Document ID: chunk:federal_register_of_legislation:F2018L00363:body:0:p9
Version: federal_register_of_legislation:F2018L00363
Segment Type: other
Provision Reference: 
Character Range: 22248–25469

to APS 112 for the definition of eligible bilateral netting agreements).  The regulatory capital relating to the ADI's market-related off-balance sheet transactions is captured in Reporting Form ARF 112.2 Standardised Credit Risk – Off-balance Sheet Exposures or in the relevant ARF 113 Internal Ratings-based Approach to Credit Risk series of forms, depending on the approach an ADI is applying to the calculation of its credit risk regulatory capital.

An ADI should report all derivative activity within its trading and banking books, without taking into account netting, as defined in APS 112.  ADIs may consult with APRA where they are unclear as to which category is appropriate for a particular derivative when reporting the principal amount and fair value of that derivative.

While not intended as an exhaustive list, derivative instruments may include the following:

Column 1: Interest rate contracts

Include:

     * single currency interest rate swaps;

     * basis swaps;

     * forward rate agreements;

     *  interest rate futures;

     * interest rate options purchased; and

     * any other instruments of a similar nature.

Column 2: Foreign exchange contracts (including contracts involving gold)

Include:

     * cross currency swaps (including cross currency interest rate swaps);

     * forward foreign exchange contracts;

     * currency futures;

     * currency options purchased;

     * hedge contracts; and

     * any other instruments of a similar nature.

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

Column 3: Equity contracts

Include:

     * swaps;

     * forwards;

     * futures;

     * purchased options/warrants; and

     * similar derivative contracts based on individual equities or equity indices.

Column 4: Other derivative contracts

Include:

     * swaps;

     * forwards;

     * purchased options;

     * similar derivative contracts based on precious metals such as gold, silver, platinum and palladium;

     * energy contracts;

     * agricultural contracts;

     * base metals (such as aluminium, copper and zinc);

     * other non-precious metal commodity contracts; and

     * any contracts covering other items, that give rise to credit risk.

This category also includes all credit derivatives in the banking and trading book.

Section B: Off-balance sheet liquidity support facilities

The information collected in this section of the form is not included in the calculation of an ADI's regulatory capital.

     1. Off-balance sheet liquidity support facilities contracted by the ADI

This section captures information on liquidity support facilities contracted by the ADI to supplement its liquidity management practices.

Column 1: Approved balance available

Include the total approved balance of the facility.

Column 2: Undrawn balance available

Include the balance of the facility that has not been used or drawn down by the ADI at the reporting date.

    1.1         Standby facilities

These facilities are approved and committed to the ADI. Generally, an ADI is required to provide written notice to trigger draw down (access to the funds)