Commodities and Forex. By Dr. SHASHANK DESAI

Transcription

1 Commodities and Forex By Dr. SHASHANK DESAI

2 DERIVATIVES The more I read, more confused I get.

3 ACCOUNTING FOR DERIVATIVE MADE EASY

4 To have understanding of AS 30, AS 31, AS 32 in the context of foreign currency derivatives and commodities derivatives Importance of recognition of FA and FL Classification of FA and FL Meaning and types of derivatives Hedging and measurement of hedge effectiveness Disclosure in financial statements Application of theory to real life cases

5 Particulars AS 10 AS 30 Recognition Classification Initial & Subsequent measurement Derecognition Capital or revenue expenditure Land,Building,Plant & Machinery At Historical cost On sale/discarding fixed asset Derivative or non derivative Financial assets & Financial liability At fair value/ Amortised cost Contract terms are completed

6 Accounting Standards -AS Institute of Chartered Accountants of India- ICAI Converged Indian Accounting Standard -Ind AS The Companies Act, 1956-The Act. Ministry of Corporate Affairs-MCA Held for trading -HFT Fair value through Profit and Loss -FVTPL Available for sale -AFS Held to maturity -HTM Loans and Receivables- L&R

7

8 AS 30 AS 31 AS 32 Recognition and Derecognition Measurement Derivatives including embedded derivatives Presentation Disclosure Hedge accounting

9 Deferment of applicability of Ind AS In view of above deferment, AS 30, AS 31 and AS 32 to be applied in present form Mandatory from accounting period commencing from 1st April 2011

10 A financial instrument is any contract that gives rise to a financial asset of one entity and a financial liability or equity instrument of another entity. A financial instrument is a contract that gives rise to Financial Asset A Financial Liability or Equity In one Entity: Say Entity ABC Balance sheet of ABC (Asset side) Investment in Shares Investment in Debentures Sundry Debtors In another Entity: Say Entity XYZ Balance sheet of XYZ (Liabilities side) Equity capital of XYZ Debentures issued Sundry Creditors

11

12 Derivatives i. Futures ii. Options iii. Swaps iv. Forward Non Derivatives i. Cash ii. Deposits with other entities iii. Receivable (e.g. trade receivable) iv. Loan to other entities v. Investments in Bonds and other debt instruments issued by other entities. vi. Investments in shares and other equity instruments issued by other entities

13 Category Definition Financial assets at fair value through profit or loss Financial assets held for trading Derivatives, unless accounted for as hedges Financial asset designated to this category under the fair value option Loans and receivables Non-derivative financial assets with fixed or determinable payments that are not quoted in an active market Held-to-maturity Investments Non-derivative financial assets with fixed or determinable payments and fixed maturity that the entity has the positive intent and ability to hold to maturity Available-for-sale financial assets All non derivative financial assets that are not classified in another category are classified as available-for-sale Any financial asset designated to this category on initial recognition

14

15 Categories Definitions Financial liabilities at fair value through profit or loss Financial liabilities held for trading Financial liability designated as at fair value through profit or loss on initial recognition (fair value option) Other financial liabilities-at amortised cost All financial liabilities that are not classified at fair value through profit or loss

16 Fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arm s length transaction. Fair Value Underlying assumption Active Market No Active Market Active market: Quoted price Readily and regularly available from a reliable source.e.g.exchange,industy group, published price quotations. Non Active market: Recent arm s length market transaction between knowledgeable & willing parties; Reference to the current fair value of another instrument that is substantially same.

17 S Ltd, a manufacturer of earth moving equipments, has an equipment for which it is assessing fair value. To arrive at the fair value, it has obtained bids from various parties. Which of these bids would be considered appropriate for fair value measurement? Bids Received Bid of Rs. 3 Crores received from T Ltd, its parent company Bid of Rs. 2.8 Crores received from P Ltd, an unrelated company, whose primary business is securities trading, willing and able to transact Bid of Rs. 3.2 Crores received from Q Ltd, a fellow competitor, which has filed for bankruptcy Bid for Rs Crores from R Inc, a fellow competitor, willing and able to complete the transaction

18 Bids received Bid of Rs. 3 Crores received from T Ltd, its parent company Bid of Rs. 2.8 Crores received from P Ltd, an unrelated company, whose primary business is securities trading, willing and able to transact Bid of Rs. 3.2 Crores received from Q Ltd, a fellow competitor, which has filed for bankruptcy Bid for Rs Crores from R Inc, a fellow competitor, willing and able to complete the transaction Yes/No NO NO NO YES

19 I. Derivatives II. III. IV. Recognition, Measurement and Derecognition Embedded derivatives Hedging V. Disclosure as per AS 32 VI. Practical VII. Summary

20 Financial weapons of mass destruction -Warren Buffett

21 A derivative is a financial instrument or other contract within the scope of AS-30 with all three of the following characteristics: Derivative Value changes based on an underlying Initial investment is either low or nil Settlement at a future date

22 An underlying is a variable that, along with either a notional amount or payment provision, determines the settlement amount of a derivative. SN TypeofContract 1 Currency Swap (Foreign Exchange Swap)/ Currency Futures/ Currency Forward 2 Commodity Futures/ Commodity Swap/ Commodity forward. Main Pricing-Settlement Variable (Underlying Variable) Currency rates Commodity prices 3 Equity Forward/ Equity Swap Equity prices (equity of another entity)

23 UNDERLYING DERIVATIVE

24

25

26 An entity should recognise financial assets and financial liability on its balance sheet when, and only when, the entity becomes party to the contractual provisions of the instrument.

27 Trade date and settlement date: i.trade date: The trade date is the date that an entity itself to purchase or sell an asset. Trade date accounting refers to (a) the recognition of an asset to be received and the liability to pay for it on the trade date, and (b) derecognition of an asset that is sold, recognition of any gain or loss on disposal and the recognition of a receivable from the buyer for payment on the trade date. ii.settlement date: The settlement date is the date on which an asset is to or by an entity. Settlement date accounting refers to (a) the recognition of an asset on the day it is received by the entity, and (b) the derecognition of an asset and recognition of any gain or loss on disposal on the day that it is delivered by the entity.

28 A regular way purchase or sale of financial assets should be recognised and derecognised using trade date and settlement date accounting. A contract that requires or permits net settlement of the changes in the value of the contract is not a regular way contract. Instead, such contract is accounted for as a derivative in the period between the trade date and settlement date.

29 X Ltd purchases financial assets as on 29 th March 2010 for Rs. 100 lakhs. The fair value of the asset on 31 st March 2010(Year end) and 2 nd April 2010 (settlement date) are Rs. 105 lakhs and Rs. 103 lakhs respectively. Accounting treatment of the transaction based on classification of the financial asset as FVTPL is as follows.

30 Accounting entries: Date Particulars Dr Amt Cr Amt 29/03/2010 Financial Assets To Financial Liability 31/03/2010 Financial Assets To P&L 02/04/2010 P&L To Financial Asset 02/04/2010 Financial Liability To Cash

31 Financial Asset/liability Financial Assets at Fair Value through profit & loss Financial Liabilities at Fair Value through profit & loss Derivatives unless hedged Initial and Subsequent Measurement Fair value Fair value Fair value Value Changes P&L P&L P&L* * Other than effective cash flow hedge which is to be recognised in equity account.

32 Financial Asset: An entity should derecognise a financial asset when, and only when: (a) the contractual rights to the cash flows from the financial asset expire; or (b) it transfers the financial asset Financial Liability: An entity should remove a financial liability (or a part of a financial liability) from its balance sheet when, and only when, liability is extinguished i.e., when the obligation specified in the contract is discharged or cancelled or expires.

33

34 What is an embedded derivative? An embedded derivative is a component of a hybrid (combined) instrument that also includes a nonderivative host contract with the effect that some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative.

35 Company X holds a bond which is convertible into the equity shares of Company Y. Hybrid contract Host contract Embedded derivative - convertible bond; - bond and - conversion option

36 A lease contract contains a provision that rentals increase each year by 10%. Is there an embedded derivative in this contract?

37 No, there is no embedded derivative since the lease rental increase does not depend on some underlying. There is no underlying in this case; hence there is no embedded derivative

38 X Co. sells furniture to Y CO. in USD, both companies are in India and make purchase and sales of furniture in rupees. The entire sale contract which will be settled in USD is hybrid contract in which is included the embedded derivative of foreign exchange rupees/usd forward as the cash flow will also be dependent not only on the price of furniture but rupees/usd exchange rate.

39

40 Company X issues ten-year notes with no stated coupon. Embedded in the notes is a provision that adjusts the interest paid by reference in changes in the price of corn. The embedded derivative would be accounted for separately because the adjustment to interest payments based on changes in corn prices is not closely related to the host debt instrument.

41 Company X issues bonds with BBB rating. The bonds have a provision that if Company X violates a certain debt-to-equity ratio covenant, or Company X s credit rating is downgraded, the interest rate will reset to the then current market rate for Company X. The interest rate reset is considered to be closely related to the host contract and since it relates to default in a credit risk related covenant and Company X s credit rating, the embedded derivative would not be accounted for separately.

42

43

44 Business risk and uncertain economic environment Steps to mitigate exposures to risk

45 Hedged item: An asset, liability firm commitment, highly probable forecast transaction or net investment in a foreign operation that a) exposes the entity to risk of changes in fair value or future cash flows and b) is designed as being hedged.

46 Firm commitment: A firm commitment is a for the exchange of a specified quantity of resources at a specified price on a specified future date or dates. Forecast transaction: A forecast transaction is an but future transaction.

47 A hedging instrument is (a) a designated derivative or (b) for a hedge of the risk of changes in foreign currency exchange rates only, a designated nonderivative financial asset or non-derivative financial liability whose fair value or cash flows are expected to offset changes in the fair value or cash flows of a designated hedged item.

48 To qualify for designation the hedged item should create an exposure to risk that affects profit or loss. The followings can be designated as hedged item: i. A recognised single or group of assets/liabilities 1. ii. Unrecognised firm commitments or highly probable forecast transactions 2. iii. Net investments in foreign operations with similar risk characteristic.

49 Hedging instrument. Hedged item specifically designated. There should be a relationship between the hedged item and the hedging instrument with formal documentation. The relationship should be effective so as to offset the effects on profit or loss of changes in fair value of the hedging instrument and hedged item. The effectiveness of the hedge should be reliably measured. Hedge relationship must be expected to be highly effective at inception and subsequent periods.

50 Prospective Hedging Policy Hedged item and hedgeable risks Hedging Instrument Assessing effectiveness and measuring ineffectiveness

51 Types of Hedging Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation

52 Fair value hedge: A hedge of exposure to of -a recognised asset or a liability or an or an identified portion of such portion of such asset, liability or a firm commitment, that is attributable to a particular risk and - Could affect profit and loss. Cash flow Hedge: - A hedge of exposure to that the is attributable to a particular risk associated with a recognised asset or a liability or a and - Could affect profit and loss.

53 Hedge of net investments in foreign operations (NIFO): Hedges of NIFO, including hedge of a monetary items that is accounted for as a part of net investment, should be accounted for similarly to cash flow hedges

54 Fair Value Hedged Cash Flow Hedged Fixed rate liabilities like loans; Fixed rate assets like investments in bonds; Investments in equity securities; Firm commitments to buy/sell non financial items at a fixed price. Variable rates liabilities like loans; Variable rate assets like investments in bonds; Forecast reinvestment of interest & principal received on fixed rate assets; Highly probable forecast sales & purchases; Highly probable future issuance of fixed rate debt

55 The standard do not specify a single method for assessing hedge effectiveness. Appropriateness depends upon type of risk being hedged and hedging instrument. At the inception of the hedge and in subsequent periods, the hedge is expected to be highly effective in achieving offsetting changes. A hedge is effective if actual results are within a range of 80% and 125%.

56 Mathematical techniques : i. ratio analysis i.e. comparison of hedging gains and losses with corresponding gains and losses on the hedged item at a point of time ii)statistical measurement technique such as Regression Analysis.

57 Accounting for fair value hedge: Derivative Instruments & Hedged item Initial and subsequent measurement At fair value, in the statement of profit and loss

58 Accounting for cash flow hedge & Net Investment in Operations: Derivative Instruments & Hedged item Initial and subsequent measurement If hedge is not effective In the statement of profit and loss account If hedge is effective In appropriate equity account

59 Fair Value Hedge Accounting: On 1 St January 2010, Company C issued Rs. 100 lakhs of 5 year 8% fixed rate debt. Company C has a BBB credit rating at the issuance date. The fixed interest rate on the debt is 150 basis points higher than the 5 year swap rate. Interest on the debt is payable annually. Company C s interest rate risk policy requires that all debt is at variable rates which is achieved either through issuing variable rate debt or by issuing fixed rate debt and swapping it into variable. In order to maintain compliance with this policy, Company C entered into an interest rate swap on 1 st January 2010 to convert the debt from fixed rate to variable and designated the swap (identifying and documenting all critical terms) as a fair value hedge of interest rate risk on the fixed rate debt (credits spreads are purposely not hedged). The swap is a 5 year pay MIBOR, receive 6.5% fixed interest rate swap.

60 The fair value of the swap and the carrying amount of the debt following the adjustment for changes in fair value attributable to be hedged risk are as follows: The required entries are as follows (Rs.): 1 January 2010 Dr Cash 100, 00,000 Cr Debt 100,00,000 To record the issuance of debt 1/1/ /06/ /12/2010 Issued Debt Rs. (100L) Rs. (105L) Rs. (102L) Swap Rs. Nil Rs. 5L Rs. 2L No entries are required in respect of the swap as it was entered into at the money when fair value was zero.

61 30 June 2010 Dr Profit and Loss 5,00,000 Cr Debt 5,00,000 Dr Swap 5,00,000 Cr Profit and Loss 5,00,000 The Net impact on Profit or Loss of Rs. Nil reflects that the changes in fair value of the swap offset fully the changes in fair value of the debt for the designated risk.

62 31 December 2010 Dr Debt 3,00,000 Cr Profit and Loss 3,00,000 Dr Profit and Loss 3,00,000 Cr Swap 3,00,000 The Net impact on Profit or Loss of Rs. Nil reflects that the changes in fair value of the swap offset fully the changes in fair value of the debt for the designated risk.

63 Cash Flow Hedge Accounting: On 4 January 2010 Company B has a forecast sale of 500 tonnes of rice expected to occur on or about 31 December On 4 January 2010 Company B designates the cash flows of the forecasted sale as a hedged item and enters into rice futures contract to sell 500 tonnes at Rs. 11,00,000 on 31 December At inception of the hedge, the derivative is at-the-money (fair value is zero). The terms of the forecast sale and the derivative match. On 31 December 2010, the rice futures contract has a fair value of Rs.25,000 and is closed out. Company B sells the inventory for Rs.10,75,000. Cost of inventory is Rs. 10,00,000.

64 The required entries are as follows: 31 December 2010 Dr Rice futures contract 25,000 Cr Equity 25,000 To record the rice futures contract at fair value (note that the changes in fair value of the derivative are recorded in equity until the hedged forecast sale occurs). 31 December 2010 Dr Cash 25,000 Cr Rice futures contact 25,000

65 To record the settlement of the rice futures contract Dr Cash 10,75,000 Dr Cost of goods sold 10,00,000 Cr Revenue 10,75,000 Cr Inventory 10,00,000 To record the inventory sale Dr Equity 25,000 Cr Revenue 25,000 Revenue of Rs. 11,00,000 is recognized. This represents Rs. 10,75,000 from the sale of rice at spot prices, plus the gain on the derivative.

66

67 To provide disclosure on: a. significance of financial instruments for entity s financial position and performance b. Nature, extent of risk arising from the financial instruments and management of these risks

68 Balance Sheet: Carrying amount of four categories of financial assets and two types of financial liabilities. In particular financial assets and financial liabilities at FVTPL showing separately i. Those designated as such upon initial recognition and ii. held for trading

69 Profit & loss account: Net gains or losses on financial asset or financial liability classified as : i. FVTPL showing separately designated upon initial recognition and those held for trading, ii. AFS showing separately amount directly recognised in equity account and in the statement of profit and loss iii. Held to Maturity (HTM) Iv. Loans and Receivable (L&R) v. Total interest income and expenses Interest income and expenses for financial Assets and financial liabilities through FVTPL using effective interest method Impairment income and impairment loss for each class of financial asset.

70 1. Accounting policies In accordance with AS 1, Presentation of Financial statements 1, Disclosure of accounting policies regarding recognition and measurement of financial assets and financial liabilities 1 Revised As 1 is under preparation

71 2. Hedge accounting An entity should disclose the following separately for each type of hedge described in AS 30. a. a description of each type of hedge; b. a description of the financial instruments designated as hedging instruments and their fair values at the reporting date; and c. the nature of the risks being hedged.

72 In respect of cash flow hedge: a. periods when the cash flows are expected to occur and when they are expected to affect profit or loss; b. a description of any forecast transaction for which hedge accounting had previously been used, but which is no longer expected to occur; c. the amount that was recognised in the appropriate equity account during the period; removed from the appropriate equity account and included in the statement of profit and loss and such removed amount included in the initial cost or other carrying amount of a non-financial asset or non-financial liability.

73 In respect of fair value hedge: An entity should disclose separately: (a) in fair value hedges, gains or losses: (i) on the hedging instrument; and (ii) on the hedged item attributable to the hedged risk. b) the ineffectiveness recognised in the statement of profit and loss that arises from cash flow hedges; and from hedges of net investments in foreign operations. C ) the ineffectiveness recognised in the statement of profit and loss that arises from hedges of net investments in foreign operations.

74 Except certain circumstances, for each class of financial assets and financial Liabilities, an entity should disclose the fair value of that class of assets and liabilities in a way that permits it to be compared with its carrying amount. (a) the methods and, when a valuation technique is used, the assumptions applied in determining fair values of each class of financial assets or financial liabilities. e.g. if applicable, an entity discloses information about the assumptions relating to prepayment rates, rates of estimated credit losses, and interest rates or discount rates.

75 In disclosing fair values, an entity should group financial assets and financial liabilities into classes, but should offset them only to the extent that their carrying amounts are offset in the balance sheet. Disclosure of fair value is not required in case of carrying amounts is a reasonable approximation of fair value, for example, for financial instruments such as short-term trade receivables and payables and or an investment in equity instruments that do not have a quoted market price in an active market, or derivatives linked to such equity instruments.

76 Qualitative Disclosures: For each type of risk arising from financial instruments, an entity should disclose: (a) the exposures to risk and how they arise; (b) its objectives, policies and processes for managing the risk and the methods used to measure the risk; and (c) any changes in (a) or (b) from the previous period.

77 Quantitative Disclosures: i. For each type of risk arising from financial instruments Summary quantitative data about its exposure to that risk at the reporting date. the disclosures in respect of credit risk, liquidity risk and market risk as referred in above paragraph, has not been provided, reason for non disclosure of the said data, unless the risk is not material. ii) If the quantitative data disclosed as at the reporting date are unrepresentative of an entity s exposure to risk during the period, an entity should provide further information that is representative.

78 In respect of each class of financial instrument: (a)the amount that best represents its maximum exposure to credit risk at the reporting date without taking account of any collateral held or other credit enhancements; (b) a description of collateral held as security and other credit enhancement; (c) the credit quality of financial assets that are neither past due nor impaired; and (d) the carrying amount of financial assets that would otherwise be past due or impaired whose terms have been renegotiated.

79 (a) a maturity analysis for financial liabilities that shows the remaining contractual maturities; and (b) a description of how it manages the liquidity risk inherent as mentioned in above paragraph.

80 Sensitivity analysis: A sensitivity analysis for each type of market risk, showing how profit or loss and equity would have been affected by changes in the relevant risk variable the methods and assumptions used in preparing the sensitivity analysis; and changes from the previous period in the methods and assumptions used and the reasons for such changes.

81 If an entity prepares a sensitivity analysis, such as value-at-risk, that reflects interdependencies between risk variables (e.g. interest rates and exchange rates) and uses it to manage financial risks, it may use that sensitivity analysis, The entity should also disclose: (a) an explanation of the method used in preparing such a sensitivity analysis, and of the main parameters and assumptions underlying the data provided; and (b) an explanation of the objective of the method used and of limitations that may result in the information not fully reflecting the fair value of the assets and liabilities involved.

82

83 Type of Contract Sale of sugar futures Margin Money Rs. 25,00,000 Quantity, Rate and Date of transaction 100MT quantity at the rate of Rs.2,965/- on 04/01/2011 Expiry Date 20/04/2011 FV as at 31/03/2011 Discharge of contract FV as at 20/04/2011 Rs. 2,990 per quintal Net settlement opted to be in cash Rs. 2,895 per quintal There being no initial investment, there is underlying of sugar prices and the contract settles at future date, the contract is a derivative contract.

84 Date Particulars Debit Credit 04/01/2011 Margin Money A/c 2,500,000 To Bank A/c 2,500,000 04/01/2011 Financial Assets A/c 2,965,000 To Financial Liability A/c 2,965,000 (Being booking of sugar commodity future of 100 expires on 20/4/11) 31/03/2011 Financial Assets A/c 25,000 To Profit & Loss A/c 25,000 (Being reinstatement of future contract on market rate of Rs.2990/-)

85 20/04/2011 Financial Liability A/c 2,965,000 To Financial Asset A/c 2,895,000 To Cash/Bank A/c 70,000 (Being sugar commodity future settled through buy Qtl. On expiry date) 20/04/2011 Profit & Loss A/c 95,000 To Financial Assets A/c 95,000 (Being profit on sugar commodity future accounted)

86 Number, value and period of convertible bonds Proceeds received 4000 bonds, issued at beginning of year 1, face value of Rs per bond (3 year validity) Rs. 40 lacs Interest rate on the bond Conversion Prevailing market rate 6% p.a. payable annually At the bond holders discretion, at 250 ordinary shares for each bond of Rs % p.a., for bonds issued without conversion option Present value factors for 9% 1, 0.917, 0.841, 0.772

87 Steps to find the equity and the liability component Step 1: Ascertaining Fair value of liability component Step 2: Ascertaining equity component Step 3: Initial recognition at the inception of bond Step 4: Debenture liability at the end of the year Step 5: Finance charges for each year

88 Step 1: Ascertaining Fair value of liability component PV of Rs. 40lacs repayable 3 rd year 3088,000 PV of interest payable at the end of each year: Year ,080 Year ,840 Year ,280 Liability component (B) 36,95,200 Step 2: Ascertaining equity component Fair value of Instrument (A) 40,00,000 Less: Liability component (B) 36,95,200 Equity Component (A-B) 304,800

89 Step 3: Initial recognition at the inception of bond Particulars Debit Credit Cash/Bank 40,00,000 To Convertible Bond liability 36,95,200 To Equity reserve 304,800

90 Step 4: Debenture liability at the end of the year Step 5: Finance charges for each year Particulars Finance charges (9%) Year 1 Year 2 Year 3 Beginning 36,95,200 37,87,768 38,88,668 + Interest 9% 332, , ,982 Subtotal 40,27,768 41,28,668 42,38,650 Rounding off - - 1,350 - Interest 6% (240,000) (240,000) (240,000) Carrying amount 37,87,768 38,88,668 40,00,000 Year 1 Year 2 Year 3 Debit Credit Debit Credit Debit Credit 332, , ,332 Debenture 92, , ,332 Cash/Bank (6%) 240, , ,000

91 Importer A Ltd hedge the forecasted import purchase cash flow through forward contract as per detail given below : Date Particulars Amount(FC) Rate Remarks Purchase Contract Forward Contract 100,000 Delivery March,2008 &Due June, , Cash flow hedged for June,2008 Date Spot Rate Forward Rate Change in Fair Value of Derivative (400) (2,000) (2,400)

92 Date Particulars Debit Credit Narration No Change in Fair value Appropriate Equity A/c Forward Liability A/c Appropriate Equity A/c Forward Liability A/c Purchase A/c Payable A/c Purchase A/c Appropriate Equity A/c 400 1, ,400 2, , ,400 2,000 Being Loss on forward contract parked in appropriate equity account. Being Loss on forward contract parked in appropriate equity account. Being purchase recorded at spot rate on Being cumulative loss on forward contract recognised in P & L A/c Payable A/c Bank A/c P & L A/c 107, , Being settlement of payable at spot rate P & L A/c Forward Liability A/c Being loss accounted on forward contract Forward Liability A/c Bank A/c 2,400 2,400 Being forward contract settled.

93 Hedge Effectiveness Evaluate whether the below hedging relationship is highly effective at the end of each period Assuming actual purchase take place on 20 th June, 2008 Particulars Spot Rate Forward rate as on 30 th June of respective year Forward rate as on 20 th June of respective year Fair value of forward contract Fair value of cash flows (purchase) (400) (2,000) (2,400) ,150 2,350 Effectiveness 80% 93% 102%

94

95 Derivative (Including Embedded derivative) Financial Instrument Non Derivative FVTPL AFS Hedge Non Hedge P&L CFH FVH Effective Appropriate Equity A/C Non effective P&L P&L AFS Available for Sale FVTPL Fair Value Through P&L CFH Cash Flow Hedge FVH Fair Value Hedge

96