高级财务会计（英文版第13版）课件 第13章 衍生工具和套期会计

AdvancedAccountingThirteenthEditionChapter13AccountingforDerivativesandHedgingActivitiesCopyright©2018,2015,2012PearsonEducation,Inc.AllRightsReservedAccountingforDerivativesand

HedgingActivities:Objectives(1of2)13.1Accountforderivativeinstrumentsthatarenot

designatedasahedge.13.2Understandthedefinitionofacash-flowhedgeandthe

circumstancesinwhichaderivativeisaccountedforas

acash-flowhedge.13.3Understandthedefinitionofafair-valuehedgeandthe

circumstancesinwhichaderivativeisaccountedforas

afair-valuehedge.13.4Accountforacash-flow-hedgesituationfrominception

throughsettlementandforafair-value-hedgesituation

frominceptionthroughsettlement.AccountingforDerivativesand

HedgingActivities:Objectives(2of2)13.5

Understandthespecialderivativeaccountingrelatedto

hedgesofexistingforeigncurrency-denominated

receivablesandpayables.13.6

Comprehendthefootnotedisclosurerequirementsfor

derivatives.13.7UnderstandtheInternationalAccountingStandards

Boardaccountingforderivatives.DerivativeInstrumentsNotDesignatedasaHedgeAccountingforDerivativesandHedgingActivitiesUsingDerivativesasHedgesAhedgecanShiftriskoffluctuationsinsalesprices,costs,interestrates,orcurrencyexchangeratesHelpmanagecostsReduceriskstoimprovefinancialpositionProducetaxbenefitsHelpavoidbankruptcyHedgeAccounting(1of2)Atinception,documentTherelationshipbetweenhedgeditemandderivativeinstrumentTheriskmanagementobjectiveandstrategyforthehedgeHedginginstrumentHedgeditemNatureofriskbeinghedgedMeansofassessingeffectivenessHedgeEffectivenessToqualifyforhedgeaccounting,thederivativeinstrumentmustbehighlyeffectiveinoffsettinggainsorlossesintheitembeinghedged.EffectivenessconsidersNatureoftheunderlyingvariableNotionalamountofthederivativeandtheitembeinghedgedDeliverydateofderivativeSettlementdateoftheunderlyingIfcriticaltermsareidentical,effectivenessisassumed.ExampleofEffectivenessItemtobehedgedAccountspayableDueJanuary1,2017Fordeliveryof10,000eurosVariableisthechangingvalueofeurosHedgeinstrumentForwardcontractToacceptdeliveryof10,000eurosOnJanuary1,2017StatisticalAnalysisIfcriticaltermsofitemtobehedgedandhedgeinstrumentdonotmatch,statisticalanalysiscandetermineeffectiveness.RegressionanalysisCorrelationanalysisExampleUsingderivativesbasedonheatingoilorcrudeoiltohedgejetfuelcostsCash-FlowHedge(1of2)AccountingforDerivativesandHedgingActivitiesCash-FlowHedge(2of2)Acash-flowhedgeisusedforanticipatedorforecastedtransactionswherethereisriskofvariabilityinfuturecashflows.AccountingforaCash-FlowHedgeAcash-flowhedgeisrecordedatcostadjustedtofairvalueateachreportingdateaccountedforinOtherComprehensiveIncome(OCI)whentherearegainsorlossesWhentheforecastedtransactionimpactstheincomestatementReclassifyOCItothehedgedrevenueorexpenseaccountFair-ValueHedge(1of2)AccountingforDerivativesandHedgingActivitiesFair-ValueHedge(2of2)Afair-valuehedgeisusedforanassetorliabilityposition,orfirmpurchaseorsalecommitment,wherethereisariskofvariabilityinthevalueoftheposition.AccountingforaFair-ValueHedgeBoththeitembeinghedgedandthederivativeareadjustedtofairvalueateachreportingdateaccountedforimmediatelyinincomewithoffsettinggainsorlossesHedgeAccounting(2of2)AccountingforDerivativesandHedgingActivitiesCash-FlowHedge:Example1(1of4)UtilityanticipatespurchasingoilforsaletoitscustomersnextFebruary.OnDecember1,Utilityentersintoafuturescontracttoacquire4,200gallonsofoilat$1.4007pergallonfordeliveryonJanuary31.Amarginof$10istobepaidupfront.OnDecember31,thepricefordeliveryofoilonJanuary31is$1.4050.OnJanuary31,thespotrateforcurrentdeliveryis$1.3995.Utilitysettlesthecontract,acceptingdeliveryof4,200gallonsofoil.Cash-FlowHedge:Example1(2of4)InFebruary,Utilitysellsalltheoiltoitscustomersfor$8,400andreclassifiesitsOCIfromthehedgeascostofsales.Pertinentrates:

Blank12/112/311/31Futuresrate,for1/31$1.4007$1.4050$1.3995Costof4,200barrels$5,882.94$5,901.00$5,877.90Changeinfuturescontractto12/31=$18.06Changeinfuturescontractto1/31=($23.10)Thelossonthecontractis($5.04)OCI,andthisservestoincreaseCostofSales.Cash-FlowHedge:Example1(3of4)AdjusttofairvalueSettlecontract;collectbalanceonmarginPurchaseinventory12/1Futurescontract10.00

blank

blankCash

blank10.0012/31Futurescontract18.06

blank

blankOCI

blank18.061/31OCI23.10

blank

blankFuturescontract

blank23.101/31Cash4.96

blank

blankFuturescontract

blank4.961/31Inventory5,877.90

blank

blankCash

blank5,877.90SigncontractCash-FlowHedge:Example1(4of4)RecordthesaleandcostofsalesFeb.Cash8,400.00

blank

blankSales

blank8,400.00Feb.Costofsales5,877.90

blank

blankInventory

blank5,877.90Feb.Costofsales5.04

blank

blankOCI

blank5.04ThelastentryreclassifiesthelossonthecontractfromOCIintoCostofSales.TheeffectistoincreaseCostofSalesto$5,882.94.ThisisthecostoftheoilbasedonthefuturescontractsignedonDecember1.Cash-FlowHedge:Example2(1of4)On12/2/16,WinCorp.anticipatespurchasingequipmenton3/1/17withpaymentonthatdateof£500,000.On12/2/16,Santanasignsa90-dayforwardcontracttobuy£500,000for$1.68(thespotrateis$1.70).The$10,000contractdiscountwillbeamortizedtoExchangeGainoverthreemonthsusingtheeffectiveinterestmethod.Impliedinterestis:PV=1.70(500,000)=$850,000FV=1.68(500,000)=$840,000Period=3monthsMonthlyrateusingExcel=rate(nper,pmt,pv,fv)=rate(3,0,850000,-840000)Result:0.003937Cash-FlowHedge:Example2(2of4)Forwardratesandfairvalueofcontract:Thecontractwillbeadjustedtoitsdiscountedfairvalue.Usetheincrementalborrowingrate(12%,or1%monthly),discountingfortheremainingcontractlife.12/31:5,000/(1.01)23/1(endofcontract):15,000Note:1/31wouldbeequaltofairvalue/(1.01)1

DateForwardrateNotionalAmount£500,000ContractFairvalueDiscountedFairvalue12/2$1.68840,000blank

blank12/31$1.69845,0005,0004,9013/1$1.72860,00020,00015,099Cash-FlowHedge:Example2(3of4)12/2noentryforforwardcontract-nocashexchanged

blank

blank12/31Forwardcontract4,901

blank

blankOCI

blank4,901

blankBringforwardcontracttodiscountedfairvalue.

blank

blank12/31OCI3,346

blankExchangegain

blank3,346

blankEffectiveinterestmethodamortizationofthe10,000discount.850,000x.003937

blank

blankThechangeinvaluefortheforwardcontractisanunrealizedgainputintoOCI.Thediscountonthecontractisamortizedoverthe3monthsofthecontract.Cash-FlowHedge:Example2(4of4)ThefinalbalanceinOCIis$10,000CR.Thiswillreducetheequipment'sdepreciationoveritslife.3/1Forwardcontract15,099

blank

blankOCI

blank15,099

blankBringforwardcontracttofairvalue,$20,000

blank

blank3/1Cash20,000

blankForwardcontract

blank20,000

blankfornetsettlementofcontract:860,000current-840,000contract

blank

blank3/1Equipment860,000

blankCash

blank860,000

blankPurchaseequipmentfromsupplier

blank

blank3/1OCI6,654

blank

blankExchangegain

blank6,654

blankremainingamortization:10,000-3,346

blank

blankFair-ValueHedge:Example3(1of3)Utilityhasaccumulated10,000barrelsofoilininventorythatitwillnotselluntilthelaterwintermonths.Utilitywantstomaintainthevalueoftheinventory,whichisrecordedatcostof$85perbarrel,intheeventthatthepriceofoilfallsbeforetheyareabletosellit.OnNovember1,Utilityentersintoafuturescontracttoselltheoilfor$90abarrelinthreemonths.Thecontractwillbesettlednet.Fair-ValueHedge:Example3(2of3)Themarketpriceoftheoilis$92perbarrelatDecember31.TheestimatedvalueoftheforwardcontractonDecember31isaliabilityofthe$2perbarreldifferencebetweenourcontractedpriceandthemarketprice.Theliabilityismeasuredas$20,000/(1.01),or$19,802,assuminga1%permonthinterestrate.OnJanuary31,thespotpriceis$89andUtilitysettlesthecontractbyreceiving$10,000,or($90-$89)x10,000barrels.Fair-ValueHedge:Example3(3of3)ReportatfairvalueatreportingdateSettlecontract12/31LossonForwardcontract19,802blankblankForwardcontractblank19,80212/31Inventory20,000blankblankGainonInventoryblank20,0001/31Forwardcontract10,000blankblankForwardcontract19,802blankblankGainonForwardcontractblank29,802blankLossonInventory30,000blankblankInventoryblank30,0001/31Cash10,000blankblankForwardcontractblank10,000AdjustinventorytofairvalueAdjustvaluespriortofinalsettlementAccountingforHedgesofForeignCurrencyReceivablesandPayablesAccountingforDerivativesandHedgingActivitiesFair-ValueHedgeExample:LiabilityRubypurchasesequipmentcosting200,000yenon12/2/16withpaymentdueon1/30/17.On12/2/16Rubyentersaforwardcontracttopurchase200,000yenon1/30/17attheforwardcontractrateof$0.0095.DateSpotrateAcctPayForwardrateContRec12/2$0.0094$1,880$0.0095$1,90012/31$0.0092$1,840$0.0093$1,8601/30$0.0098$1,960$0.0098$1,960Fair-ValueHedge:Liability(1of3)Accountspayable:Gainof$40forDecemberLossof$120forJanuaryContractreceivable:Lossof$40forDecemberGainof$100forJanuaryTotalexchangelossonthetransaction=($20)Thenetgain/lossforDecember=$0.ThenetlossforJanuary=($20)Spreadbetweenthespotandforwardrateon12/2determinesthetotalloss,e.g.,thecostofhedging.Fair-ValueHedge:Liability(2of3)12/2:Buyequipmentandsignforwardcontract12/31:Adjustforeignmonetaryaccountstocurrent(year-end)rate12/2Equipment1,880blankblankAccountspayable(¥)blank1,88012/2Contractreceivable(¥)1,900blankblankContractpayable($)blank1,90012/31Accountspayable(¥)40blankblankExchangegainblank4012/31Exchangeloss40blankblankContractreceivable(¥)blank40Fair-ValueHedge:Liability(3of3)1/30:Paypromised$1,900on