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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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Liability-Sensitive Financial Institutions – Improvements to Cash Flow Hedge Accounting
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NeuGroup FXMPG Summit 2018
NeuGroup FXMPG Summit 2018

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