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Course Calendar Course Calendar

Derivatives Accounting IFRS9

Day One

Accounting for FX derivatives

Conceptual Framework

  • Introduction to IFRS 9
  • Interaction with other IFRS standards

Introduction to FX transactions

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

Workshop: 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

Case Study: Hedging a highly expected foreign purchase

  • Identification of the FX exposure
  • Applying hedge accounting - hedging with an FX 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
  • Dual hedging using a single derivative

Day Two

Accounting for Interest Rate Derivatives

Workshop: Hedging a floating rate liability – Cash flow hedge

  • Financial assets classification under IFRS 9. Comparison to IAS 39
  • Financial liabilities classification and the fair value option
  • Accounting for floating 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

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

Case study: Hedging inflation risk

  • IAS 39 vs. IFRS 9 guidelines on inflation risk hedging
  • The challenge of hedging inflation-linked revenues

Case study: Macrohedging (under IAS 39)

  • Explanation of the objectives
  • Steps to its application and its weaknesses under IAS 39
  • IFRS 9 macrohedging project

Other topics

  • Hedging credit risk
  • Hybrid instruments

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