Part Section B: Derivatives with clearing hou - Financial Sector (Collection of Data) (reporting standard) determination No. 10 of 2021 - Section B: Derivatives with clearing houses and central counterparties that are margined | Zoe
Financial Sector (Collection of Data) (reporting standard) determination No. 10 of 2021
Section B: Derivatives with clearing houSection B: Derivatives with clearing houses and central counterparties that are margined
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These instructions assist completion of Reporting Form ARF 722.0 ABS/RBA Derivatives (ARF 722.0). ARF 722.0 collects information relating to the positions and transactions of authorised deposit-taking institutions (ADIs)’s SNA / BPM6 derivatives.
For the purposes of reporting under ARF 722.0, derivatives exclude employee stock options.[2]
Information reported in ARF 722.0 is required primarily for the purposes of the ABS. The information is required for various purposes, including the compilation of Australia’s National Accounts. The information may also be used by the RBA and APRA for prudential, policy and/or publication purposes.
Reporting level
ARF 722.0 must be completed for each ADI to which this Reporting Standard applies under paragraph 4.
Reporting basis and unit of measurement
These instructions specify the reporting basis and unit of measurement that applies to each item.
For reporting purposes, unless specified otherwise, data are to be entered as a positive number.
This form requests details of derivatives held by an ADI in accordance with the 2008 System of National Accounts and Balance of Payments Manual 6 concept of derivatives as a financial instrument. The reporting basis is not consistent with the Australian Accounting Standards.
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.
Clearing houses and central counterparties
Reporting of net transactions and revaluations are to be reported on a net basis when the counterparty is a clearing house or a central counterparty.
Margining
If a derivative is margined it means the variation margin is netted against the derivative.
Derivatives can be partially margined due to timing differences and in situations where margin payments are only required when margin thresholds or specific criteria are met. If an agreement specifies that the variation margin is to be used as settlement, then the derivative is margined.
If the variation margin is collateralised or the derivative is not margined at all, this means the variation margin is not netted against the derivative. These derivatives should be reported as being not margined.
Futures
Reporting of net transactions and revaluations are to be reported on a net basis when the financial instrument is a future. Futures should be reported only in item 9.
Futures are exchange-traded forward contracts. They have the following unique features:
they have a value of zero for the opening and closing positions as they are fully margined (or settled) daily to square off any mark to market changes;
a reporting institution can have several contracts during a period with the exchange that are settled on a net basis.
Values
The valuation basis for all derivatives reported on the ARF 722.0 is the market value effective for the reporting period. Where denominated in foreign currency, market values in foreign currency should be converted to AUD at the spot rate effective as at the end of the reporting period. The value of the underlying financial instrument should not be included, except as it relates to the market value of the derivatives.
Report values on ARF 722.0 as whole dollars.
Standard Business Reporting (SBR)
The accounting type (i.e. credit or debit) is stated for all monetary items and represents the natural accounting balance of the item collected.
Specific instructions
Terms highlighted in bold italics are defined in ARS 701.0.
All derived fields in the form are shaded in grey and are explained in words as a mathematical expression in these instructions.
Examples included under ‘Include’ and ‘Exclude’ are examples and should not be taken as an exhaustive list of items to be included or excluded.
Section A: Derivatives with counterparties excluding clearing houses and central counterparties
1. Derivatives with gross positive mark to market values and resident counterparties excluding clearing houses and central counterparties
Item 1 collects information on the value of derivatives at the beginning and end of the reporting period with resident counterparties, excluding clearing houses and central counterparties. It also collects movements in the value of holdings of derivatives due to transactions and revaluations that occurred during the reporting period.
Futures should be excluded from this item, and reported only in item 9.
Column 1
Report the type of counterparty (see List 1.1 for further details).
Column 2
Report the instrument type (see List 1.1 for further details).
Column 3
Report the opening position which results in a gross positive mark to market value.Reporting basis: report column 3 as at the beginning of the reporting period.The opening position should be the closing position of the previous quarter, that is, the mark to market value of derivatives in a gross positive mark to market value positions at the end of the previous quarter.Item 1.1(3) is a derived item. Report the value of opening position which results in a gross positive mark to market value in item 1.1(3) as the sum of column 3.
Column 4
Report the value of transactions.Reporting basis: report column 4 during the reporting period.Item 1.1(4) is a derived item. Report the value of transactions in item 1.1(4) as the sum of column 4.
Column 5
Report the value of revaluations.Reporting basis: report column 5 during the reporting period.Item 1.1(5) is a derived item. Report the value of revaluations in item 1.1(5) as the sum of column 5.
Column 6
Report the value of the closing position which results in a gross positive mark to market value.Reporting basis: report column 6 as at the end of the reporting period.Item 1.1(6) is a derived item. Report the value of closing position which results in a gross positive mark to market value in item 1.1(6) as the sum of column 6.
2. Derivatives with gross negative mark to market values with resident counterparties excluding clearing houses and central counterparties
Item 2 collects information on the value of derivatives at the beginning and end of the reporting period with resident counterparties, excluding clearing houses and central counterparties. It also collects movements in the value of holdings of derivatives due to transactions and revaluations that occurred during the reporting period.
Futures should be excluded from this item, and reported only in item 9.
Column 1
Report the type of counterparty (see List 1.1 for further details).
Column 2
Report the instrument type (see List 1.1 for further details).
Column 3
Report the opening position which results in a gross negative mark to market value.Reporting basis: report column 3 as at the beginning of the reporting period.The opening position should be the closing position of the previous quarter, that is, the mark to market value of derivatives in a gross negative mark to market value positions at the end of the previous quarter.Item 2.1(3) is a derived item. Report the value of opening position which results in a gross negative mark to market value in item 2.1(3) as the sum of column 3.
Column 4
Report the value of transactions.Reporting basis: report column 4 during the reporting period.Item 2.1(4) is a derived item. Report the value of transactions in item 2.1(4) as the sum of column 4.
Column 5
Report the value of revaluations.Reporting basis: report column 5 during the reporting period.Item 2.1(5) is a derived item. Report the value of revaluations in item 2.1(5) as the sum of column 5.
Column 6
Report the value of the closing position which results in a gross negative mark to market value.Reporting basis: report column 6 as at the end of the reporting period.Item 2.1(6) is a derived item. Report the value of closing position which results in a gross negative mark to market value in item 2.1(6) as the sum of column 6.
3. Derivatives with gross positive mark to market values and non-resident counterparties excluding clearing houses and central counterparties
Item 3 collects information on the value of derivatives with a gross positive mark to market value at the beginning and end of the reporting period with non-resident counterparties, excluding clearing houses and central counterparties, by country.
Item 3 also collects movements in the value of holdings of derivatives with a gross positive mark to market value due to payments and receipts from, and due to transactions and market value changes, exchange rate variations and other changes that occurred during the reporting period.
Futures should be excluded from this item, and reported only in item 9.
Column 1
Report the country in which the immediate non-resident debtor resides.The residency of a financial derivative instrument is determined by the residence of the issuer rather than the country of issuance of the financial instrument itself.
Column 2
Report the opening position for the gross positive mark to market value of derivatives with non-resident debtors.Reporting basis: report column 2 as at the beginning of the reporting period.The opening position should be the closing position of the previous quarter, that is, the mark to market value of derivatives in a gross positive mark to market value positions at the end of the previous quarter.Item 3.1(2) is a derived item. Report the value of opening position which results in a gross positive mark to market value in item 3.1(2) as the sum of column 2.
Column 3
Report the value of transactions of derivatives with a gross positive mark to market value and non-resident counterparty.Reporting basis: report column 3 during the reporting period.Item 3.1(3) is a derived item. Report the value of in item 3.1(3) as the sum of column 3.
Column 4
Report the value of market value changes.Reporting basis: report column 4 during the reporting period.If there is a discrepancy remaining between opening and closing positions, this will be due to derivatives that have changed from a gross positive mark to market value to gross negative mark to market value position during the quarter or vice versa. Resolve this discrepancy by making the appropriate amendment to market value changes.Item 3.1(4) is a derived item. Report the value of market value changes in item 3.1(4) as the sum of column 4.
Column 5
Report the value of exchange rate variations.Reporting basis: report column 5 during the reporting period.Item 3.1(5) is a derived item. Report the value of exchange rate variations in item 3.1(5) as the sum of column 5.
Column 6
Report the value of other changes.Reporting basis: report column 6 during the reporting period.Item 3.1(6) is a derived item. Report the value of other changes in item 3.1(6) as the sum of column 6.
Column 7
Report the gross positive mark to market value of derivatives with non-resident debtors.Reporting basis: report column 7 as at the end of the reporting period.Item 3.1(7) is a derived item. Report the value of closing position which results in a gross positive mark to market value in item 3.1(7) as the sum of column 7.
4. Derivatives with gross negative mark to market values and non-resident counterparties excluding clearing houses and central counterparties
Item 4 collects information on the value of derivatives with a gross negative mark to market value at the beginning and end of the reporting period with non-resident counterparties, excluding clearing houses and central counterparties. It also collects movements in the value of holdings of derivatives with a gross negative mark to market value due to payments and receipts from, and due to, transactions and market value changes, exchange rate variations and other changes that occurred during the reporting period.
Futures should be excluded from this item, and reported only in item 9.
Column 1
Report the country in which the immediate non-resident debtor resides.The residency of a financial derivative instrument is determined by the residence of the issuer rather than the country of issuance of the financial instrument itself.
Column 2
Report the opening position with gross negative mark to market value of derivatives with non-resident debtors.Reporting basis: report column 2 as at the beginning of the reporting period.The opening position should be the closing position of the previous quarter, that is, the mark to market value of derivatives in a gross negative mark to market value positions at the end of the previous quarter.Item 4.1(2) is a derived item. Report the value of opening position which results in a gross negative mark to market value in item 4.1(2) as the sum of column 2.
Column 3
Report the value of transactions of derivatives with a gross negative mark to market value and non-resident counterparty.Reporting basis: report column 3 during the reporting period.Item 4.1(3) is a derived item. Report the value of transactions in item 4.1(3) as the sum of column 3.
Column 4
Report the value of market value changes.Reporting basis: report column 4 during the reporting period.If there is a discrepancy remaining between opening and closing positions, this will be due to derivatives that have changed from a gross positive mark to market value to gross negative mark to market value position during the quarter or vice versa. Resolve this discrepancy by making the appropriate amendment to market value changes.Item 4.1(4) is a derived item. Report the value of market value changes in item 4.1(4) as the sum of column 4.
Column 5
Report the value of exchange rate variations.Reporting basis: report column 5 during the reporting period.Item 4.1(5) is a derived item. Report the value of exchange rate variations in item 4.1(5) as the sum of column 5.
Column 6
Report the value of other changes.Reporting basis: report column 6 during the reporting period.Item 4.1(6) is a derived item. Report the value of other changes in item 4.1(6) as the sum of column 6.
Column 7
Report the closing position for gross negative mark to market value of derivatives with non-resident debtors.Reporting basis: report column 7 as at the end of the reporting period.Item 4.1(7) is a derived item. Report the value of closing position which results in a gross negative mark to market value in item 4.1(7) as the sum of column 7.
Section B: Derivatives with clearing houses and central counterparties that are margined
5. Derivatives with resident and non-resident clearing houses and central counterparties that are margined
Item 5 collects information on the value of derivatives held with resident and non-resident clearing houses and central counterparties that are margined. It collects information on the value of derivatives at the beginning and end of the reporting period, as well as movements in the value of holdings of derivatives due to net transactions and revaluations that occurred during the reporting period. In Item 5, movement information does not have to be split by side, e.g. by gross positive or gross negative.
Futures should be excluded from this item, and reported only in item 9.
Column 1
Report the country of the non-resident clearing house. If the counterparty is a resident counterparty, report the country as Australia.
Column 2
Report the instrument type (see List 1.1 for type of instrument detail.)
Column 3
Report the net opening position.Reporting basis: report column 3 as at the beginning of the reporting period.Item 5.1(3) is a derived item. Report the value of the net opening position in item 5.1(3) as the sum of column 3. The value in item 5.1(3) should equal the value of item 5.1(4) less item 5.1(5).
Column 4
Report the opening position, of which gross positive.Reporting basis: report column 4 as at the beginning of the reporting period.Item 5.1(4) is a derived item. Report the value of opening position which results in a gross positive mark to market value in item 5.1(4) as the sum of column 4.
Column 5
Report the opening position, of which gross negative.Reporting basis: report column 5 as at the beginning of the reporting period.Item 5.1(5) is a derived item. Report the value of opening position which results in a gross negative mark to market value in item 5.1(5) as the sum of column 5.
Column 6
Report the value of net transactions.Reporting basis: report column 6 during the reporting period.Item 5.1(6) is a derived item. Report the value of net transactions in item 5.1(6) as the sum of column 6.
Column 7
Report the value of market value changes.Reporting basis: report column 7 during the reporting period.Item 5.1(7) is a derived item. Report the value of market value changes in item 5.1(7) as the sum of column 7.
Column 8
Report the value of exchange rate variations.Reporting basis: report column 8 during the reporting period.Item 5.1(8) is a derived item. Report the value of exchange rate variations in item 5.1(8) as the sum of column 8.
Column 9
Report the value of other changes.Reporting basis: report column 9 during the reporting period.Item 5.1(9) is a derived item. Report the value of other changes in item 5.1(9) as the sum of column 9.
Column 10
Report the net closing position.Reporting basis: report column 10 as at the end of the reporting period.Item 5.1(10) is a derived item. Report the value of the net closing position in item 5.1(10) as the sum of column 10. The value in item 5.1(10) should equal the value in item 5.1(11) less item 5.1(12).
Column 11
Report the closing position, of which gross positive.Reporting basis: report column 11 as at the end of the reporting period.Item 5.1(11) is a derived item. Report the value of closing position which results in a gross positive mark to market value in item 5.1(11) as the sum of column 11.
Column 12
Report the closing position, of which gross negative.Reporting basis: report column 12 as at the end of the reporting periodItem 5.1(12) is a derived item. Report the value of closing position which results in a gross negative mark to market value in item 5.1(12) as the sum of column 12.
Section C: Derivatives with clearing houses and central counterparties that are not margined
6. Derivatives with resident and non-resident clearing houses and central counterparties that are not margined
Item 6 collects information on the value of derivatives held with resident and non-resident clearing houses and central counterparties that are not margined. It collects information on the value of derivatives at the beginning and end of the reporting period, as well as movements in the value of holdings of derivatives due to net transactions and revaluations that occurred during the reporting period. In Item 6, movement information does not have to be split by side, e.g. by gross positive or gross negative.
Futures should be excluded from this item, and reported only in item 9.
Column 1
Report the country of the non-resident clearing house. If the counterparty is a resident counterparty, report the country as Australia.
Column 2
Report the instrument type (see List 1.1 for type of instrument detail.)
Column 3
Report the net opening position.Reporting basis: report column 3 as at the beginning of the reporting period.Item 6.1(3) is a derived item. Report the value of the net opening position in item 6.1(3) as the sum of column 3. The value in item 6.1(3) should equal the value of item 6.1(4) les item 6.1(5).
Column 4
Report the opening position, of which gross positive.Reporting basis: report column 4 as at the beginning of the reporting period.Item 6.1(4) is a derived item. Report the value of opening position which results in a gross positive mark to market value in item 6.1(4) as the sum of column 4.
Column 5
Report the opening position, of which gross negative.Reporting basis: report column 5 as at the beginning of the reporting period.Item 6.1(5) is a derived item. Report the value of opening position which results in a gross negative mark to market value in item 6.1(5) as the sum of column 5.
Column 6
Report the value of net transactions.Reporting basis: report column 6 during the reporting period.Item 6.1(6) is a derived item. Report the value of net transactions in item 6.1(6) as the sum of column 6.
Column 7
Report the value of market value changes.Reporting basis: report column 7 during the reporting period.Item 6.1(7) is a derived item. Report the value of market value changes in item 6.1(7) as the sum of column 7.
Column 8
Report the value of exchange rate variations.Reporting basis: report column 8 during the reporting period.Item 6.1(8) is a derived item. Report the value of exchange rate variations in item 6.1(8) as the sum of column 8.
Column 9
Report the value of other changes.Reporting basis: report column 9 during the reporting period.Item 6.1(9) is a derived item. Report the value of other changes in item 6.1(9) as the sum of column 9.
Column 10
Report the net closing position.Reporting basis: report column 10 as at the end of the reporting period.Item 6.1(10) is a derived item. Report the value of the net closing position in item 6.1(10) as the sum of column 10. The value in item 6.1(10) should equal the value of item 6.1(11) less item 6.1(12).
Column 11
Report the closing position, of which gross positive.Reporting basis: report column 11 as at the end of the reporting period.Item 6.1(11) is a derived item. Report the value of closing position which results in a gross positive mark to market value in item 6.1(11) as the sum of column 11.
Column 12
Report the closing position, of which gross negative.Reporting basis: report column 12 as at the end of the reporting periodItem 6.1(12) is a derived item. Report the value of closing position which results in a gross negative mark to market value in item 6.1(12) as the sum of column 12.
Section D: Derivatives with all non-resident counterparties
7. Derivatives with closing gross positive mark to market values and non-resident counterparties, by currency and residual maturity (including clearing houses and central counterparties).
Item 7 collects information on the residual maturity profile by selected currencies of derivatives with a non-resident counterparty.
Residual maturity (of the closing positions for the quarter) refers to the time remaining until an asset or liability is due to be fully repaid. Positions denominated in foreign currency should be converted to Australian dollars as at the end of the reporting period, and all values should be reported in Australian dollars.
Item 7 includes non-resident clearing houses and central counterparties. Futures should be excluded from this item, and reported only in item 9.
Column 1
Currency (of the closing positions) refers to the currency in which the assets or liabilities are likely to be repaid (see List 1.2 for further details).
Column 2
Report the value of derivatives with a gross positive mark to market value and non-resident counterparty, where the residual term to maturity is less than or equal to 90 days and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 2 as at the end of the reporting period.
Column 3
Report the value of derivatives with a gross positive mark to market value and non-resident counterparty, where the residual term to maturity is more than 90 days and less than or equal to 6 months and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 3 as at the end of the reporting period.
Column 4
Report the value of derivatives with a gross positive mark to market value and non-resident counterparty, where the residual term to maturity is more than 6 months and less than or equal to 1 year and the outstanding position is likely to be repaid in the selected currency. (see List 1.2 for further details.)Reporting basis: report column 4 as at the end of the reporting period.
Column 5
Report the value of derivatives with a gross positive mark to market value and non-resident counterparty, where the residual term to maturity is more than 1 year and less than or equal to 5 years and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 5 as at the end of the reporting period.
Column 6
Report the value of derivatives with a gross positive mark to market value and non-resident counterparty, where the residual term to maturity is more than 5 years and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 6 as at the end of the reporting period.
Column 7
Column 7 is a derived item. Report the total value of derivatives with a gross positive mark to market value and non-resident counterparty, as the sum of the selected currency of that row for column 2, column 3, column 4, column 5 and column 6 (see List 1.2 for further details).Reporting basis: report column 7 as at the end of the reporting period.
8. Derivatives with closing gross negative mark to market values and non-resident counterparties, by currency and residual maturity (including clearing houses and central counterparties).
Item 8 collects information on the residual maturity profile by selected currencies of derivatives with a non-resident counterparty.
Residual maturity (of the closing positions for the quarter) refers to the time remaining until an asset or liability is due to be fully repaid. Positions denominated in foreign currency should be converted to Australian dollars as at the end of the reporting period, and all values should be reported in Australian dollars.
Item 8 includes non-resident clearing houses and central counterparties. Futures should be excluded from this item, and reported only in item 9.
Column 1
Currency (of the closing positions) refers to the currency in which the assets or liabilities are likely to be repaid. Positions denominated in foreign currency should be converted to Australian dollars as at the end of the reporting period (see List 1.2 for further details).
Column 2
Report the value of derivatives with a gross negative mark to market value and non-resident counterparty, where the residual term to maturity is less than or equal to 90 days and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 2 as at the end of the reporting period.
Column 3
Report the value of derivatives with a gross negative mark to market value and non-resident counterparty, where the residual term to maturity is more than 90 days and less than or equal to 6 months and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 3 as at the end of the reporting period.
Column 4
Report the value of derivatives with a gross negative mark to market value and non-resident counterparty, where the residual term to maturity is more than 6 months and less than or equal to 1 year and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 4 as at the end of the reporting period.
Column 5
Report the value of derivatives with a gross negative mark to market value and non-resident counterparty, where the residual term to maturity is more than 1 year and less than or equal to 5 years and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 5 as at the end of the reporting period.
Column 6
Report the value of derivatives with a gross negative mark to market value and non-resident counterparty, where the residual term to maturity is more than 5 years and the outstanding position is likely to be repaid in the selected currency (see List 1.2 for further details).Reporting basis: report column 6 as at the end of the reporting period.
Column 7
Column 7 is a derived item. Report the total value of derivatives with a gross negative mark to market value and non-resident counterparty, as the sum of the selected currency of that row for column 2, column 3, column 4, column 5 and column 6 (see List 1.2 for further details).Reporting basis: report column 7 as at the end of the reporting period.
Section E: Futures
Section E collects information on futures.
9. Futures with resident and non-resident counterparties
Item 9 collects information on movements in the value of futures due to net transactions and gross positive and gross negative revaluations.
Report separately for resident and non-resident counterparties. Resident means that the country of exchange is Australia.
Column 1
Report the country of exchange. If the counterparty is a resident counterparty, report the country as Australia.
Column 2
Report the net transactions of futures.Reporting basis: report column 2 during the reporting period.
Column 3
Report the gross positive value of revaluations of futures.Reporting basis: report column 3 during the reporting period.
Column 4
Report the gross negative value of revaluations of futures.Reporting basis: report column 4 during the reporting period.
Section F: Adjustments
Section F collects information on adjustments.
10. Counterparty-level adjustments
Item 10 collects information on adjustments in the value of derivatives made by the reporting entity across different counterparty types and at the book-level.
If no adjustments are included in reported values for other items, reporting of this item is not required.
Report separately for resident and non-resident counterparties. Resident counterparties should be chosen from the list provided.
Column 1
Report the type of resident counterparty (see List 1.3 for further details).Item 10.1(1) is a counterparty type not included in List 1.3. Include all non-resident counterparties.Item 10.1.1(1) is a counterparty type not included in List 1.3. Include non-resident clearing houses and central counterparties.Item 10.2(1) is for adjustments not applied to specific counterparties. Include all adjustments applied at the trading book or banking book level.
Column 2
Report the value of adjustments applied at that counterparty level.Reporting basis: report column 2 as the sum of the value of adjustments applied during the reporting period.Report the value of adjustments applied at the counterparty level for all non-resident counterparties in item 10.1(2).Report the value of adjustments applied at the counterparty level for non-resident clearing houses and central counterparties in item 10.1.1(2).Item 10.2(2) is for adjustments not applied to specific counterparties. Report all adjustments applied at the trading book or banking book level.Item 10.3(2) is a derived item. Report the value of adjustments applied in Item 10.3(2) as the sum of all items in column 2 excluding Item 10.1.1(2).
Lists
List 1.1
Report derivatives excluding clearing houses and central counterparties.Report for each combination of type of counterparty and instrument type: the opening position gross positive/negative mark to market value, transactions, the revaluations and closing position gross positive/negative mark to market value.The counterparty types are:private non-financial investment funds;other private non-financial corporations;private unincorporated businesses;state, territory and local government non-financial corporations;Commonwealth Government non-financial corporations;Reserve Bank of Australia (RBA);authorised deposit-taking institutions (ADI);registered financial corporations (RFC);central borrowing authorities;insurance corporations;superannuation funds;financial auxiliaries other than clearing houses and central counterparties;securitisers;money-market investment funds;non-money-market financial investment funds;financial institutions n.e.c.;state, territory and local general government;Commonwealth general government;other resident entities not already reported above.The instrument types are:options;forwards;swaps; andany other instrument types not reported above, excluding futures.
List 1.2
Report derivatives with non-resident counterparty.Report for residual maturity profile, the selected currency in which the assets or liabilities are likely to be repaid.Positions denominated in foreign currency should be converted to Australian dollars as at the end of the reporting period.The selected currencies are:Australian dollar (AUD);U.S. dollar (USD);Pound sterling (GBP);Japanese yen (JPY);Euro (EUR);Swiss franc (CHF);Chinese renminbi (RMB);South Korean won (KRW);New Zealand dollar (NZD);Indian Rupee (INR);South African rand (ZAR);Canadian dollar (CAD); andother (any other currency not reported above).
List 1.3
Report derivatives including clearing houses and central counterparties.Report for each counterparty type the value of adjustments applied at that counterparty level during the reporting period.The counterparty types are:private non-financial investment funds;other private non-financial corporations;private unincorporated businesses;state, territory and local government non-financial corporations;Commonwealth Government non-financial corporations;Reserve Bank of Australia (RBA);authorised deposit-taking institutions (ADI);registered financial corporations (RFC);central borrowing authorities;insurance corporations;superannuation funds;financial auxiliaries other than clearing houses and central counterparties;securitisers;money-market investment funds;non-money-market financial investment funds;financial institutions n.e.c.;state, territory and local general government;Commonwealth general government;clearing houses and central counterparties; andother resident entities not already reported above.