Accounting for derivatives : advanced hedging under ifrs 9

Accounting for derivatives advanced hedging under ifrs 9

"The derivative practitioner's expert guide to IFRS 9 applicationAccounting for Derivatives explains the likely accounting implications of a proposed transaction on derivatives strategy, in alignment with the IFRS 9 standards. Written by a Big Four advisor, this book shares the author'...

Descripción completa

Detalles Bibliográficos
Otros Autores: Ramirez, Juan, 1961- author (author)
Formato: Libro electrónico
Idioma:Inglés
Publicado: West Sussex, United Kingdom ; New York : John Wiley & Sons, Inc 2015.
Edición:Second edition
Colección:Wiley finance series.
Materias:
Financial instruments > Accounting > Standards.
Derivative securities > Accounting.
Hedging (Finance) > Accounting.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629590406719
Tabla de Contenidos:
  • Cover
  • Title Page
  • Copyright
  • Contents
  • Chapter 1 The Theoretical Framework - Recognition of inancial Instruments
  • 1.1 Accounting Categories for Financial Assets
  • 1.1.1 Financial Asset Categories
  • 1.1.2 Financial Assets at Amortised Cost
  • 1.1.3 Financial Assets at Fair Value through Other Comprehensive Income
  • 1.1.4 Financial Assets at Fair Value through Profit or Loss
  • 1.1.5 Financial Assets - Initial and Subsequent Recognition
  • 1.1.6 Reclassifications
  • 1.2 The Amortised Cost Calculation: Effective Interest Rate
  • 1.2.1 Example of Effective Interest Rate Calculation - Fixed Rate Bond
  • 1.2.2 Effective Interest Rate Calculation - Floating Rate Debt
  • 1.3 Examples of Accounting for Fixed Rate Bonds
  • 1.3.1 Example of a Fixed Rate Bond at Amortised Cost
  • 1.3.2 Example of a Fixed Rate Bond Recognised at FVOCI
  • 1.4 Accounting Categories For Financial Liabilities
  • 1.4.1 Financial Liability Categories
  • 1.4.2 Partial Repurchases of Financial Liabilities
  • 1.4.3 Changes in Credit Risk in Financial Liabilities at FVTPL
  • 1.5 The Fair Value Option
  • 1.6 Hybrid and Compound Contracts
  • 1.6.1 Embedded Derivatives in Assets or Liabilities - Hybrid Instruments
  • 1.6.2 Liability Compound Instruments
  • Chapter 2 The Theoretical Framework - Hedge Accounting
  • 2.1 Hedge Accounting - Types of Hedges
  • 2.1.1 Derivative Definition
  • 2.1.2 Hedge Accounting
  • 2.1.3 Accounting for Derivatives
  • 2.1.4 Undesignated or Speculative
  • 2.2 Types of Hedges
  • 2.2.1 Fair Value Hedge
  • 2.2.2 Cash Flow Hedge
  • 2.2.3 Net Investment Hedge
  • 2.3 Hedged Item Candidates
  • 2.3.1 Hedged Item Candidates
  • 2.3.2 Forecast Transaction versus Firm Commitment
  • 2.4 Hedging Instrument Candidates
  • 2.5 Hedging Relationship Documentation
  • 2.6 Hedge Effectiveness Assessment
  • 2.6.1 Qualifying Criteria for Hedge Accounting.
  • 2.6.2 Hedge Ratio
  • 2.6.3 Effectiveness Assessment
  • 2.6.4 Effectiveness Assessment Methods
  • 2.6.5 The Critical Terms Method
  • 2.6.6 The Simple Scenario Analysis Method
  • 2.6.7 The Regression Analysis Method
  • 2.6.8 The Monte Carlo Simulation Method
  • 2.6.9 Suggestions Regarding the Assessment Methods
  • 2.7 The Hypothetical Derivative Simplification
  • 2.8 Rebalancing
  • 2.8.1 Accounting for Rebalancings
  • 2.9 Discontinuation of Hedge Accounting
  • 2.10 Options And Hedge Accounting
  • 2.10.1 Intrinsic Value versus Time Value
  • 2.10.2 In-, At- or Out-of-the-Money
  • 2.10.3 Accounting Treatment for the Time Value of Options
  • 2.10.4 Example of Option Hedging a Transaction Related Item - Actual Time Value Exceeding Aligned Time Value
  • 2.10.5 Example of Option Hedging a Transaction Related Item - Actual Time Value Lower Than Aligned Time Value
  • 2.10.6 Example of Option Hedging a Time-Period Related Item - Actual Time Value Exceeding Aligned Time Value
  • 2.10.7 Example of Option Hedging a Time-Period Related Item - Actual Time Value Lower Than Aligned Time Value
  • 2.10.8 Written Options
  • 2.11 Forwards and Hedge Accounting
  • Chapter 3 Fair Valuation - Credit and Debit Valuation Adjustments
  • 3.1 Fair Valuation - Overview of IFRS 13
  • 3.1.1 Definition of Fair Value
  • 3.1.2 Fair Value Hierarchy
  • 3.1.3 Level 1 Financial Instruments
  • 3.1.4 Level 2 Financial Instruments
  • 3.1.5 Level 3 Financial Instruments
  • 3.1.6 Mid-to-Bid and Mid-to-Offer Adjustments
  • 3.1.7 Credit and Debit Valuation Adjustment
  • 3.1.8 Funding Valuation Adjustment
  • 3.1.9 Model Uncertainty Adjustment
  • 3.1.10 Day 1 Profit (or Loss)
  • 3.2 Case Study - Credit Valuation Adjustment of an Interest Rate Swap
  • 3.2.1 Simple One-Period Model of Default
  • 3.2.2 Working Example of CVA in a Swap
  • 3.2.3 Debit Valuation Adjustments
  • 3.2.4 Combining CVA and DVA.
  • 3.2.5 Calculating CVA and DVA Using Monte Carlo Simulation
  • 3.3 Overnight Index Swap Discounting
  • Chapter 4 An Introduction to Derivative Instruments
  • 4.1 FX Forwards
  • 4.1.1 Product Description
  • 4.1.2 Forward Points
  • 4.2 Interest Rate Swaps
  • 4.2.1 Product Description
  • 4.2.2 IFRS 9 Accounting Implications
  • 4.3 Cross-Currency Swaps
  • 4.3.1 Product Description
  • 4.3.2 IFRS 9 Accounting Implications
  • 4.4 Standard (Vanilla) Options
  • 4.4.1 Product Description
  • 4.4.2 Standard Equity Options
  • 4.4.3 Standard Foreign Exchange Options
  • 4.4.4 Interest Rate Options - Caps, Floors and Collars
  • 4.5 Exotic Options
  • 4.6 Barrier Options
  • 4.6.1 Knock-out Barrier Options - Product Description
  • 4.6.2 Knock-in Barrier Options - Product Description
  • 4.7 Range Accruals
  • Chapter 5 Hedging Foreign Exchange Risk
  • 5.1 Types of Foreign Exchange Exposure
  • 5.2 Introductory Definitions
  • 5.2.1 Functional Currency and Presentation Currency
  • 5.2.2 Relevant Dates in an FX Transaction
  • 5.3 Summary of IAS 21 Translation Rates
  • 5.3.1 Monetary versus Non-monetary Items
  • 5.3.2 Translation Rates
  • 5.4 Foreign Currency Transactions
  • 5.4.1 Summary of Most Commonly Used FX Derivatives
  • 5.5 Case Study: Hedging A Forecast Sale and Subsequent Receivable with an FX Forward (Forward Element Included in Hedging Relationship)
  • 5.5.1 Background
  • 5.5.2 Setting the Hedging Relationship Term
  • 5.5.3 Hedging Relationship Documentation
  • 5.5.4 Hedge Effectiveness Assessment - Hypothetical Derivative
  • 5.5.5 Hedge Effectiveness Assessment Performed at Hedge Inception
  • 5.5.6 Fair Valuation of Hedged Item and Hypothetical Derivative at the Relevant Dates
  • 5.5.7 Accounting Entries - Hedge Objective Unchanged: No Discontinuation
  • 5.5.8 Accounting Entries - Hedge Risk Management Objective Changed: Discontinuation.
  • 5.6 Case Study: Hedging a Forecast Sale with an FX Forward
  • 5.6.1 Setting the Hedging Relationship Term
  • 5.6.2 Hedging Relationship Documentation
  • 5.6.3 Hedge Effectiveness Assessment
  • 5.6.4 Hedge Effectiveness Assessment Performed at Hedge Inception
  • 5.6.5 Fair Valuation of Hedged Item and Hypothetical Derivative at the Relevant Dates
  • 5.6.6 Accounting Entries When the Forward Element is Included in the Hedging Relationship
  • 5.6.7 Accounting Election When the Forward Element is Excluded from the Hedging Relationship
  • 5.6.8 Accounting When the Forward Element is Excluded from the Hedging Relationship and Recognised in Profit or Loss
  • 5.6.9 Accounting When the Forward Element is Excluded from the Hedging Relationship and Aligned Portion Temporarily Recognised in OCI
  • 5.6.10 Final Remarks: Inclusion versus Exclusion of the Forward Element
  • 5.7 Case Study: Hedging a Forecast Sale and Subsequent Receivable with a Tunnel
  • 5.7.1 Hedging Relationship Documentation
  • 5.7.2 Hedge Effectiveness Assessment
  • 5.7.3 Hedge Effectiveness Assessment Performed at Hedge Inception
  • 5.7.4 Fair Valuation of Hedged Item and Hypothetical Derivative at the Relevant Dates
  • 5.7.5 Calculation of Effective and Ineffective Amounts
  • 5.7.6 Accounting Entries
  • 5.7.7 Accounting Entries - Discontinuation by Changing Risk Management Objective
  • 5.7.8 Final Remarks
  • 5.8 Case Study: Hedging A Forecast Sale and Subsequent Receivable with a Participating Forward
  • 5.8.1 Participating Forward Hedge Accounting Issues
  • 5.8.2 Alternative 1: Participating Forward Split into a Forward and an Option
  • 5.8.3 Alternative 2(a): Participating Forward in its Entirety
  • 5.8.4 Alternative 2(b): Participating Forward in its Entirety - Readjusting the Hedge Ratio
  • 5.9 Case Study: Hedging a Highly Expected Foreign Sale with a Knock-In Forward (Introduction).
  • 5.9.1 Accounting Optimisation of the Knock-in Forward
  • 5.10 Case Study: Hedging a Forecast Sale And Subsequent Receivable with a Knock-In Forward (Splitting Alternative)
  • 5.10.1 Terms of the Split into a Forward and a Knock-out Option
  • 5.10.2 Hedging Relationship Documentation
  • 5.10.3 Hedge Effectiveness Assessment
  • 5.10.4 Hedge Effectiveness Assessment Performed at Hedge Inception
  • 5.10.5 Fair Valuations of Derivative Contracts and Hypothetical Derivative at the Relevant Dates
  • 5.10.6 Calculation of Effective and Ineffective Amounts
  • 5.10.7 Accounting Entries
  • 5.11 Case Study: Hedging A Forecast Sale and Subsequent Receivable with a Knock-In Forward (Instrument In Its Entirety)
  • 5.11.1 Hedging Relationship Documentation
  • 5.11.2 Hedge Effectiveness Assessment
  • 5.11.3 Hedge Effectiveness Assessment Performed at Hedge Inception
  • 5.11.4 Fair Valuations of Hedging Instrument and Hypothetical Derivative at the Relevant Dates
  • 5.11.5 Calculation of Effective and Ineffective Amounts
  • 5.11.6 Accounting Entries
  • 5.12 Case Study: Hedging A Forecast Sale and Subsequent Receivable with a Knock-In Forward (Rebalancing Approach)
  • 5.12.1 Quantity of Hedged Item Estimation
  • 5.12.2 Hedging Relationship Documentation
  • 5.12.3 Hedge Effectiveness Assessment
  • 5.12.4 Hedge Effectiveness Assessment Performed at Hedge Inception
  • 5.12.5 Fair Valuations at the Relevant Dates
  • 5.12.6 Effective and Ineffective Amounts at the Relevant Dates
  • 5.12.7 Accounting Entries
  • 5.13 Case Study: Hedging A Highly Expected Foreign Sale with a Kiko Forward
  • 5.13.1 Hedge Accounting Optimisation
  • 5.13.2 Hedge Accounting Application for Approach 1 - Forward plus Residual Derivative
  • 5.13.3 Hedging Relationship Documentation
  • 5.13.4 Hedge Effectiveness Assessment Performed at Hedge Inception.
  • 5.13.5 Fair Valuations of Derivative Contracts and Hypothetical Derivative at the Relevant Dates.

Ejemplares similares