Professional Documents
Culture Documents
DJPU J U
Agenda
1. 2. 3. 4 4.
DJPU J U
Latar Belakang
Market risks
DJPU J U
Instrumen Keuangan
DJPU J U
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
DJPU J U
A derivative is a financial instrument that meets the following three criteria: Its value changes in response to a change in an underlying 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 6
DJPU J U
Derivative Securities
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.
DJPU J U
DJPU J U
Klasifikasi Derivatif F Freestanding t di derivatif d i tif ( ti (option, forward contract, swap, future contract) t t) Embedded derivatif
DJPU J U
Example of derivative instruments and their underlying Types of derivative instruments Option contracts (call and put) Forward F d contracts t t e.g. foreign exchange forward contract Future F t contracts t t e.g. commodity futures Swaps Underlying Security price Used by Producers, trading firms Producers firms, financial institutions, and speculators V i Various companies i
2009
10
DJPU J U
Derivative Securities
Derivatives e at es
Hedge Fair Value Hedge Cash Flow Hedge Foreign Currency Hedge Cash Flow Hedge
Speculative
DJPU J U
Use of derivatives
Types of derivatives
1 For 1. Forward ard type t pe derivatives deri ati es such s ch as forward for ard contracts, contracts f future 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
2009
12
DJPU J U
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
B Company
DJPU J U
Forward Contracts
They entail counterparty risks They are can be tailored to specific needs of counterparties They involve lower transaction costs
Contracted forward rate is forward rate fixed at inception Current forward rate is forward rate for remaining period to maturity
DJPU J U
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 Currency y futures
2009
15
DJPU J U
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)
2009
16
DJPU J U
Option Contracts
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
Out-of-the-money In-the-money
DJPU J U
Option Contracts
Listed options = quoted price 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)
2009
18
DJPU J U
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
2009 19
DJPU J U
Conditions for separation of embedded derivative Economic characteristics and risk of host instrument are not closely related to that of the derivative Hybrid instrument is not measured at fair value, with changes in fair value recognized in profit and loss
2009
20
DJPU J U
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
2009
21
DJPU J U
or Dr Loss on forward contract Cr Forward Contract (liability) j fair value and Adjust record gain/loss Dr Forward contract Cr Cash
2009
DJPU J U
DJPU J U
DJPU J U
DJPU J U
Hedging
Propose is to neutralize an exposed risk
Loss on hedge item offset by gain on hedging instrument Reduce volatility than preserve gains
Special accounting rules called hedge hedge accounting accounting applies when derivatives are used for hedging purposes
2009
26
DJPU J U
2009
27
DJPU J U
Price risk
Credit risk
2009
28
DJPU J U
DJPU J U
Qualify
Financial assets and liabilities with exposure to changes in fair value Non-financial assets exposed to foreign exchange or price risks Firm commitment Highly g yp probable forecast transaction with exposures to future cash flows Net investment in foreign entity
Tan & Lee Chapter 9 2009
30
DJPU J U
DJPU J U
2009
32
DJPU J U
Efektivitas Hedging
Efektifitas dihitung secara prospektif dan retrospektif Hasil H il aktual 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%)
DJPU J U
Efektivitas Hedging
Risks must be identifiable Risk must be foreseeable y measured Risk must be realistically 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
DJPU J U
Kriteria
Dokumentasi
Identifikasi hedged items vs hedging instruments. Sifat risiko yang dilindungi Strategi manajemen risiko dan lindung nilai Penilaian efektifitas instrumen lindung nilai
DJPU J U
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
2009
36
DJPU J U
2009
37
DJPU J U
DJPU J U
2009
39
DJPU J U
Hedged Item (recognized asset or liability or firm commitment) Change in fair value
Income statement Gain (loss) on hedging instrument offset loss (gain) on hedged item
DJPU J U
Scenario 31/10/20x3
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 f for 31/3/20 31/3/20x4 4 contract t t was $340 per ounce and d spot t price i of gold was $342 per ounce Hedge effective ratio of 1 on 31/12/20x3
2009
41
DJPU J U
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 Cr C Forward contract . Gain on Ga o forward o a d contract co t act ... 100,000 100,000 00,000 Taken to income statement 100,000
Gain on forward contract: 10,000 x ($340 -$350) Dr Cr Loss on inventory Inventory .. 100 000 100,000
2009
42
DJPU J U
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 Cr Forward contract . Gain on forward contract ... 100,000 100 000 100,000
Gain on forward contract: 10,000 x ($330 -$340) Dr Cr Loss on inventory Inventory .. 120 000 120,000 120,000
Gain on forward contract: 10,000 x ($330 - $342) Dr Cr Cash .. Sales . 3,300,000 3,300,000
DJPU J U
Effective portion of gain/ loss Recognized directly in equity through statement of changes in equity
2009
44
DJPU J U
Forecasted transactions involving financial and d non-financial fi i l assets/liabilities which will result in cash inflow/ outflow
2009
45
DJPU J U
Illustration 2:
DJPU J U
2009
47
DJPU J U
Hedge effectiveness =
Hedge is effective if the delta ratio is between 0.8 and 1.25. Unlike a fair value hedge or a cash flow hedge, a non-derivative is allowed to be the hedging instrument instrument, for example example, a foreign currency loan.
Tan & Lee Chapter 9 2009 48
DJPU J U
Scenario
Functional currency is the dollar ($) 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 2009 49
DJPU J U
The loan payable is designated as a hedge of the net investment: FC1 200 000 x spot FC1,200,000 t rate t of f $1 $1.85 85
Tan & Lee Chapter 9 2009 50
DJPU J U
31/12/20x4
Dr Cr
Interest expense during the year at 5% x FC1,200,000 x $1.78 Dr Cr Cr Accrued interest .. Cash .. 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 Cr Loan payable ... Foreign currency translation reserves 180,000
180,000
DJPU J U
2009
52
DJPU J U
DJPU J U
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
2009
54
DJPU J U
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