||Other Derivative Contracts
This is a balancing item in the list in which it is being used.This is the value, as at the relevant date, of other derivative contracts, consistent with the classification and measurement basis used for derivatives by institutions in accordance with accounting standards.This balancing item represents the value of total derivative financial instruments less those derivatives which are classed as any of the following:- Interest rate contracts;- Foreign exchange contracts;- Gold contracts; or- Equity contracts;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.
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:
- 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.