Overview

  • Understand the basics of hedge accounting
  • Understand how the macro fair value hedge model is positioned in IAS 39
  • Understand the MFVH model relates to other hedge accounting models
 

Detailed Objectives

A) Why macro fair value hedge?

  • Understand why an alternative MFVH-model is necessary for banks to effectively apply hedge accounting
  • Which assets and liabilities are eligible hedged items in a macro fair value hedge accounting model
 

B) MFVH process steps

  • Understand the various steps that are part of a standard MFVH model: bucketing, designation, effectiveness testing, MFVH adjustments, amortisations & releases and pull to par adjustments
 

C) Journal entries:

  • Understand the macro fair value hedge accounting adjustments
  • Post amortisation adjustments and releases of MFVH-adjustments
 

D) Impact on Practical considerations:

  • Understand what practical difficulties banks face when applying a macro fair value hedge accounting model