Hedge accounting
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
Japan dealers hail ‘Tona First’ success
Tona overtakes Libor benchmark in yen swaps, but Tibor surge creates new basis risks
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
Corporates remain on swaps fallback sidelines
Risk.net analysis finds just 14 out of 100 large non-financial firms have signed up to Isda fallback protocol
Shell bides time over Isda fallbacks
Oil major will adopt Isda protocol as “insurance policy” despite hedge accounting concerns
Liquidity test clouds Ibor switch accounting rules
IFRS 9 update will lead to hedge accounting breakdown if new rates markets lack depth
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
Libor Risk Q&A – Murex
Alexandre Bon, Group co-head of Libor and benchmark reform, and head of marketing and strategy, Asia‑Pacific, at Murex, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by…
Jittery ringgit spurs options growth in Malaysia
Local corporates seek new hedging tools, but longer-term options liquidity lacking
Why the numbers don’t add up for post-Libor hedge accounting
Experts raise concerns over IASB’s Phase II plans to move on from Libor
Hedging adviser of the year: Chatham Financial
Risk Awards 2020: Hedge accounting solution helps Freddie Mac tackle P&L swings from loan hedges
Libor transition and implementation – Covering all bases
Sponsored Q&A
Libor reform threatens hedge accounting for loans
Changes to loan terms may nullify contracts and create balance sheet volatility
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
Banks warned on holes in EU’s proposed Brexit relief
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
Swaps users wary of hedge accounting hit from Brexit transfer
Uncertainty over exemption for novated trades may force hedgers to sacrifice netting benefits
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…