Accounting for Derivatives in Practice under IFRS9

Course Outline

An intensive 3-day programme providing hands-on experience on accounting for derivatives in the equity, FX and interest rates markets. The complex topic of hedge accounting is mastered through the use of practical cases.

The programme provides a conceptual framework based on an intensive use of real world cases. Each case is covered step by step, encouraging interactive participation. The cases will cover the decision-making, documentation requirements, hedge effectiveness assessment and the accounting of a hedging strategy during its life.

All participants receive a copy of the "Accounting for Derivatives" book by Juan Ramirez.

Who The Course is For

Derivatives structurers and salespeople
Derivatives accountants
Financial managers
Treasurers
Derivatives middle-office
Stock analysts

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Prior Knowledge

Basic understanding of financial statements
Derivatives instruments: forwards, calls, puts and interest rate swaps (basic level)

This program is eligible for 24 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

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Day One

Conceptual Framework and Accounting for Equity Derivatives

Introduction to IFRS 9
Interaction with other IFRS standards

Case 1: Porsche: Acquisition of a stake in Volkswagen

Financial assets classification
Accounting for equity instruments with changes in fair value in OCI
Accounting for a sale of a put
Hedge accounting – the theoretical framework
Hedge rebalancing
Hedge accounting challenges for a purchased put
What Porsche did in reality

Workshop: Fictional Acquisition of KPN by Telefonica

Accounting for equity instruments with changes in fair value in PoL
Accounting for a purchase of a call
Accounting for a collar
Embedded derivatives and convertible bonds

Day Two

Accounting for Foreign Exchange Derivatives

Types of FX exposures
Functional currency
The ST Microelectronics functional currency
Chronology of a FX transaction

Case 2: Philips - Hedging a highly expected foreign sale

Identification of the FX exposure
Applying hedge accounting - hedging with an FX forward
Applying hedge accounting - hedging with an option
Applying hedge accounting - hedging with a tunnel
Applying hedge accounting - hedging with a knock-in forward

Workshop: Mediaset - Hedging a highly expected foreign purchase

Identification of the FX exposure
Applying hedge accounting - hedging with an FX forward
Applying hedge accounting - hedging with an option
Applying hedge accounting - hedging with a tunnel

Day Three

Accounting for Interest Rate Derivatives

Case 3: Deutsche Telekom - Hedging a floating rate liability

Financial liabilities classification and the fair value option
Accounting for fixed rate bonds – the effective interest rate
Applying cash flow hedge for a fixed to floating interest rate swap
Hedge accounting documentation and hedge effectiveness assessments
Accounting entries

Case 4: Adidas - Hedging a fixed rate liability

Accounting for floating rate bonds
Applying fair value hedge for a floating to fixed interest rate swap
Hedge accounting documentation and hedge effectiveness assessments
Accounting entries