PET - Plain English Taxonomy

Attribute: CS02171
Label: Other Derivative Contracts-CreditDerivatives-SoldProtection
Concept Guidance:
This is the value, as at the relevant date, for off balance sheet credit derivatives where protection is sold. This is where the reporting entity assumes the credit risk by selling protection to a third party. Upon this party calling on this protection the reporting entity is obliged to pay cash and provide for a claim to receive a financial asset. 
Form-Specifc Guidance:
An ADI may net claims and obligations arising from market-related contracts across both the banking and trading books with a single counterparty if covered by eligible bilateral netting agreements (refer to AGN 112.3 for details on how to calculate the credit equivalent amount of these contracts).
Report only those contracts that give rise to off-balance sheet credit exposures in the credit equivalent amount column. ADIs may refer to APRA where they are unclear as to which category is appropriate for a particular market-related transaction when calculating the credit equivalent amount of that transaction for capital adequacy purposes.

Exemption from capital weighting is permitted for:
-  foreign exchange (except gold) contracts that have an original maturity of 14 calendar days or less; and
-  instruments traded on futures and options exchanges that are subject to daily mark-to-market and margin payments.
Market risk charge of market-related contracts held in the trading book will be captured under the Market Risk Form. 

While not intended as an exhaustive list, other derivative contracts may include the following:
- 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.

Netting should not be applied when reporting amounts within the Statement of Derivative Activity.
Dimension Member Description
This dimension categorises an Authorised Deposit-taking Institution's holdings of financial instruments based on the 'book type' ('Banking Book' or 'Trading Book') to which the instrument belongs, as determined in accordance with relevant prudential standards.
The information reported relates to an Authorised Deposit-taking Institution's holdings of financial instruments in the banking book, as agreed with APRA.
This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated.
The value reported is the notional principal amount. The notional principal amount represents the face value, or gross amount, of an off-balance sheet transaction.This does not represent the fair value.
This dimension categorises information reported in relation to the capital adequacy approach adopted, as determined in accordance with relevant prudential standards.
The information reported is for capital adequacy purposes and has been determined under the standardised approach to calculating capital adequacy, in accordance with relevant prudential standards.
The channel or medium through which investments are made
These are investments that are not made through a recognised exchange for the products being transacted. These are typically referred to as "Unlisted" or "Over The Counter (OTC)" investments.