Derivatives Accounting IFRS9

This programme will give you a deep understanding of derivatives accounting and the application of hedge accounting for the interest rate, inflation and FX markets. Learning is based on an intense use of real cases, applying IFRS9 step-by-step. The new requirements are contrasted with IAS 39 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.

All participants will receive a copy of Juan Ramirez's book "Accounting for Derivatives: Advanced Hedging under IFRS 9", published by Wiley Finance.

• Derivatives structurers and salespeople
• Derivatives accountants
• Financial managers
• Treasurers
• 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 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

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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