Hedge Accounting Masterclass for Treasury & Risk professionals – delivered by EY

Hedge Accounting Masterclass for Treasury & Risk professionals – delivered by EY

Monday 11th September, 12 noon to 1pm, online via Zoom

The UK and Europe have reached some of the highest levels of inflation in the last 40 years, leading Central Banks to raise rates by >350bps in the last 12 months and more still likely to come. With many years of low interest rates and rates stability, the hedge accounting strategies of Banks have been relatively stable over time.

The increase in interest rates by central banks have resulted in large P/L and Other Comprehensive Income (OCI) volatility due to the movements in these rates. This is leading banks to assess their current hedge accounting strategies and non-hedge accounted exposures, including technological capacity for broader and complex hedge strategies. Structural risks are now more explicit with banks re-evaluating the appropriateness of risk appetite, tolerances, and monitoring capabilities in the evolution of stress events.

This Masterclass, delivered by Tom Hampshire, Yugeshni Reddy CA(SA) and Idris Ayinde, ACA, CFA from EY, will examine the key concepts, challenges and how to navigate hedge accounting in the current rate environment and the implications for Treasury and ALM teams, with worked examples. Emerging and widely utilised hedge accounting approaches such as pipeline hedges, proxy hedge, structural hedges and hedging of Inflation linked assets will also be examined.