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Accounting for Derivatives and Hedge Accounting

Tipe Derivatif Underlying Pengguna


Option (Call and Put) Security Price Produsen, perusahaan trading,
institusi keuangan, speculator
Forward Contract Foreign Exchange Rates Perusahaan
Futures Contract Commodity Prices Produsen dan Konsumen
Swap Interest Rate Financial Institution

Kegunaan Derivatif

1. Mengelola risiko pasar seperti foreign exchange risk dan interest rate risk
2. Mengurangi borrowing cost
3. Profit untuk spekulasi dan trading

TYPES OF DERIVATIVES

Forward Contract persetujuan antara dua pihak (counterparties) saat satu pihak setuju untuk
membeli dan pihak lain menjual sejumlah tertentu (notional amount) pada harga tertentu
(forward price) pada tanggal di masa depan tertentu (forward date). Forward Contract tidak
memiliki quoted price. Memiliki risiko counterparty yang lebih tinggi namun fleksibel
disesuaikan dengan kebutuhan kedua belah pihak.

Fair Value (FV) = Notional amount x (|Current Forward Rate-Contracted Forward rate|)
(1+r)t

Contracted forward rate = forward rate fixed saat masuk kontrak


Current forward rate = forward rate periode sisanya (market forward rate)
r = discount rate; t = period to maturity
INGAT: Fair Value Forward contract pada inception date selalu nol.
Current forward rate > Current forward rate <
contracted forward rate contracted forward rate
Forward purchase contract - FV positif - FV Negatif
- Mencatat gain - Mencatat loss
- Di neraca, forward - Di neraca, forward
dicatat sebagai aset dicatat sebagai
kewajiban
Forward sale contract - FV negatif - FV positif
- Mencatat loss - Mencatat gain
- Di neraca, forward - Di neraca, forward
dicatat sebagai dicatat sebagai aset
kewajiban

Future Contract kontrak antara penjual/pembeli dengan lembaga kliring atau lembaga
exchange. Memiliki beberapa persamaan dengan forward contract (ketentuan penjual dan
pembeli yang serupa dengan forward contract). Perbedaan dengan forward contract adalah
sebagai berikut:
- Future contract diperdagangkan di sebuah pasar untuk kuantitas standar dan item tertentu
saja. Menghapus counterparty risk namun mengurangi fleksibilitas
- Future contract dapat ditutup sebelum maturitas dengan masuk pada kontrak identic
dengan posisi yang berlawanan.
- Future contract membutuhkan pembayaran margin deposit (range 1%-10% dari notional
value). Margin deposit harus ditambah saat mencapai maintenance margin dan akan di-
refund saat kontrak ditutup
- Future contract tidak memerlukan discounting karena marked to market dan dibayar
dengan kas harian

Option Contract memberikan si pemegang kontrak hak (bukan kewajiban) untuk membeli
atau menjual suatu item (komoditas, instrument keuangan, atau instrument ekuitas) pada harga
tertentu dan waktu tertentu.
Call option hak untuk membeli suatu item pada strike price
Put option hak untuk menjual suatu item pada strike price
American option dapat di-exercise kapanpun antara inception date dan maturity date
European option hanya dapat diexercise saat maturity date
Karakteristik option contract:
- Pembeli dari call/put option membayar premium pada seller (writer). Premium dapat
berbentuk lump sum atau quoted (apabila terdaftar di pasar)
- Pemegang kontrak punya hak (bukan kewajiban) untuk perform, namun penjual (writer)
wajib untuk perform kontrak
- Option memiliki pay-off profile asimetris. Pembeli memiliki limited loss (pada premium
yang telah dibayar) dan unlimited gain. Sebaliknya, penjual (writer) memiliki limited
gain dan unlimited loss.
Strike Price > Strike Price = Strike Price <
underlying Underlying underlying
Call Option Holder Out of the money At the money In the money
Put Option Holder In the money At the money Out of the money

Fair Value Option = Intrinsic Value + Time Value


Intrinsic value call option = Max[0, notional amount (Quantity) x (Spot Price2 Strike Price)]
Intrinsic value put option = Max[0, notional amount (Quantity) x (Strike Price Spot Price)]

Option sendiri memiliki cara tertentu untuk dilaporkan dalam laporan posisi keuangan
(Statement of Financial Position)
Option Penyajian unexpired option Penyajian unexpired option
contract pada laporan contract pada laporan
pemegang option option writer
Out of the money Asset (time value only) Liability
At The Money Asset (time value only) Liability
In the money Asset (intrinsic + time value) Liability

AKUNTANSI UNTUK DERIVATIF


Asumsi dasar adalah derivatif sebagai trading securities yang diukur pada fair value dengan
perubahan fair value akan dicatat pada income statement. Akan tetapi, apabila derivatif dipakai
sebagai perangkat hedging atas risiko, maka yang dipakai adalah hedge accounting.

Accounting for Derivatives (asumsi dasar)


Forward Contract Futures contract Option Contract
At Inception No entry Dr Margin Deposit Purchase option
Cr Cash Dr. Option contract
(asset)
Cr. Cash
Writer
Dr. Cash
Cr. Option Contract
(liablility)
During life of Dr. Forward contract Dr. Cash Purchased option
contract (asset) Cr. Gain on future Dr. Option Contract
Cr. Gain of forward contract Cr. Gain on Option
contract OR OR
OR Dr. Loss on Future Dr. Loss on option
Dr. Loss on forward Contract contract
contract Cr. Cash Cr. Option Contract
Cr. Forward contract Record daily Adjust fair value of
(liability) settlement of futures option and record
Adjust fair value of contract gain/loss
forward and record
gain/loss Writer same as
purchased
Closing position (or Dr. Cash Dr. Cash Purchased option
expiration of Cr. Forward Contract Dr. Loss on Futures Dr. Cash*
contract) OR Contract Cr. Gain on Option
Dr. Forward Contract Cr. Margin Deposit Contract
Cr. Cash OR Cr. Option Contract
Close forward Dr. Cash OR
contract; record net Cr. Gain on Futures Dr. Cash*
settlement of contract Contract DR. Loss on Option
Cr. Margin Deposit Contract
Close out futures Cr. Option Contracr
contract; recover *Asumsi option
margin deposits expired in the money,
kalau out of the
money, no entry
Writer
Dr. Option contract
Cr. Gain on option
contract
OR
Dr. Option Contract
Dr. Loss on option
Cr. Cash (option
expires in the money)

(Kalo yang teori hedging minggu depan ya, untuk sekarang langsung accounting for a Fair Value
Hedge yaa)

ACCOUNTING FOR A FAIR VALUE HEDGE


Prosedur akuntansi untuk fair value hedge adalah sebagai berikut:
1. Perubahan pada fair value untuk instrument hedging dimasukkan pada income statement;
carrying value dari instrument hedging disesuaikan pada perubahan fair value
2. Gain/loss dari hedged item terkait hedged risk masuk pada income statement. Carrying
amount dari hedged item disesuaikan dengan gain/loss (basis adjustment). Basis
adjustment tetap dilakukan meskipun hedged item diukur dengan cost, seperti inventory
3. Saat hedged item fair value hedge adalah firm commitment, perubahan kumulatif pada
fair value firm commitment terkait hedged risk akan diakui sebagai asset atau liability
dengan corresponding gain/loss yang diakui pada income statement.

Hedge of Inventory (fair value hedge)


GEMS memiliki inventory 10.000 ons emals pada 31 December 20x3, cost $3.000.000
($300/ons). Harga emas saat itu $352/ons. Pada 1 November 20x3, GEMS menjual forward
contract 10.000 ons emas at forward price $350/ons. Maturity date 31 March 20x4. Tujuan
kontrak adalah untuk memastikan net margin $50/ons atau $500.000 saat emas dijual. Pada 31
Desember 20x3, forward price untuk kontrak adalah $340/ons saat spot price adalah $342/ons.
Ada gain $100.000 pada forward contract dan loss terkait pada inventory.
1 November 20x3 No Entry karena fair value forward contract pada inception date adalah nol
31 December 20x3
Dr. Forward Contract $100.000
Cr. Gain on forward contract $100.000
10000 x ($340-$350)
Dr. Loss on Inventory $100.000
Cr. Inventory $100.000
10000 x ($342-$352)
Asumsi inventory terjual pada pihak ketiga dengan harga $330/ons pada 31 Maret 20x4
(kebetulan sama dengan maturity date)
31 Maret 20x4
Dr. Forward Contract $100.000
Cr. Gain on Forward Contract $100.000
10.000 x ($330-$340)
Dr. Loss on Inventory $120.000
Cr. Inventory $120.000
10000 x ($330-$342)
Dr. Cash $3.300.000
Cr. Sales $3.300.000
Sales of inventory 10.000 x $330
Dr. COGS $2.780.000
Cr. Inventory $2.780.000
COGS = $3.000.000 - $100.000 - $120.000

Dr. Cash $200.000


Cr. Forward Contract $200.000
Close forward contract; notional amount x (contracted rate-spot rate) = 10.000 x ($350-$330)
Tanpa hedging Dengan hedging
Proceeds Sales $3.300.000 $3.300.000
Proceeds from forward $200.000
Total proceeds $3.300.000 $3.500.000
Sales $3.300.000 $3.300.000
COGS ($3.000.000) ($2.780.000)
$300.000 $520.000
Gain on forward contract - $100.000
(20x4) - ($120.000)
Loss on Invetory (20x4)
Net Profit Effect $300.000 $500.000
Fair Value Hedge for AFS Investment with Put Option
30 November 20x1, Sy Ltd. membeli 1000 shares daro Fastract $5/share. Untuk melindungi dari
rugi investasi atas turunnya harga saham Fastrack, Sy Ltd. membeli put option at-the-money
(exercise price $5/share) 1.000 fastrack shares sebesar $500. Put option maturity date 31 Juli
20x2. Tahun finansial Sy berakhir pada tanggal 30 Juni.
Tanggal Harga saham Fastrack Harga Put option
30 November 20x1 $5.00 $500
30 June 20x2 $4.50 $700
31 July 20x2 $4.00 $1.000

Fair Value Computations


Fastrack Share
30 November 20x1 $5 x 1000 = $5000
30 June 20x2 $4.5 x 1000 = $4500
31 July 20x2 $4 x 1000 = $4000
Put Option
30 November 20x1 FV-intrinsic = $500-0 = $500
30 June 20x2 $700 - $500 = $200
31 July 20x2 $1000 - $1000 = 0
Hedge effective analysis
30 June 20x2 : change in fastrack/change in option intrinsic = $500/$500 = 1
31 July 20x2 : $1000/$1000 = 1
Entries for hedged item Entries for hedging instrument
30 Nov 20x1 30 Nov 20x1
Dr. Investment in AFS $5000 Dr. Put Option $500
Cr. Cash $5000 Cr. Cash $500
30 June 20x2 30 June 20x2
Dr. Loss on AFS (I/S) $500 Dr. Put Option $500
Cr. Investment in AFS $500 Cr. Gain on Put Option (I/S) $500
Dr. Loss on Put Option (I/S) $300
Cr. Put Option $300
31 July 20x2 31 July 20x2
Dr. Loss on AFS $500 Dr. Put Option $500
Cr. Investment in AFS $500 Cr. Gain on Put Option $500
Dr. Cash $4000 Dr. Loss on Put Option $200
Cr. Investment in AFS $4000 Cr. Put Option $200
Alternatif:
Dr. Option Contract $300
Cr. Gain on Put Option $300
Dr. Cash $1000
Cr. Put Option $1000

Fair Value hedge on firm commitment


30 June 20x5 Decca masuk ke dalam firm commitment untuk menjual 10.000 ton minyak palem
dengan $298/ton kepada pelanggan untuk pengiriman dan pembayaran 30 September 20x5. Spot
Price minyak palem pada 30 June 20x5 $298/ton. Decca terekspos dengan perubahan fair value.
Demi melindungi diri dari perubahan fair value, Decca membeli 10 future contract September
30x5 (tiap kontrak notional amount 1000 ton) pada $300/ton. Margin deposit $10.000/contract.
Spot and Future Prices:
30 June 31 July 31 August 30 September
Spot price/ton $298 $305 $309 $315
30 September $300 $307 $310 $315
futures price/ton

31 July 31 August 30 September


Spot price/ton $305 309 315
Futures price/ton 307 310 315
Contracted future 300 300 300
price
Q (tons) 10000 10000 10000
FV of futures (current $70000 $100000 $150000
future price-previous
future price)
Change in FV $70000 $30000 $50000
Value of firm (70000) ($110000) ($170000)
commitment
(contracted price-
current spot price)
Change in Value of (70000) (40000) (60000)
firm commitment
Hedge effectiveness 1 (70000/70000) 0,91 (100000/110000) 0,88 (150000/170000)
ratio

Entries for hedged item Entries for hedging instrument


30 June 20x5 Dr. Margin Deposit $100000
No entry for firm commitment Cr. Cash $100000
31 July 20x5 Dr. Futures Contract 70000
Dr. Loss on firm commitment $70000 Cr. Gain on Futures Contract 70000
Cr. Firm Commitment $70000
31 August 20x5 31 August 20x5
Dr. Loss on firm commitment $40000 Dr. Futures Contract 30000
Cr. Firm Commitment $40000 Cr. Gain on Futures Contract 30000
Record gain; hedge is effective within the
range of 0,8 to 1,25
30 September 20x5 30 September 20x5
Dr. Loss on firm commitment $60000 Dr. Futures Contract 50000
Cr. Firm Commitment 60000 Cr. Gain on Futures Contract 50000
Dr. Cash $2.980.000 Record gain; hedge is effective within the
Cr. Sales 2.980.000 range of 0,8 to 1,25
Record sale of palm at contracted price Dr. Cash 250000
Dr. Firm Commitment $170.000 Cr. Margin Deposit 100000
Cr. Sales 170.000 Cr. Futures Contract 150000
Close the position of futures contract and
record refund of margin deposit