Multi-curve hedge accounting models

Derivatives pricing practices have undergone huge change since the crisis, including the move to overnight indexed swap discounting. What impact do these changes have on hedge accounting under International Financial Reporting Standards? By Dirk Schubert

Financial market professionals are still getting to grips with the many changes that have occurred to pricing practices since the financial crisis. Whereas practitioners could once afford to ignore the tiny differences that existed between key market rates – Libor and overnight indexed swap (OIS) rates or three-month and six-month Libor, for instance – the crisis meant that was no longer possible. The basis between Libor and OIS, as well as between different parts of the Libor curve, blew out