Derivative (FV) 01/07/20x2 31/12/20x2 30/06/20x3 31/12/20x3 30/06/20x4

Opening FV (after interest) - - (2,884,193) 7,671,981 2,765,088

Gross FV movement - (3,254,193) 9,881,174 (3,049,393) 3,167,439
Closing FV (before interest) - (3,254,193) 6,996,981 4,622,588 5,932,527
Adjuts for interest settlement - (370,000) (675,000) 1,857,500 585,000
Closing FV (after interest) - (2,884,193) 7,671,981 2,765,088 5,347,527

Interest payments 01/07/20x2 31/12/20x2 30/06/20x3 31/12/20x3 30/06/20x4

Debt (6M Libor) - (4,630,000) (4,325,000) (6,857,500) (5,585,000)
Debt (3% margin) - (7,500,000) (7,500,000) (7,500,000) (7,500,000)
Debt net - (12,130,000) (11,825,000) (14,357,500) (13,085,000)
Swap - pay fixed (2%) - (5,000,000) (5,000,000) (5,000,000) (5,000,000)
Swap - receive float (6M Libor) - 4,630,000 4,325,000 6,857,500 5,585,000
Swap net - (370,000) (675,000) 1,857,500 585,000
Net overall - (12,500,000) (12,500,000) (12,500,000) (12,500,000)

Accouting entries 01/07/20x2 31/12/20x2 30/06/20x3 31/12/20x3 30/06/20x4

1) Movement FV derivative
Db. / (Cr.) Derivative - (3,254,193) 9,881,174 (3,049,393) 3,167,439
Db. / (Cr.) OCI - 3,254,193 (9,881,174) 3,049,393 (3,167,439)
2) Settlement of derivative
Db. / (Cr.) Derivative - 370,000 675,000 (1,857,500) (585,000)
Db. / (Cr.) Cash - (370,000) (675,000) 1,857,500 585,000
3) Reciclying to income statement
Db. / (Cr.) OCI - (370,000) (675,000) 1,857,500 585,000
Db. / (Cr.) Financial income / expense - 370,000 675,000 (1,857,500) (585,000)
4) Settlement of debt
Db. / (Cr.) Cash - (12,130,000) (11,825,000) (14,357,500) (13,085,000)
Db. / (Cr.) Financial income / expense - 12,130,000 11,825,000 14,357,500 13,085,000
Check 0 0 0 0 0

BS / PL 01/07/20x2 31/12/20x2 30/06/20x3 31/12/20x3 30/06/20x4

Db. / (Cr.) Derivative - (2,884,193) 7,671,981 2,765,088 5,347,527
Db. / (Cr.) OCI - 2,884,193 (7,671,981) (2,765,088) (5,347,527)
Db. / (Cr.) Cash - (12,500,000) (25,000,000) (37,500,000) (50,000,000)
Db. / (Cr.) Retained earnings - - 12,500,000 25,000,000 37,500,000
Db. / (Cr.) Financial income / expense - 12,500,000 12,500,000 12,500,000 12,500,000
Check 0 0 0 0 0
31/12/20x4 30/06/20x5
5,347,527 1,302,540
(1,514,987) 49,960
3,832,540 1,352,500
2,530,000 1,352,500
1,302,540 -

31/12/20x4 30/06/20x5
(7,530,000) (6,352,500)
(7,500,000) (7,500,000)
(15,030,000) (13,852,500)
(5,000,000) (5,000,000)
7,530,000 6,352,500
2,530,000 1,352,500
(12,500,000) (12,500,000)

31/12/20x4 30/06/20x5

(1,514,987) 49,960
1,514,987 (49,960)

(2,530,000) (1,352,500)
2,530,000 1,352,500

2,530,000 1,352,500
(2,530,000) (1,352,500)

(15,030,000) (13,852,500)
15,030,000 13,852,500
0 0

31/12/20x4 30/06/20x5
1,302,540 -
(1,302,540) -
(62,500,000) (75,000,000)
50,000,000 62,500,000
12,500,000 12,500,000
0 0
 Derivative (FV) 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6
FV of the CAP 250,000 224,760 567,598 160,000 -
Intrinsic value 14,756 260,074 - -
Time value 250,000 210,004 307,524 160,000 -
Change in FV of the CAP (25,240) 365,338 (372,598) (152,500)
(OCI) Change in intrinsic value of the CAP 14,756 267,818 (225,074) 7,500
(OCI) Change in time value of the CAP (39,996) 97,520 (147,524) (160,000)
Cash settlement for the CAP - - (22,500) (35,000) (7,500)
Cash settlements (intrinsic value) (22,500) (35,000) (7,500)
Cash settlements (time value) -

Accouting entries 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6

1) Intial recognition of derivative
Db. / (Cr.) Derivative 250,000
Db. / (Cr.) Cash (250,000)
2) Movement FV derivative
Db. / (Cr.) Derivative - (25,240) 365,338 (372,598) (152,500)
Db. / (Cr.) OCI (Cash flow hedge reserve) - (14,756) (267,818) 225,074 (7,500)
Db. / (Cr.) OCI (Cost of hedge reserve) - 39,996 (97,520) 147,524 160,000
3) Settlement of derivative
Db. / (Cr.) Derivative - - (22,500) (35,000) (7,500)
Db. / (Cr.) Cash - - 22,500 35,000 7,500
4) Reciclying to income statement
Db. / (Cr.) OCI (Cash flow hedge reserve) - - 22,500 35,000 7,500
Db. / (Cr.) Financial income / expense - - (22,500) (35,000) (7,500)
5) Amortizing premium paid
Db. / (Cr.) OCI (Cost of hedge reserve) (62,500) (62,500) (62,500) (62,500)
Db. / (Cr.) Financial income / expense 62,500 62,500 62,500 62,500
5) Settlement of debt
Db. / (Cr.) Cash
Db. / (Cr.) Financial income / expense
Check - - - - -

BS / PL 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6

Db. / (Cr.) Derivative 250,000 224,760 567,598 160,000 -
Db. / (Cr.) OCI (Cash flow hedge reserve) - (14,756) (260,074) - -
Db. / (Cr.) OCI (Cost of hedge reserve) - (22,504) (182,524) (97,500) -
Db. / (Cr.) Cash (250,000) (250,000) (227,500) (192,500) (185,000)
Db. / (Cr.) Retained earnings - 62,500 102,500 130,000
Db. / (Cr.) Financial income / expense - 62,500 40,000 27,500 55,000
Check - - - - -

Derivative - - - - -
OCI (Cash flow hedge reserve) - - - - -
OCI (Cost of hedge reserve) - - - - -

With hedge accounting

Accouting entries 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6
Db. / (Cr.) Derivative 250,000
Db. / (Cr.) Cash (250,000)

Db. / (Cr.) Periodificación (62,500) (62,500) (62,500) (62,500)

Db. / (Cr.) Financial income / expense 62,500 62,500 62,500 62,500

Db. / (Cr.) Derivative (25,240) 365,338 (372,598) (152,500)

Db. / (Cr.) Financial income / expense 25,240 (365,338) 372,598 152,500

Db. / (Cr.) Derivative - (22,500) (35,000) (7,500)

Db. / (Cr.) Cash - 22,500 35,000 7,500

Without hedge accounting

BS / PL 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6
Db. / (Cr.) Derivative 250,000 224,760 567,598 160,000 -
Db. / (Cr.) OCI (Cash flow hedge reserve) - - - - -
Db. / (Cr.) OCI (Cost of hedge reserve) - - - - -
Db. / (Cr.) Cash (250,000) (250,000) (227,500) (192,500) (185,000)
Db. / (Cr.) Retained earnings - 87,740 (215,098) 220,000
Db. / (Cr.) Financial income / expense - 87,740 (302,838) 435,098 215,000

Derivative - - - - -
Cash - - - - -
Financial income / expense - - - - -
Intrinsic value (spot intrinsic value vs forward intrinsic value)
 Derivative (FV) 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6
FV of the CAP 250,000 224,760 567,598 160,000 -
Intrinsic value 14,756 260,074 - -
Time value 250,000 210,004 307,524 160,000 -
Change in FV of the CAP (25,240) 365,338 (372,598) (152,500)
(OCI) Change in intrinsic value of the CAP 14,756 267,818 (225,074) 7,500
(OCI) Change in time value of the CAP (39,996) 97,520 (147,524) (160,000)
Cash settlement for the CAP - - (22,500) (35,000) (7,500)
Cash settlements (intrinsic value) (22,500) (35,000) (7,500)
Cash settlements (time value) -

Accouting entries 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6

1) Intial recognition of derivative
Db. / (Cr.) Derivative 250,000
Db. / (Cr.) Cash (250,000)
2) Movement FV derivative
Db. / (Cr.) Derivative - (25,240) 365,338 (372,598) (152,500)
Db. / (Cr.) OCI (Cash flow hedge reserve) - (14,756) (267,818) 225,074 (7,500)
Db. / (Cr.) OCI (Cost of hedge reserve) - 39,996 (97,520) 147,524 160,000
3) Settlement of derivative
Db. / (Cr.) Derivative - - (22,500) (35,000) (7,500)
Db. / (Cr.) Cash - - 22,500 35,000 7,500
4) Reciclying to income statement
Db. / (Cr.) OCI (Cash flow hedge reserve) - - 22,500 35,000 7,500
Db. / (Cr.) Financial income / expense - - (22,500) (35,000) (7,500)
5) Amortizing premium paid
Db. / (Cr.) OCI (Cost of hedge reserve) (62,500) (62,500) (62,500) (62,500)
Db. / (Cr.) Financial income / expense 62,500 62,500 62,500 62,500
5) Settlement of debt
Db. / (Cr.) Cash
Db. / (Cr.) Financial income / expense
Check - - - - -

BS / PL 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6

Db. / (Cr.) Derivative 250,000 224,760 567,598 160,000 -
Db. / (Cr.) OCI (Cash flow hedge reserve) - (14,756) (260,074) - -
Db. / (Cr.) OCI (Cost of hedge reserve) - (22,504) (182,524) (97,500) -
Db. / (Cr.) Cash (250,000) (250,000) (227,500) (192,500) (185,000)
Db. / (Cr.) Retained earnings - 62,500 102,500 130,000
Db. / (Cr.) Financial income / expense - 62,500 40,000 27,500 55,000
Check - - - - -

Derivative - - - - -
OCI (Cash flow hedge reserve) - - - - -
OCI (Cost of hedge reserve) - - - - -

With hedge accounting

Accouting entries 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6
Db. / (Cr.) Derivative 250,000
Db. / (Cr.) Cash (250,000)

Db. / (Cr.) Periodificación (62,500) (62,500) (62,500) (62,500)

Db. / (Cr.) Financial income / expense 62,500 62,500 62,500 62,500

Db. / (Cr.) Derivative (25,240) 365,338 (372,598) (152,500)

Db. / (Cr.) Financial income / expense 25,240 (365,338) 372,598 152,500

Db. / (Cr.) Derivative - (22,500) (35,000) (7,500)

Db. / (Cr.) Cash - 22,500 35,000 7,500

Without hedge accounting

BS / PL 30/06/20x4 31/12/20x4 30/06/20x5 31/12/20x5 30/06/20x6
Db. / (Cr.) Derivative 250,000 224,760 567,598 160,000 -
Db. / (Cr.) OCI (Cash flow hedge reserve) - - - - -
Db. / (Cr.) OCI (Cost of hedge reserve) - - - - -
Db. / (Cr.) Cash (250,000) (250,000) (227,500) (192,500) (185,000)
Db. / (Cr.) Retained earnings - 87,740 (215,098) 220,000
Db. / (Cr.) Financial income / expense - 87,740 (302,838) 435,098 215,000

Derivative - - - - -
Cash - - - - -
Financial income / expense - - - - -