In a perfectly matched hedge of fixed-rate debt using an interest rate swap, the effect of a change in fair value of the derivative on the income statement

Question

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In a perfectly matched hedge, the gain or loss on the fixed-rate debt is offset by an equal and opposite loss or gain on the interest rate swap. Therefore, the net effect on the income statement is zero, and there is no impact on the fair value of the swap.

In a Perfectly Matched Hedge of Fixed-Rate Debt Using an Interest