (offsetting foreign currency assets and liability in the same currency)

• Special accounting rules called “hedge accounting” applies when• Special accounting rules called hedge accounting applies when derivatives are used for hedging purposes


DJPU Rationale of Hedge AccountingJ U Rationale of Hedge Accounting

• Arises because of the mismatch of income-offsetting effect betweenArises because of the mismatch of income offsetting effect between hedged item and hedging instrument

• Situations requiring hedge accounting• 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 statementHedged 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)


DJPU Risks That Qualify for Hedge AccountingJ U Risks That Qualify for Hedge Accounting

Specific risksInterest rate risk Price riskSpec c s sthat qualify for

hedge accountingForeign exchange risk Credit risk

Risks must be specific risk, not general business risks

Possible for a derivative to hedge more than one risk


DJPU Qualifying Hedging Instruments J U(IAS 39: 72 – 73)

• Instruments that qualify include:D i t d d i ti ( t itt ti )– Designated derivatives (except written options)

– Embedded Derivatives– Designated non-derivatives financial asset/ liability that hedge

f i h i k lforeign exchange risks only• 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


DJPU Qualifying Hedged Items J U y g g(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)value

• Non-financial assets exposed to foreign exchange or price risks

variable rate)

• Investment in an associated company

• Firm commitment

• Highly probable forecast g y ptransaction with exposures to future cash flows

• Net investment in foreign entity


• Net investment in foreign entity

DJPU Criteria for Hedge Accounting(IAS 39 88)J U (IAS 39: 88)

C diti t b t f h d ti t l

Enterprise must have exposure to risk that affects income

Conditions to be met for hedge accounting to apply

statement

Derivative contract specifically entered to hedge underlying exposureexposureHedge must be highly effective

Effectiveness of hedge can be reliably measuredEffectiveness of hedge can be reliably measured

Hedging relationship must be formally documented at the inception of the hedge


inception of the hedge

DJPU Assessing Hedge EffectivenessJ U Assessing Hedge Effectiveness

• IAS 39:9 - The degree to which changes in the fair value or cashIAS 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 on an ongoing basisp y g g

• On inception, hedge effectiveness is assessed on– Comparison of the principal or critical terms– Historical analysisHistorical analysis– Correlation analysis


DJPU Efektivitas HedgingJ U Efektivitas Hedging

Efektifitas dihitung secara prospektif danEfektifitas dihitung secara prospektif danretrospektifH il kt l b d d l ki 80Hasil aktual berada dalam kisaran 80 -125%Seluruh lindung nilai yang tidak efektif diakui dalam laporan L/R (termasukketidakefektifan dalam kisaran 80 -125%)

DJPU Efektivitas HedgingJ U Efektivitas Hedging

Risks must be identifiableRisk must be foreseeableRisk must be realistically measuredyPrecise attribution of hedging instrument to hedged itemg

Reason:Impact of hedging in financial report should be p g g pas neutral as possible

DJPU Kriteria & DokumentasiJ U Kriteria & Dokumentasi

KriteriaTdpt kebijakan tertulis, tujuan manajemen risiko & strategi lindung nilai.H b li d il i dih k f ktif tk liHubungan lindung nilai diharapkan efektif utk salingmenghapuskan perubahan nilai wajar.

DokumentasiDokumentasiIdentifikasi hedged items vs hedging instruments.Sifat risiko yang dilindungiSifat risiko yang dilindungiStrategi manajemen risiko dan lindung nilaiPenilaian efektifitas instrumen lindung nilai


• During the duration of hedge, hedge effectiveness is assessed onDuring the duration of hedge, hedge effectiveness is assessed on dollar-offset method:

• Hedge effectiveness ratio (HER):

Hedge effectiveness(or delta ratio) =

Changes in fair value or future cash flow of hedging instrumentChanges in fair value or future cash flow of hedged item

0 8 1 20.8 1.25

• Exceptions for effective hedge even if HER falls out of range– IAS 39 allows hedge effectiveness to be assessed on cumulative basis

Effective hedge (IAS 39: AG 105b)

S 39 a o s edge e ect e ess to be assessed o cu u at e bas sif hedge is designated and conditions are properly documented



• Exclusion of time value of certain derivatives to be excluded fromExclusion of time value of certain derivatives to be excluded from hedge relationship– Derivative separated into 2 component

1. Time value (options) or interest (forwards)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 componentShould 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


DJPU Classification of Hedging RelationshipsJ U Classification of Hedging RelationshipsCauses Explanation

Hedge of “the exposure to changes in fair value of aHedge of 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 i k d ld ff t fit l ” (IAS 39 86 )

Fair valuehedge

risk and could affect profit or loss” (IAS 39:86a)

Hedge of “the exposure to variability in cash flows that(i) is attributable to a particular risk associated with a

i d t li bilit ( h ll f tCash flow

recognized asset or liability (such as all or some future interest payment on variable debt instrument )or a highly probable future transaction, and(ii) could affect profit or loss” (IAS 39:86b)

hedge

( ) p ( )

Hedge of a net investment in a f i tit

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


foreign entity to be translated into the presentation currency of the parent company

DJPU Classification of Hedging RelationshipsJ U Classification of Hedging Relationships

• The designation of a derivative as a fair value hedge or a cash flowThe 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 commitmentforeign exchange risk of a firm commitment


DJPU Accounting for a Fair Value HedgeJ U Accounting for a Fair Value Hedge

Hedged Item (recognized asset or liability or firm commitment) Hedging Instruments

Income statementGain (loss) on hedging instrument

Change in fair value Change in fair value

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

Balance sheet

Change in fair value adjusted against carrying amount

Change in fair value adjusted against carrying amount


against carrying amount against carrying amount

DJPU

Illustration 1:Hedge of inventory (fair valueJ U Hedge of inventory (fair value hedge)

ScenarioScenario31/10/20x3

Inventory of 10,000 ounces of goldCarried at cost of $3 000 000 ($300 per ounce)Carried at cost of $3,000,000 ($300 per ounce)Price of gold was $352 per ounce

1/11/20x3Sold forward contract on 10 000 ounce for forward price of $350 ounceSold forward contract on 10,000 ounce for forward price of $350 ounce Forward contract matures on 31/3/20x4

31/12/20x3F d i f 31/3/20 4 t t $340 d t iForward price for 31/3/20x4 contract was $340 per ounce and spot price of gold was $342 per ounceHedge effective ratio of 1 on 31/12/20x3


DJPU

Illustration 1:Hedge of inventory (fair valueJ U Hedge of inventory (fair value hedge)

1/11/20x31/11/20x3No entry or just a memorandum entry as the fair value of the forward

contract is nil

31/12/20 331/12/20x3

Dr Forward contract ………………. 100,000Cr Gain on forward contract ……... 100,000C Ga o o a d co t act 00,000Gain on forward contract: 10,000 x ($340 -$350)

Dr Loss on inventory 100 000

Taken to income statement

Dr Loss on inventory ……………… 100,000Cr Inventory ……………………….. 100,000Gain on forward contract: 10,000 x ($342 - $352)


DJPU

Illustration 1:Hedge of inventory (fair valueJ U Hedge of inventory (fair value hedge)31/3/20x4

Inventory is sold to third-party at $330 per ounce (also maturity date of y p y $ p ( yforward contractDr Forward contract ………………. 100,000Cr Gain on forward contract 100 000Cr Gain on forward contract ……... 100,000Gain on forward contract: 10,000 x ($330 -$340)

Dr Loss on inventory 120 000Dr Loss on inventory ……………… 120,000Cr Inventory ……………………….. 120,000Gain on forward contract: 10,000 x ($330 - $342)

Dr Cash …………………………….. 3,300,000Cr Sales ……………………………. 3,300,000Sale of inventory: 10 000 x $330

43

Sale of inventory: 10,000 x $330

Tan & Lee Chapter 9 ©2009

DJPU Accounting for a Cash Flow HedgeJ U Accounting for a Cash Flow Hedge

Effective Cash Flow Hedge (IAS 39:95)39:95)

Effective portion of gain/ loss

Ineffective portion of gain/ loss

Recognized directly in equity

through statement Recognized in profit or lossof changes in

equity

or loss


DJPU Accounting for a Cash Flow HedgeJ U Accounting for a Cash Flow Hedge

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

ForecastedForecasted transactions

involving financial d fi i l

Other transactions I t t tand non-financial

assets/liabilities which will result

which affect future cash flows

Interest rate swaps

in cash inflow/ outflow

cash flows


DJPU Effective and ineffective portionsJ U Effective and ineffective portions

Scenario1/1/20 11/1/20x1

Entered into futures contract to hedged forecast transaction at 30/4/20x1Classified as cash flow hedge

Period ending

∆ in fair valueof future contracts

∆ in present value of expected future cashending of future contracts expected future cash

flow31/1/20x1 $100 $(105)28/2/20x1 90 (80)31/3/20x1 103 (105)30/4/20x1 (38) 45


30/4/20x1 (38) 45

DJPUIllustration 2:Effective and ineffective portions of aJ U Effective and ineffective portions of a cash flow hedge

Determination of effective and ineffective portions of a cash flow hedge

Cumulative Cumulative

Lesser of two

cumulative

Effective portion

credited/ (debited)

Ineffectiveportion

credited/ (debited)

Period

Cumulative ∆ in FV of

future contracts

Cumulative∆ in PV of expected cash flow

cumulative amount in absolute

terms

(debited)to equity in

current period

(debited) to income statement in current

ending (a) (b) (c) ( period31/1/20x1 $100 $(105) $100 $100 $028/2/20x1 190 (185) 185 85 5( )31/3/20x1 293 (290) 290 105 (2)30/4/20x1 255 (245) 245 (45) 7


DJPU Hedge of a Net Investmenti F i E titJ U in a Foreign Entity

• Hedge risk is foreign exchange riskHedge 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 rate method may result in significant translation loss from g y g

depreciating currencies

• Accounting treatment similar to cash flow hedgeg 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 for example a foreign currencyallowed to be the hedging instrument, for example, a foreign currency loan.


DJPU Hedge of a Net Investment in a Foreign EntityJ U g g y

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

31/12/20x3Exchange rate is $1.85 to FC1Loan of FC1 200 000 at 5% interest taken to hedge foreign investmentLoan of FC1,200,000 at 5% interest taken to hedge foreign investmentForeign currency translation reserves showed $15,000 (credit balance)

31/12/20031/12/200x4Exchange rate is $1.70 to FC1Average rate is $1.78 to FC1Foreign company reported net profit of FC380,000


DJPU Hedge of a Net Investment in a Foreign EntityJ U g g y

Translation difference in foreign investment’s 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 parent31/12/20x3

Dr Cash 2 200 000Dr Cash …………………………….. 2,200,000Cr Loan payable …………………... 2,200,000The loan payable is designated as a hedge of the net investment:FC1 200 000 t t f $1 85


FC1,200,000 x spot rate of $1.85

DJPU Hedge of a Net Investment in a Foreign EntityJ U Hedge of a Net Investment in a Foreign Entity31/12/20x4

Dr Interest expense ………………. 106,800p ,Cr Accrued interest ……………….. 106,800Interest expense during the year at 5% x FC1,200,000 x $1.78

Dr Accrued interest ……………….. 106,800Cr Cash …………………………….. 102,000Cr Exchange gain 4 800

Taken to equity t ff tCr Exchange gain …………………. 4,800

Settlement of accrued interest at year-end

Dr Loan payable …………………... 180,000

to offset translation loss

Dr Loan payable …………………... 180,000Cr Foreign currency translation

reserves …………………………180,000

Exchange gain on FC loan taken directly to equity:Exchange gain on FC loan taken directly to equity:FC 1,200,000 x ($1.70 - $1.85)


DJPU Discontinuation or Termination J Uof Hedge Accounting

Consideration for discontinuation or termination of hedge accounting

Hedging instrument has reached maturity date or is closed off or

Hedge designation is revoked

Criteria for hedge accountingdate or is closed off or

terminatedis revokedis no longer met

Accounting treatment depends on type of hedge


DJPU Penghentian Lindung NilaiJ U Penghentian Lindung Nilai

DJPU Evaluation of Hedge AccountingJ U Evaluation of Hedge Accounting

• Objective of hedge accountingObjective 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


DJPU ReferensiJ U Referensi

Tan & Lee Advance Financial Accounting, ch 9: Accounting f D i ti d H d A tifor Derivatives and Hedge Accounting

PSAK 50 dan 55

IAS 32 dan 39

International Financial Reporting Standards – Certificate Learning Material The Institute of Chartered AccountantsLearning Material The Institute of Chartered Accountants, England and Wales

Materi Public Hearing PSAK 55Materi Public Hearing PSAK 55

[email protected] atau [email protected] / 08161932935/

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