Under the rules of fair value hedge accounting, a prerequisite condition is that the hedge should be highly effective in offsetting this specific value change – i.e., the value cha...

Most banks and credit unions have similar business models – they fund long-term assets (loans to customers) with short-term liabilities (deposits from customers). Current market c...

Large segments of derivatives users will see improvements, making both the process and the presentation of hedge accounting more intuitive and understandable.

Forward hedges, FASB allows the effectiveness assessment to compare the forward price implicit in the exposure to the forward price of the derivatives

The bank effectively trades the two swaps simultaneously. We start with the consideration of the two, respective at-market swaps – i.e., swaps that have a starting value of zero, w...

Qualifying for shortcut on fair value hedges requires structuring the swap with the following features: (a) the hedging derivative’s notional amount equals the principal of the hed...

December 1, 2016

Publication: Bank Asset/Liability Management

PDF Version

For those who’ve struggled with the challenges of applying hedge accounting rules, FASB has proposed some adjustments to thei...

With this orientation, the bank would typically seek to hedge all or a portion of the uncertain funding costs that would be expected to arise during the period for which the loan’s...

March 1, 2016

Publication: Bank Asset/Liability Management

PDF Version of Article 

In August 2015, the Financial Accounting Standards Board (FASB) issued an exposure draft relating to the accounti...

Publication:  AFP Exchange

PDF Version

Many companies with variable-rate funding look to derivatives to transform their variable interest-rate exposures to synthetic fixed-rate debt....

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