Investasi Pada Derivatif Brawijaya 27 Oct 2022 - Ed

Investasi Pada
Derivatif
Praktisi Mengajar di Kampus
Universitas Brawijaya
27 Oktober 2022
Oleh : Ersa Tri Wahyuni, PhD

Konsultan dan Ahli IFRS
Dosen Akuntansi Universitas Padjadjaran
1
Profil Pembicara
Ersa Tri Wahyuni, SE, M.Acc, PhD, CA, CPMA, CPSAK, CPA, CWM
Pengalaman/Keahlian
✓ Subject Matter Expert IFRS di PT BDO Konsultan Indonesia
✓ Subject Matter Expert IFRS di Cognitus Consulting – PT Hamilton Prima Indonesia
✓ Trainer dan Konsultan Akuntansi Beberapa Perusahaan sejak tahun 2005-saat ini
✓ Retainer Advisor untuk beberapa BUMN
✓ Saat ini Dosen dan Peneliti pada Universitas Padjadjaran, Bandung
✓ Anggota Komite Audit UNPAD
✓ Visiting Fellow Universiti Sains Malaysia dan Singapore Institute of Technology
✓ Anggota DSAK-IAI 2015 s.d saat ini
✓ Anggota Dewan Pimpinan Pusat IAMI sejak 2021
✓ Penulis beberapa buku akuntansi keuangan berbasis IFRS
✓ Penulis riset dan artikel mengenai IFRS dan Akuntansi Keuangan di berbagai
jurnal akademik dan juga media masa
Pendidikan
✓ S3 Akuntansi, University of Manchester, Beasiswa Dikti
✓ Program Pendidikan Trisakti Angkatan IX, lulusan terbaik
Twitter, IG : @ersatriwahyuni ✓ S1 Akuntansi, Universitas Trilogi (dh Stekpi), Cum Laude
Email : etwunpad@gmail.com ✓ Master of Accounting, University of Melbourne, Beasiswa Ausaid
✓ S1 Manajemen Keuangan, Universitas Trilogi (dh Stekpi), lulusan terbaik
What are Derivatives?
Financial instruments that derive their value

from values of other assets (e.g., ordinary
shares, bonds, or commodities).
Three types of derivatives:
1. Financial forwards or financial futures.
2. Options.
3. Swaps.
Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

3
Apa Gunanya Derivatif?
Derivatif dapat digunakan untuk spekulasi namun hal ini

sangat berisiko
Derivatif juga bisa digunakan sebagai hedged

instruments, atau instrumen lindung nilai
Standar Akuntansi Untuk Derivatif menggunakan PSAK

71 Instrumen Keuangan

4
Contoh Hal Pendasar Derivatif
• Yang biasanya menjadi item
pendasar adalah equities
(saham), Interest Rate, Mata
Uang Asing dan Komoditas
• Opsi Saham
• Forward Contract US Dollar
• Forward Contract Brent Oil
• Interest Rate Swap
5
Contoh Penggunaan Derivatives di Perusahaan
PT Pertamina Hulu Indonesia PT Medco Energi Internasional Tbk
Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW 6

PT Medco Energi Internasional Tbk

PT Medco Energi Internasional Tbk
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Klasifikasi Investasi Aset Keuangan di PSAK 71
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Basic Principles in Accounting for Derivatives
◆ Recognize derivatives in the financial statements as
assets and liabilities.
◆ Report derivatives at fair value.
◆ Recognize gains and losses resulting from speculation

in derivatives immediately in income.
◆ Report gains and losses resulting from hedge

transactions differently, depending on the type of
hedge.

10
Derivative Financial Instrument (Speculation)
A call option gives the holder the right, but not the obligation, to buy
shares at a preset price.
Illustration: Assume that the company purchases a call option
contract on January 2, 2019, when Laredo shares are trading at €100
per share. The contract gives it the option to purchase 1,000 shares
(referred to as the notional amount) of Laredo shares at an option
price of €100 per share. The option expires on April 30, 2019. The
company purchases the call option for €400 and makes the following
entry.
Jan. 2, Call Option 400 Option

2019 Cash 400 Premium

11
The option premium consists of two amounts.
Intrinsic value is the difference between the market price and the
preset strike price at any point in time. It represents the amount
realized by the option holder, if exercising the option
immediately. On January 2, 2019, the intrinsic value is zero
because the market price equals the preset strike price.

12
The option premium consists of two amounts.
Time value refers to the option’s value over and above its
intrinsic value. Time value reflects the possibility that the option
has a fair value greater than zero. How? Because there is some
expectation that the price of Laredo shares will increase above
the strike price during the option term. As indicated, the time
value for the option is €400.
13
Additional data available with respect to the call option:
On March 31, 2019, the price of Laredo shares increases to €120 per
share. The intrinsic value of the call option contract is now €20,000.
That is, the company can exercise the call option and purchase 1,000
shares from Baird Investment for €100 per share. It can then sell the
shares in the market for €120 per share. This gives the company a gain
€20,000
on the option contract of ____________. (€120,000 - €100,000)

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On March 31, 2019, it records the increase in the intrinsic value
of the option as follows.
Call Option 20,000

Unrealized Holding Gain or Loss—Income 20,000
A market appraisal indicates that the time value of the option at

March 31, 2019, is €100. The company records this change in
value of the option as follows.
Unrealized Holding Gain or Loss—Income 300

Call Option (€400 - €100) 300

15
At March 31, 2019, the company reports the
◆ call option in its statement of financial position at fair value of
€20,100.
◆ unrealized holding gain which increases net income.
◆ loss on the time value of the option which decreases net

income.
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On April 16, 2019, the company settles the option before it
expires. To properly record the settlement, it updates the value
of the option for the decrease in the intrinsic value of €5,000
([€20 - €15]) x 1,000) as follows.
Call option 5,000
The decrease in the time value of the option of €40 (€100 - €60)
is recorded as follows.
Unrealized Holding Gain or Loss—Income 40
Call Option 40

17
At the time of the settlement, the call option’s carrying value is
as follows.
Settlement of the option contract is recorded as follows.

Cash 15,000
Loss on Settlement of Call Option 60
Call Option 15,060

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Summary effects of the call option contract
on net income.
The company records the call option in the statement of financial

position on March 31, 2019. Furthermore, it reports the call option at
fair value, with any gains or losses reported in income.

19
Differences between Traditional and Derivative
Financial Instruments
A derivative financial instrument has the following three basic
characteristics.
1. Instrument has (1) one or more underlyings and (2) an identified
payment provision.
2. Instrument requires little or no investment at the inception of the

contract.
3. Instrument requires or permits net settlement.

20
Features of Traditional and Derivative Financial Instruments

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Derivatives Used for Hedging
Hedging: The use of derivatives to offset the negative
impacts of changes in interest rates or foreign currency
exchange rates.
IFRS allows special accounting for two types of hedges—

◆ fair value and
◆ cash flow hedges.

LO 6 22
Fair Value Hedge
A company uses a derivative to hedge (offset) the exposure to
changes in the fair value of a recognized asset or liability or of
an unrecognized commitment.

23
Illustration: On December 1, 2019, Hayward Tire Fabricators
holds an inventory of 1,000 tractor tires, with a cost of €200 per
tire. Hayward has been building an inventory of tractor tires in
anticipation of demand for these tires in the upcoming
spring planting season. Hayward records the inventory on its
statement of financial position at €200,000 (1,000 × €200), using
lower-of-FIFO-cost-or-net realizable value.
Until Hayward sells the tires, the company is exposed to the risk
that the value of the tire inventory will decline. Hayward wishes to
hedge its exposure to fair value declines for its tire inventory (the
inventory is pledged as collateral for one of its bank loans).

24
Illustration: To hedge this risk, Hayward locks in the value of its tire inventory
on January 2, 2020, by purchasing a put option to sell rubber at a fixed price.
Hayward designates the option as a fair value hedge of the tire inventory. This
put option (which expires in nine months) gives Hayward the option to sell
4,000 pounds of rubber at a price of €50 per pound, which is the current spot
price for rubber in the market.
Since the exercise price equals the current market price, no entry is
necessary at inception of the put option.

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Illustration: At March 31, 2020, the fair value of the inventory has
declined by 10 percent (€200,000 × 10% = €20,000 ) . Hayward
records the following entry for the tire inventory.

Allowance to Reduce Inventory to Fair Value 20,000
The following journal entry records the increase in value of the

put option to sell rubber, assuming that the spot price for
rubber declined by 10 percent.
Put Option 20,000


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27
Cash Flow Hedge
Used to hedge exposures to cash flow risk, which results from
the variability in cash flows.
Reporting:
◆ Fair value on the statement of financial position.
◆ Gains or losses in equity, as part of other comprehensive

income.

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Illustration: In September 2019 Allied Can Ltd. anticipates
purchasing 1,000 metric tons of aluminum in January 2020.
Concerned that prices of aluminum will increase, Allied enters
into an aluminum futures contract. The aluminum futures contract
gives Allied the right and the obligation to purchase 1,000 metric
tons of aluminum for ¥1,550 per ton (amounts in thousands). This
contract price is good until the contract expires in January 2020.
The underlying for this derivative is the price of aluminum. Allied
enters into the futures contract on September 1, 2019. Assume
that the price to be paid today for inventory to be delivered in
January—the spot price—equals the contract price. With the two
prices equal, the futures contract has no value. Therefore no
entry is necessary.

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Illustration: At December 31, 2019, the price for January
delivery of aluminum increases to ¥1,575 per metric ton. Allied
makes the following entry to record the increase in the value
of the futures contract.
Futures Contract 25,000

Unrealized Holding Gain or Loss—Equity 25,000
([¥1,575 - ¥1,550] x 1,000 tons)
Allied reports the futures contract in the statement of financial position as a

current asset and the gain as part of other comprehensive income.

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Illustration: In January 2020, Allied purchases 1,000 metric
tons of aluminum for ¥1,575 and makes the following entry.
Aluminum Inventory 1,575,000

Cash (¥1,575 x 1,000 tons) 1,575,000
At the same time, Allied makes final settlement on the futures

contract. It records the following entry.
Cash 25,000
Futures Contract (¥1,575,000 - ¥1,550,000) 25,000

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Effect of Hedge on Cash Flows
There are no income effects at this point. Allied accumulates in equity the
gain on the futures contract as part of other comprehensive income until the
period when it sells the inventory.

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Illustration: Assume that Allied processes the aluminum into
finished goods (cans). The total cost of the cans (including the
aluminum purchases in January 2020) is ¥1,700,000. Allied
sells the cans in July 2020 for ¥2,000,000, and records this
sale as follows.
Cash 2,000,000
Sales Revenue 2,000,000
Cost of Goods Sold 1,700,000

Inventory (Cans) 1,700,000

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Illustration: Since the effect of the anticipated transaction has
now affected earnings, Allied makes the following entry related
to the hedging transaction.
July 2020
Unrealized Holding Gain or Loss—Equity 25,000
Cost of Goods Sold 25,000
The gain on the futures contract, which Allied reported as part of other
comprehensive income, now reduces cost of goods sold. As a result, the cost
of aluminum included in the overall cost of goods sold is ¥1,550,000.

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Embedded Derivatives
A convertible bond is a hybrid instrument. Two parts:
1. a debt security, referred to as the host security, and
2. an option to convert the bond to shares of common stock,
the embedded derivative.
Accounted for as a single unit.

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Qualifying Hedge Criteria
Criteria that hedging transactions must meet before requiring
the special accounting for hedges.
1. Documentation, risk management, and designation.
2. Effectiveness of the hedging relationship.
3. Effect on reported earnings of changes in fair values or

cash flows.

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Summary of Derivative Accounting

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Comprehensive Hedge Accounting Example
Many companies popular type of derivative called a swap.
A swap is a transaction between two parties in which the
1. first party promises to make a payment to the second party.
2. Similarly, the second party promises to make a simultaneous

payment to the first party.
The most common type of swap is the interest rate swap. In this
type, one party makes payments based on a fixed or floating
rate, and the second party does just the opposite.

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Comprehensive Hedge Accounting Example
In most cases, large money-center banks bring together the two
parties. ILLUSTRATION
Swap Transaction

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Fair Value Hedge
Illustration: Assume that Jones AG issues €1,000,000 of five-year, 8
percent bonds on January 2, 2019. Jones records this transaction
as follows.
Cash 1,000,000
Bonds Payable 1,000,000
To protect against the risk of loss, Jones hedges the risk of a

decline in interest rates by entering into a five-year interest rate
swap contract.

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Fair Value Hedge
Jones agrees to the following terms:
1. Jones will receive fixed payments at 8 percent (based on the
€1,000,000 amount).
2. Jones will pay variable rates, based on the market rate in
effect for the life of the swap contract. The variable rate at the
inception of the contract is 6.8 percent. ILLUSTRATION
Interest Rate Swap
41
Fair Value Hedge
Assuming that Jones enters into the swap on January 2, 2019 (the
same date as the issuance of the debt), the swap at this time has no
value. Therefore, no entry is necessary.
At the end of 2019, Jones makes the interest payment on the
bonds. It records this transaction as follows.
Interest Expense 80,000

Cash (8% × €1,000,000) 80,000

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Fair Value Hedge
At the end of 2019, market interest rates have declined
substantially. Therefore, the value of the swap contract increases.
Recall (see Illustration 17A.9) that in the swap, Jones receives a
fixed rate of 8 percent, or €80,000 (€1,000,000 × 8%), and pays a
variable rate (6.8%), or €68,000. Jones therefore receives €12,000
(€80,000 − €68,000) as a settlement payment on the swap contract
on the first interest payment date.
Jones records this transaction as follows.
Cash 12,000
Interest Expense 12,000

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Fair Value Hedge
In addition, a market appraisal indicates that the value of the
interest rate swap has increased €40,000. Jones records this
increase in value as follows.
Swap Contract 40,000

Because interest rates have declined, the company records a loss

and a related increase in its liability as follows.

Bonds Payable 40,000

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Referensi
• PSAK 71 Instrumen Keuangan
• Laporan Keuangan PT Medco Energi
Internasional, Tbk
• Laporan Keuangan PT Pertamina Hulu
Energi
• Kieso, et,al. 2020. Intermediate
Accounting: IFRS Edition, ed.4. Chapter
17 Investment

46
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Investasi Pada

Oleh : Ersa Tri Wahyuni, PhD

Financial instruments that derive their value

Three types of derivatives:

1. Financial forwards or financial futures.

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Derivatif dapat digunakan untuk spekulasi namun hal ini

Derivatif juga bisa digunakan sebagai hedged

Standar Akuntansi Untuk Derivatif menggunakan PSAK

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

PT Pertamina Hulu Indonesia PT Medco Energi Internasional Tbk

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW 6

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW 7

◆ Report derivatives at fair value.

◆ Recognize gains and losses resulting from speculation

◆ Report gains and losses resulting from hedge

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Jan. 2, Call Option 400 Option

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Call Option 20,000

A market appraisal indicates that the time value of the option at

Unrealized Holding Gain or Loss—Income 300

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

◆ unrealized holding gain which increases net income.

◆ loss on the time value of the option which decreases net

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Settlement of the option contract is recorded as follows.

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

The company records the call option in the statement of financial

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

2. Instrument requires little or no investment at the inception of the

3. Instrument requires or permits net settlement.

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

IFRS allows special accounting for two types of hedges—

◆ cash flow hedges.

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Unrealized Holding Gain or Loss—Income 20,000

The following journal entry records the increase in value of the

Put Option 20,000

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

◆ Fair value on the statement of financial position.

◆ Gains or losses in equity, as part of other comprehensive

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Futures Contract 25,000

Allied reports the futures contract in the statement of financial position as a

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Aluminum Inventory 1,575,000

At the same time, Allied makes final settlement on the futures

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Kuliah Praktisi Universitas Brawijaya 27 Oktober 2022 by ETW

Cost of Goods Sold 1,700,000

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1. Documentation, risk management, and designation.