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The change in fair value of derivatives in qualifying hedging relationships under US GAAP impacts the assessment of effectiveness in hedging relationships.

6.8.1 Fair value hedges

ASC 820 applies to assets and liabilities designated as the hedged item in a fair value hedge of the overall change in fair value.
ASC 815 requires that the change in fair value of the hedged item attributable to the risk being hedged be measured over the hedge period and reported as an adjustment of the hedged item’s carrying value. The risk being hedged may be the overall change in fair value or only the change in value attributable to a specific risk. In those latter situations, change in fair value is measured based on the hedged risk and not on the asset or liability designated as the hedged item in a fair value hedge. The hedged item may be an item that is reported at fair value with changes in fair value reported in other comprehensive income or it may be reported based on some other measurement basis (e.g., a debt instrument reported at amortized cost). However, it is the change in the fair value due to the hedged risk that is measured.
We believe the change in fair value of the hedged item in a fair value hedge of the overall change in fair value should be measured at exit value based on the fair value measurement framework. When measuring the basis adjustment for a hedged item that is being hedged for changes in value specific to a particular risk, the change in value should be measured consistent with the way it would be calculated in the overall measurement of the hedged item—at exit value under ASC 820.

6.8.2 How nonperformance risk impacts hedge effectiveness

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