What to expect from IFRS 9
Publication: Bank Asset / Liability Management Download PDF version On July 24, 2014, the IASB issued IFRS 9 which addresses accounting...
Swaps: Margining and Accounting Considerations
In any discussion of margining, it’s useful to first
distinguish between cleared swaps and non-cleared
swaps. Cleared swaps are reported to
Back-to-Back Swap Strategy
The bank effectively trades the two swaps simultaneously. We start with the consideration of the two, respective at-market swaps – i.e., swa
Interest Rate Swaps: Economics and Accounting
Qualifying for shortcut on fair value hedges requires structuring the swap with the following features: (a) the hedging derivative’s notiona
Thinking Ahead: Adjusting Hedge Coverage as the Market Changes
The thing about risk is that it keeps changing. Whether it’s due to ever-evolving macroeconomic conditions or firm-specific developments, a
Dual Focus: Hedging Programs Need to Focus on Both Sides of the Income Statement
To frame the issue, we start with an appreciation that virtually all companies are in a spread business, where profit (i.e., the spread) equ