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Dedication
by Juan Ramirez
Accounting for Derivatives: Advanced Hedging under IFRS 9, 2nd Edition
Cover
Title Page
Copyright
Dedication
Preface
CHANGES TO THE PREVIOUS EDITION
Chapter 1: The Theoretical Framework – Recognition of Financial Instruments
1.1 ACCOUNTING CATEGORIES FOR FINANCIAL ASSETS
1.2 THE AMORTISED COST CALCULATION: EFFECTIVE INTEREST RATE
1.3 EXAMPLES OF ACCOUNTING FOR FIXED RATE BONDS
1.4 ACCOUNTING CATEGORIES FOR FINANCIAL LIABILITIES
1.5 THE FAIR VALUE OPTION
1.6 HYBRID AND COMPOUND CONTRACTS
Chapter 2: The Theoretical Framework – Hedge Accounting
2.1 HEDGE ACCOUNTING – TYPES OF HEDGES
2.2 TYPES OF HEDGES
2.3 HEDGED ITEM CANDIDATES
2.4 HEDGING INSTRUMENT CANDIDATES
2.5 HEDGING RELATIONSHIP DOCUMENTATION
2.6 HEDGE EFFECTIVENESS ASSESSMENT
2.7 THE HYPOTHETICAL DERIVATIVE SIMPLIFICATION
2.8 REBALANCING
2.9 DISCONTINUATION OF HEDGE ACCOUNTING
2.10 OPTIONS AND HEDGE ACCOUNTING
2.11 FORWARDS AND HEDGE ACCOUNTING
Chapter 3: Fair Valuation – Credit and Debit Valuation Adjustments
3.1 FAIR VALUATION – OVERVIEW OF IFRS 13
3.2 CASE STUDY – CREDIT VALUATION ADJUSTMENT OF AN INTEREST RATE SWAP
3.3 OVERNIGHT INDEX SWAP DISCOUNTING
Chapter 4: An Introduction to Derivative Instruments
4.1 FX FORWARDS
4.2 INTEREST RATE SWAPS
4.3 CROSS-CURRENCY SWAPS
4.4 STANDARD (VANILLA) OPTIONS
4.5 EXOTIC OPTIONS
4.6 BARRIER OPTIONS
4.7 RANGE ACCRUALS
Chapter 5: Hedging Foreign Exchange Risk
5.1 TYPES OF FOREIGN EXCHANGE EXPOSURE
5.2 INTRODUCTORY DEFINITIONS
5.3 SUMMARY OF IAS 21 TRANSLATION RATES
5.4 FOREIGN CURRENCY TRANSACTIONS
5.5 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH AN FX FORWARD (FORWARD ELEMENT INCLUDED IN HEDGING RELATIONSHIP)
5.6 CASE STUDY: HEDGING A FORECAST SALE WITH AN FX FORWARD
5.7 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A TUNNEL
5.8 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A PARTICIPATING FORWARD
5.9 CASE STUDY: HEDGING A HIGHLY EXPECTED FOREIGN SALE WITH A KNOCK-IN FORWARD (INTRODUCTION)
5.10 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A KNOCK-IN FORWARD (SPLITTING ALTERNATIVE)
5.11 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A KNOCK-IN FORWARD (INSTRUMENT IN ITS ENTIRETY)
5.12 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A KNOCK-IN FORWARD (REBALANCING APPROACH)
5.13 CASE STUDY: HEDGING A HIGHLY EXPECTED FOREIGN SALE WITH A KIKO FORWARD
5.14 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A RANGE ACCRUAL (PART 1)
5.15 CASE STUDY: HEDGING A FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A RANGE ACCRUAL (DESIGNATION IN ITS ENTIRETY)
5.16 CASE STUDY: HEDGING FORECAST SALE AND SUBSEQUENT RECEIVABLE WITH A RANGE ACCRUAL (SPLITTING APPROACH)
5.17 HEDGING ON A GROUP BASIS – THE TREASURY CENTRE CHALLENGE
5.18 HEDGING FORECAST INTRAGROUP TRANSACTIONS
Chapter 6: Hedging Foreign Subsidiaries
6.1 STAND-ALONE VERSUS CONSOLIDATED FINANCIAL STATEMENTS
6.2 THE TRANSLATION PROCESS
6.3 THE TRANSLATION DIFFERENCES ACCOUNT
6.4 SPECIAL ITEMS THAT ARE PART OF A NET INVESTMENT
6.5 EFFECT OF MINORITY INTERESTS ON TRANSLATION DIFFERENCES
6.6 HEDGING NET INVESTMENTS IN FOREIGN OPERATIONS
6.7 CASE STUDY: ACCOUNTING FOR NET INVESTMENTS IN FOREIGN OPERATIONS
6.8 CASE STUDY: NET INVESTMENT HEDGE WITH A FORWARD
6.9 CASE STUDY: NET INVESTMENT HEDGE USING FOREIGN CURRENCY DEBT
6.10 NET INVESTMENT HEDGING WITH CROSS-CURRENCY SWAPS
6.11 CASE STUDY: NET INVESTMENT HEDGE WITH A FLOATING-TO-FLOATING CROSS-CURRENCY SWAP
6.12 CASE STUDY: NET INVESTMENT HEDGE WITH A FIXED-TO-FIXED CROSS-CURRENCY SWAP
6.13 CASE STUDY: HEDGING INTRAGROUP FOREIGN DIVIDENDS
6.14 CASE STUDY: HEDGING FOREIGN SUBSIDIARY EARNINGS
6.15 CASE STUDY: INTEGRAL HEDGING OF AN INVESTMENT IN A FOREIGN OPERATION
Chapter 7: Hedging Interest Rate Risk
7.1 COMMON INTEREST RATE HEDGING STRATEGIES
7.2 SEPARATION OF EMBEDDED DERIVATIVES IN STRUCTURED DEBT INSTRUMENTS
7.3 INTEREST ACCRUALS
7.4 MOST COMMON INTEREST RATE DERIVATIVE INSTRUMENTS
7.5 CASE STUDY: HEDGING A FLOATING RATE LIABILITY WITH AN INTEREST RATE SWAP
7.6 CASE STUDY: HEDGING A FLOATING RATE LIABILITY WITH A ZERO-COST COLLAR
7.7 IMPLICATIONS OF INTEREST ACCRUALS AND CREDIT SPREADS
7.8 CASE STUDY: HEDGING A FIXED RATE LIABILITY WITH AN INTEREST RATE SWAP
7.9 CASE STUDY: HEDGING A FUTURE FIXED RATE ISSUANCE WITH AN INTEREST RATE SWAP
7.10 CASE STUDY: HEDGING A FUTURE FLOATING RATE ISSUANCE WITH AN INTEREST RATE SWAP
7.11 CASE STUDY: HEDGING A FIXED RATE LIABILITY WITH A SWAP IN ARREARS
7.12 CASE STUDY: HEDGING A FLOATING RATE LIABILITY WITH A KIKO COLLAR
Chapter 8: Hedging Foreign Currency Liabilities
8.1 CASE STUDY: HEDGING A FLOATING RATE FOREIGN CURRENCY LIABILITY WITH A RECEIVE-FLOATING PAY-FLOATING CROSS-CURRENCY SWAP
8.2 CASE STUDY: HEDGING A FIXED RATE FOREIGN CURRENCY LIABILITY WITH A RECEIVE-FIXED PAY-FLOATING CROSS-CURRENCY SWAP
8.3 CASE STUDY: HEDGING A FLOATING RATE FOREIGN CURRENCY LIABILITY WITH A RECEIVE-FLOATING PAY-FIXED CROSS-CURRENCY SWAP
8.4 CASE STUDY: HEDGING A FIXED RATE FOREIGN CURRENCY LIABILITY WITH A RECEIVE-FIXED PAY-FIXED CROSS-CURRENCY SWAP
Chapter 9: Hedging Equity Risk
9.1 RECOGNITION OF EQUITY INVESTMENTS IN OTHER COMPANIES
9.2 DEBT VERSUS EQUITY CLASSIFICATION OF OWN INSTRUMENTS
9.3 HYBRID SECURITIES – PREFERENCE SHARES FROM AN ISSUER'S PERSPECTIVE
9.4 CONVERTIBLE BONDS – ISSUER'S PERSPECTIVE
9.5 CONVERTIBLE BONDS – INVESTOR'S PERSPECTIVE
9.6 DERIVATIVES ON OWN EQUITY INSTRUMENTS
9.7 CASE STUDY: ACCOUNTING FOR A STOCK LENDING TRANSACTION
9.8 CASE STUDY: ACCOUNTING FOR A MANDATORY CONVERTIBLE BOND FROM AN ISSUER'S PERSPECTIVE
9.9 CASE STUDY: ACCOUNTING FOR A CONVERTIBLE BOND FROM AN ISSUER'S PERSPECTIVE
9.10 CASE STUDY: HEDGING STEP-UP CALLABLE PERPETUAL PREFERENCE SHARES
9.11 CASE STUDY: BASE INSTRUMENTS LINKED TO DEBT INSTRUMENTS
9.12 CASE STUDY: PARKING SHARES THROUGH A TOTAL RETURN SWAP
9.13 CASE STUDY: HEDGING AN EQUITY INVESTMENT WITH A PUT OPTION
9.14 CASE STUDY: SELLING A FORWARD ON OWN SHARES
Chapter 10: Hedging Stock-Based Compensation Plans
10.1 TYPES AND TERMINOLOGY OF STOCK-BASED COMPENSATION PLANS
10.2 ACCOUNTING FOR EQUITY-BASED COMPENSATION PLANS
10.3 CASE STUDY: ABC'S SHARE-BASED PLANS
10.4 MAIN SOP/SAR HEDGING STRATEGIES
10.5 CASE STUDY: HEDGING A STOCK OPTION PLAN WITH AN EQUITY SWAP
10.6 CASE STUDY: HEDGING AN SAR PLAN WITH A CALL
Chapter 11: Hedging Commodity Risk
11.1 MAIN COMMODITY UNDERLYINGS
11.2 LEASE, DERIVATIVE AND OWN-USE CONTRACTS
11.3 CATEGORISATION ACCORDING TO SETTLEMENT TERMS
11.4 CASE STUDY: HEDGING GOLD PRODUCTION WITH A FORWARD – OWN-USE APPLICATION
11.5 CASE STUDY: RAISING FINANCING THROUGH A GOLD LOAN
11.6 CASE STUDY: HEDGING A SILVER PURCHASE FIRM COMMITMENT WITH A FORWARD – FAIR VALUE HEDGE
11.7 CASE STUDY: HEDGING COMMODITY INVENTORY WITH FUTURES
11.8 CASE STUDY: HEDGING A HIGHLY EXPECTED PURCHASE OF OIL WITH FUTURES AND AN FX FORWARD – CASH FLOW HEDGE
11.9 CASE STUDY: AIRLINE JET FUEL CONSUMPTION HEDGE WITH JET FUEL AND CRUDE OIL – RISK COMPONENT
Chapter 12: Hedging Inflation Risk
12.1 INFLATION MARKETS – MAIN PARTICIPANTS AND INDICES
12.2 INFLATION-LINKED BONDS
12.3 INFLATION DERIVATIVES
12.4 INFLATION RISK UNDER IFRS 9
12.5 CASE STUDY: HEDGING REVENUES LINKED TO INFLATION
12.6 MATCHING AN INFLATION-LINKED ASSET WITH A FLOATING RATE LIABILITY
Chapter 13: Hedge Accounting: A Double-Edged Sword
13.1 POSITIVE INFLUENCE ON THE PROFIT OR LOSS STATEMENT
13.2 SUBSTANTIAL OPERATIONAL RESOURCES
13.3 LIMITED ACCESS TO HEDGING ALTERNATIVES
13.4 RISK OF REASSESSMENT OF HIGHLY PROBABLE TRANSACTIONS
13.5 LOW COMPATIBILITY WITH PORTFOLIO HEDGING
13.6 FINAL REMARKS
Index
End User License Agreement
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Preface
To my wife Marta and our children Borja, Martuca and David
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