DerivativesDerivatives

Derivatives

Derivatives should be reported as gross positions i.e. derivatives contracts should not be offset against each other. Opening and closing positions on a gross basis are to be reported as being in either a positive or negative position by counterparty.

When reporting gross positions of derivatives with resident or non-resident counterparties, transactions represent the settlement of the mark to market positive or negative position. Specifically, transactions in derivatives represent the payment to initiate the contract less the payment to settle the contract within the quarter, and include associated cash flows such as interest payments, premiums and non-repayable variation margins (where they are treated as settling the derivative).

When reporting gross positions of derivatives with resident and non-resident counterparties, revaluations represents the holding gains and losses arising from changes in market values of the derivatives and other changes that are not accounted for in transactions during the quarter. Revaluations are used to reconcile opening and closing positions.

If there is a discrepancy remaining between opening and closing positions, this will be mainly due to derivatives that have changed from a gross positive mark to market value position to a gross negative mark to market value position during the quarter or vice versa (switching). Resolve this discrepancy by making the appropriate amendment to revaluations.

For non-resident derivatives, revaluations are to be reported split into market value changes, exchange rate variations and other changes.