Hedging Benchmark Interest Rate Exposures
Under the rules of fair value hedge accounting, a prerequisite condition is that the hedge should be highly effective in offsetting this spe
Hedging Bank Portfolios: Framing the Issue
To illustrate, consider a simplified example where a bank relies on monthly deposits as its primary funding source in connection with its ho
Hedging With Swaps
A fairly common reason that shortcut treatment is denied, particularly if the swap happens to be a seasoned instrument at the time the hedge
Futures versus Forwards: Implications of FAS 133
A forward contract is a principal-to-principal transaction that commits the counterparties to exchange some underlying property at a given p
