Auditing and Derivatives Valuation

Besides guidance provided on:

  • Policy of hedging interest rate risk
  • Qualitative and quantitative assessment of the proposals submitted by banks,

IMF monitors the derivatives portfolio held by the company. For such purpose, valuations are made on the derivatives portfolio, usually on a monthly basis, using calculators and methods recognized by the market.

The valuation is presented in a single, consolidated map, despite company’s derivatives may have different banks as counterparties. The regular valuation is, first and foremost, a tool that allows the company manager to acknowledge the impact of the changes on the yield curve in the market value of its derivatives portfolio, besides giving an updated view of the projected cash flows that derivative will generate.

Another purpose of these maps is the accounting of the fair value of the products / derivatives portfolio, which in recent years became mandatory under the amendments to accounting standards.

Apart from valuations, IMF produces studies required by the auditors in certain circumstances, such as sensitivity analysis on scenarios of changes in the yield curve and efficacy tests that allow to use the derivative as a hedging instrument.

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