Hedge Accounting

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Regulatory Reporting Market Risk Liquidity Capital Adequacy Margin Management & FTP Financial Planning Hedge Accounting Data Platform

Overview

The ALMIS® Hedge Accounting module is a powerful and comprehensive IAS 39 and IFRS 9 compliant hedge accounting solution which minimises the administrative burden and reduces accounting volatility. It is used in particular for IAS 39 macro fair value hedge accounting.

Features

  • Fair value and cash flow hedge accounting
  • Macro portfolio and Micro hedge accounting
  • Auto Hedge Item Allocation
  • Prospective and retrospective effectiveness testing
  • Yield curve and valuation features
  • Integrates with IRRBB and risk management
  • Automated amortisation adjustment for initial designations
  • PV base hedge ratio calculation over time
  • Accounting journals

Request Portfolio (macro) Hedge Accounting article