Derivative Type Dimension This dimension identifies what the derivative entitles you to do or obliges you to provide. Options Call An option call is a financial instrument representing a transaction in which the buyer has a 'right' but not an 'obligation' to buy (call) a specified underlying item (real or financial) at agreed contract price (strike price) on or before a specified date if it is advantageous to them, hence asset. The writer of a call has given the buyer the right (but not obligation) to buy from them even if it causes them a loss. Hence the writer has the liability. Forwards Forwards are an agreement between two counterparties to exchange a predetermined amount of an underlying item (real or financial) at a specified future date and at a predetermined price. Swaps 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. Options An option is a financial instrument representing a transaction in which the buyer has a 'right' but not an 'obligation' to buy or sell a specified underlying item (real or financial) at agreed contract price (strike price) on or before a specified date if it is advantageous to them, hence asset. The writer of an option has given the buyer the right (but not obligation) to buy from/sell to them even if it causes them a loss. Hence the writer has the liability. Options Put An option put is a financial instrument representing a transaction in which the buyer has a 'right' but not an 'obligation' to sell (put) a specified underlying item (real or financial) at agreed contract price (strike price) on or before a specified date if it is advantageous to them, hence asset. The writer of a put has given the buyer the right (but not obligation) to sell to them even if it causes them a loss. Hence the writer has the liability. Credit Derivatives A credit derivative enables the user to transfer the credit risk of an underlying asset from one party, the protection buyer, to another, the protection seller, in isolation from other risks. Other This information relates to any other derivative contract type that is not a contract that provides the holder with the right, but not the obligation, to buy or sell a specific amount of the underlying asset at an agreed price, on or before a specific future date. Represents agreements to exchange a predetermined amount of an underlying asset financial instrument at a specified future date and at a predetermined price, or exchange predetermined obligations, generally a series of cash flows on differing terms. Collateral Swap A swap of two assets not involving cash. Futures The information reported is in relation to the standardised agreement to exchange a predetermined amount of an underlying asset financial instrument at a specified future date and at a predetermined price. Securitisation Basis Swap The information reported represents a basis swap which is an interest rate swap aimed at limiting basis risk in a securitisation. For the purposes of securitisation, a basis swap includes a payment stream on one leg of the swap based on an observable market rate or index, and a payment stream on the other leg based on rates set by a party to the swap, typically the originating entity.