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.
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.
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…
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 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…
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…
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…
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…
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.