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Redesignation of a hedge relation after dedesignation

Hi treasury experts

We are using a cashflow hedge for FX-exposures together with the dollar offset method for the effectiveness test. Since sometimes a hedge relation runs erroneously out of effectiveness - especially when market quotes are close to the spot values of the FX-rates of the hedge instrument - the hedge relation is marked as ineffective, so that the fair value changes of the hedge derivative are posted to P&L.

As soon as effectiveness is realized again, we would like, that no such P&L postings occur any more, but all NPV-changes go to OCI again. Unfortunately the postings still go to the P&L, even though the effectiveness test (thm50) tells that the relation is effective (what can be seen by THMST).  Some idea what goes wrong here?

Regards, Sebastian Sachse 

Former Member
Former Member replied

Hi Sebastian,

Yes you can maintain Threshold % and transition speed in SPRO> FSCM>TRM>General settings > Hedge Management > Effectiveness Test>Define Calculation Types

Add the threshold and Transition for the  calculation type used in the hedge strategy your HR.



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