As part of its deliberations on macro hedge accounting, the IASB discussed possible accounting approaches for the interest rate risk of closed portfolios of debt instruments. This relates to step 4 of the valuation of the risk position, which is part of the 11 step overview presented at the November 2011 meeting. Today's portfolio fair value hedge accounting approach for interest rate risk in accordance with IAS 39 was compared with a net portfolio valuation as well as with 'bottom layer' approaches for accounting purposes.
In addition, implications resulting from open portfolios (step 5) were considered including the implications of non-homogeneous portfolios for layer approaches (step 6).
The Board will continue its discussion at future meetings.
No decisions were made.