Orbit Group Applying hedge accounting to a complex derivatives portfolio
Many of our housing clients have recently had to apply derivatives fair value accounting for the first time under incoming FRS102 financial instruments accounting rules. Centrus has helped a number of major national housing associations including Orbit to get to grips with the complexities of applying hedge accounting to their complex and sizeable derivatives portfolios. Centrus advised its clients on a range of issues, including structuring optimally efficient hedge accounting portfolio, documenting hedge relationships, constructing hedge effectiveness testing models, and calculating the effective and ineffective portions to generate accounting entries. In addition, Centrus has assisted a number of clients to restructure ineffective and non-vanilla swap positions in order to improve hedge effectiveness and achieve better hedge accounting compliance.