PET - Plain English Taxonomy

Attribute: CS01869
Label: Interest Rate Option Contracts
Concept Guidance:
This is the value, as at the relevant date, of interest rate options, as determined in accordance with relevant prudential standards.An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date. 
Form-Specifc Guidance:
The repricing analysis should be completed on the basis of the expected repricing profile of assets and liabilities, rather than the contractual repricing (i.e.. contractual loan repayment rates) or original maturity. The expected repricing profile of assets and liabilities should take into account expected loan prepayment/amortisation rates and deposit portfolio run-off, rather than contractual repricing where these are expected to be materially different. Where the terms and conditions of a banking book item provide for the full break cost of early withdrawals or repayments ('economic cost') to be charged to the customer, and it is the ADI's standard practice to do so, the ADI may use the contractual rather than expected repricing profile for that item provided this practice is applied consistently over time. This is intended to allow entities to produce a more accurate representation of the interest rate risk of the balance sheet, and it results in practices such as the spreading of core deposits over a longer, expected repricing profile and the shortening of asset profiles to account for loan breaks.
Dimension Member Description
This dimension categorises information reported based on the market risk measurement method used to calculate capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards.
The information reported has been determined using the delta-plus approach to measuring market risk, in accordance with relevant prudential standards.The delta-plus method uses the sensitivity parameters associated with options to measure their market risk capital requirements. Under this method, the delta-equivalent position of each option becomes part of the standard methodology, with the delta-equivalent amount subject to the applicable general market risk charges.Entities using this method must first calculate delta-equivalent position of each option by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position.
This dimension is used to categorise information reported according to the remaining time in which the interest rates applying to portfolios (e.g. investments, loans, deposits & borrowings) are expected to reprice (i.e. term to next interest rate repricing/change). They do not indicate the residual term of the original maturity of the instrument itself, however the two may coincide (e.g. fixed rate items such as banks bills, term deposits, money market loans).
The reported information relates to items that are not exposed to interest rate risk, and are therefore non-interest rate sensitive.