Document ID: chunk:federal_register_of_legislation:F2021L00322:body:0:p6
Version: federal_register_of_legislation:F2021L00322
Segment Type: other
Provision Reference: 
Character Range: 17599–20608

purposes, unless specified otherwise, data are to be entered as a positive number.

This form requests details of derivatives held by an ADI in accordance with the 2008 System of National Accounts and Balance of Payments Manual 6 concept of derivatives as a financial instrument. The reporting basis is not consistent with the Australian Accounting Standards.

Derivatives
Derivatives should be reported as gross positions i.e. derivatives contracts should not be offset against each other. Opening and closing positions on a gross basis are to be reported as being in either a positive or negative position by counterparty.

When reporting gross positions of derivatives with resident or non-resident counterparties, transactions represent the settlement of the mark to market positive or negative position. Specifically, transactions in derivatives represent the payment to initiate the contract less the payment to settle the contract within the quarter, and include associated cash flows such as interest payments, premiums and non-repayable variation margins (where they are treated as settling the derivative).

When reporting gross positions of derivatives with resident and non-resident counterparties, revaluations represents the holding gains and losses arising from changes in market values of the derivatives and other changes that are not accounted for in transactions during the quarter.  Revaluations are used to reconcile opening and closing positions.

If there is a discrepancy remaining between opening and closing positions, this will be mainly due to derivatives that have changed from a gross positive mark to market value position to a gross negative mark to market value position during the quarter or vice versa (switching). Resolve this discrepancy by making the appropriate amendment to revaluations.

For non-resident derivatives, revaluations are to be reported split into market value changes, exchange rate variations and other changes.

Clearing houses and central counterparties
Reporting of net transactions and revaluations are to be reported on a net basis when the counterparty is a clearing house or a central counterparty.

Margining
If a derivative is margined it means the variation margin is netted against the derivative.

Derivatives can be partially margined due to timing differences and in situations where margin payments are only required when margin thresholds or specific criteria are met. If an agreement specifies that the variation margin is to be used as settlement, then the derivative is margined.

If the variation margin is collateralised or the derivative is not margined at all, this means the variation margin is not netted against the derivative. These derivatives should be reported as being not margined.

Futures
Reporting of net transactions and revaluations are to be reported on a net basis when the financial instrument is a future. Futures should be reported only in item 9.

Futures are exchange-traded forward contracts. They have