Financial Sector (Collection of Data) (reporting standard) determination No. 42 of 2023

Reporting Standard SRS 550.0 Asset Allocation

Financial Sector (Collection of Data) Act 2001

I, Michael Murphy, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:

(a)   revoke Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2021, including Reporting Standard SRS 550.0 Asset Allocation made under that Determination; and

(b)          determine Reporting Standard SRS 550.0 Asset Allocation, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraph 3 of that reporting standard.

Under section 15 of the Act, I declare that  Reporting Standard SRS 550.0 Asset Allocation shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on the day it is registered on the Federal Register of Legislation.

This instrument commences upon registration on the Federal Register of Legislation.

Dated: 23 May 2023

Michael Murphy

Acting Chief Data Officer

Technology and Data Division

Interpretation

In this Determination:

APRA means the Australian Prudential Regulation Authority.

Federal Register of Legislation means the register established under section 15A of the Legislation Act 2003.

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

Schedule

Reporting Standard SRS 550.0 Asset Allocation comprises the document commencing on the following page.

Reporting Standard SRS 550.0

Asset allocation

Authority

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

Purpose

2.             Information collected under this Reporting Standard is used by APRA for the purposes of prudential supervision and publication. It may also be used by the Australian Securities and Investments Commission.

Application

3.             This Reporting Standard applies to each registrable superannuation entity (RSE) licensee (RSE licensee) in respect of each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF) within its business operations[1].

Commencement

4.             This Reporting Standard commences on the day it is registered on the Federal Register of Legislation.

Reporting periods

5.             Reporting periods under this Reporting Standard are each calendar quarter (i.e. the periods ending 30 September, 31 December, 31 March and 30 June each year).

Information required

6.             RSE licensees must provide information required by this Reporting Standard under SRF 550.0, SRF 550.1 and SRF 550.2 for reporting periods ending on or after 30 September 2023.

7.             An RSE licensee to which this Reporting Standard applies must provide information required under SRF 550.0 Table 1, within 28 calendar days after the end of relevant reporting period.

8.             An RSE licensee to which this Reporting Standard applies must provide information required under SRF 550.0 Table 2, SRF 550.1 and SRF 550.2 within 40 calendar days after the end of the reporting period.  

Notices

9.             If, having regard to the particular circumstances of an RSE, defined benefit RSE, PST or ERF, APRA considers it necessary or desirable to obtain information more or less frequently than as provided by paragraph 5, APRA may, by notice in writing, change the reporting periods for the particular RSE, defined benefit RSE, PST or ERF.

10.         Where APRA has changed the reporting periods under paragraph 9, the RSE licensee must provide the relevant information within the time specified by the notice in writing.

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

Note: 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.

Form and method of submission

12.         The information required by this Reporting Standard must be given to APRA in electronic format using an electronic method available on APRA’s website or by a method notified by APRA prior to submission.

Quality control

13.         The information provided by an RSE licensee under this Reporting Standard must be the product of systems, procedures and internal controls that have been reviewed and tested by the RSE auditor of the RSE, defined benefit RSE, PST or ERF to which the information relates[2]. This will require the RSE auditor to review and test the RSE licensee’s systems, procedures and internal controls designed to enable the RSE licensee to report reliable information to APRA. This review and testing must be done on:

(a)          an annual basis or more frequently if necessary to enable the RSE auditor to form an opinion on the reliability and accuracy of information; and

(b)          at least a limited assurance engagement consistent with professional standards and guidance notes issued by the Auditing and Assurance Standards Board as may be amended from time to time, to the extent that they are not inconsistent with the requirements of Prudential Standard SPS 310 Audit and Related Matters (SPS 310).

14.         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, procedures and controls for the authorisation of information submitted to APRA is in place.

Authorisation

15.         When an officer or agent of an RSE licensee provides the information required by this Reporting Standard using an electronic format, the officer or must 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 the information 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, or 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.

Minor alterations to forms and instructions

18.         APRA may make minor variations to:

(a)          a form that is part of this Reporting Standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b)          the instructions to a form, to clarify their application to the form,

without changing any substantive requirement in the form or instructions.

19.         If APRA makes such a variation, it must notify each RSE licensee that is required to report under this Reporting Standard.

Transition

20.         An RSE licensee to which this Reporting Standard applies must report under the old reporting standard in respect of a transitional reporting period. For these purposes:

old reporting standard means the reporting standard revoked in the determination making this Reporting Standard; and

transitional reporting period means a reporting period under the old reporting standard:

(a)          that ended before 30 September 2023; and

(b)          in relation to which the RSE licensee was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.

Note: For the avoidance of doubt, if an RSE licensee was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the RSE licensee is still required to provide any overdue reporting documents in accordance with the old reporting standard.

Interpretation

21.         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 has the meaning of defined benefit fund in subsection 10(1) of the SIS Act.

due date means the relevant due date under paragraph 7, 8, or, if applicable, paragraph 10 of this Reporting Standard.

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

investment option has the meaning given in SRS 101.0.

MySuper product has the meaning given in subsection 10(1) of the SIS Act.

reporting period means a period mentioned in paragraph 5 or, if applicable, paragraph 9 of this Reporting Standard.

RSE means a registrable superannuation entity as defined in subsection 10(1) of the SIS Act that is not a defined benefit RSE, pooled superannuation trust, 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 subsection 10(1) of the SIS Act.

SIS Act means Superannuation Industry (Supervision) Act 1993.

SRS 101.0 means Reporting Standard SRS 101.0 Definitions for Superannuation Data Collections.

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

22.         In this Reporting Standard, unless the contrary intention appears, a reference to an Act, Regulation, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a reference to the instrument as in force or existing from time to time.

23.         Where this Reporting Standard provides for APRA to exercise a power or discretion, this power or discretion is to be exercised in writing.

Reporting Form SRF 550.0

Asset Allocation

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form SRF 550.0 Asset Allocation (SRF 550.0). This form collects information relating to the asset allocation and investments of registrable superannuation entities.

General directions and notes

Reporting level

SRF 550.0 must be completed for each investment option within an RSE, defined benefit RSE, PST or ERF excluding the following:

• investment options which are permitted to be aggregated in Table 3 of Reporting Form SRF 605.0 RSE Structure (SRF 605.0);
• investment options which solely underlie defined benefits;
• investment options which are reported on SRF 605.0 under investment option category Annuity; and

• investment options which solely underlie products with the Superannuation Product Category Type of ‘Insurance Only’ or ‘Whole of Life or Endowment’.

Reporting tables

Tables described in this reporting form list each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.

The Unique identifier column indicates which field or fields form the primary key of the table. Where a field has ‘Y’ in the Unique identifier column, this denotes that this field forms part of the primary key for the table. A blank cell in the Unique identifier column means that the field does not form part of the primary key for the table. Any specific combination of values in the fields that form the primary key of a table must not appear on more than one row in that table when reported.

Reporting basis and unit of measurement

Report all items on SRF 550.0 in accordance with the Australian Accounting Standards.

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 may 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 must use the same exchange rates across all returns submitted to APRA.

Amounts in SRF 550.0 are to be reported as whole dollars. Percentages are to be reported as an unconverted number to two decimal places. For example, 12.34 per cent is to be reported as 0.1234.

Items on SRF 550.0 must be reported as at the end of the reporting period.

Certain items in SRF 550.0 are to be reported on an APRA-look through basis. Reporting on an APRA-look through basis means:

(a)   where the ultimate investment is held directly by the RSE licensee, reporting that investment;

(b)   where the ultimate investment is held by a person connected with the RSE licensee, reporting that investment; and

(c)   where the ultimate investment is not held by the RSE licensee or a person connected with the RSE licensee, reporting the most proximate investment, of a person connected with the RSE licensee, to the ultimate investment.[5] [6]

These instructions specify look through basis that applies to each item.

Definitions

Terms highlighted in bold italics indicate that the definition is provided in Reporting Standard SRS 101.0 Definitions for Superannuation Data Collections (SRS 101.0).

Specific instructions

Table 1: Strategic asset allocation

APRA-look through basis

Report table 1 the strategic asset allocation regardless of how investments are made.

Instructions

Strategic sector

Report the benchmark allocation to each strategic sector set as part of the board approved strategic asset allocation, reporting ‘Not Applicable’ for strategic subsector, strategic subsector domicile type, strategic subsector listing type and strategic subsector international economy type. Where the investment option is managed on a dynamic asset allocation basis and a benchmark asset allocation has been adopted, report the allocation in column 10. Where the investment option does not have asset allocation ranges, and thus no lower or upper benchmarks, leave column 11 and column 12 blank.

Where the listing is not specified when setting the strategic asset allocation, report investment strategic sector listing type as ‘Not Specified’. Report investment strategic sector listing type as ‘Not Applicable’ for asset class type ‘Cash’.

Where the investment domicile is not specified when setting the strategic asset allocation, report investment strategic sector domicile type as ‘Not Specified’.

Report investment strategic sector international economy type as ‘Not Applicable’ for investment strategic sector domicile type ‘Australian Domicile’. Where the investment strategic sector international economy type is not specified, report investment strategic sector domicile type as ‘Not Specified’.

Where the investment option type is Separately Managed Account or Managed Discretionary Account, report the asset allocation of the model portfolio.

Strategic subsector

Report the benchmark allocation to each subsector allocation on an additional row for each combination of strategic sector and strategic subsector, with the subsector information reported in columns 6 to 9 and the information of the strategic sector to which it underlies reported in columns 1 to 5. The sum of the benchmark allocations reported for each strategic subsector should equal the benchmark allocation for the relevant strategic sector.

For example, where the strategic sector:

a) listing type, domicile type and international economy type are ‘Not Specified’, or

b) allocation within the reported strategic sector includes other strategic sectors e.g. ‘Alternatives’ includes allocation to ‘Infrastructure’ or ‘Fixed Income’ includes allocation to both ‘Fixed Income Excluding Credit’ and ‘Credit’,

report an asset allocation target at the reporting date to the strategic subsector, strategic subsector listing type, strategic subsector domicile type and strategic subsector international economy type for each strategic subsector approved by the board, committee or individual with investment delegations under the investment governance framework of the RSE licensee. If ‘Currency Exposure’ is reported for strategic sector, do not report a strategic subsector allocation.

Currency exposure and currency hedging ratio

Report either a benchmark allocation to currency exposure or currency hedging ratios, with the approach determined by referent to the RSE licensee’s investment strategy:

a)   If currency exposure targets are set at the investment option level, report the benchmark currency exposure in column 10 using ‘Currency Exposure’ as the strategic sector. The investment benchmark allocation (%) to ‘Currency Exposure’ is treated separately and does not contribute to the total benchmark allocations of the investment option.

b)   If currency exposure targets or hedging ratios are set at the asset class level, report a currency hedging ratio (%) in column 13 where investment domicile type ‘International Domicile’ is reported in column 4. Where investment domicile type ‘Not Specified’ is reported in column 4 and currency hedging targets are set at an asset class level or investment option level, report the investment currency hedging ratio (%) in column 13 as the target level of currency hedging for any internationally domiciled assets within that allocation.

The table below summarises the reporting approach for different scenarios for reporting currency exposure or currency hedging ratios: 

Where investment option level currency exposure is not reported in SRF 550.0 table 1 column 10, and the RSE licensee targets a fully hedged international exposure, the RSE licensee must report 100 per cent in SRF 550.0 table 1 column 13.

Table 2: Actual asset allocation

APRA-look through basis

For directly held investments: report Table 2 on a non-APRA-look through basis.

For indirectly held investments: report Table 2 on an APRA-look though basis.

When reporting on an APRA-look through basis, information about the underlying investments in an investment vehicle must be reported. Investments in investment vehicles must be allocated to each combination of asset class sector type, asset class characteristic 1, asset class characteristic 2, asset class characteristic 3, domicile type, international economy type and listing type represented in the underlying investments.

When reporting the relevant asset class sector type of investments on an APRA-look through basis, an RSE licensee must seek information about the actual holdings of the first non-connected entity - investments and identify the asset class sector type(s) of these holdings. For example, the cash position in an equity portfolio must be reported as cash.

When the investment vehicle is an investment vehicle - connected entity, report on an APRA-look through basis: e.g. obtain information to classify the investment by all characteristics in Table 2.

When the investment vehicle is an investment vehicle - non-connected entity, report each combination of asset class sector type, domicile type, international economy type and listing type. Where information on asset class characteristic 1, asset class characteristic 2, asset class characteristic 3 and synthetic exposure are available, report this information. If not available, report based on best available or report ‘not available’. 

Where the investment options characteristics reported under SRS 605.0 are Investment Option Type of Listed Investment Company, Exchange Traded Product, or Investment Option Management Type of ' externally managed - non-connected entity’ and Investment Option Strategy Type of ' Non-connected entity’:

• If data on the strategic sector type, strategic sector listing type, strategic sector domicile type and strategic sector international economy type of the investment are not available, report based on best available or report ‘not available’.

• If data on asset class characteristic 1, asset class characteristic 2, asset class characteristic 3 of the investment are not available, report based on best available or report ‘not available’.

Where the investment option type is Separately Managed Account or Managed Discretionary Account, report the asset allocation of the model portfolio.

An RSE licensee is to submit a revised form by the reporting date:

• where information was reported as ‘not available’ in the immediately preceding reporting period and the information becomes available during this reporting period; or
• where information was reported on a best available basis in the immediately preceding reporting period and a material difference is identified during this reporting period.

Instructions

Report the value of investments held in respect of each investment option. For each investment, report the strategic sector, and the listing type, domicile type and international economy type of the strategic sector which the investment is allocated to. Report the asset class sector type, asset class characteristic 1, asset class characteristic 2, asset class characteristic 3, domicile type, international economy type and listing type of the investment according to the relevant look-through basis above.

Investments in investment vehicles must be allocated to each investment asset class sector type, investment asset class characteristic 1 type, investment asset class characteristic 2 type, investment asset class characteristic 3 type, investment listing type, investment domicile type and investment international economy type represented in the underlying investment.

Exchange traded funds (ETFs) and listed trusts are to be allocated to the investment asset class sector type of the underlying asset with investment listing type as ‘Listed’. Include equity ETFs and listed equity trusts with investment asset class sector type as ‘Equity’. Include non-equity ETFs and listed trusts in the investment asset class sector type of the underlying asset with investment listing type as ‘Listed’.  For example, report investment asset class sector type for fixed income ETFs as ‘Fixed Income’, commodity ETFs as ‘Alternatives’, listed property trusts as ‘Property’ and listed infrastructure trusts as ‘Infrastructure’.

For investments in connected diversified property investment vehicles or unlisted direct property assets, report asset class characteristic 1 using either property development or property established.

For investments in connected diversified infrastructure investment vehicles or unlisted direct infrastructure assets, report asset class characteristic 1 using either infrastructure development or infrastructure established.

Alternative strategy funds are to be allocated to the investment asset class sector type ‘Alternatives’ with the strategy classified under investment asset class characteristic 2. Commodities are to be allocated to the investment asset class sector type ‘Alternatives’ with investment asset class characteristic 2, as ‘Alternatives Commodities’. Other alternative assets are to be allocated to the investment asset class sector type ‘Alternatives’ with investment asset class characteristic 2, as ‘Alternatives Other’.

The value of investments reported in Table 2, column 13 must be calculated on an effective exposure basis as the sum of the value of all physical assets (having applied APRA-look through) together with the equivalent asset position of the derivative instruments.

When reporting indirectly held investments, apportion the value of the market exposure of any derivative contracts within the indirectly held investment to the asset class sector type(s) and asset class characteristics to which the derivatives relate. If derivative contracts are used within an indirectly held investment to hedge currency exposure, report the percentage of the indirectly held investment’s net asset exposure that is currency hedged (refer to Table 2, column 15).

The proportion of the investment which is currency hedged must be reported at the same level that it is implemented.

• If the RSE licensee implements currency hedging at asset class level, report the proportion of the investment which is currency hedged in Table 2, column 15.
• If an RSE licensee implements currency hedging at an investment option level, report:

• the value of the pre-hedging currency exposure in Table 2, column 13 using Currency Exposure as the strategic sector and the asset class sector type (In these instances, the value of the Currency Exposure is treated separately and does not contribute to the total value of the investment option.)
• report the currency hedged (%) for the investment option in table 2 column 15 and
• report the currency hedged (%) for each investment with Investment Domicile Type ‘international’ in table 2 column 15.

Where the listing is not specified when setting the strategic asset allocation, report investment strategic sector listing type as ‘Not Specified’. Report investment strategic sector listing type as ‘Not Applicable’ for asset class type ‘Cash’.

Where the investment strategic sector domicile is not specified, report investment strategic sector domicile type as ‘Not Specified’.

Report investment strategic sector international economy type as ‘Not Applicable’ for investment strategic sector domicile type ‘Australian Domicile’. Where the investment strategic sector international economy type is not specified, report investment strategic sector domicile type as ‘Not Specified’.

Where the investment listing is not known, report investment listing type as ‘Not Applicable’.

Where the investment domicile is not known, report investment domicile type as ‘Not Applicable’. Investment domicile is the domicile of the assets identified when applying the APRA-look through requirements, not the domicile of the investment vehicle.

Report investment international economy type as ‘Not Applicable’ for investment domicile type ‘Australian Domicile’. Where the international economy type is not known, report investment domicile type as ‘Not Applicable’.

Classify listed equity investments by the relevant market capitalisation where the investment strategy adopted predominantly pursues a portfolio of stocks with a micro, small, mid or large market capitalisation (relative to the country in which the stocks are listed); or by the market capitalisation classification in which the security falls in relative to the country in which the stocks are listed.

This may be determined by reference to the market capitalisation indices produced by commercial index providers. For example, if the majority (over 80% by market cap) of stocks held are included in a micro market capitalisation indices produced by commercial index providers, report the portfolio as Equity Listed Micro Cap.

Report Investment Modified Duration Number for the ‘Fixed Income’ asset class sector exposures within the ‘Fixed Income’, ‘Fixed Income Excluding Credit’ and ‘Credit’ strategic sector allocations.

Synthetic exposure

Where a derivative is held for the purpose of either gaining or reducing exposure to an underlying asset class: 

• report the synthetic exposure in column 14 against the underlying asset class sector type; 
• report the effective exposure in column 13 which comprises the physical securities, synthetic exposures and the market value of the derivatives; and
• report the corresponding cash offset value (i.e., inverse of the notional principal value of the derivative) in columns 13 and 14 of the relevant strategic sector type under the Cash asset class sector type and Cash Offset Derivatives Investment Asset Class Characteristic 2 Type.

Where a derivative is held for the purposes of hedging currency risk:

• report the market value of the foreign currency (FX) derivative against the asset class sector type the FX derivative is related to in column 13; 
• where the market value of the FX derivative is not allocated to a particular asset class sector type report against the ‘Cash’ asset class sector type and Cash Foreign Exchange Derivative Contracts Investment Asset Class Characteristic 2 Type in column 13, report the actual currency hedging level against the investment exposure hedged as a percentage in column 15.
• the notional principal value of the FX derivative does not need to be reported in SRF 550.0 table 2. 

Where a derivative is held for the purposes of adjusting interest rate risk:

• for each investment exposure whose modified duration is altered using derivatives, report in column 17 the modified duration for that investment exposure after the derivative adjustment; and
• report the market value of the derivative apportioned on an asset weighted basis against each reported combination of investment exposures whose modified duration is altered by the derivative. The notional principal value of the derivative does not need to be reported in SRF 550 table 2.

Reporting Form SRF 550.1

Investments and Currency Exposure

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form SRF 550.1 Investments and Currency Exposure (SRF 550.1). This form collects information relating to the investments and currency exposures of registrable superannuation entities.

General directions and notes

Reporting level

SRF 550.1 must be completed for each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF).

Reporting tables

Tables described in this reporting form list each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.

The Unique identifier column indicates which field or fields form the primary key of the table. Where a field has ‘Y’ in the Unique identifier column, this denotes that this field forms part of the primary key for the table. A blank cell in the Unique identifier column means that the field does not form part of the primary key for the table. Any specific combination of values in the fields that form the primary key of a table must not appear on more than one row in that table when reported.

Reporting basis and unit of measurement

Report all items on SRF 550.1 in accordance with the Australian Accounting Standards.

Amounts in SRF 550.1 are to be reported as whole dollars. Percentages are to be reported as an unconverted number to two decimal places. For example, 12.34 per cent is to be reported as 0.1234.

Items on SRF 550.1 must be reported as at the end of the reporting period or with respect to transactions that occurred during the reporting period as specified.

Certain items in SRF 550.1 are to be reported on an APRA-look through basis. Reporting on an APRA-look through basis means:

(a)   where the ultimate investment is held directly by the RSE licensee, reporting that investment;

(b)   where the ultimate investment is held by a person connected with the RSE licensee, reporting that investment; and

(c)   where the ultimate investment is not held by the RSE licensee or a person connected with the RSE licensee, reporting the most proximate investment, of a person connected with the RSE licensee, to the ultimate investment.[7] [8]

These instructions specify the reporting basis, unit of measurement and look through basis that applies to each item.

Definitions

Terms highlighted in bold italics indicate that the definition is provided in Reporting Standard SRS 101.0 Definitions for Superannuation Data Collections (SRS 101.0).

Specific instructions

Table 1: Investments

Report data as at the end of the reporting period.

APRA-look through basis

Where Directly Held is reported as the investment type (column 1), report on a non-APRA-look through basis. Where Indirectly Held is reported as the investment type (column 1), report on an APRA-look through basis, with reference to the investments underlying and investment vehicle.

When reporting on an APRA-look through basis, information about the underlying investments in an investment vehicle must be reported. Investments in investment vehicles must be allocated to each combination of asset class sector type, asset class characteristic 1, asset class characteristic 2, asset class characteristic 3, domicile type and listing type represented in the underlying investments.

When reporting the relevant asset class sector type of investments on an APRA-look through basis, an RSE licensee must seek information about the actual holdings of the first non-connected entity - investments and identify the asset class sector type(s) of these holdings. For example, the cash position in an equity portfolio must be reported as cash.

When the investment vehicle is an investment vehicle - connected entity, report on an APRA-look through basis: e.g. obtain information to classify the investment by all characteristics in Table 2.

When the investment vehicle is an investment vehicle - non-connected entity, report each combination of asset class sector type, domicile type, international economy type and listing type. Where information on asset class characteristic 1, asset class characteristic 2, asset class characteristic 3 are available, report this information. If not available, report based on best available or report ‘not available’. 

An RSE licensee is to submit a revised form by the reporting date:

• where information reported as ‘not available’ in the immediately preceding reporting period and the information becomes available during this reporting period; or
• where information was reported on a best available basis in the immediately preceding reporting period and a material difference is identified during this reporting period.

Instructions

Report the value of investments of the RSE. For each investment, report the investment vehicle type, the listing type and domicile type of the investment vehicle. Report the asset class sector type, asset class characteristic 1, asset class characteristic 2, asset class characteristic 3, domicile type, international economy type and listing type of the investment according to the relevant look-through basis.

Investments in investment vehicles must be allocated to each investment asset class sector type, investment asset class characteristic 1 type, investment asset class characteristic 2 type, investment asset class characteristic 3 type, investment listing type, investment domicile type and investment international economy type represented in the underlying investment.

Exchange traded funds (ETFs) and listed trusts are to be allocated to the investment asset class sector type of the underlying asset with investment listing type as ‘Listed’. Include equity ETFs and listed equity trusts with investment asset class sector type as ‘Equity’. Include non-equity ETFs and listed trusts in the investment asset class sector type of the underlying asset with investment listing type as ‘Listed’.  For example, report investment asset class sector type for fixed income ETFs as ‘Fixed Income’, commodity ETFs as ‘Alternatives’, listed property trusts as ‘Property’ and listed infrastructure trusts as ‘Infrastructure’.

For investments in connected diversified property investment vehicles or unlisted direct property assets, report asset class characteristic 1 using either property development or property established.

For investments in connected diversified infrastructure investment vehicles or unlisted direct infrastructure assets, report asset class characteristic 1 using either infrastructure development or infrastructure established.

Alternative strategy funds are to be allocated to the investment asset class sector type ‘Alternatives’ with the strategy classified under investment asset class characteristic 2. Commodities are to be allocated to the investment asset class sector type ‘Alternatives’ with investment asset class characteristic 2, as ‘Alternatives Commodities’. Other alternative assets are to be allocated to the investment asset class sector type ‘Alternatives’ with investment asset class characteristic 2, as ‘Alternatives Other’.

The value of investments reported in table 1 column 12 must be calculated on an effective exposure basis as the sum of the value of all physical assets (having applied APRA-look through) together with the equivalent asset position of the derivative instruments.

When reporting indirectly held investments, apportion the value of the market exposure of any derivative contracts within the indirectly held investment to the asset class sector type(s) and asset class characteristics to which the derivatives relate. The apportionment will enable the net asset value of the indirectly held investment to be reported in table 1 column 12.

If derivative contracts are used within an indirectly held investment to hedge currency exposure, report the percentage of the indirectly held investment’s net asset exposure that is currency hedged (refer to table 1 column 14).

For Investment Vehicle Type ‘International domicile’ and Investment Domicile Type ‘international domicile’, report the proportion of the investment which is currency hedged in Table 1 Column 14. Blanks are taken as unhedged.

Where the investment listing is not known, report investment listing type as ‘Not Applicable’.

Where the investment domicile is not known, report investment domicile type as ‘Not Applicable’. Investment domicile is the domicile of the assets identified when applying the APRA-look through requirements, not the domicile of the investment vehicle.

Report investment international economy type as ‘Not Applicable’ for investment domicile type ‘Australian Domicile’. Where the investment international economy type is not known, report investment domicile type as ‘Not Applicable’.

Synthetic exposure

Where a derivative is held for the purpose of either gaining or reducing exposure to an underlying asset class: 

• report the synthetic exposure in column 13 against the underlying asset class sector type; 
• report the effective exposure in column 12 which comprises the physical securities, synthetic exposures and the market value of the derivatives; and
• report the corresponding cash offset value (i.e., inverse of the notional principal value of the derivative) in columns 12 and 13 of the relevant strategic sector type under the Cash asset class sector type and Cash Offset Derivatives Investment Asset Class Characteristic 2 Type.

Where a derivative is held for the purposes of hedging currency risk:

• report the market value of the foreign currency (FX) derivative against the asset class sector type the FX derivative is related to in column 12; 
• where the market value of the FX derivative is not allocated to a particular asset class sector type report against the ‘Cash’ asset class sector type and Cash Foreign Exchange Derivative Contracts Investment Asset Class Characteristic 2 Type in column 12, report the actual currency hedging level against the investment exposure hedged as a percentage in column 14.
• the notional principal value of the FX derivative does not need to be reported in SRF 550.1 table 1. 

Where a derivative is held for the purposes of adjusting interest rate risk:

• report the market value of the derivative apportioned on an asset weighted basis against each reported combination of investment exposures whose modified duration is altered by the derivative. The notional principal value of the derivative does not need to be reported in SRF 550.1 table 1.

Table 2: Currency exposure

Report data as at the end of the reporting period.

The value of investments reported in table 2 column 2 must be calculated as the sum of the value of all physical assets (having applied APRA-look through) together with the equivalent asset position of the derivative instruments.

Reporting Form SRF 550.2

Derivatives and Counterparties

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form SRF 550.2 Derivatives and Counterparties (SRF 550.2). This form collects information on the derivative exposures of RSEs and counterparties to these exposures.

General directions and notes

Reporting level

SRF 550.2 must be completed for each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF).

Reporting tables

Tables described in this reporting form list each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set.  Constraints on the data that can be reported for each field have also been provided.

The Unique identifier column indicates which field or fields form the primary key of the table. Where a field has ‘Y’ in the Unique identifier column, this denotes that this field forms part of the primary key for the table. A blank cell in the Unique identifier column means that the field does not form part of the primary key for the table. Any specific combination of values in the fields that form the primary key of a table must not appear on more than one row in that table when reported.

Reporting basis and unit of measurement

Report all items on SRF 550.2 in accordance with the Australian Accounting Standards.

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 may 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 must use the same exchange rates across all returns to APRA.

Amounts in SRF 550.2 are to be reported as whole dollars. Percentages are to be reported as an unconverted number to two decimal places. For example, 12.34 per cent is to be reported as 0.1234.

Items on SRF 550.2 must be reported as at the end of the reporting period or with respect to transactions that occurred during the reporting period as specified.

Items on SRF 550.2 are to be reported on a non-look through basis. A look through basis is where information about the underlying investments in an investment vehicle must be reported.

These instructions specify the reporting basis, unit of measurement and look through basis that applies to each item.

Definitions

Terms highlighted in bold italics indicate that the definition is provided in Reporting Standard SRS 101.0 Definitions for Superannuation Data Collections (SRS 101.0).

Specific instructions

Report only directly held investments in derivative financial instruments on SRF 550.2, which may or may not be invested via an individually managed mandate.

Do not report indirectly held investments in derivative financial instruments on SRF 550.2.

Table 1: Derivative financial instruments

Report columns 1 to 12 as at the end of the reporting period. Report column 13 with respect to transactions that occurred during the reporting period.

Instructions

For each combination of exposure type, derivative type, counterparty name, counterparty rating grade, type of counterparty and contract type report the principal amount in column 9, the gross positive market value in column 10, the gross negative market value in column 11, the derivatives net market value in column 12, and the derivatives net transactions in column 13.

Table 2: Derivative collateral and counterparties

Report Table 2 as at the end of the reporting period.

Table 2.1 Value of assets of the RSE that are pledged to secure derivative positions

Report the value of assets of the RSE that are pledged to secure derivative positions as at the end of the reporting period.

Table 2.2 Directly held over the counter derivatives

Report net collateral pledged to secure over the counter derivative contracts as at the end of the reporting period for each counterparty for over the counter derivatives reported in Table 1.

Instructions

For each combination of counterparty name, counterparty identifier and collateral type report the net collateral pledged to secure positions with the counterparty.

Where collateral is received from the counterparty, then this amount should be negative. Where collateral is posted (or pledged) to the counterparty, then this amount should be positive.

Appendix A - Asset class hierarchy

The following table shows the hierarchical relationships between the asset class sector type, asset class characteristic 1, asset class characteristic 2 and asset class characteristic 3.

[1] For the purposes of this Reporting Standard, an RSE licensee’s ‘business operations’ includes all activities it conducts 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 RSE, defined benefit RSE, pooled superannuation trust (PST) or ERF, the RSE licensee must separately provide the information required by this Reporting Standard for each RSE, defined benefit RSE, PST or ERF within its business operations. An RSE licensee that does not have any RSEs, defined benefit RSEs, PSTs or ERFs within its business operations is not required to provide information under this Reporting Standard.

[2] Refer also to Prudential Standard SPS 310 Audit and Related Matters (SPS 310).

[3] Refer to Prudential Standard SPS 510 Governance.

[4] For the purposes of this Reporting Standard, ‘pooled superannuation trust’ has the meaning given in subsection 10(1) of the SIS Act, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which no more than six members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, which has only one member.

[5] Subsection 13(4B) of the Financial Sector (Collection of Data) Act 2001 means that a contract between the RSE licensee or a person connected with the RSE licensee such as a related body corporate or relevant custodian (the first party), and a person connected with the RSE licensee (the second party), under which assets or assets derived from assets of the registrable superannuation entity are invested, is taken to include (1) a term requiring the first party to notify the second party that the assets are or are derived from a registrable superannuation entity, and (2) a term requiring the second party, if so notified, to provide the information required by this reporting standard of which they are aware.

[6] For example, if an RSE licensee invests in a managed investment scheme, the responsible entity of which is not a related body corporate of the RSE licensee, the responsible entity is still a person connected with the RSE licensee, under paragraph (c) of the definition of that term.  If the managed investment scheme in turn invests in a private equity vehicle, the trustee of which is not in any way related to the RSE licensee, the trustee of the private equity vehicle is not a person connected with the RSE licensee. If the private equity vehicle has invested exclusively in shares, the shares will be the ultimate investment.  The most proximate investment of a person connected with the RSE licensee will be the managed investment scheme’s investment in the private equity vehicle. Accordingly, the managed investment scheme’s investment in the private equity vehicle must be reported.

[7] Subsection 13(4B) of the Financial Sector (Collection of Data) Act 2001 means that a contract between the RSE licensee or a person connected with the RSE licensee such as a related body corporate or relevant custodian (the first party), and a person connected with the RSE licensee (the second party), under which assets or assets derived from assets of the registrable superannuation entity are invested, is taken to include (1) a term requiring the first party to notify the second party that the assets are or are derived from a registrable superannuation entity, and (2) a term requiring the second party, if so notified, to provide the information required by this reporting standard of which they are aware.

[8] For example, if an RSE licensee invests in a managed investment scheme, the responsible entity of which is not a related body corporate of the RSE licensee, the responsible entity is still a person connected with the RSE licensee, under paragraph (c) of the definition of that term.  If the managed investment scheme in turn invests in a private equity vehicle, the trustee of which is not in any way related to the RSE licensee, the trustee of the private equity vehicle is not a person connected with the RSE licensee. If the private equity vehicle has invested exclusively in shares, the shares will be the ultimate investment.  The most proximate investment of a person connected with the RSE licensee will be the managed investment scheme’s investment in the private equity vehicle. Accordingly, the managed investment scheme’s investment in the private equity vehicle must be reported.