It has become market practice for lenders to include wording in facility agreements that provides that the applicable IBOR (interbank offered rate) shall never be less than zero (a zero floor). But what happens if the transaction includes a corresponding interest rate swap (IRS)? Could the inclusion of a zero floor result in mismatches with rates payable under the swap?
FASB Changes: Off Market Interest Rate Hedge Accounting
The updated guidance introduces a new way to deal with off-market hedging relationships.
Other content in this Area
Is FX Hedging Right for Your Corporation? 5 Questions Your Board Wants Answered
To better prepare the treasury team, this article offers key questions frequently asked by Boards when they are evaluating whether to implement an FX hedging program.
Setting Up Treasury at High-Growth Companies: Informed Insights from Chatham Financial
At what point does a high-growth company need a treasurer? Amol Dhargalkar discusses the right time to start or expand a treasury department and how to balance talent and technology for maximum effect
Preparing for SA-CCR
Eric Juzenas, Global Head of Compliance and Regulation for Chatham Financial, discusses the“Notice of Proposed Rulemaking,” which concerns revisions to the standardized approach for calculating the ex
Strategic Opportunities Under the Revised Hedge Accounting Standard
The new hedge accounting guidance expands the strategies that qualify for hedge accounting and introduces new opportunities for companies to mitigate earnings volatility.
After the U.S. increased tariffs on $200 billion of Chinese goods, China announced retaliatory tariffs ranging from 10% to 25% on $60 billion of U.S. goods beginning on June 1st.
Corporate Borrowers Must Engage More in SOFR Phase-In
Corporate borrowers are running out of time to weigh in on SOFR as the benchmark rate to replace LIBOR.
Amanda Breslin Named to U.S. CFTC Agricultural Advisory Committee (AAC)
The U.S. Commodity Futures Trading Commission (CFTC) has appointed Amanda Breslin, executive director, treasury advisory for Chatham Financial, as a member of its Agricultural Advisory Committee (AAC)
ChathamDirect - February 2019
As part of our ongoing efforts to deliver the most advanced treasury risk management system in the marketplace, ChathamDirect is pleased to introduce the latest enhancements to our platform.
Hedge Accounting: 5 Advantages of Early Adopting ASU 2017-12
The FASB issued ASU 2017-12 in an effort to make targeted improvements to hedge accounting. Many companies plan to early adopt the new standard because it offers strategic benefits.
5 Treasury Trends to Watch in 2019
The year is closing with tremendous market uncertainty, requiring treasury and finance professionals to re-evaluate their risk management strategies with a particular focus on these 5 key trends.
Semi-Annual Market Update
In this installment of Chatham’s semi-annual market update webinar series, we will examine current market conditions, drivers, and indicators, as well as communications from the Fed, and more.
Preparing for the IBOR Transition: Steps End Users Need to Consider
The IBORs – the Interbank Offered Rates – are in danger of degrading or disappearing.
Infographic - The True Cost of Hedging
Ensuring an effective, compliant hedging program means assessing both visible and hidden costs across all hedging activities, including strategy and pricing, legal and regulatory, and accounting.
New Hedge Accounting Rules: Are You Ready?
An in-depth review of ASU 2017-12 and its potential effects on your hedging program.
Interest Rate Swap Pricing: Pulling Back the Curtain on Syndication
To choose the best interest rate hedging strategy, understand the pros and cons of derivative syndication as opposed to competitive auctions, direct negotiation and other alternatives.
3 Risk Management Processes You Should Be Automating (But Probably Aren't)
If you’re not using automation to streamline these three areas, you are probably not automating your risk management program as much as you should be.
Infographic: 8 Steps for Adopting the New FASB Hedge Accounting Rules
Mandatory adoption of the new FASB hedge accounting rules (ASU 2017-12) is right around the corner. Below are eight key steps to think about as you prepare to adopt the new standard.
Treasurers: What Your Team Needs from a Treasury Risk Management System
Treasurers, whether you know it or not, your team is beset with dangers. They are already a lean team doing more than their fair share of work, managing cash and risk and other important missions.
A Vine Copula–GARCH Approach to Corporate Exposure Management
Our results suggest that, while more traditional models may be adequate to capture either tail behavior or dependence adequately for a given portfolio at a given time, vine–GARCH models more...
Using Today's Yield Curve to Inform Your Hedging Decisions