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Raiffeisen Bank International

Reference SaaS-Operations

Implementation of Hedge Accounting

Raiffeisen Bank International (RBI) is one of the leading banks in Austria and Central and Eastern Europe. In collaboration with zeb, it expanded its hedge accounting activities and implemented a centralized hedge engine.

Results at a glance

RBI, in collaboration with zeb, expanded its hedge accounting activities by introducing a hedge engine and additional hedge accounting methods. This enabled the automation of processes, increased transparency, and helped stabilize financial results.

Hedge Engine

Implementation of a centralized software solution for hedge accounting.

Advanced Method

Portfolio fair value hedge accounting, cash flow hedge accounting, and other enhancements have been implemented.

Automated processes

Extensive automation of hedge accounting processes.

More stable financial results

Improved transparency and stabilization of income statement effects.

Background & Objectives

Return and Risk Management

To hedge against market fluctuations, customer transactions are economically hedged using derivatives. However, without recognition in the balance sheet under hedge accounting, fluctuations occur in the income statement and equity.

Accounting Challenges

Without hedge accounting, the combination of cost and fair value measurement results in an inaccurate presentation of changes in value.

Implications for Bank Management

Because of its impact on the income statement, hedge accounting plays a key role in stabilizing financial results.

Project Assignment

In collaboration with zeb, the use of additional hedge accounting methods should be enabled and technically implemented via the Hedge Engine.

The Solution: project content and approach

Phase 1: Technical Concept and Hedge Engine

During the project setup phase, business and technical requirements were first defined, data requirements were identified, and the target architecture was developed. Based on this, a business concept was created and the Hedge Engine was implemented.

Phase 2: Expansion of Hedge Accounting Methods

This was followed by the implementation of portfolio fair value hedge accounting and cash flow hedge accounting. In addition, the “Hedge Selection” module was implemented to optimize the assignment of hedging relationships.

Phase 3: Further Development and Optimization

The third phase involved the implementation of micro fair value hedge accounting for non-linear products, the expansion of regression analysis based on projected cash flows, and the development of a derivatives netting prototype. This further improved hedge effectiveness.

Overview of Project Phases and Scope

The project was implemented in several sequential phases. The implementation of the Hedge Engine laid the foundation for the gradual expansion and optimization of hedge accounting methods.

Übersicht Projekt Hedge Accounting Raiffeisen Bank International

Objective and Impact

Implementation

Introduction of the Hedge Engine
Building a More Powerful Infrastructure
Expansion to Include Additional Hedge Accounting Methods
Integration of Hedge Selection and Regression Analysis
Development of a Derivatives Netting Prototype

Results

Expansion of Hedge Accounting Activities
Improved Mapping of Hedging Relationships
Optimized Assignment to Hedge Accounting Approaches
Increased Hedge Effectiveness Through New Methods

Wirkung

Extensive automation of processes
Stabilization of financial results
Improved transparency of results
Creation of a robust infrastructure for hedge accounting

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REFERENCES

Selected References

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