Document ID: chunk:federal_register_of_legislation:F2023L00349:body:0:p35
Version: federal_register_of_legislation:F2023L00349
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Character Range: 106204–108725

be recorded as positive $10 million in the >4 up to 5 years time bucket and negative $10 million in the >1 up to 3 months time bucket (as the next reset date of 11 December 2006 has moved into the >1 up to 3 months bucket).  Subsequently, on 31 December 2006 the swap should be recorded as positive $10 million in the >3 up to 4 years time bucket (as the swap now has a residual maturity of just less than 4 years) and a negative $10 million in the >3 up to 6 months time bucket (as the next reset date is 11 June 2007).

4.2.2 Interest rate - options

Options must be treated on the basis of the delta-equivalent amounts of the underlying or notional underlying.

4.2.3 Interest rate - futures and FRAs

Futures

For a futures contract, the face value should be allocated to time buckets according to the cash flows of the underlying physical instrument.

Example 1

On 25 June 2006, an ADI purchases 20 Sydney Futures Exchange September 2006 90 day bank bill futures contracts.  This transaction results in a notional cash outflow in September 2006 for the purchase of the underlying physical 90 day bank bills and a notional cash inflow in December 2006 when the bank bills mature.  This futures transaction should be recorded in the 30 June 2006 repricing analysis form as negative $20 million in the >1 up to 3 months time bucket (as the underlying physical bills will be purchased in 3 months' time) and positive $20 million in the >3 up to 6 months time bucket (as the bills mature in 6 months' time).  Refer to table 3 below.

Table 3  Reporting the 90 day bank bill futures contracts as at 30 June 2006

                Total  >1 up to 3 months  >3 up to 6 months
Futures & FRAs  0      -20,000,000        +20,000,000

Example 2

On 23 September 2006, an ADI sells 15 March 2007 bank bill futures contracts.  This transaction results in a notional cash inflow in March 2007 when the ADI sells the bank bills and a notional cash outflow in June 2007 when the bank bills mature.  This futures transaction would be recorded in the 30 September 2006 repricing analysis form as positive $15 million in the >3 up to 6 months time bucket (as the physical bills will be sold in 6 months' time) and negative $15 million in the >6 up to 12 months time bucket (as the physical bills mature in 9 months' time).

In subsequent quarters, the futures transaction would be allocated to different time buckets, as appropriate.  To illustrate, on 31 December 2006 for the bank bill futures contracts, the positive $15