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Food security is a global topic of discussion and agricultural sectors play a vital role in the provision thereof. In South Africa the agribusinesses are some of the key players in providing financing, risk management and market advisory services to producers. Since the deregulation of the grain industry during 1996, many of these agribusinesses have converted their business form from cooperative to company and therefore adhere to International Financial Reporting Standards (IFRS). These agribusinesses trade commodity derivatives on the South African Futures Exchange (SAFEX) to hedge themselves and their producers against commodity price risk. Globally there has been a tremendous increase in the use of derivatives and other financial instruments and with the emergence of these new and more complex financial instruments, accounting regulations had to follow these developments. The applicable accounting practices at the time were considered as being insufficient and being applied inconsistently. The major global standard setters namely IASB and FASB separately tried to develop adequate standards to address the accounting treatment of these products. The IASB developed International Accounting Standard (IAS) 39 dealing with the recognition and measurement of financial instruments, while the FASB issued Financial Accounting Standard (FAS) 133. These two standard setters have signed the Norwalk Agreement committing to plans to converge the IFRS and US accounting standards. This study focused on the application of IAS 39, with reference to commodity derivatives, with the main research objective being to investigate the accountancy implications of commodity derivatives in the South African agricultural sector. Furthermore it also serves to establish a standard methodology for the interpretation of IAS 39 and to serve as a benchmark and best practise for South African agribusinesses and commodity processors. For this purpose seven case studies were investigated by utilising a developed questionnaire, an illustrative flow diagram of IAS 39 and recorded structured interviews with the respondents. The accounting treatment of commodity derivatives was investigated by utilising nine transaction types which are typically found when producers sell grain to an agribusiness or a processor purchases grain from an agribusiness. The seven case studies were identified by utilising convenience sampling (unrestricted non–probability sampling). A literature review and empirical study were conducted. The findings on the accounting treatment of commodity derivatives were communicated thematically. The main findings were discussed during interviews with representatives of the technical departments of three of the Big Four audit firms in South Africa. A discussion of similar studies performed globally was performed. The recommendations following from this research study include that entities carrying “own use” inventory and applying hedge accounting can elect to apply the base adjustment consistently as part of their accounting policy on the valuation of inventory. Entities holding grain inventory for trading purposes should, based on industry practice, fair value such inventory. Various recommendations regarding the classification of a supply contract with a producer (as defined in a pre–season fixed price contract) depending on whether an entity applies hedge accounting or not, were made. Recommendations regarding the determination of fair value include that, based on industry practice and guidance by IAS 39, the SAFEX–based price should be utilised to fair value derivatives and to fair value inventory held by commodity–broker traders. The fair value movement on the option contracts taken out on behalf of the producer by an agribusiness should be transferred to the relevant producer's loan account. The recommendations concluded with a recommendation that entities should proactively consider and plan the impact of the replacement of IAS 39 on current business practices. Areas for further research could include investigating the accounting treatment of commodity derivatives of the newly issued accounting standards on financial instruments by IASB and the impact of these new standards on the business practices of entities. / Thesis (Ph.D. (Management Accountancy))--North-West University, Potchefstroom Campus, 2011.

Food security is a global topic of discussion and agricultural sectors play a vital role in the provision thereof. In South Africa the agribusinesses are some of the key players in providing financing, risk management and market advisory services to producers. Since the deregulation of the grain industry during 1996, many of these agribusinesses have converted their business form from cooperative to company and therefore adhere to International Financial Reporting Standards (IFRS). These agribusinesses trade commodity derivatives on the South African Futures Exchange (SAFEX) to hedge themselves and their producers against commodity price risk. Globally there has been a tremendous increase in the use of derivatives and other financial instruments and with the emergence of these new and more complex financial instruments, accounting regulations had to follow these developments. The applicable accounting practices at the time were considered as being insufficient and being applied inconsistently. The major global standard setters namely IASB and FASB separately tried to develop adequate standards to address the accounting treatment of these products. The IASB developed International Accounting Standard (IAS) 39 dealing with the recognition and measurement of financial instruments, while the FASB issued Financial Accounting Standard (FAS) 133. These two standard setters have signed the Norwalk Agreement committing to plans to converge the IFRS and US accounting standards. This study focused on the application of IAS 39, with reference to commodity derivatives, with the main research objective being to investigate the accountancy implications of commodity derivatives in the South African agricultural sector. Furthermore it also serves to establish a standard methodology for the interpretation of IAS 39 and to serve as a benchmark and best practise for South African agribusinesses and commodity processors. For this purpose seven case studies were investigated by utilising a developed questionnaire, an illustrative flow diagram of IAS 39 and recorded structured interviews with the respondents. The accounting treatment of commodity derivatives was investigated by utilising nine transaction types which are typically found when producers sell grain to an agribusiness or a processor purchases grain from an agribusiness. The seven case studies were identified by utilising convenience sampling (unrestricted non–probability sampling). A literature review and empirical study were conducted. The findings on the accounting treatment of commodity derivatives were communicated thematically. The main findings were discussed during interviews with representatives of the technical departments of three of the Big Four audit firms in South Africa. A discussion of similar studies performed globally was performed. The recommendations following from this research study include that entities carrying “own use” inventory and applying hedge accounting can elect to apply the base adjustment consistently as part of their accounting policy on the valuation of inventory. Entities holding grain inventory for trading purposes should, based on industry practice, fair value such inventory. Various recommendations regarding the classification of a supply contract with a producer (as defined in a pre–season fixed price contract) depending on whether an entity applies hedge accounting or not, were made. Recommendations regarding the determination of fair value include that, based on industry practice and guidance by IAS 39, the SAFEX–based price should be utilised to fair value derivatives and to fair value inventory held by commodity–broker traders. The fair value movement on the option contracts taken out on behalf of the producer by an agribusiness should be transferred to the relevant producer's loan account. The recommendations concluded with a recommendation that entities should proactively consider and plan the impact of the replacement of IAS 39 on current business practices. Areas for further research could include investigating the accounting treatment of commodity derivatives of the newly issued accounting standards on financial instruments by IASB and the impact of these new standards on the business practices of entities. / Thesis (Ph.D. (Management Accountancy))--North-West University, Potchefstroom Campus, 2011.

The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. A relevant question thus becomes how a market maker trading these derivatives should hedge their exposures. This thesis examines how stochastic optimisation can be used to hedge a portfolio of futures, forwards, and emissions rights in the EU ETS, while taking into account market microstructre effects such as transaction costs. This is done through the implementation of a Stochastic Programming (SP) model that weights portfolio risk against transaction costs,where the entire term structure of futures is Monte Carlo-simulated. The term structure of the futures is analysed by decomposing futures prices into the spot price, the term structure of the risk free interest rate, and the term structure of the convenience yield, as was first done by Working (1948). These are estimated using the non-parametric optimisation framework of Blomvall (2017), where EUROIS contracts and ICE EUA futures are used as benchmark instruments. It was found that the method results in smooth yield curves with small repricing errors, thanks to suitable parameter calibration through 3-fold Cross Validation for both curves. From day-to-day changes in the resulting curves, three systematic risk factors for each curve, that capture more than 98% of the variance during the analysed period from October 2012 to March 2018, were found with PCA. These factors were then fitted to univariate GARCH-models, and normal mixture copulas. This model allows for the hedging problem to be solved with SP. For the out-of-sample period from March 2018 to April 2022, the results show promise, as the portfolios hedged with SP are considerably less volatile than both a statically hedged and an unhedged portfolio. Furthermore, for some values of the parameter weighting risk and costs, these portfolios yield mean variance efficiency.

美國次級房貸在1990年代中期曾經十分興盛，不過之後因LTCM危機，加上Fed採取連續升息政策，許多次級房貸放款的業者面臨資金流動性問題，以及次級房貸利潤不夠高，迫使許多業者退出這個市場，1998年亞洲金融風暴,美國雖未受波及,然自2000年開始因網路科技泡沫影响及2001年911恐怖攻擊,經濟衰退連續降息後，次級房貸在美國持續降息期間再度大幅成長，原因包括當時美國房價上升速度快、不動產市場流動性充裕，投資人增加對收益率較高產品的需求，導致更多次級房貸需求。 國際資金游動頻繁，衍生性產品及不動產證券化盛行，信用卡債、擔保債權憑證(CDO)、資產抵押證券被分割、包裝成證券或基金產品賣出，次級房貸風暴發生，間接亦影響到全球投資在上列產品之銀行、避險基金、機構法人、退休金等等…導致全球股票市場大跌，引發整個金融信用環境惡化，可能引發不良金融連鎖反應，從而導致更大的經濟金融危機。 美林證券、花旗銀行、歐美各大銀行相繼宣布資產減損,台灣國內銀行、保險公司亦陸續出現認列資產減損金額,只要一有次級房貸不利之消息出現,全球股市應聲而倒,截至目前問題所在雖略知一二,然國外金融業界因資訊較透明,其影響已漸公佈及擴大中,國內金融業則仍多採取保守態度,但亦逐漸依規定認列財產損失,然而問題是否已近尾聲,風險是否完全受控制則說法不一。 次級房貸問題的主要原因是相關金融商品證券化,層層包裝成各種衍生性產品,於次級房貸風暴發生後,信用風險連鎖反應造成相關產品無流動性,被隱藏的風險暴露後原有的信評機制幾乎全部失效,層層包裝的風險因事先未被定價,風暴後更無法估算其所會波及之影響,Mark to Market及34號公報迫使全球企業對次級房貸投資相關產品之損失提列資產減損,更加重各項產品流動性之停滯,信用危機造成信心危機，層層結構性產品及再轉投資,造成信用無虞的公司也遭魚池之殃,次級房貸衍生之金融商品,因主要購買者多為金融業或保險業或再包裝後出售予投資客,其後繼影響更是難以估計。 本論文內容除探討美國次級房貸定義、對美國國內及全球之影響、美國政府及各國政府的因應政策、截至目前影響及預計可能還會再出現影響,及因次級房貸之崩潰及衍生之金融產品之跌價所影響的層面與近年來國內外銀行爭相推展個人金融事業及財富管理事業的成立,是否有相當之關係,信用評等、風險控管、及定價在此風暴是否扮演重要角色,但卻又明顯失控?為避免類似情況再發生,應如何因應與防範?進而以提出個人對此事件探討之結論及省思後之建議。