PT BANK MANDIRI PERSERO TBK. AND SUBSIDIARIES NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
December 31, 2003, April 30, 2003 and December 31, 2002 Expressed in millions of Rupiah, unless otherwise stated
52
10. DERIVATIVE RECEIVABLES AND PAYABLES
As of December 31, 2003, a summary of derivative transactions is as follows:
Transactions Notional Amount
Fair Value Derivative
Derivative Contract
Note 2l
Receivables Payables
Bank Mandiri only Third parties
Cross Currency: 1. Forward - buy
US Dollar
156,024 154,543
1 1,482
Others 104,048
103,967 523
604 2. Forward - sell
US Dollar
44,529 43,944
586 1
Others 14,696
14,178 518
- 3. Swap - buy
US Dollar
2,187,949 2,172,894 -
15,055 Others
52,125 51,952
- 173
4. Swap - sell US
Dollar 4,693,443 3,701,163
982,280 -
Others 279,511
276,314 3,655
458 Others
Interest Rate Swap US
Dollar 46,727
4,538 1,034,290
22,311 Subsidiaries
Third parties Foreign Currency:
1. Forward - buy US
Dollar -
- -
- Others
66,452 74,107
7,655 -
2. Forward - sell US
Dollar 620
617 3
- Others
16,906 18,016
- 1,110
3. Swap - buy US
Dollar -
- -
- 4. Swap - sell
US Dollar
185,573 177,387
8,186 -
Others 66,410
66,766 -
356 15,844
1,466 Total
1,050,134 23,777
Less: Allowance for possible losses 10,343
- 1,039,791
23,777
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 24. 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.
PT BANK MANDIRI PERSERO TBK. AND SUBSIDIARIES NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
December 31, 2003, April 30, 2003 and December 31, 2002 Expressed in millions of Rupiah, unless otherwise stated
53
10. DERIVATIVE RECEIVABLES AND PAYABLES continued
The backgound 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
December 31, 2003, a loss amounting to Rp4,538 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 24. 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 29. 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.
Cross Currency Swap Bank Mandiri has entered into a cross currency swap contract, which is associated with the securities
sale and repurchase agreements with several counterparty banks. The contract was initiated when Bank Mandiri sold its Government Recapitalization Bonds to the counterparty banks and received
Rupiah funds. These funds were used to settle the spot leg of the cross currency swap and Bank Mandiri will then receive US Dollar funds. On the settlement date, the Bank will receive Rupiah funds
and pay US Dollar funds to the counterparty banks. Bank Mandiri is then obliged to use the Rupiah funds to repurchase the Government Recapitalization Bonds it previously sold to counterparty banks
Notes 8 and 22. The summary of the cross currency swap contracts is as follows:
Counterpart Type
of Bank
Effective Date Maturity Date
Transaction Sale
Buy Deutsche Bank,
Jan 31, 2002 Jan 31, 2004
Spot US50 million
Rp735,000 million Jakarta
Forward Rp735,000 million
US50 million Deutsche Bank,
May 9, 2003 Oct 25, 2006
Spot US100 million
Rp1,305,000 million Jakarta
Forward Rp1,305,000 million
US100 million Standard Chartered June 4, 2003
June 6, 2005 Spot
US100 million Rp1,037,500 million
Bank, Jakarta Forward
Rp1,037,500 million US100 million
