Document ID: chunk:federal_register_of_legislation:F2017L01028:body:0:p12
Version: federal_register_of_legislation:F2017L01028
Segment Type: other
Provision Reference: 
Character Range: 31088–34255

of a bank on a borrower resident in New Zealand.

The data on financial claims should comprise all those balance sheet items, which represent claims on residents in other individual countries or economies. As in the locational statistics, the principal items are deposits and balances placed with banks, loans and advances to banks and non-banks, holdings of securities (including credit linked notes and other collateral debt obligations and asset-backed securities) and participations.

Exclude derivative contracts.

Consolidated statistics – See section Background to the international exposures forms.

Counterparty sector refers to the economic sector of the counterparty of the financial instrument. There are six counterparty sectors to be reported:

     * Banking institutions;
     * Central banks;
     * General government;
     * Non-banking financial institutions;
     * Non-financial corporations;
     * Households and non-profit institutions serving households (NPISHs); and
     * Unallocated sector.

Counterparty Country refers to where the counterparty of the financial instrument is domiciled.

Countries are as per ISO 3166, available at http://www.iso.org/iso/country_codes

Credit commitments represent arrangements that irrevocably obligate an institution, at a client's request, to extend credit in the form of loans, participation in loans, lease financing receivables, mortgages, overdrafts, other loan substitutes, commitments to extend credit in the form of the purchase of loans, securities or other assets, such as back-up facilities including those under note issuance facilities and revolving underwriting facilities.

Cross-border claims refers to claims of an Australian office on non-residents, and offshore offices on counterparties which are not residents of the host country (for example, the claims of a New Zealand domiciled subsidiary on both Australian residents and residents of any other country).

Derivative contracts includes all derivatives instruments with a positive fair value, independent of whether the derivative contracts are booked as off- or on-balance sheet items. The data should be reported on a level 2 consolidated and ultimate risk basis i.e. inter-office positions should be netted out and the positions should be allocated to the country where the final risk lies.

However, credit derivatives, such as credit default swaps and total return swaps, should only be reported under the derivative contracts item if they belong to the trading book of a protection buying reporting entity. Credit derivatives which belong to the banking book should be reported as risk transfers by the protection buyer and, all credit derivatives should be reported as guarantees by the protection seller.

Financial claims resulting from derivative contracts should be valued at fair values (i.e. current credit exposure calculated as the sum of all positive fair values of derivative contracts outstanding after taking account of legally enforceable bilateral netting agreements) as this ensures consistency not only with the BIS OTC derivatives statistics but also with the valuation principles for all other on- and