Verasis Hedge Effectiveness

Technical information

The purpose of hedge effectiveness and hedge accounting is to reduce and/or offset the impact of derivative (hedge) valuation volatility in the profit and loss account.

The regulatory requirements and rules for Hedge Effectiveness and Hedge Accounting are complex and confusing. The complexity and confusion is only compounded by the logistical issues of working across multiple systems, multiple asset classes, multiple portfolios and multiple currencies.

But now your business can benefit from:

  • Consolidating all hedge effectiveness of all hedge relationships (Cash Flow, Fair Value, FX, Income etc) into a single system
  • The ability to model and profile retail / corporate book
  • Automatic hedge trade allocation
  • Full retrospective and prospective testing of hedge relationships

The Verasis Hedge Effectiveness module is the solution to these and many other applications. It is an intuitive and flexible tool that enables:

  • Interfacing with Treasury and Banking systems to consolidate the management of hedge relationships
  • Profiling and modelling of retail books and balance sheet items
  • The efficient and effective auto-allocation of Hedge Trades to underlying business to maximise the effectiveness of the hedge relationships
  • Full and automated prospective testing to justify and provide on-going validation of the suitability of the hedge
  • Full and automated retrospective regression testing and analysis to provide the hedge effectiveness accounting