Financial Sector (Collection of Data) determination No. 13 of 2005
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Aggregate value of all derivative financial instruments (other than exchange traded) with residual maturity of:
- This section of the form requires all derivative contract positions of the reporting insurer (except for derivatives traded on recognised futures and options exchanges which are subject to daily marked-to-market), to be classified into the residual maturity bands specified:
- Less than 1 year
- 1 year to less than 5 years
- 5 years or more
Residual maturity refers to the time remaining from the reporting date to the maturity date of the derivative financial contract.
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Derivative exposures/positions applicable for each of the above residual maturity bands is then required to be sub classified into those exposures/positions that are either long or short positions.
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Within the long and short position sub classification, derivative exposures are then required to be further sub classified into the appropriate investment/counterparty grade of the derivative contract. The counterparty grades align with the grades specified in Attachment 1 of GGN 110.4 Investment Risk Capital Charge.