A comprehensive guide to new and existing accounting practices
for fixed income securities and interest rate derivatives
The financial crisis forced accounting standard setters and
market regulators around the globe to come up with new proposals
for modifying existing practices for investment accounting.
Accounting for Investments, Volume 2: Fixed Income and Interest
Rate Derivatives covers these revised standards, as well as
those not yet implemented, in detail.
Beginning with an overview of the financial products affected by
these changes--defining each product, the way it is
structured, its advantages and disadvantages, and the different
events in the trade life cycle--the book then examines the
information that anyone, person or institution, holding fixed
income security and interest rate investments must record.
* Offers a comprehensive overview of financial products including
fixed income and interest rate derivatives like interest rate
swaps, caps, floors, collars, cross currency swaps, and more
* Follows the trade life cycle of each product
* Explains how new and anticipated changes in investment
accounting affect the investment world
Accurately recording and reporting investments across financial
products requires extensive knowledge both of new and existing
practices, and Accounting for Investments, Volume 2, Fixed
Income Securities and Interest Rate Derivatives covers this
important topic in-depth, making it an invaluable resource for
professional and novice accountants alike.
Autorentext
A graduate of the University of Madras, Venkata Subramani is
a Chartered Accountant who began his career with a professional
accounting firm in Chennai.
Venkat is currently Product Manager at Calypso Technology, a global
financial software and services company delivering integrated
cross-asset solutions for trading, risk, processing and control,
serving a broad spectrum of customers including financial
institutions, prime brokers, asset managers, hedge funds, insurers,
corporates and exchanges. Venkat's expertise includes
accounting and reporting for different types of financial
instruments as per US GAAP and IFRS.
Previously he was managing a team of core finance and accounts
professionals in a US-based hedge fund administration firm serving
several global clients. Venkata Subramani lives in Chennai with his
wife and daughter.
Zusammenfassung
A comprehensive guide to new and existing accounting practices for fixed income securities and interest rate derivatives
The financial crisis forced accounting standard setters and market regulators around the globe to come up with new proposals for modifying existing practices for investment accounting. Accounting for Investments, Volume 2: Fixed Income and Interest Rate Derivatives covers these revised standards, as well as those not yet implemented, in detail.
Beginning with an overview of the financial products affected by these changesdefining each product, the way it is structured, its advantages and disadvantages, and the different events in the trade life cyclethe book then examines the information that anyone, person or institution, holding fixed income security and interest rate investments must record.
- Offers a comprehensive overview of financial products including fixed income and interest rate derivatives like interest rate swaps, caps, floors, collars, cross currency swaps, and more
- Follows the trade life cycle of each product
- Explains how new and anticipated changes in investment accounting affect the investment world
Accurately recording and reporting investments across financial products requires extensive knowledge both of new and existing practices, and Accounting for Investments, Volume 2, Fixed Income Securities and Interest Rate Derivatives covers this important topic in-depth, making it an invaluable resource for professional and novice accountants alike.
Inhalt
Foreword xxiii
Introduction xxv
Preface xxvii
Acknowledgments xxxi
Chapter 1 Fixed Income SecuritiesTheory 1
Chapter 2 Fixed Income SecuritiesFair Value through Profi t or Loss 11
Chapter 3 Fixed Income SecuritiesAvailable-for-Sale 113
Chapter 4 Fixed Income SecuritiesHeld-to-Maturity 195
Chapter 5 Presentation, Disclosures & Reclassifi cation 251
Chapter 6 Interest Rate DerivativesTheory 267
Chapter 7 Interest Rate SwapsReceive Fixed Pay Floating 283
Chapter 8 Interest Rate SwapsPay Fixed Receive Floating 335
Chapter 9 Interest Rate Caps 389
Chapter 10 Interest Rate Floors 483
Chapter 11 Interest Rate Collar 563
Chapter 12 Cross-Currency Swaps (XCCY Swaps) 631
Bibliography 705
Index 707