John Trefethen - Director and Co-Founder at
Feb 12, 20185 min read
What to expect from IFRS 9
Publication: Bank Asset / Liability Management Download PDF version On July 24, 2014, the IASB issued IFRS 9 which addresses accounting...
HedgeStar Marketing
Feb 6, 20188 min read
Swaps: Margining and Accounting Considerations
In any discussion of margining, it’s useful to first
distinguish between cleared swaps and non-cleared
swaps. Cleared swaps are reported to
HedgeStar Marketing
Oct 3, 20176 min read
Back-to-Back Swap Strategy
The bank effectively trades the two swaps simultaneously. We start with the consideration of the two, respective at-market swaps – i.e., swa
HedgeStar Marketing
Jul 5, 20176 min read
Interest Rate Swaps: Economics and Accounting
Qualifying for shortcut on fair value hedges requires structuring the swap with the following features: (a) the hedging derivative’s notiona
HedgeStar Marketing
Jul 1, 20175 min read
Thinking Ahead: Adjusting Hedge Coverage as the Market Changes
The thing about risk is that it keeps changing. Whether it’s due to ever-evolving macroeconomic conditions or firm-specific developments, a
HedgeStar Marketing
Apr 1, 20174 min read
Dual Focus: Hedging Programs Need to Focus on Both Sides of the Income Statement
To frame the issue, we start with an appreciation that virtually all companies are in a spread business, where profit (i.e., the spread) equ
HedgeStar Marketing
Dec 6, 20165 min read
Hedging with Off-Market Swaps
While this minor disparity in the effective fixed rate, ex post, relative to its ex ante anticipated fixed rate would likely justify the ass
HedgeStar Marketing
Jul 5, 20165 min read
Hedging Loan Commitments
With this orientation, the bank would typically seek to hedge all or a portion of the uncertain funding costs that would be expected to aris
HedgeStar Marketing
Jun 1, 20162 min read
Designing A Proper Hedge: Theory Versus Practice
The article challenges conventional wisdom as to the form of the regression. Specifically, the traditional text book solution performs a reg
HedgeStar Marketing
Jun 1, 20166 min read
Hedging the Hedge: How Treasurers Can Decide How Much to Hedge
The benefit of derivatives shouldn’t be measured by the profit that they generate, but the possible trouble that they can avoid.