Hedge Accounting Rules

A hedge accounting rule (HA rule) is assigned to each scenario in a system table.

These rules specify how the hedged item and the hedging transaction are valuated before designation, during designation, during the term, and during dedesignation of the hedging relationship.

Scenario	Hedge Accounting Rule
110 FVH: Price Risk with Adjusted Spot-Spot Value Without Foreign Currency	100 Hedge Adjustment P&L
120 FVH: Stocks Hedged with OTC Option	150 Hedge Adjustment P&L / OCI
130 FVH: Stock Hedged with Total Return Swap	100 Hedge Adjustment P&L
150 FVH: Bond Hedged with Interest Rate Swap - Final Maturities Similar	200 Amortization / Hedge Adjustment P&L / Credit Spread OCI
151 FVH: Bond Hedged with Interest Rate Swap - Final Maturities Not Similar	200 Amortization / Hedge Adjustment P&L / Credit Spread OCI
160 FVH: Bond (Liability) Hedged with Interest Rate Swap - Final Maturities Similar	300 Amortization / Hedge Adjustment P&L
510 UoV: Forward Exchange Transactions as Hedging Instruments	400 Valuation Unit
520 UoV: Swaps as Hedging Instruments	400 Valuation Unit
521 UoV: Futures as Hedging Instruments	400 Valuation Unit
522 UoV: Forward Securities Transactions as Hedging Instruments	400 Valuation Unit
523 UoV: Forward Contracts as Hedging Instruments	400 Valuation Unit
530 UoV: Forward Exchange Transaction Hedged with Forward Exchange Transactions	400 Valuation Unit
531 UoV: Swap Hedged with Swaps	400 Valuation Unit
532 UoV: Forward Securities Transaction Hedged with Forward Securities Transactions	400 Valuation Unit
710 CFH: Security Hedged with Interest Rate Swap	500 Hedge Adjustment OCI / Write-Up and Write-Down P&L
720 CFH: Loan Hedged with Interest Rate Swap	500 Hedge Adjustment OCI / Write-Up and Write-Down P&L