| SRF_534_0: Derivative Financial Instruments | ||||||
| Effective date: 1 July 2016 | ||||||
| Australian Business Number | Institution Name | |||||
| RSE | ||||||
| Reporting Period | Scale Factor | |||||
| Annual | Thousands | |||||
| Reporting Consolidation | ||||||
| Solo Books | ||||||
| 1. Directly held derivative financial instruments | ||||||
| Exposure type | Derivative type | Contract type | Principal amount | Gross positive market value | Gross negative market value | Net market value |
| (1) | (2) | (3) | (4) | (5) | (6) | (7) |
| Interest rate contract | Exchange traded | Options | ||||
| Foreign exchange contract | Over the counter (cleared) | Forwards | ||||
| Credit risk contract | Over the counter (not cleared) | Futures | ||||
| Equity contract | Swaps | |||||
| Commodity contract | Other | |||||
| Other contract | ||||||
| 1.1. Total directly held derivative financial instruments | ||||||
| 2. Value of assets of the RSE that are pledged to secure derivative positions | ||||||
| 3. Details of directly held over the counter derivatives | ||||||
| Counterparty name | Counterparty rating grade | Exposure type | Principal amount | Gross positive market value | Gross negative market value | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Grade 1 | Interest rate contract | |||||
| Grade 2 | Foreign exchange contract | |||||
| Grade 3 | Credit risk contract | |||||
| Grade 4 | Equity contract | |||||
| Grade 5 | Commodity contract | |||||
| Grade 6 | Other contract | |||||
| Grade 7 | ||||||
| Not applicable | ||||||
| 3.1. Total directly held over the counter derivatives | ||||||
| 4. Details of net collateral pledged to secure positions per counterparty | ||||||
| Counterparty name | Net collateral pledged to secure positions with the counterparty | |||||
| (1) | (2) | |||||
