PET - Plain English Taxonomy

Attribute: CS02311
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
(TradingBook)
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 trading book, as agreed with APRA.
(FairValue)
This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated.
The value reported 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.
(RecognisedExchange)
This dimension categorises the reported data according to the channel or medium through which investments are made.
These are investments that are made through a recognised exchange for the products being transacted. These are typically referred to as "Listed" or "Exchange Traded" investments.