IAS 39/IFRS 9

Our hedge accounting team is dedicated to assisting clients so they can successfully navigate the complexities of IAS 39/IFRS 9 and helping them align the optimal economic hedging structures with the most appropriate and favorable accounting treatments.

Our services include:

• Technical consultation – We advise clients on the technical aspects of the hedging relationship from before execution through maturity and are available to help address questions that arise either internally from our clients or externally from auditors or regulators. We interact with many audit firms via our client relationships and share information we receive to help keep our clients current on hedge accounting developments.


• Interest rate / foreign currency risk management policies – We help clients either develop appropriate risk management policies or review their existing policies and provide feedback based on best practices.


• Hedge designation memos – Our team has produced thousands of hedge designation memos, each serving as a customized, tailored document for each specific hedging situation encountered by our clients.


• Derivative valuations that satisfy the requirements of IAS 39/IFRS 9 – Incorporating credit risk into the calculation of the fair value of a derivative as required by the IFRS is very complicated. The credit valuation adjustment (CVA) can impact hedge effectiveness testing results and the amount of hedge ineffectiveness recognized in earnings. Several factors impact those results, including the valuation methodology used, the type of hedging relationship involved (cash flow, fair value, etc.), and the credit spreads used to value a company’s own credit risk and the credit risk of its counterparties. Using our valuation engine and analytical tools, our team can help our clients assess the impact that CVAs will have on their hedging relationships and help them understand the components that drive changes in their CVAs. We provide the highest quality valuation model available, one that incorporates credit enhancements and interest rate volatility and considers the total expected exposure (the current and potential future exposure of all trades with a counterparty). Most importantly, such calculations are consistent with how dealers and market makers routinely price credit risk in the marketplace.

Learn more about our valuation approach. Learn more
Read our detailed derivatives fair value white paper. Read the White Paper

• Effectiveness assessments – Our powerful accounting engine is capable of performing effectiveness tests ranging from simple dollar offset approaches to highly complicated statistical regression analysis.


• Journal entries – Our accounting engine produces journal entries for each transaction each period (monthly or quarterly, depending on each client’s preference). We can provide this information for each trade and for a client’s entire portfolio.


• Disclosures - Our robust financial reporting system enables us to quickly and easily prepare and summarize the information needed for disclosures under IFRS 7. Our team will prepare both the suggested disclosures and the accompanying supporting quantitative information to help substantiate those disclosures.


• Analysis – We are able to use our valuation and accounting models to help our clients assess the impact that different alternatives may have on their financial statements, including an assessment of whether certain strategies will qualify for hedge accounting.

We also provide our clients with access to a secure website where they can view current and historical accounting and reporting results and obtain hardcopy documents related to their derivative activity. Learn More