Derivatives Accounting IFRS9

This program will give you a deep understanding of derivatives accounting and the application of hedge accounting for the interest rate, inflation, FX, and commodities markets. Learning is based on an intense use of real cases, applying ASC 815 step-by-step and incorporating the changes in ASU 2017-12. The new requirements are contrasted with the previous ones where needed, with detailed discussions on the implementation of new rules.

Case studies and workshops simulate real-life client discussions, and cover the decision-making, documentation requirements, hedge effectiveness assessment, and the accounting entries of a hedging strategy during its life.

• Derivatives structurers and salespeople
• Finance, internal audit, and risk control professionals
• Treasurers
• Consultants and external auditors
• Derivatives middle-office
• Stock analysts

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

Accounting for FX Derivatives

Conceptual Framework

• Introduction to ASC 815, ASC 830, and ASU 2017-12
• Why apply hedge accounting

Introduction to FX transactions

• Types of FX exposures
• Functional currency vs. presentation currency
• Chronology of a FX transaction

Workshop: Ford – 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 FX option
• Applying hedge accounting - hedging with an FX tunnel
• Applying hedge accounting - hedging with an FX knock-in forward

Case Study: Net investment hedge – France Telecom and Everything Everywhere

• Translation of foreign operations
• Identification of the FX exposure
• Applying hedge accounting - hedging with a cross-currency swap
• Applying hedge accounting - hedging with foreign debt

Short Case Studies: Special FX situations

• Intercompany FX hedging hedge accounting challenges
• Treasury centers challenges
• Dual hedging using a single derivative

Commodities

• Normal purchases/sales

Case Study: Gold production hedge

Case Study: Hedge of future purchase of jet fuel by airlines

Accounting for Interest Rate Derivatives

Workshop: Hedging a floating-rate liability – Cash flow hedge

• Financial assets classification
• Financial liabilities classification
• Accounting for floating-rate bonds
• Applying cash flow hedge for a fixed to floating interest rate swap
• Hedge accounting documentation and hedge effectiveness assessments
• Accounting entries

Workshop: Hedging a future issuance of a fixed-rate liability

• Case background and hedging strategy
• Hedge accounting documentation and hedge effectiveness assessments
• Accounting entries

Workshop: Hedging a fixed-rate liability

• Accounting for fixed-rate bonds. Effective interest rate
• Applying fair value hedge for a floating to fixed interest rate swap
• Hedge accounting documentation and hedge effectiveness assessments
• Accounting entries
• Pre-payable instruments

Case study: Hedging inflation risk

• Guidelines on inflation risk hedging
• The challenge of hedging inflation-linked revenues

Other topics

• Hedging credit risk
• Embedded and compound derivatives

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