REDUCTION OF FINANCIAL INSTRUMENT VOLATILITY

摘要

An earnings volatility reduction procedure used for accounting for a derivative portfolio pursuant to FASB 133 (150) can include determining a first sensitivity value of a portfolio to underlying market conditions, trading in an immunizing instrument having a second sensitivity value substantially equal in magnitude and opposite in value of the first sensitivity value, and trading in a qualifying instrument having a third sensitivity value equal to the first sensitivity value. A derivative portfolio can be structured by determining a sensitivity of the derivative portfolio with respect to financial conditions in the trading market, executing an immunizing purchase of a second trading instrument in an amount equal to the magnitude of the current sensitivity and opposite in value, and executing a qualifying sale of a third trading instrument in an amount equal to the current sensitivity.