DERIVATIF DAN LINDUNG NILAI

DISCLAIMER

Pandangan yang disampaikan dalam presentasi ini merupakan pandangan pribadi

dari pembicara, dan bukan merupakan pandangan dari Ikatan Akuntan Indonesia

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 Lindung Nilai

Hedging

Economic hedge Accounting hedge

Cash flow hedge

Gain or loss dari hedged

items dan hedging
instrument pada periode
Fair value hedge
yang sama
Net investment
hedge

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 Persyaratan

•Dokumentation (objective, risk, hedging

instrument, hedged item, relationship, date,
effectivity test)
• Forecast transaction is highly probable
• Highly effective hedging
• Effectivity can be measured reliable
• Hedging relationship tested continously

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 Hedging Instrument & Hedged Item
• Hedging instrument (instrumen lindung nilai)
– Designated derivative and external party
• Hedged item (item yang dilindung nilai)
– Designated financial instrument or non-financial
asset or liability, and external party

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 Effectivity Test

Inception date Interim date End of reporting period

Prospective test

Retrospective test Prospective test

Retrospective test Prospective test

Prospective test
• Critical terms comparation
• Regression analysis

Retrospective test
• Dollar offset
• Regression analysis
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 Ratio
= Changes in FV of hedging instrument :
Changes in FV of hedged item

Consistently
Effective range 80% to 125%

Changes in FV Period by period Cummulative

Period
Bond Swap Not Effective Ratio Not Effective Ratio
P1 100 (90) 10 90% 10 90%
[90:100]
P2 60 (65) (5) 108% 5 97%
[155:160]
P3 (40) 20 (20) 50% (15) 113%
[135:120]
P4 120 (120) 0 100% (15) 106%
[255:240]

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 Fair Value Hedge

Hedging instrument
PROFIT OR LOSS
Changes in FV

Hedged item
Changes in FV

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 Cash Flow Hedge

Effective
portion OCI

Hedging instrument When hedged

Changes in FV item effect PL

Not effective
portion PROFIT OR LOSS

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 Net Investment Hedge

Effective
portion OCI

Hedging instrument When disposal or liquidation

Changes in FV

Not effective
portion PROFIT OR LOSS

When disposal or liquidation

Hedged item
Changes in FX net OCI
investment

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TERIMA KASIH