White Papers

Loan Level Hedging Programs Under the Volcker Rule

Regulators have indicated that a financial institution desiring to conform its loan level hedging program to a permitted form of proprietary trading should pursue the market making exemption.

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.

The State of Financial Risk Management: Benchmark Report

An independent study of more than 1,500 US, public companies examining their risk exposures, hedging, and hedge accounting practices as reported in their 2015 annual 10-K.

Impact Analysis of IFRS 9

Assessment of the Impact of the IFRS 9 Standard on Hedge Accounting

Hedging Deposits to Reduce Liability Sensitivity

For a liability sensitive financial institution, reducing asset duration or extending liability duration (or both) can have the desired impact on the FI’s interest rate risk position.

Balance Sheet Risk Management Hedging Programs Under the Volcker Rule

Balance sheet risk management hedging transactions are typically not “proprietary trading” nor should the BSRM programs themselves be required to implement a compliance regime.

FIs Investing in Municipal Bonds: What to Look For

Municipal bonds can be an important asset class to hold in an FI’s investment portfolio, offering lower taxable income and higher tax equivalent yields than similarly rated investment alternatives.

Debt Valuation Methodologies - Chatham Financial - August 2018

Best Practice Analysis of Credit Valuation Adjustment (CVA) Methodologies Under ASC 820

This white paper provides a thorough analysis of the five identified CVA methods for both foreign exchange and interest rate derivatives.

Common Challenges to Hedging FX Risk

This article will cover three key hurdles that companies face when crafting and maintaining currency hedging programs: Data, Design, and Accounting.

Debt Valuations in Accordance with ASC 820

With the introduction of ASC 820 (FAS 157), fair values in general have received increased attention. However, the fundamental concepts of debt valuations have not changed.