241 paragraphs found in AASB 139
On 1 January 20X1, Entity A identifies a portfolio comprising assets and liabilities whose interest rate risk it wishes to hedge. The liabilities include demandable deposit liabilities that the depositor may withdraw at any time without notice. For risk …
For risk management purposes, Entity A analyses the assets and liabilities in the portfolio into repricing time periods based on expected repricing dates. The entity uses monthly time periods and schedules items for the next five years (ie it has 60 …
In this example principal cash flows have been scheduled into time periods but the related interest cash flows have been included when calculating the change in the fair value of the hedged item. Other methods of scheduling assets and liabilities are also …
This example deals only with the repricing time period expiring in three months’ time, ie the time period maturing on 31 March 20X1 (a similar procedure would be applied for each of the other 59 time periods). Entity A has scheduled assets of CU100 …
In this example monetary amounts are denominated in ‘currency units (CU)’. …
Entity A decides, for risk management purposes, to hedge the net position of CU20 million and accordingly enters into an interest rate swap [10] on 1 January 20X1 to pay a fixed rate and receive LIBOR, with a notional principal amount of CU20 million and …
The example uses a swap as the hedging instrument. An entity may use forward rate agreements or other derivatives as hedging instruments. …
This example makes the following simplifying assumptions: (a) the coupon on the fixed leg of the swap is equal to the fixed coupon on the asset; (b) the coupon on the fixed leg of the swap becomes payable on the same dates as the …
It is also assumed that Entity A tests effectiveness on a monthly basis. …
The fair value of an equivalent non-prepayable asset of CU20 million, ignoring changes in value that are not attributable to interest rate movements, at various times during the period of the hedge is as …