Credit Spread

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.

FX Options

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.

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.

Auditors

Hedgebook Audit Launch

The Hedgebook Audit launch was over five years ago in direct response to a customer enquiry – it now serves customers globally.

Audit regulators

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…

Financial Instruments

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…

Hedgebook image

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…

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…

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…

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…

CVA

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…

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…