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March 10 March 31 April 30 May 31 June 25 Hedged Item - For

Spot price per ton 165.00 167.00 164.00 172.00 178.00


Strike price per ton 165.00 165.00 165.00 165.00 165.00
Number of tons per option 100.00 100.00 100.00 100.00 100.00
Fair value per option (given) 800.00 920.00 700.00 1,100.00 1,300.00

Calculations per option


Intrinsic value - 200.00 - 700.00 1,300.00
Time value 800.00 720.00 700.00 400.00 -
Total value of option 800.00 920.00 700.00 1,100.00 1,300.00
Change in total value of option 120.00 (220.00) 400.00 200.00

Upon sale of inve


Hedged Item - Forecasted Transaction Hedging Instrument - Option
Mar 10 DA 2,400
Cash 2,400

Mar 31 DA 360
Hedging loss - PL 240
Hedging gain - OCI 600

April 30 Hedging loss - OCI 600


Hedging loss - PL 60
DA 660

May 31 DA 1,200
Hedging loss - PL 900
Hedging gain - OCI 2,100

June 25 DA 600
Hedging loss - PL 1,200
Hedging gain - OCI 1,800

Cash 3,900
DA 3,900

Inventory 53,400
Cash 53,400

Upon sale of inventory

COS 53,400 Hedging gain - OCI 3,900


Inventory 53,400 COS 3,900
Reset dates Receive LIBOR + 1% for Next Period Pay LIBOR + 1.25% for Next Period
Jun 30, 20X1 6.75% 7.00%
Dec 31, 20X1 6.65% 6.90%
Jun 30, 20X2 6.35% 6.60%

Principal 10,000,000
Fixed rate received 7%
Fair Value of Swap Change in Fair Value 20X1 Hedged Item - Variable Notes Receivable
Jun 30 NR 10,000,000
9,505 9,505 Cash 10,000,000
19,361 9,856
Dec 31 Cash 337,500
Interest income 337,500

20X2
Jun 30 Cash 332,500
Interest income 332,500

Dec 31 Cash 317,500


Interest income 317,500
Hedging Instrument - Swap

DA 9,505
Hedging gain - OCI 9,505

Cash -
Hedging gain - PL -

DA 9,856
Hedging gain - OCI 9,856

Cash 5,000
Hedging gain - PL 5,000

Hedging loss - OCI 19,361


DA 19,361

Cash 20,000
Hedging gain - PL 20,000

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