Accounting for Derivatives and Hedging Activities

Index

A

Accounting mechanics

fair value hedges, 45–56

financial reporting implications, 2–4

B

Black Sholes Merton (BSM) model, 11

BSM model. See Black Sholes Merton model

C

Cash flow hedges, 14–15, 20–23, 30–31, 35–37, 69–91, 128–130

accounting for, 70–71

fixed-rate debt using interest rate swap, 78–79

forecasted purchase using futures contract, 83–88

forecasted (anticipated) transactions, 69–70

hedge effectiveness, 71–91

qualifying, 37–38

using a futures contract to hedge, 21–23

Credit risk, 34, 36

CTA. See Cumulative translation adjustment

Cumulative translation adjustment (CTA), 113

Current stock price, 12

D

Derivative accounting model, 133–134

Derivative instruments, 2, 3

disclosure objectives for, 121–122

fair value of, 50

forward contracts, ...