Hedge accounting (Cross Currency Basis Swaps, CCIRS)

TS fully supports hedge accounting on Cross-currency rate swaps (CCIRS). According to IFRS 9, the net market value of the CCIRS needs to be booked on the balance sheet as a short-term/long-term asset or liability. If the hedge is effective, the interest gain loss and fx gain loss should be booked to equity accounts. The basis spread effect is not on the hedged instrument and must be booked on the profit and loss accounts. 

1. In Deal input on the cross-currency rate swap, if you want to book the basis spread effect separately, then you need to add the interest rate curve without the basis spread effect in the field Discount curve (no basis spread) 

Add the report column Basis spread effect to all your month end accounting reports to reconcile the basis spread effect between TS and the ERP. 

Add two new lines in the amount types se below

Note, there is only debit booking on a deposit and a credit booking on a loan since the basis spread effect is subtracted from the market value. 

Add all GL accounts in the accounting rules  for CCIRS