PET - Plain English Taxonomy

Attribute: CS17154
Concept:
Label: Interest Rate Derivative Contracts
Concept Guidance:
This is the value, as at the relevant date, of interest rate derivative contracts, consistent with the classification and measurement basis used for derivatives by institutions in accordance with accounting standards. An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.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).Report this item regardless of whether favourable or unfavourable to the reporting entity. 
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, Interest rate derivative contracts may include the following:
- 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.

Netting should not be applied when reporting amounts within the Statement of Derivative Activity.
Dimensions
Dimension Member Description
(CurrentExposure)
This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated.
The value reported is the current exposure, as determined in accordance with relevant prudential standards.The current exposure represents the sum of the positive mark-to-market values, or replacement costs, of each market-related off-balance sheet contract.
(NotSubjectToCCFFloor)
This dimension categorises reported information in relation to the subjectivity of a Credit Conversion Factor (CCF) floor, as determined in accordance with relevant prudential standards.
The reported information is not subject to a CCF floor in accordance with relevant prudential purposes.
(Standardised)
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.
(CounterpartyCreditRiskChargeNotRequired)
This dimension categorises reported information in relation to the requirement to use the potential future exposure add-on factors in the calculation of the counterparty credit risk charge, as determined in accordance with relevant prudential standards.
The reported information relates to data for which the counterparty credit risk charge is not to be calculated using any potential future exposure add-on factors, as determined in accordance with relevant prudential standards.For example, market-related off-balance sheet exposures in the form of single name credit default swaps and single name total-rate-of-return swaps in the trading book must use the potential future exposure add-on factors in the calculation of the counterparty credit risk charge for capital adequacy purposes.
(NoExchangesOfPrincipal)
This dimension categorises reported information in relation to the requirement for principal payments (exchanges of principal) to be made under contract.
The reported information relates to contracts which do not require multiple principle payments (exchanges of principal) to be made.
(LTE1Y)
This dimension is used to categorise information reported, according to the residual term to maturity.
The information reported is in relation to items with the relevant term to maturity of less than or equal to 12 months.