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Hedge Accounting

Hedge accounting you can count on

Built by the best financial engineers in the business, GTreasury’s Hedge Accounting solution generates mark-to-market and effectiveness testing based on sound methodologies, measurement calculations built on sophisticated algorithms and curves engineered with precision. GTreasury supports international and U.S. hedge accounting standards and helps users manage earnings volatility with an end-to-end workflow for a wide range of exposures.

Enjoy impressive functionality that meets today’s demands.

  • Relaxation of the change in the lesser of the cumulative change (30(b)) rule for Cash Flow and Net Investment Hedges resulting in reduced P&L volatility
  • Hedging of the benchmark rate for interest rate Fair Value Hedges
  • Treatment of option time value, currency basis and FX forward points as excluded components of OCI
  • Amortization of option time value and FX forward points
  • Partial-term hedging of interest rate exposures

  • Hedging of the contractually specified interest rate for IR Cash Flow Hedges
  • Qualitative retrospective effectiveness assessment
  • Shortcut method for Fair Value Hedges of interest rates
  • Critical Terms Match method for Cash Flow Hedges of foreign exchange and interest rate risk

Easily utilize a variety of hedge types

  • Cash flow hedges of foreign exchange and interest rate risk
  • Fair value hedges of foreign exchange and interest rate risk
  • Net investment hedges of foreign exchange risk

Leverage a range of processes and reports that include:

  • Hedge processing
  • Hedge relationship
  • Hedge allocation
  • Hedge inception
  • Hedge end-of-period
  • End-of-period summary

  • Hedge termination
  • Reclassification
  • Effectiveness sensitivity
  • End-of-period detail
  • OCI release

Enhance your reporting

Create detailed reports for audit purposes with a flexible reporting tool that allows users to process, report and export debt and investment trades as well as measure interest rates and foreign currency risks. Reports can be created by individual instrument or by portfolio.

Monitor hedge effectiveness

Get valuable visual representations of movements in market data and net earnings, in addition to changes in the hedge and exposure on the Hedge Effectiveness Dashboard. For more detailed views, underlying data for each quartile of the dashboard can be displayed simply by toggling an icon.

The immediate results of the GL interface were significant. What originally took 20 fund accountants a day per month to process across 25 funds, now is centrally managed by an automated interface. This process improvement has allowed the fund accountants to transition from a data processing role to focus on other value-add activities.

Iam Ko

Treasury Operations Manager

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