Aspectos a considerar en los cálculos de efectividad de una cobertura de valor razonable en donde el swap de tasa de interés intercambia una tasa flotante por otra tasa flotante

Miguel A. García; Heriberto G. Martínez; Jesús G. Cruz

doi:10.29105/rinn6.12-10

Key points to consider during the implementation of the effectiveness testing for a variable-to-variable interest rate swap hedging relationship

Authors

Miguel A. García Autonomous University of Nuevo León
Heriberto G. Martínez Autonomous University of Nuevo León
Jesús G. Cruz Autonomous University of Nuevo León

DOI:

https://doi.org/10.29105/rinn6.12-10

Keywords:

Bulletin C-10, Effectiveness Testing, Hedge Accounting, Swaps

Abstract

This article analyzes the hedge accounting of fair value hedge on a variable-tovariable swap. Following the effectiveness valuation procedure established in Bulletin C-10 “Derivative Financial Instruments and Hedge Activities” under Mexican GAAP will generate distorted effectiveness outcome even though the critical terms between the hedge item and the hedging instrument are the same in all aspects. To show this effect we present a hypothetic example for a fair value hedge relationship LIBOR-TIIE. Our conclusion is that this distortion is due to a valuation effect known as “pull to par” especially when the coupon reset dates of the hedge item and the hedging instrument does not match with the valuation date. Finally, it propones alternative ways to book this kind of transactions that eliminate the temporal distortion that this pull to par effect generates.

Downloads

Download data is not yet available.

References

Bodurtha, J. N., 2005. Divergent FAS-133 and IAS-39 Interest Rate Risk Hedge Effectiveness: Problem and Remedies. Journal of Derivatives Accounting , 2 (1), 1-13.

Coughlan, G., Kolb, J., & Emery, S., 2003. HEAT Technical Document: A consistent framework for assessing hedge effectiveness under IAS39 and FAS133. London: Credit & Rates Markets J.P. Morgan Securities Ltd.

FASB, F.A., 2004. Accounting for Derivative Instruments and Hedging Activities. FASB Statement No. 133. Norwalk, Connecticut: Financial Accounting Standard Board.

Hull, J., 2008. Options, Futures & Other Derivatives. USA: Prentice Hall.

IFRS, I.A., 2005. Financial Instruments, Reporting and Accounting. United Kingdom: International Accounting Standards Committee Foundation.

IMCP, I.M., 1992. Principios de contabilidad generalmente aceptados. México, D.F.: Instituto Mexicano de Contadores Públicos, A.C.

NIF, I.M., 2004. Principios de Contabilidad Generalmente Aceptados. México: Instituto Mexicano de Contadores Públicos, A.C.

Tuckman, B., & Jegadeesh, N., 2000. Advanced Fixed- Income Valuation Tools. Canada: John Wiley & Sons

Downloads

PDF (Español (España))

Published

2009-07-24

How to Cite

García, M. A., Martínez, H. G., & Cruz, J. G. (2009). Key points to consider during the implementation of the effectiveness testing for a variable-to-variable interest rate swap hedging relationship. Innovaciones De Negocios, 6(12), 325–339. https://doi.org/10.29105/rinn6.12-10

Download Citation

Issue

Vol. 6 No. 12 (2009): Julio-Diciembre, 6(12)

Section

Artículos

License

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

The InnOvaciOnes de NegOciOs magazine is a free and open access electronic magazine of a scientific-academic nature and is a publication of the Autonomous University of Nuevo León, in which the authors retain their copyright and grant the magazine the exclusive right to first publication of the work. Third parties are allowed to use the published content, as long as the authorship of the work is acknowledged and the first publication in this journal is cited.

For more information, please contact the Research Secretary (FACPyA) of the Autonomous University of Nuevo León. Telephone: (81) 1340-4430. Email: revinnova@uanl.mx