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Hedge Accounting Within Ias 39

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Author Info

  • Rossi, Alessandro

    ()
    (Joint Research Centre of the European Commission)

  • Canpolongo, Francesca

    ()
    (Joint Research Centre of the European Commission)

  • Bichisao, Guido

    ()
    (European Investment Bank, Finance Directorate)

Abstract

This work proposes an accounting calculation scheme for hedging swaps based on the requirements listed under International Accounting Statement (IAS) 39. In particular we developed a procedure that assists risk managers in the identification of the hedging efficiency between a group of loans (or bonds) and swaps held in a bank portfolio qualifying for hedge accounting. The proposed scheme aims at associating to any given swap of the bank portfolio, a certain collection of loans (or bonds) whose risk exposures offset each other. The final result is the construction of a number of hedges that are effective according to IAS 39.

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File URL: http://www.eib.org/attachments/efs/efr_2002_v02_en.pdf
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Bibliographic Info

Paper provided by European Investment Bank, Economics Department in its series Economic and Financial Reports with number 2002/2.

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Length: 15 pages
Date of creation: 01 Nov 2002
Date of revision:
Handle: RePEc:ris:eibefr:2002_002

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Related research

Keywords: Accounting; IAS 39; International Accounting System 39; swap; Hedge;

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Citations

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Cited by:
  1. Stewart, James, 2010. "The UK National Infrastructure Plan 2010," EIB Papers 6/2010, European Investment Bank, Economics Department.
  2. Helm, Dieter, 2010. "Infrastructure and infrastructure finance: The role of the government and the private sector in the current world," EIB Papers 5/2010, European Investment Bank, Economics Department.
  3. Estache, Antonio, 2010. "Infrastructure finance in developing countries: An overview," EIB Papers 8/2010, European Investment Bank, Economics Department.
  4. Engel, Eduardo & Fischer, Ronald & Galetovic, Alexander, 2010. "The economics of infrastructure finance: Public-Private Partnerships versus public provision," EIB Papers 2/2010, European Investment Bank, Economics Department.
  5. Bitsch, Florian & Buchner, Axel & Kaserer, Christoph, 2010. "Risk, return and cash flow characteristics of infrastructure fund investments," EIB Papers 4/2010, European Investment Bank, Economics Department.
  6. Inderst, Georg, 2010. "Infrastructure as an asset class," EIB Papers 3/2010, European Investment Bank, Economics Department.
  7. Fay, Marianne & Iimi, Atsushi & Perrissin-Fabert, Baptiste, 2010. "Financing greener and climate-resilient infrastructure in developing countries - challenges and opportunities," EIB Papers 7/2010, European Investment Bank, Economics Department.
  8. Wagenvoort, Rien & de Nicola, Carlo & Kappeler, Andreas, 2010. "Infrastructure finance in Europe: Composition, evolution and crisis impact," EIB Papers 1/2010, European Investment Bank, Economics Department.
  9. Bunea-Bontaş, Cristina Aurora, 2009. "Basic Principles of Hedge Accounting," MPRA Paper 17072, University Library of Munich, Germany.

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