Hedge effectiveness: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson m (Spacing and wiki numbering 27/8/14) |
imported>Doug Williamson (Update for transition to IFRS 9.) |
||
| (4 intermediate revisions by 2 users not shown) | |||
| Line 5: | Line 5: | ||
#Basis risk or basis differences; or | #Basis risk or basis differences; or | ||
#Differences between the quantum of (i) the hedged item and (ii) the hedging instrument. | #Differences between the quantum of (i) the hedged item and (ii) the hedging instrument. | ||
Also known as Hedge efficiency. | Also known as Hedge efficiency. | ||
Metrics for hedge effectiveness include R-Squared and Slope. | |||
| Line 12: | Line 16: | ||
* [[Basis risk]] | * [[Basis risk]] | ||
* [[Efficiency]] | * [[Efficiency]] | ||
* [[Hedge]] | |||
* [[Hedge accounting]] | * [[Hedge accounting]] | ||
* [[ | * [[IFRS 9]] | ||
* [[R-Squared]] | |||
* [[Slope]] | |||
[[Category:Accounting,_tax_and_regulation]] | |||
[[Category:Risk_frameworks]] | |||
Latest revision as of 18:20, 3 February 2018
The degree to which changes in the fair value or cash flows of a hedged item that are attributable to the hedged risk are offset by changes in the fair value or cash flows of the related hedging instrument.
In a situation where a hedge is ineffective (or inefficient) the ineffectiveness may arise from:
- Basis risk or basis differences; or
- Differences between the quantum of (i) the hedged item and (ii) the hedging instrument.
Also known as Hedge efficiency.
Metrics for hedge effectiveness include R-Squared and Slope.
