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Quantifying Currency Basis and Applying Hedge Accounting for Cross Currency Swaps Under IFRS 9

This White Paper explores certain key areas companies should consider when "operationalising" the new hedge accounting rules of IFRS 9 for xccy swaps. Futhermore, it provides a suggested model for defining and measuring the impact of the cross currency basis component of xccy swap valuation to achieve optimal hedge accounting under IFRS 9.

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When Mr Zero-Floor Met Mr Swap
When Mr Zero-Floor Met Mr Swap

Could the inclusion of a zero floor result in mismatches with rates payable under the swap?

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Volatility in Foreign Currency Leaving More Exposed Than Ever, Chatham Financial Study Finds
Volatility in Foreign Currency Leaving More Exposed Than Ever, Chatham Financial Study Finds

As fewer companies hedge top financial risks and volatility increases, more companies are exposed to risk.