Document ID: chunk:federal_register_of_legislation:F2023L00306:body:0:p6
Version: federal_register_of_legislation:F2023L00306
Segment Type: other
Provision Reference: 
Character Range: 15008–18005

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 any contract that transfers the precious metal price risk associated with an underlying asset from one party to another. A precious metal is a classification of metals that are considered to be rare and/or have high economic value and includes silver, platinum and palladium but excludes gold.

     * Other market-related contracts

    This represents any derivatives contract that is not an interest rate contract, foreign exchange contract, equity contract or precious metal contract.

Principal amount

This refers to the face value or notional principal amount of the derivative financial contract.

Principal amounts should always be recorded as positive values, even for short positions.

Fair value

The fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arm's length transaction.

The fair value should be able to be determined through observation of similar transactions, quoted market prices, independent valuations or if there is no readily observable market, through the ability to liquidate the item or through assessing the net present value of future cash flows.

For section 2, report the aggregate fair value of the derivative exposure by summing the absolute fair value of each exposure.

Instructions for specific items

Section 1: Direct over the counter derivatives

The contracts to be reported in this section do not include derivatives traded on recognised futures and options exchanges.

     (1)                   Contract type

This is the contract type for the derivative financial instrument.

From the drop-down menu, choose either: Interest rate, Foreign exchange, Equity, Precious metal or Other.

     (2)                   Residual maturity

This refers to the time remaining from the reporting date to the maturity date of the derivative financial contract.

From the drop-down menu choose either: Less than 1 year, 1 year to less than 5 years or 5 years or more.

     (3)                   (3) Counterparty grade

This is the counterparty grade of the counterparty to the derivative contract, determined in accordance with Prudential Standard GPS 001 Definitions (GPS 001).

     (4) - (7) Principal amount and Fair value separated into Long and Short positions

Report the principal amount or fair value of each derivative exposure, separated into long or short positions.

A long position in an asset or instrument means that the holder of the position owns the asset or instrument. With regard to options, this refers to the purchase of the option contract itself. A short position relates to assets, or instruments, that have been contracted to be sold at a future date without