Label: |
Foreign Exchange Derivative Contracts - Swaps |
Concept Guidance: |
This is the value, as at the relevant date, of both foreign exchange and gold swaps, consistent with the classification and measurement basis used for derivatives by institutions in accordance with accounting standards.A Swap is a financial instrument representing a transaction in which two parties agree to swap or exchange some obligation, generally a series of cash flows on differing terms.A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another.A gold contract is any contract that transfers the gold price risk associated with an underlying asset from one party to another.Derivatives are generally defined as those instruments/contracts, where the value is based on other products, 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 within the contract (as with options).Report this item regardless of whether favourable or unfavourable to the reporting entity.
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Form-Specifc Guidance: |
While not intended as an exhaustive list, Foreign Exchange derivative contracts and Gold derivative contracts may include the following:
- cross currency swaps (including cross currency interest rate swaps);
- forward foreign exchange contracts;
- currency futures;
- currency options purchased;
- hedge contracts; and
- any other instruments of a similar nature.
Outstanding spot transactions should be treated as forward foreign exchange contracts.
Netting should not be applied when reporting amounts within the Statement of Derivative Activity.
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