MNB Decree No. 32/2009 - Magyar Nemzeti Bank

• Credit spread option: the right / obligation to receive / pay a specific cash flow, where
the difference between the return on two financial instruments exceed a pre-determined
level during a specific period.
The report shall contain all open transactions, irrespective of maturity.
f) miscellaneous provisions relating to the classification of transactions
• Forward transaction for settlement by delivery or off-setting are to be included among
futures, as well as other deals pertaining to price difference, and similar transactions.
• Options:
o Put option: a commitment agreed upon for payment of an option premium. It
covers, among others, put cap, floor and swaption, and the put leg of collar and
corridor.
o Call option: a commitment agreed upon for payment of an option premium. It
covers, among others, call cap, floor and swaption, and the call leg of collar and
corridor.
• As for swaps only the forward legs are to be taken into consideration. If both legs are
forward, they have to reported separately (in report D25).
• For the most part, OTC derivatives can be included in either of the following three plain
vanilla instruments: futures, swap and option. Where a transaction contains multiple plain
vanilla components, each shall be reported separately.
• Composite, non-plain vanilla, transactions shall be broken up into plain vanilla
components, where possible, and shall be listed separately. If this is not possible and the
product contains an FX / interest option built into a derivative, it shall be shown under
options.
• Other instruments: derivative instruments that cannot be broken up into individual plain
vanilla instruments (futures, swaps, options), or such separation is not feasible.
4. Valuation principles (in respect of report D25):
The volume of open transactions has to be indicated at nominal value and also at market value.
a) Nominal value
Each transaction has to be reported individually, without netting (i.e. without offsetting them
against one another in any way), that is to say that the following actions shall not be permitted,
among others:
• Netting purchase options vis-à-vis third parties and buy options vis-à-vis third parties.
• Netting put options and call options.
• Showing bilateral net agreement at net value.
Guiding principles for determining nominal value:
• Futures: nominal value of the contract, rather than the value of the underlying product
therein.
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