PT BANK MANDIRI PERSERO TBK. AND SUBSIDIARIES NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2004 and 2003, and April 30, 2003 Expressed in millions of Rupiah, unless otherwise stated
52
12. DERIVATIVE RECEIVABLES AND PAYABLES
As of June 30, 2004, a summary of derivative transactions is as follows:
Notional Amount
Fair Value
Derivative Derivative
Transactions Contract
Note 2l
Recievables Payables
Third parties Cross Currency:
1. Forward - buy US
Dollar 324,360
327,706 4,463
1,117 Others
498,717 502,057
4,110 770
2. Forward - sell US
Dollar 149,134
145,546 5,230
1,642 Others
63,199 62,815
515 131
3. Swap-buy US
Dollar 1,400,403
1,391,309 4,575
13,669 4. Swap
- sell
US Dollar
5,840,786 5,355,516
498,931 13,661
5. Option Option
- buy
US Dollar
34,335 34,109
- 226
Option -
sell US
Dollar 28,741
28,318 423
- Others
Interest rate swap US
Dollar 18,535
73,854 Total
536,782 105,070
Less: Allowance for possible losses 5,343
- 531,439
105,070
Interest Rate Swap On April 17, 2003 Bank Mandiri entered into interest rate swap agreements with Standard Chartered
Bank, London and ABN Amro Bank, London with nominal values amounting to US125 million and US175 million, respectively. The underlying transaction is the Bank’s US300 million fixed interest
rate Medium-Term Note MTN issued in April 2003 Note 26. Under this transaction, the Bank receives semi-annual fixed interest at the rate of 7.00 per annum and pays semi-annual floating
interest at the rate of Libor 6 months + 3.37 per annum until the maturity of the Note on April 22, 2008. The Libor 6 months interest is stated in arrears. These transactions qualify as hedging for
accounting purposes.
The background and purpose of the issuance of the hedging instruments are related to interest rate risk management, whereby the Bank’s positive foreign currency interest rate gap position is exposed to
downward trends in interest rates in the following five years. The Bank decided to convert its note’s fixed interest rate into floating interest rates in order to mitigate the risks of a decrease in net interest
margin. The Bank uses the Discounted Cash Flows approach to calculate the fair value of the hedging instruments, while the short-cut method is used to determine their hedging effectiveness. As of
June 30, 2004 and 2003, and April 30, 2003 lossgain amounting to Rp73,855, Rp80,743 and Rp25,970 as a result of the hedging fair value calculation has been offset against the gain from the
note, a hedged item, based on the fair value calculation Note 26.
Bank Mandiri entered into an interest rate swap agreement with a notional amount of US125 million with Standard Chartered Bank, Singapore in August 2002. The underlying transaction is the Bank’s
US125 million fixed interest rate Subordinated Note issued in 2002 Note 26. Under the transaction, the Bank receives semi-annual fixed interest at the rate of 10.625 per annum and pays semi-annual
floating interest at the rate of Libor 6 months + 6.19 per annum for a 5-year period. The Libor 6 months interest is stated in arrears. While the transaction is for the purpose of hedging the fixed rate
coupon payments of the Subordinated Note with floating coupon payments, it does not qualify as a hedging transaction for accounting purposes.
PT BANK MANDIRI PERSERO TBK. AND SUBSIDIARIES NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2004 and 2003, and April 30, 2003 Expressed in millions of Rupiah, unless otherwise stated
53
12. DERIVATIVE RECEIVABLES AND PAYABLES continued
