Sensitivity analysis (IFRS 7)

Accounting standards prescribe certain disclosures that are required for financial reporting. For financial instruments, IFRS 7 requires revaluations under certain hypothetical market movements. From an FX perspective it is often a +/-10% movement in the prevailing market rates that is recorded in the notes to the accounts. From an interest rate perspective it is often +/-100bp parallel move in the curve.

How Hedgebook helps:

Hedgebook re-calculates the fair value of a user’s portfolio of FX and interest rate derivatives across a number of alternative hypothetical movements in the underlying market data as required under IFRS 7. Hedgebook simplifies financial year-end compliance.