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:

Table 6.2 Relevant accounting standards

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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