Financial Sector (Collection of Data) (reporting standard) determination No. 44 of 2015

I, Steven Davies, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) DETERMINE Reporting Standard SRS 722.0 ABS Derivatives Schedule, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraph 3 of the reporting standard.

Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply to those financial sector entities on 1 July 2016.

This instrument commences on date of registration on the Federal Register of Legislative Instruments.

Dated: 10 December 2015

[Signed]

Steven John Davies

General Manager, Statistics

Interpretation

In this Determination:

APRA means the Australian Prudential Regulation Authority.

financial sector entity has the meaning given in section 5 of the Act.

Schedule

Reporting Standard SRS 722.0 ABS Derivatives Schedule comprises the 22 pages commencing on the following page.

Reporting Standard SRS 722.0

ABS Derivatives Schedule

Authority

1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2.             Information collected in Form SRF 722.0 ABS Derivatives Schedule (SRF 722.0) is used by the Australian Bureau of Statistics (ABS) for compilation of the Australian National Accounts and other publications. It may also be used by APRA for the purposes of prudential supervision and publication.

Application and commencement

3.             This Reporting Standard applies to each registrable superannuation entity (RSE) licensee (RSE licensee) in respect of each relevant RSE within its business operations.[1]

4.             For the purpose of this Reporting Standard, a ‘relevant RSE’ is an RSE, defined benefit RSE, pooled superannuation trust (PST) or eligible rollover fund (ERF) that had total assets equal to or greater than $200 million at the end of the most recent year of income at the time of reporting.

5.             This Reporting Standard applies for reporting periods ending on or after 1 July 2016.

Information required

6.             An RSE licensee to which this Reporting Standard applies must provide APRA with the information required by SRF 722.0 in respect of each reporting period.

Forms and method of submission

7.             The information required by this Reporting Standard must be given to APRA in electronic format using the ‘Direct to APRA’ application or, where ‘Direct to APRA’ is not available, by a method notified by APRA, in writing, prior to submission.

Note: the ‘Direct to APRA’ application software (also known as ‘D2A’) may be obtained from APRA.

Reporting periods and due dates

8.             Subject to paragraph 9, an RSE licensee to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each relevant RSE within its business operations for each quarter based on the year of income of the entity.

9.             If, having regard to the particular circumstances of a relevant RSE, APRA considers it necessary or desirable to obtain information more or less frequently than as provided by paragraph 8, APRA may, by notice in writing, change the reporting periods for the particular relevant RSE.

10.         The information required by this Reporting Standard must be provided to APRA:

(a)          in the case of quarterly information:

(i)            for reporting periods ending on or after 1 July 2016 but before 1 July 2017 – within 35 calendar days after the end of the quarter to which the information relates[2]; and

(ii)         for reporting periods ending on or after 1 July 2017 – within 28 calendar days after the end of the quarter to which the information relates; and

(b)          in the case of information provided in accordance with paragraph 9, within the time specified by notice in writing.

11.         APRA may grant, in writing, an RSE licensee an extension of a due date with respect to one or more relevant RSEs within its business operations, in which case the new due date for the provision of the information will be the date on the notice of extension.

Quality control

12.         All information provided by an RSE licensee under this Reporting Standard must be subject to systems, processes and controls developed by the RSE licensee for the internal review and authorisation of that information. It is the responsibility of the Board and senior management of the RSE licensee to ensure that an appropriate set of policies and procedures for the authorisation of information submitted to APRA is in place.

13.         The information provided by an RSE licensee under this Reporting Standard is not required to be audited or tested by the RSE auditor of the relevant RSE to which the information relates.

14.         An RSE licensee must ensure that the information provided under this Reporting Standard is as accurate as possible. Where accurate information is not readily available, an RSE licensee may report a careful estimate where that estimate is the product of systems, processes and controls developed by the RSE licensee for this purpose.

Authorisation

15.         When an officer or agent of an RSE licensee provides the information required by this Reporting Standard using the ‘Direct to APRA’ software, it will be necessary for the officer or agent to digitally sign the relevant information using a digital certificate acceptable to APRA.

16.         If the information required by this Reporting Standard is provided by an agent who submits using the ‘Direct to APRA’ software on the RSE licensee’s behalf, the RSE licensee must:

(a)          obtain from the agent a copy of the completed form with the information provided to APRA; and

(b)          retain the completed copy.

17.         An officer or agent of an RSE licensee who submits the information under this Reporting Standard for, on behalf of, the RSE licensee must be authorised by either:

(a)          the Chief Executive Officer of the RSE licensee; or

(b)          the Chief Financial Officer of the RSE licensee.

Variations

18.         APRA may, by written notice to an RSE licensee, vary the reporting requirements of SRF 722.0 in relation to that RSE licensee or one or more relevant RSEs within that RSE licensee’s business operations.

Interpretation

19.         In this Reporting Standard:

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998;

Chief Executive Officer means the chief executive officer of the RSE licensee, by whatever name called, and whether or not he or she is a member of the Board of the RSE licensee[3];

Chief Financial Officer means the chief financial officer of the RSE licensee, by whatever name called;

defined benefit RSE means an RSE that is a defined benefit fund within the meaning given in Prudential Standard SPS 160 Defined Benefit Matters;

due date means the relevant date under paragraph 10 or, if applicable, paragraph 11;

eligible rollover fund (ERF) has the meaning given in section 10(1) of the SIS Act;

pooled superannuation trust (PST) has the meaning given in section 10(1) of the SIS Act;

reporting period means a period mentioned in paragraph 8 or, if applicable, paragraph 9;

RSE means a registrable superannuation entity as defined in section 10(1) of the SIS Act that is not a defined benefit RSE, PST, ERF, small APRA fund or single member approved deposit fund[4];

RSE auditor means an auditor appointed by the RSE licensee to perform functions under this Reporting Standard;

RSE licensee has the meaning given in section 10(1) of the SIS Act;

SIS Act means Superannuation Industry (Supervision) Act 1993; and

year of income has the meaning given in section 10(1) of the SIS Act.

Reporting Form SRF 722.0

ABS Derivatives Schedule

Instructions

These instructions assist completion of Reporting Form SRF 722.0 ABS Derivatives Schedule (SRF 722.0). SRF 722.0 collects detailed information about derivatives held by a registrable superannuation entity (RSE). Information reported in SRF 722.0 is required primarily for the purposes of the Australian Bureau of Statistics and may be used by APRA for prudential and publication purposes. All items on SRF 722.0 are required for Australia's National Accounts, which is based on the international standard, the System of National Accounts 2008 (2008 SNA).

Reporting level

SRF 722.0 must be completed for each relevant RSE.[5]

Reporting basis and unit of measurement

As the valuation basis for assets and liabilities in 2008 SNA is market prices, items on SRF 722.0 must be reported as market prices.[6] Do not net off disposal costs when recording market prices of assets. Where market prices are not available, items on SRF 722.0 may be reported as careful estimates.[7]

Report items on SRF 722.0 as blank where the item is nil.

Items on SRF 722.0 are to be reported as thousands of dollars. Values are to be rounded up or down to the nearest thousand dollars.

Items on SRF 722.0 are to be reported on a gross basis except where otherwise indicated.

Items on SRF 722.0 are to be reported on an unconsolidated basis. In national accounting, consolidation refers to the elimination of transactions which occur between two transactors belonging to the same institutional sector or subsector. In a commercial accounting sense, this process is applied to entities where a parent/subsidiary relationship exists.[8]

Assets and liabilities denominated in currencies other than AUD are to be converted to AUD using the mid-point rate (of market buying and selling spot quotations) effective as at the end of the reporting period. An RSE licensee is free to use those AUD exchange rates that it judges to be a representative closing mid-market rate as at the end of the reporting period. However, to ensure consistency across related returns and to assist in the reconciliation between these returns, an RSE licensee should attempt to use the same exchange rate across all returns to APRA.

Note: for the major currencies, an RSE licensee may use the exchange rates available from the Reserve Bank of Australia (RBA), which is available on the RBA website: http://www.rba.gov.au/statistics/historical-data.html.

Report derivatives distinct from the corresponding contract that is being hedged. Do not use hedge accounting on SRF 722.0.

Specific instructions

Terms highlighted in bold italics indicate that the definition is provided in these instructions. Additional definitions are provided at the end of these instructions (in the Glossary).

Examples listed under ‘Includes’ and ‘Excludes’ are not to be taken as an exhaustive list of items to be included or excluded.

Derivatives with a gross positive market value

Item 1 collects information about the value of derivatives with a gross positive market value at the end of the reporting period and movements in derivatives with a gross positive market value due to transactions that occurred during the period.

Derivatives with a gross negative market value

Item 2 collects information about the value of derivatives with a gross negative market value at the end of the reporting period and movements in derivatives with a gross negative market value due to transactions that occurred during the period.

Glossary of additional terms

Core principles

The macroeconomic statistics produced by the ABS centre around the internationally accepted key standard, the System of National Accounts (SNA) 2008. SNA provides an overarching national accounting framework that is integrated, coherent and maximises international comparability.

Under the SNA, financial statistics are presented in a flow of funds or so-called “from whom to whom” format to measure the “stocks” and “flows” of financial assets and liabilities throughout the Australian economy and with the rest of the world. A flow of funds concept is designed to delineate both parties to a transaction, as well as the nature of the financial instrument transacted. This concept also underpins the classification schema used in this form.

Residency

An institutional unit is resident in one and only one economic territory. In general, the residence of an institutional unit is determined by the unit's centre of predominant economic interest.

Individual members of households who leave the economic territory of a country and return after a limited period (less than one year) continue to be regarded as residents of that country.

For example, a member of a resident Australian household who travels abroad for recreation, business, health or other purposes and returns within one year is treated while abroad as a resident of Australia. An exception to the one year rule is made in the case of students, who are treated as residents of the country where they had been prior to studying. If a student develops the intention to remain in the country after completion of studies, they are counted as a resident of that country.

The residence of a financial instrument is determined by the residence of the issuer rather than the domicile of the financial instrument itself. For example, holdings of bonds issued by a non-resident into the Australian Market would be recorded as non-resident asset. Conversely, holdings of bonds issued internationally by an Australian resident would be recorded as a resident asset by an Australian registrable superannuation entity.

Domicile type

Represents the jurisdiction in which a financial instrument is constituted. For ABS purposes, debt liabilities are classified as either Australian domicile or international domicile. For debt securities, this refers to whether a debt security is issued in Australia or abroad. For deposits, it refers to the residence of the institution accepting the deposit. For loans, it refers to the residence of the institution providing the loan.

Therefore, deposits taken by Australian institutions are classified as debt - Australia domicile, and loan liabilities to the rest of the world as debt - international domicile.

The domicile of a financial instrument does not determine residency. Kangaroo bonds are domiciled in Australia but the issuer is a non-resident. Therefore, holdings of Kangaroo bonds are considered a claim against a non-resident.

Ownership

Two types of ownership are distinguished in national accounting, legal ownership and economic ownership. The legal owner of assets and liabilities is the institutional unit entitled in law and sustainable under the law to claim the benefits embodied in the value of the assets and liabilities. The economic owner of products is the institutional unit entitled to claim the benefits associated with the use of assets or liabilities in question in the course of an economic activity by virtue of accepting the associated risks.

Every product has both a legal owner and an economic owner, though in many cases they are the same. Where they are not, the legal owner has handed responsibility for the risk involved in using the assets or liabilities in an economic activity to the economic owner along with associated benefits. In return, the legal owner accepts another package of risks and benefits from the economic owner. In general within the SNA, when the expression “ownership” or “owner” is used and the legal and economic owners are different, the reference should be understood to be to the economic owner.

In the case of unitised investments, investors acquiring units in a trust spread their exposure across all the instruments in that trust. However, the unit holders cannot claim that they directly hold those underlying instruments as they do not directly claim the benefits (incomes and realised or unrealised gains on the trust assets) associated with the holdings of the trust. Instead they must await distributions, or sell their units to claim any benefits. Unit holders hence are not the economic owners of underlying assets but the economic owners of the trust while the trustee of the trust remains the legal owner. Unit holders hold an equity position (units) in the trust and would report units in trusts as the primary financial instrument.

Financial instruments

Financial assets and liabilities, as published in ABS macroeconomic statistics, are classified to financial instruments as follows:

• Monetary gold and Special Drawing Rights (SDRs)
• Currency
• Deposits
  • Transferable deposits
  • Other deposits
• Debt securities 
  • Short-term debt securities

Bills of exchange

One name paper

• Long-term debt securities

• Loans and placements
  •  Short-term loans
  •  Long-term loans
• Derivatives 
• Shares and other equity
  •  Listed shares and other equities
  •  Unlisted shares and other equities
• Net equity in reserves
• Trade credits and advances and other accounts receivable and payable

While some of the categories above are not directly applicable to RSEs, detailed definitions for these financial instruments, where appropriate, are below. Definitions for financial instruments apply to non-resident and resident institutional units.

Institutional units and sectoral classifications

In national accounting, institutional sectors are intrinsically different from each other in that their economic objectives, functions and behaviour are different. Institutional units are allocated to a sector according to the nature of the economic activities they undertake.

Institutional sectors and associated classifications used in the ABS financial statistics are described in Standard Economic Sector Classifications of Australia (SESCA) (cat. no. 1218.0). The classifications included in SESCA are based on international standards, adapted to suit Australian situations where appropriate.

In the structure depicted below, each sector contains a number of subsectors distinguished according to a hierarchical structure. Each institutional unit belongs to only one subsector.

      Domestic/Resident  

• Non-financial corporations

         Private 

Private non-financial investment funds

Other private non-financial corporations

         Public 

 National

 State and local

• Financial corporations 

         Central Bank

         Depository corporations

Banks

Other depository corporations

         Pension funds and insurance corporations

Pension funds

Life insurance corporations

Non-life insurance corporations

         Financial investment funds

 Money market funds (MMF)

 Non-MMF financial investment funds

         Central Borrowing Authorities

         Securitisers

         Other financial corporations

• General government

         National 

         State and local

• Households

      Rest of world/Non-resident

Information provided in this section is to be used as a general guide for all data items where sectoral classifications are required. Refer to ‘Residency’ under ‘Core principles’ for more detail about residence. ‘Resident institutional units are further divided into sectors and subsectors.

Financial corporations

General Government

Households

Interpretation

For the purposes of these instructions:

• defined benefit RSE means an RSE that is a defined benefit fund within the meaning given in Prudential Standard SPS 160 Defined Benefit Matters;
• eligible rollover fund (ERF) has the meaning given in section 10(1) of the SIS Act;
• pooled superannuation trust (PST) has the meaning given in section 10(1) of the SIS Act;
• RSE means a registrable superannuation entity as defined in section 10(1) of the SIS Act that is not a defined benefit RSE, PST, ERF, small APRA fund or single member approved deposit fund[9];
• RSE licensee has the meaning given in section 10(1) of the SIS Act;
• SIS Act means Superannuation Industry (Supervision) Act 1993; and
• SIS Regulations means Superannuation Industry (Supervision) Regulations 1994.

[1]  For the purposes of this Reporting Standard, an ‘RSE licensee’s business operations’ includes all activities as an RSE licensee (including the activities of each RSE of which it is the licensee), and all other activities of the RSE licensee to the extent that they are relevant to, or may impact on, its activities as an RSE licensee. For the avoidance of doubt, if the RSE licensee is trustee of more than one relevant RSE, the RSE licensee must separately provide the information required by the form for each relevant RSE within its business operations.

[2]  For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, an RSE licensee is nonetheless required to submit the information required no later than the due date.

[3]  Refer to Prudential Standard SPS 510 Governance.

[4]  For the purposes of this Reporting Standard, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which has fewer than five members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, and has only one member.

[5]  For the purposes of these instructions, a ‘relevant RSE’ is an RSE, defined benefit RSE, pooled superannuation trust (PST) or eligible rollover fund (ERF) that had total assets equal to or greater than $200 million at the end of the most recent year of income at the time of reporting.

[6]  Refer to paragraph 2.60 of 2008 SNA. For the purposes of these instructions, ‘market prices’ is defined as amounts of money that willing buyers pay to acquire something from willing sellers, and the exchange is made between independent parties on the basis of commercial considerations only.

[7]  Where accurate information is not readily available, an RSE licensee may report a careful estimate where that estimate is the product of systems, processes and controls developed by the RSE licensee for this purpose.

[8]  For the avoidance of doubt, items on SRF 722.0 are to be reported on a non-look through basis. For the purposes of these instructions, ‘look through basis’ means the reporting of information about the underlying investments in an investment vehicle.

[9]  For the purposes of these instructions, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which has fewer than five members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, and has only one member.