Interactive tool
Hedge Effectiveness Checker
Enter, period by period, the change in fair value of the hedging instrument and of the hedged item. It computes the dollar-offset ratio — per period and cumulatively — against the historical 80–125% reference band, plus a regression (slope, R², correlation). It's the working companion to the hedge effectiveness testing guide.
| Period | Hedged item Δ FV | Instrument Δ FV | Offset ratio | Band | |
|---|---|---|---|---|---|
| — | n/a | ||||
| — | n/a | ||||
| — | n/a | ||||
| — | n/a | ||||
| Cumulative | 0 | 0 | — | n/a |
Regression
Enter two or more periods (with variation) to fit a regression of the instrument's value changes on the hedged item's.
Enter each side's change in fair value for the hedged risk, with its own sign — an effective hedge shows the instrument moving equal and opposite to the item, so the offset ratio sits near 100% and the regression slope near −1. A negative ratio means both moved the same way. Nothing you enter leaves your browser.
How this works
Methodology
Two standard quantitative tests. Dollar-offset compares the change in fair value of the hedging instrument with the change in the hedged item — each period and cumulatively — where a perfect hedge sits at 100%. Regression fits the instrument's value changes against the hedged item's across periods, reading slope (near −1 for a good hedge), R² and correlation.
Assumptions
- Each figure is the change in fair value attributable to the hedged risk, entered with its own sign.
- A perfectly offsetting hedge shows the instrument moving equal and opposite to the item — ratio 100%, slope −1.
- The 80–125% band shown is the historical IAS 39 (and US-GAAP-practice) bright line, surfaced for reference only.
Limitations
- IFRS 9 has no fixed pass mark — it asks for an economic relationship, credit risk not dominating, and a hedge ratio that reflects what you actually do. This computes indicative numbers, not an accounting determination.
- It does not measure the ineffectiveness to book, isolate credit-risk effects, or test the hedge ratio — those need your accounting policy and system.
- Dollar-offset can mislead on very small value changes; regression needs enough varied periods to be meaningful. Confirm any conclusion with your accountants.