Document ID: chunk:federal_register_of_legislation:F2023L00316:body:0:p4
Version: federal_register_of_legislation:F2023L00316
Segment Type: other
Provision Reference: 
Character Range: 8587–12058

Equity Contracts  Precious metal contracts (excluding gold)  Other Derivative Contracts
                                                                  Principal Amount         Fair Value                  Principal Amount  Fair Value                                 Principal Amount            Fair Value  Principal Amount  Fair Value  Principal Amount  Fair Value

 1. Exchange-Traded Derivatives (traded on recognised exchanges)

2.  Over-The-Counter Derivatives

  2.1.  Forwards
  2.2.  Swaps
  2.3.  Bought option positions
  2.4.  Written option positions
  2.5.  Credit derivatives - bought protection
  2.6.  Credit derivatives - sold protection
  2.7.  Other

3.  Total Derivatives
of which the amounts and values with:
  3.1.  Parent entity
  3.2.  Controlled entities
  3.3.  Associates / joint ventures
  3.4.  Other related parties

LRF_114_2 Derivatives Activity

These instructions must be read in conjunction with the general instruction guide.

Explanatory notes

Principal amount

The principal amount reported is the absolute principal amount.  That is, the amount must be reported as a positive value, even for short positions in derivative financial instruments.

Fair value

Fair value is the amount which could be expected to be received from the disposal of an asset in an orderly market; or in an arm's length transaction between knowledgeable, willing parties; after deducting costs expected to be incurred in realising the proceeds of such a disposal.

Record the aggregate fair value of the derivative exposure/position by summing the absolute fair value of each exposure, for each of the items listed.

Instructions for specific items

Section 1: Statement of derivative activity

   1(1).        Interest rate contracts - Principal amount

This column is the principal amount of all open interest rate derivative contracts, whereby the contracts involves the transfer of interest rate risks on underlying interest bearing instruments from one party to another.

Include:

  *                  single currency interest rate swaps;

  *                  basis swaps;

  *                  forward rate agreements;

  *                  interest rate futures; and

  *                  interest rate options purchased.

   1(2).        Interest rate contracts - Fair value

This column is the fair value of all open interest rate derivative contracts, whereby the contracts involve the transfer of interest rate risks on underlying interest bearing instruments from one party to another.

   1(3).        Foreign exchange contracts - Principal amount

This column is the principal amount of all open foreign exchange derivative contracts, whereby the contracts involve the transfer of foreign exchange risks on underlying foreign exchange currencies from one party to another.

Include:

    * cross currency swaps;

    * forward foreign exchange contracts;

    * currency futures;

    * currency options purchased;

    * hedge contracts; and

    * gold contracts.

Outstanding spot transactions should be treated as forward foreign exchange contracts.

   1(4).        Foreign exchange contracts - Fair value

This column is the fair value of all open foreign exchange derivative contracts, whereby the contracts involve the transfer of foreign exchange risks on underlying foreign exchange currencies from one party to another.

   1(5).        Equity contracts - Principal amount

This column is the