doc__table__2101

| AG119 | The entity also complies with the other designation and documentation requirements set out in paragraph 88(a). For a portfolio hedge of interest rate risk, this designation and documentation specifies the entity's policy for all of the variables that are used to identify the amount that is hedged and how effectiveness is measured, including the following: (a) which assets and liabilities are to be included in the portfolio hedge and the basis to be used for removing them from the portfolio; (b) how the entity estimates repricing dates, including what interest rate assumptions underlie estimates of prepayment rates and the basis for changing those estimates. The same method is used for both the initial estimates made at the time an asset or liability is included in the hedged portfolio and for any later revisions to those estimates; (c) the number and duration of repricing time periods; (d) how often the entity will test effectiveness […]; (e) the methodology used by the entity to determine the amount of assets or liabilities that are designated as the hedged item […]; (f) […]. whether the entity will test effectiveness for each repricing time period individually, for all time periods in aggregate, or by using some combination of the two. The policies specified in designating and documenting the hedging relationship shall be in accordance with the entity's risk management procedures and objectives. Changes in policies shall not be made arbitrarily. They shall be justified on the basis of changes in market conditions and other factors and be founded on and consistent with the entity's risk management procedures and objectives.

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Source: EUR-Lex (Cellar) · retrieved 2026-11-08 · Text as adopted (Official Journal); later amendments are not incorporated in this text.