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Insights, updates and learnings
15/02/17
Impact of path dependent options
One of the difficulties companies face when using path dependent options, such as leveraged collars or participating forwards, is that the amount of cover in place will alter under different market conditions. Example: NZ based exporter hedging USD receipts to NZD FX product = leveraged collar Leverage ratio = 2...
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06/09/15
Spreadsheets: a ticking time bomb
The main competitor to Hedgebook’s treasury management system (“TMS”) is excel spreadsheets. They are cheap (can’t get much cheaper than free!), flexible and easy to use. So why do companies choose to replace their spreadsheets with a TMS? Despite the positives of spreadsheets they also represent a significant risk to...
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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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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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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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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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