ACCOUNTING STANDARDS FOR INTEREST RATE DERIVATIVES
In the subsequent chapters we will cover the accounting requirements for interest rate derivatives in the form of interest rate swaps, caps, floors, collars and reverse collars. Also we will cover cross currency swaps and swaption contracts. An interest rate derivative instrument is a form of derivative and if used as a hedging instrument requires special hedge accounting treatment.
The accounting treatment under the US GAAP for interest rate derivatives is covered in Table 6.2. The relevant International Financial Reporting Standards, IAS (International Accounting Standard) are also given:
US GAAP Topics | IFRS |
220—Comprehensive Income | IFRS 7—Financial Instruments: Disclosure |
320—Investments—Debt and Equity Securities | IFRS 9—Financial Instruments |
820—Fair Value Measurements and Disclosures | IAS 21—The Effects of Changes in Foreign Exchange Rates |
825—Financial Instruments | IAS 32—Financial Instruments: Presentation |
830—Foreign Currency Matters | IAS 36—Impairment of Assets |
946—Financial Services—Investment Companies | IAS 39—Financial Instruments: Recognition and Measurement |
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