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White Paper

Hedge Accounting for Off-market Interest Rate Swaps under IFRS 9

  • Kern Roberts headshot


    Kern Roberts

    Managing Director
    Global Accounting Practice Lead



Hedge accounting is a key component when trading interest rate swaps with off-market derivatives. End users must navigate the complexities of hedge accounting to optimise the success of their hedging relationships. This white paper provides guidance as to how to identify an off-market hedge and suggests models for applying the hedge accounting guidance under IFRS 9 to such instruments.

Key takeaways

  • Learn to identify whether a derivative is off-market or at-market as hedge accounting treatment differs between the two.
  • Understand the meaning behind ineffectiveness in off-market hedging and the effectiveness of the economic relationship to an off-market hedge.
  • Discover the two contrasting methods of measuring the cash flow hedge reserve, interest expense, and hedge ineffectiveness.

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About the author

  • Kern Roberts

    Managing Director
    Global Accounting Practice Lead


    Kern Roberts leads Chatham’s Global Accounting Advisory team, overseeing the team's strategic direction and operational excellence. Kern sits on the European and North American Accounting Working Groups of ISDA.


This material has been created by Chatham Financial Europe, Ltd. and is intended for a non-U.S. audience. Chatham Financial Europe, Ltd. is authorised and regulated by the Financial Conduct Authority of the United Kingdom with reference number 197251.