Hedge effectiveness: Difference between revisions

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imported>Doug Williamson
m (Spacing and wiki numbering 27/8/14)
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]]
* [[IAS 39]]
* [[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:

  1. Basis risk or basis differences; or
  2. 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.


See also