Appendix D — Roadmap Updates for 2024

Modified On the Horizon to include recent FASB activity related to its September 2024 proposed ASU that makes targeted improvements to hedge accounting.

Objective of Hedge Accounting

Added reference to Deloitte’s Roadmap Derivatives.

History of Hedge Accounting Guidance

Interest Rate Risk

Added discussion of reference rate reform and the replacement of LIBOR with SOFR.

Contractually Specified Component of Existing Contract

Modified Changing Lanes discussion to include recent FASB activity related to its project on Codification improvements to hedge accounting.

Contractually Specified Component of a Contract That Does Not Yet Exist

Modified Changing Lanes discussion to include recent FASB activity related to its project on targeted improvements to hedge accounting.

The Written Option Test

Modified Changing Lanes discussion to note that the FASB’s September 2024 proposed ASU includes guidance on applying the net written option test when the designated hedging instrument in a cash flow hedge is a compound derivative made up of a written option and a nonoption derivative.

Interest Rate Risk Hedging

Expanded discussion of determining the benchmark component of contractual coupons.

Date or Range of Dates

Modified Changing Lanes discussion to include recent FASB activity related to its project on targeted improvements to hedge accounting.

Choose-Your-Rate Debt

Added Changing Lanes discussion of recent FASB activity related to its project on targeted improvements to hedge accounting.

Illustrative Examples

Added Example 4-18A to demonstrate the accounting for an off-market interest rate swap hedging variable-rate debt.

Hedging Instrument Is a Nonderivative Instrument

Modified Changing Lanes discussion to include recent FASB activity related to its project on targeted improvements to hedge accounting.