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Accounting for Investments, Volume 2, Fixed Income Securities and Interest Rate Derivatives: A Practitioner's Handbook

ISBN: 978-0-470-82905-9
650 pages
July 2011
Accounting for Investments, Volume 2, Fixed Income Securities and Interest Rate Derivatives: A Practitioner


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.

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Table of Contents

Foreword xxiii

Introduction xxv

Preface xxvii

Acknowledgments xxxi

Chapter 1 Fixed Income Securities—Theory 1

Chapter 2 Fixed Income Securities—Fair Value through Profi t or Loss 11

Chapter 3 Fixed Income Securities—Available-for-Sale 113

Chapter 4 Fixed Income Securities—Held-to-Maturity 195

Chapter 5 Presentation, Disclosures & Reclassifi cation 251

Chapter 6 Interest Rate Derivatives—Theory 267

Chapter 7 Interest Rate Swaps—Receive Fixed Pay Floating 283

Chapter 8 Interest Rate Swaps—Pay 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

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Author Information

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.
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