zeb.control.accounting - Hedge

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Overview

The Hedge-Engine enables hedge accounting for interest rate risks pursuant to IAS 39 and IFRS 9. The module supports cash flow and fair value hedge accounting as well as the fair value option with bank-wide management accounting. The multi-curve ability of the Hedge-Engine covers current audit requirements. The controlling and treasury management processes are fully supported from the creation of hedging relationships to efficiency tests and from determining posting consequences to subsequent plausibility checks. Comprehensive simulation options, the audit-proof documentation of the hedge process and a competency system with logging function complement the functionalities.

Key Features

IAS.Hedge-Engine

The IAS.Hedge-Engine covers hedge accounting for interest rate risks pursuant to IAS 39 and IFRS 9. The module supports cash-flow and fair value hedge accounting as well as the fair value option with bank-wide controlling. The multi-curve ability of hedge engine covers current audit requirements. The controlling and treasury management processes are fully supported from the creation of hedging relationships to the performance of efficiency tests and from determining posting consequences to subsequent plausibility checks. The functionalities are rounded off by comprehensive simulation options, the audit-proof documentation of the hedge process and a competency system with logging function. The IAS.Hedge-Engine can be set up as an add-on to existing IFRS systems and posting approaches requiring the integration of a minimum number of components and can import portfolio and market data from existing data sources.

Hedge selection and effectiveness test

Via an optimized hedge selection residual volatilities are mostly reduced and the following advantages are offered: simulation and control options, an efficient P&L rejection and a reduction of deflections of sensitivities. Detailed information of prospective and retrospective effectiveness tests is presented clearly in table format and there is the possibility of a detailed graphical analysis.

The retrospective measurement of effectiveness is carried out using interest rate-related effects. With completion of the first hedge period or after termination of the hedge relationship the underlying transaction is amortized.

Recognition of changes in the Fair Value Hedge

According to an economically sensible treatment the IAS.Hedge-Engine divides the changes in hedge fair values in the components rate-P&L (change in market interest rates) and interest-P&L (remaining term effect). This method is seen as state-of-the-art method and is also from zeb experience the consistently applied method, because she guarantees transparency.

The zeb.control.accounting – Hedge Engine offers a variety of standard reports that partly can be adapted to the individual client. Within the report “Amortisation” for example the development of the line items can be reconstructed and the analysis report parses the reasons for inefficiencies between hedge items and hedge instruments.

Key Benefits

  • zeb’s expert knowledge of IFRS 9 Standard – proven track record
  • Implementation expertise at international institutions with different size and complexity
  • Low investments by integration into existing IT landscapes
  • Efficient solution with customizing options – fast, flexible and easy to use
  • State-of-the art technology

Product/Service details

Geographic Availability
Europe