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Insights, updates and learnings
Quantifying bank counterparty credit spread inputs for CVA
22/09/21
Quantifying bank counterparty credit spread inputs for CVA
Clients often ask what the appropriate credit spread would be when calculating CVA (Credit Value Adjustment) under the current exposure method - we outline our recommended approach for Australia, NZ and UK based organisations.
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Hedge accounting FX options: time versus intrinsic value
23/08/21
Hedge accounting FX options: time versus intrinsic value
Learn how FX options lock in the certainty of worst case exchange rate outcomes while allowing participation in favourable rate movements.
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FVA Clouds Bank Valuations
15/04/21
FVA Clouds Bank Valuations
Hedgebook takes a look at FVA (Funding Valuation Adjustments) that sit alongside CVA and DVA within the family of derivative valuations.
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Hedgebook Audit Launch
15/03/21
Hedgebook Audit Launch
The Hedgebook Audit launch was over five years ago in direct response to a customer enquiry - it now serves customers globally.
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Audit regulators bare their teeth
29/09/19
Audit regulators bare their teeth
It is safe to say that the audit industry is currently under quite a bit of scrutiny. Through my conversations with a cross section of accounting practices across the UK, Europe and North America there is a general consensus that audits are getting more complex at the same time as...
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The conundrum of materiality and financial instruments
11/07/19
The conundrum of materiality and financial instruments
As a guest speaker at a recent, global accounting network event I was very interested to hear a robust discussion focused on the subjective area of “materiality”. The unsurprising, and somewhat unsatisfactory, conclusion from the room was that determining materiality depended on a number of different factors, and that there...
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Financial Reporting Council – The Enforcers
14/02/18
Financial Reporting Council – The Enforcers
Did you know that the UK accounting watchdog, the Financial Reporting Council, nearly doubled its fines to £12.8m last year for non-compliance with FRS102 when conducting audits? A common area of non-compliance for audit firms is the requirement to independently value financial instruments, for example, FX forwards, options and interest...
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23/06/15
Year-end Financial Instrument Check List
30 June marks the financial year-end for many Australian and New Zealand public and private companies, as well as Councils. With an ever increasing compliance burden, we have put together a practical check list for those entities that have exposure to financial instruments such as FX forwards, FX options and...
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04/02/15
Hedge accounting has never been easier
It seems like a lifetime ago since hedge accounting was first introduced, nearly ten years ago now. My how auditors loved it. How complicated could they make it? Very, ,was the answer. How about insisting on regression testing for simple foreign exchange forward contracts or forcing options to be split...
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07/12/14
Credit spreads back to pre GFC levels
We have discussed CVA at length in our newsletter and blog as it is arguably the most significant change to the accounting standards, from a financial instruments valuation perspective, since hedge accounting was introduced. The standard relating to CVA, IFRS 13, was developed as a result of the Global Financial...
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CVA is here to stay
13/06/14
CVA is here to stay
Nine months ago we at Hedgebook engaged audit firms, banks and corporates to discuss Credit Value Adjustment (CVA) and Debit Value Adjustment (DVA) as the introduction of IFRS 13 loomed. The overwhelming response was one of ignorance and/or disinterest. Either they didn’t know about it or they didn’t want to...
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17/04/14
IFRS 7 – Disclosure Requirements of Financial Instruments
A key pillar of Hedgebook’s ethos is to make life easier for corporates in managing and reporting their financial derivative exposures. This approach extends to aiding Treasurers and CFOs comply with the ever increasing compliance requirements of accounting standards. The most recent standard to create further onus on corporates is...
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07/02/14
Will auditors enforce CVA compliance?
There is no doubt that CVA (credit value adjustment) and DVA (debit value adjustment) is rapidly becoming front of mind as corporations who have a 31 December balance date and outstanding financial instruments discover something else that needs to be calculated for inclusion in the annual accounts. The world has...
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13/12/13
IFRS 13: Fair value measurement – Credit Value Adjustment
The purpose of this blog is to examine IFRS 13 as it relates to the Credit Value Adjustment (CVA) of a financial instrument. In the post GFC environment, greater focus has been given to the impact of counterparty credit risk. IFRS 13 requires the valuation of counterparty credit risk to...
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Credit Value Adjustment
17/10/13
Credit Value Adjustment
Credit Value Adjustment or CVA has been around for a long time, however, with the introduction of the accounting standard IFRS13, this year there is a requirement to understand it a bit better. The new standard requires the CVA component to be separately reported from the fair value of a...
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20/08/12
The GFC, Corporate Governance and Hedgebook…
In the wake of the Global Financial Crisis (GFC), Corporate Governance has become a key focus, not just for large organisations but for small to medium sized entities as well. Corporate Governance relates to the rules around how a company is controlled, whether it is by processes, policies, laws or...
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