HEDGE ACCOUNTING & COMPLIANCE
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Visual RiskTM has all the functionality you need to comply with today’s onerous
accounting standards. The system allows for full designation, documentation and effectiveness testing
of hedge relationships under IAS 39 / FAS 133. It can also be utilised to provide the quantitative
analytics necessary for compliance with IFRS 7.
Hedge Designation and Documentation
- Easily links designated exposures and hedges
- Fully documents hedge relationships
- Handles complex instruments including Cross Currency Swaps, amortising structures and a range of options
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Hedge Effectiveness Testing
- Tests prospective and retrospective effectiveness using regression or dollar-offset
- Runs effectiveness testing for complex interest rate, FX and commodity relationships (including commodity basis risk)
- Can use hypothetical derivative for effectiveness testing
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Accounting and Audit Reporting
- Generates all outputs for compliance purposes
- Calculates equity and P&L accounting entries for each relationship
- Values exposures and hedges excluding accrued interest, margin or forward points
- Splits option valuation into time and intrinsic value
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IFRS 7 Compliance
- Runs sensitivity analyses of hedges and unhedged exposures with user-defined market shocks
- Allocates and tabulates market sensitivity results into potential impact on equity and P&L
- Calculates Value-at-Risk for complex portfolios
- Generates liquidity risk disclosures using undiscounted cash flows
- Reports counterparty credit risk
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Effectiveness Testing
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Market Data Management
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Mark-to-Market Valuations
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Hedge Accounting Reports
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Accounting Entries
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Need more information? Download the brochure below.
IAS39 (PDF - 339Kb)
