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Derivatives

Australian System of National Accounts: Concepts, Sources and Methods
Reference period
2020-21 financial year

Definition

15.111    Derivatives are financial instruments that are linked to a specific financial instrument or commodity, through which specific financial risks can be traded in financial markets in their own right. Examples include swaps; forward contracts; futures contracts; and options. In the ASNA, derivatives are treated as debt securities irrespective of the nature of the underlying asset. The value of a derivative derives from the price of the underlying item: the reference price. This price may relate to a commodity; a financial asset; an interest rate; an exchange rate; another derivative; or a spread between two prices.

15.112    An employee stock option is an agreement made on a given date (the ''grant'' date). An employee may purchase a given number of shares of the employer's stock at a stated price (the ''strike'' price) either at a stated time (the ''vesting'' date) or within a period of time (the ''exercise'' period) immediately following the vesting date. Transactions in these options are recorded in the financial account as the counterpart to the element of compensation of employees represented by the value of the stock option. The ASNA does not record employee stock options separately, due to unavailability of source data.

15.113    Margins are payments of cash or collateral that cover actual or potential obligations under derivatives, especially futures contracts or exchange-traded options. Repayable margins consist of deposits or other collateral deposited to protect a counterparty against default risk, but which remain under the ownership of the unit placing the margins. Although its use may be restricted, a deposit is classified as repayable if the depositor retains the risks and rewards of ownership.

15.114    Repayable margin payments in cash are transactions in deposits, not transactions in a derivative. The depositor has a claim on the exchange or other institution holding the deposit. In the ASNA, margins on derivatives are recorded as loans rather than deposits.

Sources and methods – quarterly

15.115    The table below outlines the data sources and methods used in the estimation of quarterly derivatives in current prices. Real estimates are calculated for the national balance sheet.

15.7 Quarterly derivatives
ItemComment
Levels (closing positions) and transactions (settlements during the period)
 Source data for the derivatives market positions and transactions are obtained from the ABS Survey of International Investment (SII). This survey provides information on derivatives assets and liabilities contracts between each resident sector and the rest of the world. It includes details about opening and closing positions; settlements (receipts and payments); valuation and other changes (market price, exchange rate and other changes); country of non-resident creditor/debtor; and residual maturity.

All values relate to derivative contracts independent of their underlying assets and are valued on a mark to market basis.

The survey collects derivative information at the aggregate level only and does not collect information by a specific type (options, cross-currency swaps, etc.).

Domestic sectoral derivatives market positions are obtained from the suite of balance sheet forms from the ABS Survey of Financial Information (SFI) and the Australian Prudential Regulatory Authority's (APRA's) Statement of Financial Position. The four-yearly Survey of Foreign Currency Exposure (also known as the hedging survey), collects data on foreign exchange related derivatives transacted with both resident and non-resident counterparties. The information from the hedging survey is used to derive domestic sector by counterparty profiles using the notional principal of outstanding foreign exchange related derivatives positions with other resident counterparties for overall foreign exchange and non-foreign exchange related domestic positions. The ABS Survey of Financial Information and APRA's Statement of Financial Position are used to break down counterparty sector 'other financial corporations' into the finer sectoral detail required.

Domestic derivatives transactions are estimated using banks’ transactions with the rest of the world from the SII; where:
  1. Banks’ total domestic transactions = Banks’ total transactions with RoW times ratio of banks total domestic position to banks RoW position.
  2. Domestic transactions by counterparty for other sectors are obtained by applying the resident sector by counterparty profile (from the ABS hedging survey, ABS SFI and APRA surveys) to banks’ total domestic transactions.