Document ID: chunk:federal_register_of_legislation:F2023L00306:body:0:p5
Version: federal_register_of_legislation:F2023L00306
Segment Type: other
Provision Reference: 
Character Range: 11414–15279

Long position     Short position
Contract type  Residual maturity  Counterparty grade  Principal amount  Fair value      Principal amount  Fair value
(1)            (2)                (3)                 (4)               (5)             (6)               (7)

Section 2: Total contracts

                                                                                               Interest rate contracts  Foreign exchange contracts (including gold)  Equity contracts  Precious metal contracts (excluding gold)  Other market-related contracts
                                                                                               Principal amount         Fair value                                   Principal amount  Fair value                                 Principal amount                Fair value  Principal amount  Fair value  Principal amount  Fair value
                                                                                               (1)                      (2)                                          (3)               (4)                                        (5)                             (6)         (7)               (8)         (9)               (10)
 1. Total over the counter derivative financial instruments classified into:
  1.1.  Forwards
  1.2.  Swaps
  1.3.  Bought option positions:
    1.3.1.  Call options
    1.3.2.  Put options
  1.4.  Written (sold) option positions:
    1.4.1.  Call options
    1.4.2.  Put options
  1.5.  Credit derivatives:
    1.5.1.  Credit derivatives in which the reporting insurer is providing credit protection
    1.5.2.  Credit derivatives in which the reporting insurer is purchasing credit protection
  1.6.  Other
  1.7.  Total over the counter derivative financial instruments

2.  Total exchange traded derivative financial instruments:
  2.1.  Exchange traded derivatives subject to daily mark-to-market & margin payments

3.  Total derivative financial instrument exposure
  3.1.  Investment portfolio
  3.2.  Other assets
  3.3.  Claims liabilities
  3.4.  Debt funding / borrowings
  3.5.  Other

4.  Total derivative financial instruments which are with the following related parties:
  4.1.  Parent entity
  4.2.  Controlled entities / other branches of the parent entity
  4.3.  Associates / Joint ventures
  4.4.  Other related parties

GRF_114_2 Derivatives Activity

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

Explanatory notes

Derivatives

Derivatives are generally defined as those instruments/contracts where the value is based on other products, and/or on prices associated with financial products. Derivative contracts involve: future delivery, receipt or exchange of financial items such as cash or another derivative instrument; or future exchange of real assets for financial items where the contract may be tradeable and has a market value.

The contracts can either be binding on both parties (e.g. as with a currency swap) or subject to the exercise by one party of a right contained within the contract (as with options).

Contract types

     * Interest rate contracts

    An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.

     * Foreign exchange contracts (including gold)

    A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another. A gold contract is any contract that transfers the gold price risk associated with an underlying asset from one party to another.

     * Equity contracts

    An equity contract is any contract that at least partly transfers the equity risk of an underlying equity security from one party to another.

     * Precious metal contracts (excluding gold)

    A precious metal contract is