5/8/2022
Accounting for
Derivatives and Hedge
Accounting
1
Chapter 10
Accounting for
Derivatives and
Hedge Accounting
Copyright © 2016 by McGraw-Hill Education (Asia). All rights reserved.
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Learning Objectives
1. Understand what constitutes a derivative
instrument;
2. Understand the different types of derivatives;
3. Know how derivatives are used;
4. Understand the accounting treatment of
derivatives;
5. Understand hedge accounting, its rationale, and
the conditions for applying hedge accounting; and
6. Appreciate the three main types of hedge
relationships and their accounting treatments.
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Accounting for Derivatives
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Công cụ tài chính phái sinh
(Derivative instrument)
• là các CCTC. Đó là một hợp đồng, mang
lại cho một bên là TSTC và đối với đối tác
khi đó CCPS này hoặc là nợ tài chính hay
VCSH.
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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:
IFRS 9 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 requirements (own use exemption)
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Công cụ tài chính phái sinh
(Derivative instrument)
• CCTC phái sinh là CCTC mà phải thỏa mãn
đồng thời 3 đặc điểm sau:
- Nhà đầu tư ban đầu không phải bỏ vốn đầu tư,
hoặc nếu có thì rất thấp so với HĐ cơ sở.
- giá trị của HĐ sẽ thay đổi theo thời gian và sự
thay đổi này tùy thuộc vào đối tượng cơ sở
(thuộc HĐ cơ sở).
- HĐ phái sinh được thanh toán trong tương lai.
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Công cụ tài chính phái sinh
(Derivative instrument)
• Có 4 loại căn bản:
- forward contract (HĐ kỳ hạn)
- future contract (HĐ tương lai)
- Options (HĐ quyền chọn)
- Swap (Hđ hoán đổi).
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Derivative Financial Instruments
Examples of derivative instruments and their underlying
Types of derivative instruments
Underlying
Option contracts
(call and put)
Security price
Forward contracts
e.g. foreign exchange forward contract
Foreign exchange rate
Future contracts
e.g. commodity futures
Commodity prices
Swaps
Interest rate
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1.1. Forward Contracts
Definition
• 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
“Forward sales contract”
Sells Forward
Contract
“B” Company
“Forward purchase contract”
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Thí dụ 1
• Ngày 1/6/20X4, Cty Ace có đồng tiền chức năng là USD, nhập
khẩu hàng hóa từ nhà xuất khẩu nước ngoài với giá 100,000 Euro,
thanh toán vào 31/7/20X4. Cty Ace có hai lựa chọn: vào ngày 31/7
mua ngoại tệ (Euro) giao ngay để thanh toán cho nhà cung cấp,
hoặc ký ngay hợp đồng kỳ hạn mua ngoại tệ vào ngày thanh toán.
Giả sử tỷ giá mua HĐ kỳ hạn là 1,8$/euro. Như vậy, vào ngày 31/7
Cty trả cho nhà môi giới ngoại tệ 180.000 $ để lấy 100,000 Euro
thanh toán.
Thí dụ 2- Non- deliverable forward (NDF)
• Ngày 5/1/20X2, NH X cung cấp NDF cho Cty Xuất khẩu: kỳ hạn 3
tháng, giá trị ngoại tệ: 1 tr USD, tỷ giá kỳ hạn 23.500 VND/USD.
Vào ngày thanh toán:
– (i) Tỷ giá giao ngay 23.600 VND/USD
– (ii) tỷ giá giao ngay: 23.300 VND/USD
(i) Tỷ giá giao ngay >Tỷ giá kỳ hạn:
Khách hàng
Ngân hàng
(ii) Tỷ giá giao ngay <Tỷ giá kỳ hạn:
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1.1. Forward Contracts
Fair value of forward contract
Fair value of a forward contract =
Notional x
amount
where
(‫׀‬Current forward rate – contracted forward rate ‫)׀‬
(1+r)t
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.
Illustration 10.1. Fair value of a forward contract
Ngày 1/3/20X5, Cty A ký 1 HĐ kỳ hạn mua ngoại tệ 1,000,000 FC (foreign
currency), ngày thanh toán 31/5/20X5, tỷ giá kỳ hạn 1,2 $/FC (contracted
forward rate). Các tỷ giá thay đổi như sau:
Ngày
Tỷ giá giao ngay (spot rate
$/FC)
Tỷ giá hiện hành của HĐ kỳ hạn
(current forward rate $/FC)
1/3/20X5
$ 1.185
$1.2
31/3/20X5
1.19
1.21
30/4/20X5
1.2
1.205
31/5/20X5
1.215
1.215
Hãy tính FV của HĐ kỳ hạn với lãi suất 5%/năm.
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1.1. Forward Contracts
Accounting for Forward Contracts
• At the date of maturity of the forward contract  forward rate
converges to the spot rate
– Fair value of the forward contract at maturity: difference between the
spot rate at maturity date and the contracted forward rate x notional
amount of the contract
• Premium (or discount) on the forward contract is the interest or
time value
– Measured by the difference or spread between the forward rate and the
spot rate at a point in time
• Changes in the time value component are due to a number of
factors including:
– Cost of holding the commodity or underlying by the counterparty
– Risk free rate
– Period to maturity
1.1. Forward Contracts
Accounting for forward contracts
• Changes in fair value of a forward contract after inception date
Current forward rate > Current forward rate <
contracted forward rate contracted forward rate
Forward
purchase
contract
• Fair value is positive
• Gain is recorded
• Forward contract is an
asset
Forward
• Fair value is negative
sale contract • A loss is recorded
• Forward contract is a
liability
• Fair value is negative
• A loss is recorded
• Forward contract is a
liability
• Fair value is positive
• A gain is recorded
• Forward contract is an asset
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1.1. Forward Contracts
Accounting for Forward Contracts
At inception
No journal entry
as fair value is nil
During life of
contract
Closing position or
at expiration
Dr Forward Contract
(asset)
Cr Gain on forward
contract
Dr Cash
or
or
Dr Loss on forward
contract
Cr Forward Contract
(liability)
Dr Forward contract
Adjust fair value and
record gain/loss
Close out and record
net settlement of
contract
Cr Forward contract
Cr Cash
Illustration 10.1. Fair value of a forward contract
Ngày 1/3/20X5, Cty A ký 1 HĐ kỳ hạn mua ngoại tệ 1,000,000 FC (foreign
currency), ngày thanh toán 31/5/20X5, tỷ giá kỳ hạn 1,2 $/FC (contracted
forward rate). Các tỷ giá thay đổi như sau:
Ngày
Tỷ giá giao ngay (spot rate
$/FC)
Tỷ giá hiện hành của HĐ kỳ hạn
(current forward rate $/FC)
1/3/20X5
$ 1.185
$1.2
31/3/20X5
1.19
1.21
30/4/20X5
1.2
1.205
31/5/20X5
1.215
1.215
FV của HĐ kỳ hạn được tính với lãi suất 5%/năm
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Illustration 10.2A- Accounting for forward contract (profit) Illustration 10.1
Ngày
contracted
forward
rate
(a)
Current
forward
rate
(b)
Notional
amount
(c)
1/3/X5
$ 1.2
$1.2
$
1.000.000
31/3/X5
$ 1.2
1.21
30/4/X5
$ 1.2
31/5/X5
$ 1.2
Discount
factor
(d)
FV of
Forward
contract
[(b-a)*c]/d
Chang
e in
FV
0
0
0
1.000.000
(1+(5%/12))2
9,917
9,917
1.205
1.000.000
(1+(5%/12))1
4,979
-4,938
1.215
1.000.000
1
15,000 10,021
Ghi các bút toán theo từng thời điểm?
1.2. Future Contracts
Definition
• A future contract is a contract between a buyer or seller and a clearing
house or an exchange.
• Wide range of exchange-traded future contracts
– Commodity futures
– Interest rate futures
– Currency future
• A future contract is similar to a forward contract except that it:
– is a standardized contract and is traded on an exchange
– can be closed out before maturity by entering into an identical contract that is
in opposite position
– requires the payment of a margin deposit which has to be maintained through
the contract period
– marked-to-market and settled on a daily basis
– Rarely result in physical delivery
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1.2. Future Contracts
Definition
• Long position: purchaser of a futures contract
• Short position: seller of a futures contract
• Since futures are traded on exchange, quoted price of futures
contracts readily provides a measure of the fair value of a futures
contract
• When the underlying increases:
– a long position results in a gain
– a short position results in a loss
• When the underlying decreases
– a long position results in a loss
– a short position results in a gain
1.2. Future Contracts
Accounting for Future Contracts
At inception
During life of contract
Dr Cash
Cr Gain on future
contract
Dr Margin deposit
or
Closing position or at
expiration
Dr Cash
Dr Loss on future
contract
Cr Margin Contract
or
Cr Cash
Dr Loss on futures
contract
Cr Cash
Dr Cash
Cr Gain on future contract
Cr Margin Contract
Record payment of
initial margin deposit
Record daily
settlement of future
contracts
Close out and recover
margin deposit
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Illustration 10.3- Accounting for a future contracts
• On 1 March, Capital Trust speculates that the price of
gold will insrease and purchases 10 gold future contracts
at a price of $800 per ounce. Each contract is for 100
ounces of gold and the maturity date is 31 May. The
future exchange requires a payment of 10% of the
notional amount as margin deposit. On 31 March, the
price of gold increases to $ 850 per ounce and Capital
Trust closes its long position.
1.3. Option Contracts
Definition
• Contract that gives holder the right but not the obligation to buy or
sell a specified item at a specified price during a specified period
of time
• 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)
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1.3. Option Contracts
Definition
– Asymmetrical pay-off profile
• Holder has limited loss (due to premium) and unlimited
gain
• Writer has limited gain and unlimited loss
Relationship between the strike price and the underlying
Strike price >
Underlying
(spot price)
Strike price =
Underlying
(spot price)
Strike price <
Underlying
(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
•
Pay-off profile for options
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1.3. Option Contracts
Fair value
• Fair value of option contract
Fair value of an option = Intrinsic value + Time value
Listed options = quoted price
Not traded options = Valuation
models (Black-Scholes model)
Tham
khảo
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)
1.3. Option Contracts
Accounting for Purchased Option Contract
At inception
During life of contract
Dr Option Contract
Cr Gain on option
contract
Dr Option contract
(asset)
Cr Cash
or
Dr Loss on option
contract
Cr Option Contract
Closing position or at
expiration
Dr Cash*
Cr Gain on option
contract
Cr Option Contract
or
Dr Cash*
Dr Loss on option
contract
Cr Option Contract
(*assume expires in-the-money; if
out-of-money, no entries needed)
Record payment of
initial margin deposit
Adjust for fair value
and record gain/loss
Close out and record
net settlement of
contract
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1.3. Option Contracts
Accounting for Written Option Contract
At inception
During life of contract
Dr Option Contract
Cr Gain on option
contract
Dr Cash
Cr Option contract
(liability)
or
Record payment of
initial margin deposit
Adjust for fair value
and record gain/loss
Dr Loss on option
contract
Cr Option Contract
Closing position or at
expiration
Dr Option contract
Cr Gain on Option
Contract
(Expires out-of-themoney)
Dr Option contract
Dr/CR Loss on
option/Gain on option
Cr Cash
(Expires in-the-money)
Close out and record
net settlement of
contract
Illustration 10.4- Accounting for a
option contract
•
•
Khi giá thị trường của cổ phiếu A là 38$/CP, Cty X quyết định cùng lúc mua HĐ
quyền chọn mua (call option)& HĐ quyền chọn bán (Put option) 100.000 cổ
phiếu A với giá mua quyền chọn (kể cả HĐ mua & bán) là 1,5$/CP. Giá thực hiện
(strike price/or exercise price) của HĐ mua là 41$/CP, giá thực hiện của HĐ bán
là 35$/CP.
Vào thời điểm giá thị trường CP của A là 43$/CP (> giá thực hiện): giá thị trường
(FV) của call option (in-the money) là 2,95$/CP; giá thị trường (FV) của put
option (out-the money) là 0,5$/CP; cty X quyết định đóng cả hai HĐ
Call option
Put option
Option buyer:
FV
Less premium paid
G/L on option
Option Writer
Premium received
Less FV
G/L
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Illustration 10.4- Accounting for a option contract
Option buyer
Option writer
At
inception
At closing
of the
option
position
Hedge Accounting
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1. Những vấn đề chung về
phòng ngừa rủi ro và
nguyên tắc kế toán phòng
ngừa rủi ro
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Risks that Qualify for Hedge Accounting
Interest rate risk
Foreign exchange risk
Specific risks
that qualify for
hedge accounting
Risks must be specific risk,
not general business risks
Market Price risk
Credit risk
Possible for a derivative to
hedge more than one risk
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Rủi ro
Sự
kiện
Đối
Tượng
Hậu
quả
-Xác suất
xẩy ra
-Tác động
đến đối
tượng
-Mất mát,
tổn thất
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Rủi ro
Sự thay đổi:
-Lãi suất
-Tỷ giá hối đoái
-Chỉ số cổ phiếu
-Giá cả
-Chất lượng tín
dụng
……
Tác động
đến:
-Tài sản
-Nợ phải trả
-Các cam kết
-Các giao dịch
dự kiến
Thay đổi
-Giá trị hợp
lý của
TS/NPT
-Luồng tiền
trong tương
lai
Ảnh hưởng
đến lợi
nhuận của
doanh
nghiệp
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Thí dụ:
•
•
•
•
DN đầu tư vào cơ sở nước ngoài 50 triệu USD (ngoại tệ).
Tỷ giá hối đoái xu hướng giảm.
Giá trị hợp lý của tài sản (Đầu tư ) giảm.
Ảnh hưởng giảm lợi nhuận.
Tỷ giá giảm ảnh hưởng
làm giảm giá trị hợp lý
của tài sản
Rủi ro GTHL
Giảm lợi
nhuận
Tỷ giá tăng: DN không có rủi ro
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Phòng ngừa rủi ro
What?
How?
DN cần phòng
ngừa rủi ro
thay
đổi
GTHL
&
luồng tiền làm
giảm LN
(1) Công cụ
phi phái sinh
( rủi ro tỷ giá)
(2) Công cụ
phái sinh
Why?
Tạo ra trạng
thái bù trừ
được sự thay
đổi GTHL &
dòng tiền
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Qualifying Hedging Instruments
• Qualifying hedging instruments include:
a) Derivatives measured at FVTPL (except for net written
options and derivatives embedded in hybrid financial
instruments)
b) Designated non-derivative financial assets/liabilities
measured at FVTPL.
Or a combination of (a) and (b)
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Qualifying Hedged Items
• Items qualified as hedged items for purpose of hedge
accounting
– Recognized assets or liabilities
– Unrecognized firm commitments:
– Highly probable forecast transactions with exposures
to changes in future cash flow; and
– A net investment in a foreign entity
All the above items can be a component of such an item
or group items
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Classification of Hedging relationships
Three types of hedges
Explanation
Fair value
hedge
Hedge of “the exposure to changes in fair value of a recognized
asset or liability or an unrecognized entity commitment, or an
identified portion of such asset, liability or entity commitment, which
is attributable to a particular risk and could affect profit or loss”
Cash flow
hedge
Hedge of “the exposure to variability in cash flows that
(i) is attributable to a particular risk associated with a 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”
Hedge of a net
investment in a
foreign entity
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
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Thí dụ:
Ngày 30/6/20X1, ABC phát hành trái phiếu trị giá CHF10 triệu, lãi
suất cố định 7.5%/năm, lãi trả định kỳ 6 tháng, gốc trả khi đáo hạn.
Cùng ngày, ABC thỏa thuận một HĐ hoán đổi lãi suất (swap) trả lãi
thay đổi theo LIBOR- 6 tháng và nhận lãi cố định 7,5%/năm.
HĐHĐ có giá trị danh nghĩa CHF10 triệu, kỳ hạn 3 năm, lãi thay
đổi định kỳ 6 tháng.
• Lãi suất thị trường xu hướng
giảm.
• Giá trị hợp lý của nợ phải trả
(Trái phiếu phát hành) tăng.
Rủi ro
GTHL
Giảm lợi
nhuận
Lãi suất tăng: DN không có rủi ro
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Thí dụ:
Phòng ngừa giá trị hợp lý với Swap
Trái phiếu phát hành
CHF 10 triệu (l/s) 7.5%
trả lãi 7.5%
Trả Libor
Swap
ABC
Nhận 7.5%
Lãi suất LIBOR- 6 tháng của hai kỳ đầu:
1/7 – 31/12/ 20X1: 6.0%
1 /1 – 30/6/20X2: 7.0%
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Hedge Accounting - Qualifying criteria
(1)The hedging relationship consist only of
eligible hedging instruments and eligible
hedging items
(2)At the inception: Documentation: hedging
instrument, hedge item, how the entity will
assess hedged effectiveness.
(3) The hedging relationship meet all the
following criteria for hedge effectiveness.
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Hedge Accounting - Qualifying criteria
Criteria for hedge effectiveness:
- There is an economic relationship between
hedged item and hedging instrument
- The hedge ratio: effect of hedge instrument is
the same as effect of hedging item.
- The effect of the credit risk does not
dominate the value changes from that
economic relationship.
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Qualifying Criteria for Hedge Accounting
(IFRS 9 Para B6.4.1)
01 H
edging relationship consists only of eligible hedging instruments and
eligible hedged items
02
At the inception of the hedge, there has to be formal designation and
documentation of hedging relationship, risk management objective and
strategy for undertaking the hedge
03 T
he hedging relationship meets all of the following hedge effectiveness
requirements:
i.
ii.
iii.
Economic relationship between hedge item and hedging instrument;
Credit risk does not dominate the value changes from (i)
Hedge ratio of hedging relationship is the same as that resulting from
quantity of hedged item that entity hedges and quantity of hedging
instrument the entity uses to hedge that quantity of hedge item
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2. Fair Value Hedge Accounting
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Fair Value Hedge Accounting
•
Change in FV of the hedging instrument is recognized in P/L
– Exception: when the hedged item is an equity instrument with change in
FV to OCI, the gains or losses on the hedging instrument is recognized
in OCI to allow offsetting
•
Basis adjustment: The gain or loss on the hedged item attributable
to the hedged risk is taken to P/L. Its carrying amount is adjusted by
the amount of gain or loss.
– Applies even if the hedged item is otherwise at cost, e.g. inventory
•
When the hedged item in a fair value hedge is a firm commitment,
the cumulative change in FV of the firm commitment attributable to
the hedged risk is recognized as an asset or a liability with the
corresponding gain or loss recognized in the P/L.
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Accounting for a Fair Value Hedge
Hedged Item (recognized
asset or liability or entity
commitment)
Change in fair value
Hedging Instruments
Change in fair value
Income statement
Gain (loss) on hedging instrument
offset loss (gain) on hedged item
Exception: when the
hedged item is an
equity instrument with
changes in FV to OCI,
the gains or losses on
the hedging instrument
is recognized in OCI to
allow offsetting
Balance sheet
Change in fair value adjusted
Change in fair value adjusted
against carrying amount
against carrying amount
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Illustration:
Hedge of Inventory (Fair Value Hedge)
Scenario
31/10/20x3
– Inventory of 10,000 ounces of gold
– Carried at cost of $3,000,000 ($300 per ounce)
– Price of gold was $352 per ounce
1/11/20x3
– Sold forward contract on 10,000 ounce for forward price of $350 ounce
– Forward contract matures on 31/3/20x4
31/12/20x3
– Forward price for 31/3/20x4 contract was $340 per ounce and spot price
of gold was $342 per ounce
– Hedge effective ratio of 1 on 31/12/20x3
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Illustration:
Hedge of Inventory (Fair Value Hedge)
1/11/20x3
No entry or just a memorandum entry as the fair value of the forward
contract is nil
31/12/20x3
Dr
Forward contract ……………….
Cr
Gain on forward contract ……...
100,000
100,000
Gain on forward contract: 10,000 x ($340 – $350)
Dr
Loss on inventory ………………
Cr
Inventory ………………………..
Taken to income
statement
100,000
100,000
Fair value loss on inventory: 10,000 x ($342 – $352)
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Illustration:
Hedge of Inventory (Fair Value Hedge)
31/3/20x4
Inventory is sold to third-party at $330 per ounce (also maturity date of
forward contract
Dr
Forward contract ……………….
Cr
Gain on forward contract ……...
100,000
100,000
Gain on forward contract: 10,000 x ($330 – $340)
Dr
Loss on inventory ………………
Cr
Inventory ………………………..
120,000
120,000
Loss on inventory: 10,000 x ($330 – $342)
Dr
Cash ……………………………..
Cr
Sales …………………………….
3,300,000
3,300,000
Sale of inventory: 10,000 x $330
53
Illustration:
Hedge of Inventory (Fair Value Hedge)
31/3/20x4 (continued)
Dr
Cost of goods sold …………..
Cr
Inventory ……………………..
2,780,000
2,780,000
Cost of goods sold: $3,000,000 – $100,000 – $120,000
Dr
Cash ……………………………..
Cr
Forward contract ……………….
200,000
200,000
Close forward contract and record net receipt on settlement, which is the
notional amount multiplied by the difference between the contracted forward
rate and spot rate on settlement [10,000 x ($350 – $330)]
For illustration on (i) Hedge of an exposed monetary asset ii) Hedge of financial assets classified as
FVOCI III) Hedge of a firm commitment, please refer to Tan, Lim & Kuah illustrations 10.6–10.9
54
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5/8/2022
P10.1- Fair value hedge of inventory
• On 1/11/X5, Company X, a manufacture of gold jewellery and
ornaments, had an inventory of 10.000 ounces of gold ingots that
cost $780 an ounce. The price of gold was $950 an ounce.
Company X expected to use the gold to produce investmentgrade gold coins that would be sold in Feb X6. Company X was
concerned that the price of gold would fall, which would in trurn
affect the price of gold coins . Therefore, Company X decided to
hedge the value of its gold inventory by selling gold futures on
the commodity exchange. Gold future were traded in 100 troy
ounce contracts ( 1lượng vàng = 1,20556 troy ounces); Company
X entered into 100 31 Jan X6 contracts at price of 952 per
ounce. The exchange required a margin deposit of $ 3.300 per
contract. The spot price and the price of Jannuary future
contracts are as follows:
55
P10.1- Fair value hedge of inventory
Spot price of gold (per
ounce)
January gold future
(per ounce)
1 Nov X5
$ 950
$ 952
31 Dec X5
$ 940
$ 941
31 Jan X6
$ 960
$ 960
Company X designated the future contracts as fair value hedge of the change in the
value of the gold inventory due to changes in the spot price of the gold. Hedge
effectiveness is assessed based on the ratio of the change in the entire fair value of
the future contract to the change in the value of the inventory based on the spot
gold price.
Required:
1. Asses the effectiveness of the hedge at the inception and during the life of the
future contract.
2. Prepare journal entries to record the hedging instrument and the hedged item.
56
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5/8/2022
• Ngày 1/11/X5, Cty X, nhà sản xuất trang sức bằng vàng có lượng hàng
tồn kho (NVL) là 10.000 ounces vàng với giá gốc $ 780/ounce, giá thị
trường là $ 950/ounce. Cty X dự định sử dụng NL vàng cho sản xuất đồng
tiền vàng để bán vào T2/X6. Cho rằng giá vàng sẽ giảm ảnh hưởng đến
giá bán thành phẩm nên Cty X quyết định phòng ngừa FV cho số NL này
bằng HĐ tương lai bán vàng trên sở giao dịch tương lai. Mỗi HĐ tương
lai giao dịch 100 troy ounce ( 1 troy ounce = 1,09714286 ounces); Cty X
đưa vào 100 HĐ tương lai, đáo hạn 31 Jan X6 với giá 952$/ounce. SGD
yêu cầu ký quỹ $ 3.300/HĐ. Giá giao ngay của vàng và giá của HĐ tương
lai (đáo hạn T1/X6) như sau:
Spot price of gold (per ounce)
January gold future
1 Nov X5
$ 950
$ 952
31 Dec X5
$ 940
$ 941
31 Jan X6
$ 960
$ 960
Cty X chỉ định HĐ tương lai là CC phòng ngừa thay đổi FV của NL vàng khi giá
vàng thay đổi. Tính hữu hiệu của PN được đánh giá dựa vào tỷ số giữa biến động
toàn bộ FV của các HĐ tương lai và thay đổi FV của NL
Yêu cầu:
1. Đánh giá tính hữu hiệu của PNRR trong suốt thời gian nắm giữ HĐ.
2. Ghi sổ (định khoản) đối với KM được phòng ngừa và CCPN.
57
P10.1- Fair value hedge of inventory
(1) Assessment of hedge effectiveness
Change in value of
inventory based on
spot price of gold
Change in fair value of
futures contract
31 Dec X5
31 Jan X6
58
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5/8/2022
Illustration 3:
Hedge of a Net Investment in a Foreign Entity
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 FC1,200,000 at 5% interest taken to hedge foreign investment
– Foreign currency translation reserves showed $15,000 (credit balance)
31/12/200x4
– Exchange rate is $1.70 to FC1
– Average rate is $1.78 to FC1
– Foreign company reported net profit of FC380,000
59
Illustration 3:
Hedge of a Net Investment in a Foreign Entity
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 reserve on 31/12/20x4 (credit
balance)
(195,400)
Journal entries for parent
31/12/20x3
Dr
Cash ……………………………..
Cr
Loan payable …………………...
2,200,000
2,200,000
The loan payable is designated as a hedge of the net investment:
FC1,200,000 x spot rate of $1.85
60
30
5/8/2022
Illustration 3:
Hedge of a Net Investment in a Foreign Entity
31/12/20x4
Dr
Interest expense ……………….
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 ……………………………..
102,000
Cr
Exchange gain ………………….
4,800
106,800
Settlement of accrued interest at year-end
Dr
Loan payable …………………...
Cr
Foreign currency translation
reserves …………………………
180,000
Exchange gain on FC loan taken directly to equity:
FC 1,200,000 x ($1.70 – $1.85)
180,000 Taken to equity
to offset
translation loss
61
3. Cash Flow Hedge Accounting
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31
5/8/2022
Cash Flow Hedge Accounting
• A cash flow hedge applies when:
1. Hedge of a recognized asset or liability with a variable
interest rate (resulting in a variable future cash flow); and
2. A highly probable future transaction.
Cash flow hedges are typically hedges against floating rate
exposures.
•
Certain types of hedges have the characteristics of both a
fair value hedge and a cash flow hedge.
– E.g. the hedge of a firm commitment denominated in a foreign currency
FV hedge view: An exchange rate movement will affect the fair value of the
commitment, implying a fair value change.
CF hedge view: The cash flows from a foreign currency denominated firm
commitment are exposed to exchange rate changes when the commitment 63
is
ultimately settled.
Thí dụ:
•
•
•
DN dự kiến sẽ nhập khẩu thiết bị sản xuất
với giá 50 triệu USD (ngoại tệ).
Tỷ giá hối đoái xu hướng tăng.
Dòng tiền cần chi ra để thanh toán cho nhà
nhập khẩu tăng.
Rủi ro
dòng tiền
Giảm lợi
nhuận
CC phi phái sinh:
Đi vay 50 triệu USD
Công cụ
phòng ngừa RR
CC phái sinh:
Hợp đồng mua kỳ hạn
50 triệu USD
Tỷ giá giảm: DN không có rủi ro
64
32
5/8/2022
Accounting for a Cash Flow Hedge
Derivative is
designated as a cash
flow hedge
Cumulative change in fair value of hedging instrument (A)
Cumulative change in present value of expected cash flow (B)
(A) ≤ (B)
(A) > (B)
Ineffective portion
(A) – (B)
Effective portion
(B)
Income statement
Equity
No ineffective portion; Effective
portion = cumulative change in
FV of hedging instrument
Equity
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33