Financial Sector (Collection of Data) (reporting standard) determination No. 72 of 2008 GRS 160.0 (2008) Derivative Activity and Risk Charge (Cth)
Financial Sector (Collection of Data) (reporting standard) determination No. 72 of 2008
Reporting Standard GRS 160.0 (2008) Derivative Activity and Risk Charge
Financial Sector (Collection of Data) Act 2001
I, Charles Watts Littrell, a delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:
REVOKE Reporting Standard GRS 160.0 (2007) Derivative Activity and Risk Charge which is in force as at the date of this determination (the old standard); and
DETERMINE Reporting Standard GRS 160.0 (2008) Derivative Activity and Risk Charge in the form set out in the Schedule (the new standard), which applies to the financial sector entities referred to in paragraph 2 of the new standard.
Under section 15 of the Act, I DECLARE that the new standard shall begin to apply, and the old standard shall cease to apply, on the date of registration of this instrument on the Federal Register of Legislative Instruments.
Dated 16 October 2008
[Signed]
Charles Littrell
Executive General Manager
Policy, Research and Statistics
Interpretation
In this Determination
APRA means the Australian Prudential Regulation Authority.
Federal Register of Legislative Instruments means the register established under section 20 of the Legislative Instruments Act 2003.
Schedule
Reporting Standard GRS 160.0 (2008) Derivative Activity and Risk Charge comprises the 32 pages commencing on the next page.
Reporting Standard GRS 160.0 (2008)
Derivative Activity and Risk Charge
Objective of this reporting standard
This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 (the Collection of Data Act). It requires general insurers (insurers), including foreign general insurers (foreign insurers) operating in Australia through branch operations, to report to APRA, generally on a quarterly and annual basis, their derivative activity and risk charge.
This reporting standard outlines the overall requirements for the provision of this information to APRA. It should be read in conjunction with:
Form GRF 160.0.1 Derivatives Activity and Risk Charge – Interest Rate Contracts;
Form GRF 160.0.2 Derivatives Activity and Risk Charge- Foreign Exchange Contracts;
Form GRF 160.0.3 Derivatives Activity and Risk Charge – Equity Contracts;
Form GRF 160.0.4 Derivatives Activity and Risk Charge – Precious Metal Contracts;
Form GRF 160.0.5 Derivatives Activity and Risk Charge – Other Market-Related Contracts
and the associated instructions (which are attached and all form part of this reporting standard); and
any prudential standards referenced in the attached instructions.
Purpose
Data collected in Forms GRF 160.0.1 to 160.0.5 is used by APRA for the purpose of prudential supervision including assessing an insurer’s compliance with the capital standards.
Application and commencement
This reporting standard applies to all insurers for reporting periods commencing on or after 1 July 2008.
Information required
An insurer must provide APRA with the information required by each of Forms GRF 160.0.1 to 160.0.5 for each reporting period.
Forms and method of submission
The information required by this reporting standard must be given to APRA either:
(a)in electronic form using the ‘Direct to APRA’ application, applying one of the electronic submission mechanisms under that application; or
(b)by manually completing each of Forms GRF 160.0.1 to 160.0.5 on paper and mailing the completed form to APRA’s head office at Level 26, 400 George Street, Sydney, New South Wales.
Where the information is submitted by means of an agent to whom the insurer has outsourced the function of providing the information on the insurer’s behalf, the agent may only provide the information in accordance with subparagraph 4(b) if the agent has contacted APRA and advised that the agent cannot submit the information in electronic form under subparagraph 4(a).
Note: the Direct to APRA application software and paper forms may be obtained from APRA.
Reporting periods and due dates
Subject to paragraph 6, an insurer must provide the information required by this reporting standard:
(a)in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the insurer; and
(b)in respect of each financial year (within the meaning of the Corporations Act 2001) of the insurer.
Note: The annual information required by paragraph 3 read with subparagraph 5(b), together with certain annual information required by other reporting standards, will form part of the insurer’s yearly statutory accounts within the meaning of section 3 of the Insurance Act 1973 (the Insurance Act). This means that the information must be audited in accordance with paragraph 49J(1)(a) of the Insurance Act. Under subsection 49J(3), the auditor must give the insurer a certificate relating to the yearly statutory accounts, and that certificate must specify the matters provided for in the prudential standards.
APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular insurer to require it to provide the information:
(a)more frequently (if, having regard to the particular circumstances of the insurer, APRA considers it necessary or desirable to obtain information more frequently for the purposes of the prudential supervision of the insurer); or
(b)less frequently (if, having regard to the particular circumstances of the insurer and the extent to which it requires prudential supervision, APRA considers it unnecessary to require the insurer to provide the information as frequently as provided by subparagraph 5(a) or (b)).
The information required by paragraph 3 of this reporting standard from an insurer must be provided to APRA by the following times:
(a)in the case of the quarterly information required by subparagraph 5(a) – 20 business days after the end of the reporting period to which the information relates; and
(b)in the case of the annual information required by subparagraph 5(b) – 4 months after the end of the reporting period to which the information relates.
Note: Paragraph 49L(1)(a) of the Insurance Act provides that the auditor’s certificate required under subsection 49J(3) of that Act must be lodged with APRA in accordance with the prudential standards. The prudential standards provide that the certificate must be submitted to APRA together with the yearly statutory accounts. Accordingly, the auditor’s certificate relating to the annual information required by paragraph 3 read with subparagraph 5(b) must be provided to APRA by the time specified in subparagraph 7(b) of this reporting standard (unless an extension is granted under paragraph 8).
APRA may grant an insurer an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
The information provided by an insurer under this reporting standard must be the product of processes and controls that have been reviewed and tested by the appointed auditor of the insurer. This will require the auditor to review and test the systems, processes and controls supporting the reporting of the information to ensure that they produce accurate data and are otherwise reliable. This review and testing must be done on an annual basis or more frequently if necessary to enable the appointed auditor to form an opinion on the accuracy and reliability of the data.
The information provided by an insurer under this reporting standard must be subject to processes and controls developed by the insurer for the internal review and authorisation of that information. It is the responsibility of the board and senior management of the insurer to ensure that an appropriate set of policies and procedures for the authorisation of data submitted to APRA is in place.
Authorisation
If the officer of an insurer provides the information required by this reporting standard:
(a)under subparagraph 4(a), the officer must digitally sign, authorise and encrypt the information (for which purpose APRA’s certificate authority will issue digital certificates, for use with the ‘Direct to APRA’ application, to officers of the insurer who have authority from the insurer to transmit data to APRA); or
(b)under subparagraph 4(b), the completed form must be signed in accordance with paragraph 13.
If an insurer provides the information required by this reporting standard through an agent under either subparagraph 4(a) or (b), the agent will not be required to sign or authorise the information. However, the insurer must:
(a)obtain from the agent a paper copy of the completed form as provided to APRA (whether it was provided under subparagraph 4(a) or (b)); and
(b)cause the paper copy to be signed in accordance with paragraph 13; and
(c)lodge the signed paper copy with APRA by mailing the completed form to APRA’s head office at Level 26, 400 George Street, Sydney, New South Wales, by the relevant due date (unless APRA, in writing, waives the requirement to lodge the signed paper copy with APRA by varying this reporting standard in relation to the insurer).
Note: APRA may, for example, determine to waive the requirement under subparagraph 12(c) where an insurer has undertaken to retain the signed copy of the completed form for an agreed period of time.
If information under this reporting standard is provided in paper form, it must be signed on the front page of the relevant completed form by either:
(a)the Principal Executive Officer of the insurer; or
(b)the Chief Financial Officer of the insurer (whatever his or her official title may be).
Minor alterations to forms and instructions
APRA may make minor variations to the instructions to a form, to clarify their application to the form without changing any substantive requirement in the form or instructions.
If APRA makes such a variation it must notify insurers in writing.
Transition
An insurer must report in relation to a reporting period ending prior to 1 July 2008 in accordance with the reporting standard that this reporting standard replaced.
Interpretation
In this reporting standard:
appointed auditor means an auditor appointed under paragraph 39(1)(a) of the Insurance Act;
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays;
capital standards means the prudential standards which relate to capital adequacy as defined in Prudential Standard GPS 001 Definitions;
foreign insurer means a foreign general insurer within the meaning of the Insurance Act;
Note: A reference to a ‘branch’ or ‘branch operation’ is a reference to the Australian operations of a foreign insurer.
Insurance Act means the Insurance Act 1973;
insurer means a general insurer within the meaning of the Insurance Act;
Note: In the forms and instructions, a reference to an ‘authorised insurer’, ‘authorised insurance entity’ or ‘licensed insurer’ is a reference to an insurer, and a reference to an ‘authorised reinsurance entity’ is a reference to an insurer whose business consists only of undertaking liability by way of reinsurance.
Principal Executive Officer means the principal executive officer of the insurer for the time being, by whatever name called, and whether or not he or she is a member of the governing board of the insurer;
reporting period means a period mentioned in subparagraph 5(a) or (b) or, if applicable, paragraph 6.
A reference to a prudential standard means the prudential standard, made under section 32 of the Insurance Act, mentioned in the reference, as amended from time to time. If the prudential standard has been revoked and replaced, the reference shall be taken to be to the prudential standard that has replaced it.
Reporting Form GRF 160.0
Derivatives Activity and Risk Charge
Instruction Guide
Introduction
This form:
calculates the required capital charge associated with an insurer’s exposure to derivative financial instruments and is based on the Prescribed Method set out in GPS 114 Capital Adequacy: Investment Risk Capital Charge (GPS 114).
collects information on derivative activities and exposures.
Audit requirements
The form relating to authorised insurance entities and reinsurance entities is required to be subject to audit review and testing.
The scope and nature of audit testing required is outlined in the applicable Auditing and Assurance Guidance Statement issued by the Auditing and Assurance Standards Board.
Information provided in the form in respect of a financial year of an insurer forms part of the insurer’s ‘yearly statutory accounts’ within the meaning of section 3 of the Insurance Act 1973. This means that:
the completed form for the financial year must be audited by the Appointed Auditor of the insurer (see paragraph 49J(1)(a) of the Act);
the insurer must make such arrangements as to enable the auditor to do this (subsection 49J(2));
the auditor must give the insurer a certificate relating to the completed form (and other completed forms that are part of the insurer’s yearly statutory accounts), which must contain statements of the auditor’s opinion on the matters required by the prudential standards to be dealt with in the certificate (subsection 49J(3));
the certificate must be lodged with APRA as provided for in the prudential standards (paragraph 49L(1)(a)), namely by the due date for lodging the form in respect of the financial year for the insurer.
Reporting entity
This form is to be completed for the following reporting entities:
Branch insurers of a foreign parent insurer (reference to licensed insurer in the form means total operations of the branch, excluding the parent operations);
Authorised insurance entities, including mutual entities (reference to licensed insurer in the form means total operations of the licensed entity); and
Authorised reinsurance entities (reference to licensed insurer in the form means total operations of the licensed entity).
Definitions
Definitions for data reporting items required by this form have been provided where possible in the instructions under the section headed ‘Specific Instructions’.
Unit of measurement
The form is to be completed in Australian currency, rounded in thousands of dollars with no decimal place. Amounts denominated in a currency other than Australian currency are to be converted to AUD in accordance with AASB 121 ‘The Effects of Changes in Foreign Exchange Rates’.
The general requirements of AASB 121 ‘The Effects of Changes in Foreign Exchange Rates’ for translation are:
Foreign currency monetary items[1] outstanding at the reporting date must be translated at the spot rate[2] at the reporting date.
[1] Monetary items are defined to mean units of currency held and assets and liabilities to be received or paid in a fixed or determinable number of units of currency.
[2]Spot rate means the exchange rate for immediate delivery.
Foreign currency non-monetary items[3] that are measured at historical cost in a foreign currency must be translated using the exchange rate at the date of the transaction.
[3]Examples of non-monetary items include amounts prepaid for goods and services (e.g. prepaid rent); goodwill; intangible assets; physical assets; and provisions that are to be settled by the delivery of a non-monetary asset.
Foreign currency non-monetary items that are measured at fair value will be translated at the exchange rate at the date when fair value was determined.
Transactions arising under foreign currency derivative contracts at the reporting date must be prepared in accordance with AASB 139 ‘Financial Instruments: Recognition and Measurement’. However, those foreign currency derivatives that are not within the scope of AASB 139 ‘Financial Instruments: Recognition and Measurement’ (e.g. some foreign currency derivatives that are embedded in other contracts) remain within the scope of AASB 121 ‘The Effects of Changes in Foreign Exchange Rates’.
For APRA purposes equity items must be translated using the foreign currency exchange rate at the date of investment or acquisition. Post acquisition changes in equity are required to be translated on the date of the movement.
As foreign currency derivatives are measured at fair value, the currency derivative contracts are translated at the spot rate at the reporting date.
Exchange differences should be recognised in profit and loss in the period which they arise. For foreign currency derivatives, the exchange differences would be recognised immediately in profit and loss if the hedging instrument is a fair value hedge. For derivatives used in a cash flow hedge, the exchange differences should be recognised directly in equity.
The ineffective portion of the exchange differences in all hedges would be recognised in profit and loss.
Translation of financial reports of foreign operations.
A foreign operation is defined in AASB 121 ‘The Effects of Changes in Foreign Exchange Rates’ as meaning an entity that is a subsidiary, associate, joint venture or branch of a reporting entity, the activities of which are based or conducted in a country or currency other than those of the reporting entity.
·Exchange differences relating to foreign currency monetary items that form part of the net investment of an entity in a foreign operation, must be recognised as a separate component of equity.
·Translation of financial reports should otherwise follow the requirements in AASB 121 ‘The Effects of Changes in Foreign Exchange Rates’.
Reporting period
Insurers are required to report the information in the reporting form on a quarterly and annual basis.
The quarterly information is to be completed in respect of each quarter based on the financial year of the insurer, not the calendar year.
The annual information is to be completed in respect of the financial year of the insurer.
The financial information requested in this form is to be reported as at the last day of the reporting period on a financial year to date basis of the insurer.
Reporting lag
This form must be lodged for each of the reporting units within the number of business days after the end of the quarter as set out in Reporting Standard GRS 160.0 Derivative Activity and Risk Charge.
Related parties
Where this term is used or referenced in these forms, related parties is to be interpreted consistently with its definition and meaning as contained in AASB 124 ‘Related Party Disclosures’.
In accordance with AASB 124, related party means a party that directly or indirectly through one or more intermediaries:
(a)controls, is controlled by or is under common control with, the entity (this includes parents, subsidiaries and fellow subsidiaries);
(b)has significant influence over the entity or has joint control over the entity; or
(c)is an associate (as defined in AASB 128 ‘Investments in Associates’) of the entity; or
(d)is a joint venture in which the entity is a venturer (see AASB 131 ‘Interests in Joint Ventures’); or
(e)is a member of the key management personnel of the entity or its parent; or
(f)is a close member of the family of any individual referred to in (a), (b) or (e); or
(g)is an entity that its controlled, jointly controlled or significantly influenced by, or for which significant voting power in such entity resides with, directly or indirectly, any individual referred to in (e) or in (f); or
(h)is a post-employment benefit plan for the benefit of the employees of the entity, or of any entity that is a related party of the entity.
Specific instructions
Derivative financial instruments
Derivatives expose insurers to a full range of investment risks, even though in many cases there may be no, or only a small initial outlay. Insurers must set aside capital to cover the Investment Risk of these transactions particularly where derivatives are used for reasons other than to hedge an underlying physical position.
Where the insurer has derivatives over listed equities, the investment risk capital charge is applied on a portfolio basis and consists of the equity market risk component and equity basis risk component. Any counterparty risk component on the derivatives is still captured on this form. The equity market risk component and the equity basis risk components are to be calculated under GRF 140.1 Investments – Direct Equity Holdings and Risk Charge.
Where an insurer elects to apply the investment capital factors to the underlying assets held under a trust and the trust holds derivatives, then those derivatives should be reported in this form where required.
Derivatives are generally defined as those instruments/contracts, where the value is based on other products, either financial or real, 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 in the contract (as with options).
The counterparty in a derivative contract is the party assuming the credit risk. For exchange-traded contracts, credit risk is transferred or assumed by the exchange clearing house. For over the counter (OTC) contracts (e.g. derivative contracts customised for the Insurer by a bank), the other party to the contract (seller or buyer) is the counterparty.
Derivative products/contracts are not limited to but include the following:
Options (including call and put options; exchange-traded and over-the-counter options; interest-rate, bullion, commodity and equity options; warrants);
Interest rate swaps;
Cross-currency interest-rate swaps;
Foreign exchange swaps;
Foreign exchange forwards;
Futures (i.e. bank bill, bond, equity); and
Forward rate agreements.
If the units are held in a related entity of the insurer (i.e. a dedicated investment management entity for the Insurer), the Insurer may apply to APRA to have such entities approved as part of its Extended Licensed Entity (ELE). This is set out in GPS 114. Once approved by APRA, this will allow the insurer to look through the legal structures involved and to consolidate the balance sheet of the related entity with its own for the purposes of determining the Investment Risk Capital Charge.
Any associated derivative balances relating to the insurers investment securities/portfolio that is contracted by the related entity must also be recognised by the licensed insurer.
Exclude:
Derivative margin accounts, which hold deposits lodged with an exchange or clearing house as collateral to cover adverse movements in market prices. These balances are to be reported in the Investments form under the appropriate line item within “Call Deposits”.
Repurchase/Resale agreements despite their similarity to a FRAs and/or swaps.
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.
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.
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 GPS 114.
Principal amount
Note: Always record this value as positive, even for short positions in derivative financial instruments.
Principal amount for the purpose of this form refers to the face value or notional principal amount of the derivative financial contract.
Record the aggregate face value or notional principal amount (always positive) of the derivative exposure/position separated into net long or net short positions, for each of the items listed. Amount is to be rounded to thousands of Australian dollars. The notional principal amount of a contract is the reference amount used to calculate payment streams between counterparties to a contract.
Mark to Market value
Record the aggregate mark to market value of the derivative exposure/position separated into net long or net short positions, for each of the items listed. Amount is to be rounded to thousands of Australian dollars.
Mark to market value (or replacement cost) represents the difference between:
the price of entering into a new contract to replace the original contract and
the price of the original contract excluding transaction costs.
Potential exposure add-on factors %
The potential exposure add-on factors as specified in GPS 114 are:
| Residual Maturity | Interest Rate Contracts | Foreign Exchange & Gold Contracts | Equity Contracts | Precious Metal Contracts (except gold) | Other Contracts |
| Less than 1 yr | Nil | 1.0% | 6.0% | 7.0% | 10.0% |
| 1 year to less than 5 yrs | 0.5% | 5.0% | 8.0% | 7.0% | 12.0% |
| More than 5 yrs | 1.5% | 7.5% | 10.0% | 8.0% | 15.0% |
Asset equivalent
Do not enter a value in this column. The form automatically calculates the asset equivalent value of the derivative exposure. This is calculated based on the Prescribed Method set out in GPS 114, and is the sum of the:
Positive mark-to-market value (or replacement cost) of the derivative position (refer below); plus
A potential exposure add-on.
Current mark-to-market value of the derivative position
The current mark-to-market value of a derivative is only applicable where the position has a positive replacement value to the insurer. If the current mark-to-market value of the position is negative or zero, the value is not included in the calculation, as the calculation of the asset equivalent amount is trying to capture the credit risk value of the derivative position to the insurer.
A potential exposure add-on
The potential exposure add-on for a derivative position is determined by multiplying the notional principal amount of the derivative contract by the appropriate credit conversion factors outlined in the table above. This component of the calculation is required for all derivatives regardless of whether the derivative contract has a positive, zero or negative mark-to-market value.
Investment Capital Factor %
The investment capital factors are specified in GPS 114. These are based on the rating of the counterparty to the derivative contract.
Investment risk capital charge
Do not enter a value in this column. This column automatically calculates the appropriate Investment Capital Charge based on the information entered. The capital charge is calculated by multiplying the asset equivalent value by the investment capital factor applicable for each counterparty grade.
Risk Charge Per Derivative Contract Type
Do not enter a value in this field as this is automatically calculated. This is the total capital charge calculated for each contract type (i.e. Interest Rate Contracts, Equity Contracts).
Total Derivative Risk Charge
Do not enter a value in this field as this is automatically calculated. This is the total capital charge calculated for all contract types, based on the aggregate value of all derivative financial instruments other than exchange traded derivatives.
Total Derivative Exposure Classified into the Following
(Note: Capital charge is not calculated on these products, but the aggregate value is required for the first 2 columns of each type of derivative market/type).
Total 'Over the Counter' derivative financial instruments
These refer to derivative contracts that are not traded on a recognised exchange. Instead these contracts are transacted between individual counterparties (e.g. most commonly a bank). The details of a derivative contract can be negotiated between the contracting parties.
Forwards, Swaps, Other
Bought Option Positions:
(Note: do not include options in the form of credit derivatives, these are separately disclosed).
Report option positions where the insurer has purchased an option position (i.e. a call or put option) and has the right but not the obligation to exercise the option against the writer and request delivery or sale of the underlying security or cash settlement. Disclose bought option exposures into the following:
Call option.
Right but not the obligation of the holder of the option to require the writer of the option to sell the underlying security/asset to the holder.
Put option.
Right but not the obligation of the holder of the option to require the writer of the option to buy the underlying security/asset from the holder.
Written Option Positions
(Note: do not include options in the form of credit derivatives, these are separately disclosed).
Report option positions where the insurer has written/sold option positions (i.e. call or put options), and as a result has the obligation to deliver or purchase the underlying product of the option or settle in cash, if exercised by the holder of the option position sold by the insurer. Disclose sold option exposures into the following:
Call option.
Obligation but not the right of the writer of the option to sell the underlying security/asset to the holder of the option.
Put option.
Obligation but not the right of the writer of the option to buy the underlying security/asset from the holder.
Credit Derivatives
(Note: do not include options based on financial market products/indexes, these are separately disclosed)
Report credit derivative option positions where the insurer is:
providing credit protection; or
purchasing credit protection.
Total exchange traded derivative financial instruments - Derivatives traded on futures and options exchanges subject to daily mark-to-market & margin payments.
These refer to derivative contracts that are transacted on a recognised futures or options exchange (e.g. in Australia the Sydney Futures Exchange) and are subject to daily mark-to-market and margin payment. These contracts are transacted in standardised parcels. The clearing house effectively becomes the counterparty to all derivative positions.
Record the aggregate principal and mark to market value for each contract type (i.e. Interest Rate Contracts, Equity Contracts).
Total Derivative Exposure Classified into the Following (over the counter and exchange traded derivatives)
Total derivatives, which are in relation to:
Investment portfolio (as disclosed in the Investment Forms)
Record the aggregate principal and mark to market value of derivative exposures that relate to the investment portfolio, either as hedging a component of the underlying investment portfolio (i.e. fixed interest or equities) or as an outright investment.
Other assets
Record the aggregate principal and mark to market value of derivative exposures that are in relation to assets other than those included in the investment portfolio of the insurer (see point above), i.e. used for the purpose of hedging asset returns/values.
Claims Liabilities
Record the aggregate principal and mark to market value of derivative exposures that relate to the insurer’s claims liabilities (e.g. hedging the currency movement on a claim liability denominated in a currency other than Australian currency).
Debt Funding/Borrowings
Record the aggregate principal and mark to market value of derivatives that relate to specific debt/borrowings of the insurer (e.g. hedging the interest rate risk or currency risk associated with the borrowings).
Other
Record the aggregate principal and mark to market value of derivatives that relate to other items not specifically listed above (i.e. hedging the currency risk associated with an anticipated purchase).
Total Derivatives, which are with:
Disclose those derivatives that are with the following:
Parent entity
Disclose holdings of derivatives that are purchased from or sold to the parent entity of the licensed insurer.
Controlled entities/Other branches of the parent entity
For Branches, this line item is to be interpreted as amounts in relation to “Other branches of the parent entity”, and for licensed insurance entities as amounts in relation to “Controlled entities”.
Disclose holdings of derivatives that are purchased from or sold to controlled entities of the licensed insurer.
Associate/Joint venture
Disclose holdings of derivative securities that are purchased from or sold to Associates or Joint Ventures of the licensed insurer. Associates and Joint Ventures are defined in accordance with AASB 131 ‘Interests in Joint Ventures’ and AASB 128 ‘Investments in Associates’.
Other related parties
Disclose holdings of derivative instruments that are purchased from or sold to any other related entity of the reporting Insurer not disclosed above.
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