Financial Sector (Collection of Data) (reporting standard) determination No. 6 of 2009 - LRS 210.0 - Derivatives, Commitments and Off-Balance Sheet Items
Section A: Statement of Derivative ActivSection A: Statement of Derivative Activity
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Section A: Statement of Derivative Activity
The Statement of Derivative Activity is for information purposes. Life companies should report all derivative instruments held at the reporting date in the principal (or notional) amount column and the fair value column.
The following sections give examples of the more common derivatives which are traded on exchanges, traded over-the-counter, or not market-traded. This is not intended as an exhaustive list.
Life companies should not generally enter into contracts at off-market prices. This includes historical rate rollovers on foreign exchange contracts. If any contracts are undertaken at off-market prices, life companies should contact APRA to discuss the reasons for such actions. APRA would generally expect that the risk management arrangements for off-market price dealings would be covered in the Risk Management Strategy (RMS) required under Prudential Standard LPS 220 Risk Management.