Hedge Accounting

Test the effectiveness of your hedges, apply the defined accounting treatment and create general ledger journals with Whistlebrook’s Hedge Accounting system.


The Whistlebrook Hedge Accounting product (WHA®) provides users with a tool to perform prospective and retrospective assessments as required by IAS39 for dynamic fair value macro hedging.

For the aforementioned hedging, users can derive relationships according to user preferences, to optimise expected hedge effectiveness and then generate the necessary hedge accounting entries for posting in the general ledger.

  • An easy to use system with automatic hedging process for portfolio macro hedging
  • Assessments that justify application of hedge accounting
  • Full audit trail of complex calculations underpinning hedging effectiveness test
  • Removes any reliance on highly complex Excel workbooks and reduces related key person risk
  • Detailed reports of effectiveness by relationship and hedged portfolio
  • Granular data drill down
  • User specified assessment parameters
  • Prospective and retrospective hedge assessments
  • Automatic accounting journal production
  • Pre and de-designation events

Our customers use WHA® to successfully apply the rules of hedge accounting and thereby assist in reducing volatility in Profit or Loss, linked to fair value movements. The ‘user friendliness’ of the system makes a complex accounting problem a more straightforward task, through options for deriving hedge relationships in fair value macro hedging, as well as granularity of data in a highly complex area. The detailed reporting available from the system ensures that the ‘how’ and ‘why’ of the automatically generated journals are easy to understand.