第四章衍生金融工具会计例题(新)

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第四章衍生金融工具会计

例4-1 假设甲公司为英国母公司，在美国有一子公司需要使用美元，但该公司因新成立没有资信纪录，获得资金的成本较高；另有一家总部在美国的乙公司，其设在英国的子公司需要使用英镑，但其取得英镑贷款的利率也较高。因此，两家母公司协议，2000年1月1日，由甲公司发行2年期、利率为6%的￡5，000，000公司债券的资金，并贷给乙公司设在英国的子公司；而乙公司发行2年期、利率为6%的欧洲美元债券＄7，500，000取得资金，并贷给甲公司设在美国的子公司，利息一年一次。双方签订协议时所定外汇兑换比率为￡1=＄1.5。2000年12月31日汇率为￡1=＄1.6，2001年12月31日汇率为￡1=＄1.48。要求：请对甲、乙公司分别进行有关的会计处理。

例4-2 On January 1, 2006, Campion Company borrows $400,000 from Veneta Bank. The five-year term note is a variable-rate one in which the 2006 interest rate is determined to be 8%, the LIBOR rate at January 1, 2006 + 2%. Subsequent years’ interest rates are determined in a similar manner, with the rate set for a particular year equal to the beginning-of-the-year LIBOR rate + 2%. Interest payments are due on December 31 each year and are computed assuming annual compounding.

● Also on January 1, 2006, Campion decides to enter into a pay-fixed, receive-variable interest rate swap arrangement with Graham, Inc. Campion will pay 8%.

● Assume that the LIBOR rate on December 31, 2006, is 5%, December 31, 2007, is 6.5%, December 31, 2008, is 7%, December 31, 2009, is 5.5%.

例4-3 Refer to example 4-2 and assume that instead of initially signing a variable-rate loan Campion receives a fixed rate of 8% on the loan on January 1, 2006. Instead of entering into a pay-fixed, receive-variable interest rate swap with Graham, Campion enters into a pay-variable, receive-fixed interest rate swap.

● The variable portion of the swap formula is LIBOR rate + 2%, determined at the end of the year to set the rate for the following year. The first year that the swap will be in effect is for interest payments in 2007.

● Assume that the LIBOR rate on December 31, 2006, is 5%. December 31, 2007, is 6.5%, December 31, 2008, is 7%, December 31, 2009, is 5.5%.