| Label: |
Standard Method - Options - Delta-plus Method - Capital Charge - Interest Rate Options |
| Concept Guidance: |
This is the value, as at the relevant date, of interest rate options, as determined in accordance with relevant prudential standards.An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
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| Form-Specifc Guidance: |
An ADI that has approval from APRA to use the delta-plus method must report this item.
ADIs using this method must first calculate the delta-equivalent position of each option. The delta-equivalent position is calculated by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position.
Gamma impact:
Where applicable, ADIs must calculate the gamma impact of each option as detailed in APS 116.
Vega impact:
Where applicable, ADIs must calculate the vega impact of each option as detailed in APS 116.
Total capital charge:
Total capital charge is a derived field that sums up the gamma impact and the vega impact.
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