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WorkpaperIFRS 13 — Fair Value MeasurementL4

Portfolio exception file

2 missions8 sections to document55 min
Prepared by
AI-assisted draft
Reviewed by
Not reviewed — human review required
Status
Published

Objective of the workpaper

For each portfolio (one instance per portfolio), describe the net-basis risk management, check the conditions for the exception, compute the net position, its fair value (price of the net position adjusted for the spread) and the allocation of the adjustment to the items, then justify eligibility and prepare the disclosure.

8 sections · 20 blocks · 3 calculations · 0 entries

  • IFRS 13 §48
  • IFRS 13 §49
  • IFRS 13 §52
  • IFRS 13 §53
  • IFRS 13 §54
  • IFRS 13 §96

Work this workpaper as a mission

Each case that uses this template opens in the mission workspace: data, analysis, calculation, entries, conclusion and review, with your progress saved.

2 instances from the cases: the calculations and entries below are run by the calculation engine.

File and entity
Day one difference and portfolio exception of a bank
Case tasks documented here
  • Are desks A and B eligible for the portfolio exception? Justify.
  • Compute desk A's net position.
  • Compute the fair value of the net position.
1

Inputs

Inputs

  • Portfolio: items, market or credit risks and durations

    TextRequired

    DESK_A_DERIVES_DE_TAUX

  • Documentation of net-basis risk management and reporting to management

    Text

    GESTION_NETTE_DOCUMENTEE

  • Long positions

    Number

    48,000,000

  • Short positions

    Number

    31,000,000

  • Price of the net position

    Number

    136,000

  • Spread adjustment on the net position

    Number

    9,000

  • Portfolio adjustment to allocate

    Number

  • Portfolio items and allocation basis

    Table

  • Item whose share is tracked

    Choice

    Item A / Item B / Item C

2

Supporting evidence

Evidence

  • Evidence obtained and referenced (category, document reference)

    EvidenceRequired

3

Eligibility conditions

Analysis

IFRS 13 §48IFRS 13 §49IFRS 13 §52IFRS 13 §54

  • Points reviewed: conditions of the exception

    ChecklistRequired

    • Net-basis management of the group documented
    • Information provided to key management on that basis
    • Each item measured at fair value at the end of the period
    • Offsetting risks of the same nature and duration
    • Choice applied consistently from one period to the next
    • Contracts within the scope of the financial instruments standard
4

Net position and adjustments

Calculations

IFRS 13 §53

  • Net position: long − short positions

    Calculation

    17,000,000

    Long positions ; − Short positions

  • Fair value of the net position

    Calculation

    127,000

    Price of the net position ; − Spread adjustment on the net position

  • Share of the adjustment allocated to the tracked item

    Calculation

    Portfolio adjustment to allocate ; Portfolio items and allocation basis ; Item whose share is tracked

5

Eligibility

Judgment

IFRS 13 §48IFRS 13 §49

  • Eligibility for the portfolio exception

    JudgmentRequired

    Eligible: net-basis measurement

    Eligible: net-basis measurement / Not eligible: item-by-item measurement

  • Rationale: facts relied on, analysis, alternative rejected

    TextRequired

6

Disclosure

Disclosure

IFRS 13 §96

  • Items of the note

    ChecklistRequired

    • Fact that the portfolio exception is applied
    • Presentation of the items in the financial statements unchanged
    • Portfolio concerned identified

  • Draft note on the portfolio exception

    Text

7

Conclusion

Conclusion

  • Eligibility, net position and adjustments submitted to the reviewer

    ConclusionRequired

8

Normative references

References

  • Paragraphs cited in this workpaper and their verification status

    References

9

Checks and financial statement impact

  • Eligibility documentedPass
Assets
0
Liabilities
0
Profit or loss
0
OCI
0
Equity
0