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Insights, updates and learnings
15/02/17
New FX hedging instruments within Hedgebook
Traditionally, the typical Hedgebook user has focused their foreign exchange hedging activity at the vanilla end of the spectrum. Forwards, purchased options and options that are in one-for-one collar relationships have been the staple diet of importers and exporters. To be honest, even purchased options are not particularly common as...
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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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03/08/14
Lies, damned lies and valuations
With the passing of 30 June we have entered another busy period for year-end valuations. One of the most common questions we are asked at these important balance dates is “why is there a difference between the bank valuation and the Hedgebook valuation (or any other system’s valuation for that...
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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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The Future of Interest Rate Swaps: Will Regulation Kill this Investment Vehicle?
12/10/12
The Future of Interest Rate Swaps: Will Regulation Kill this Investment Vehicle?
This is part 9 of a 10 part series on currency swaps and interest rate swaps and their role in the global economy. In part 8, we discussed the role of interest rate swaps in the demise of Greece. Given the importance of swaps in the U.S. housing crash, new regulation has arisen that could threaten the future of this important financial derivative.
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27/06/12
Judicious use of FX orders to get hedging in place
Once a company with foreign exchange risks has decided to lift or reduce hedging percentages as part of their risk management strategy, value-enhancing market dealing tactics to get the hedging entered at more favourable exchange rates will add to the overall hedging performance. I have always been a strong advocate...
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20/12/11
Interest Rate Swap Tutorial, Part 4 of 5, Swap Curve Construction
Swap curve construction In the previous articles we described basic swap terminology, created coupon schedules and calculated fixed and floating coupon amounts. We also present valued our cashflows and calculated forward rates from our Zero Curve. A zero curve is a series of discount factors which represent the value today of one...
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