Hedge effectiveness: Difference between revisions
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imported>P.F.cowdell@shu.ac.uk m (Categorise the page) |
imported>Doug Williamson (Update for transition to IFRS 9.) |
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#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. | |||
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* [[Basis risk]] | * [[Basis risk]] | ||
* [[Efficiency]] | * [[Efficiency]] | ||
* [[Hedge]] | |||
* [[Hedge accounting]] | * [[Hedge accounting]] | ||
* [[ | * [[IFRS 9]] | ||
* [[R-Squared]] | |||
* [[Slope]] | |||
[[Category:Accounting,_tax_and_regulation]] | [[Category:Accounting,_tax_and_regulation]] | ||
[[Category:Risk_frameworks]] | [[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.
